0001193125-14-002914.txt : 20140106 0001193125-14-002914.hdr.sgml : 20140106 20140106161759 ACCESSION NUMBER: 0001193125-14-002914 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20131031 FILED AS OF DATE: 20140106 DATE AS OF CHANGE: 20140106 EFFECTIVENESS DATE: 20140106 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND CENTRAL INDEX KEY: 0000896163 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 14510042 BUSINESS ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 BUSINESS PHONE: (512) 306-7400 MAIL ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 FORMER COMPANY: FORMER CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND INC DATE OF NAME CHANGE: 19981217 0000896163 S000001027 DIMENSIONAL EMERGING MARKETS VALUE FUND INC C000002781 DIMENSIONAL EMERGING MARKETS VALUE FUND INC N-CSR 1 d613154dncsr.txt DIMENSIONAL EMERGING MARKETS VALUE FUND ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ----------------- FORM N-CSR ----------------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7440 ----------------- DIMENSIONAL EMERGING MARKETS VALUE FUND (Exact name of registrant as specified in charter) ----------------- 6300 Bee Cave Road, Building One, Austin, TX 78746 (Address of principal executive offices)(Zip code) ----------------- Catherine L. Newell, Esquire, Vice President and Secretary Dimensional Emerging Markets Value Fund, 6300 Bee Cave Road, Building One, Austin, TX 78746 (Name and address of agent for service) ----------------- Registrant's telephone number, including area code: 512-306-7400 Date of fiscal year end: October 31 Date of reporting period: October 31, 2013 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] ANNUAL REPORT year ended: October 31, 2013 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 November 2013 Dear Fellow Shareholder, Our goal at Dimensional is to deliver an outstanding investment experience to our clients. Our close ties to academia help us identify leading research that can be beneficial to investors, and our team works to interpret, rigorously test, and consider the practical applicability of those ideas in carefully implemented investment strategies. This focus on research and implementation has been central to Dimensional's approach since our founding and will continue to be a key part of our offer to investors. Sincerely, /s/ David G. Booth CHAIRMAN AND CO-CHIEF EXECUTIVE OFFICER ANNUAL REPORT TABLE OF CONTENTS
PAGE ---- LETTER TO SHAREHOLDERS DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1 DFA INVESTMENT DIMENSIONS GROUP INC. Performance Charts................................................ 2 Management's Discussion and Analysis.............................. 19 Disclosure of Fund Expenses....................................... 31 Disclosure of Portfolio Holdings.................................. 36 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio......................... 39 U.S. Large Cap Equity Portfolio............................... 42 U.S. Large Cap Value Portfolio................................ 45 U.S. Targeted Value Portfolio................................. 46 U.S. Small Cap Value Portfolio................................ 49 U.S. Core Equity 1 Portfolio.................................. 52 U.S. Core Equity 2 Portfolio.................................. 55 U.S. Vector Equity Portfolio.................................. 58 U.S. Small Cap Portfolio...................................... 61 U.S. Micro Cap Portfolio...................................... 64 DFA Real Estate Securities Portfolio.......................... 67 Large Cap International Portfolio............................. 69 International Core Equity Portfolio........................... 73 International Small Company Portfolio......................... 78 Japanese Small Company Portfolio.............................. 79 Asia Pacific Small Company Portfolio.......................... 79 United Kingdom Small Company Portfolio........................ 80 Continental Small Company Portfolio........................... 80 DFA International Real Estate Securities Portfolio............ 81 DFA Global Real Estate Securities Portfolio................... 85 DFA International Small Cap Value Portfolio................... 86 International Vector Equity Portfolio......................... 90 World ex U.S. Value Portfolio................................. 95 World ex U.S. Targeted Value Portfolio........................ 96 World ex U.S. Core Equity Portfolio........................... 97 Selectively Hedged Global Equity Portfolio.................... 98 Emerging Markets Portfolio.................................... 99 Emerging Markets Small Cap Portfolio.......................... 99 Emerging Markets Value Portfolio.............................. 99 Emerging Markets Core Equity Portfolio........................ 100 Statements of Assets and Liabilities.............................. 105 Statements of Operations.......................................... 112 Statements of Changes in Net Assets............................... 119 Financial Highlights.............................................. 129 Notes to Financial Statements..................................... 147 Report of Independent Registered Public Accounting Firm........... 174
i TABLE OF CONTENTS CONTINUED
PAGE ---- DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO Performance Charts................................................... 175 Management's Discussion and Analysis................................. 176 Consolidated Disclosure of Fund Expenses............................. 177 Consolidated Disclosure of Portfolio Holdings........................ 178 Consolidated Schedule of Investments................................. 179 Consolidated Statement of Assets and Liabilities..................... 184 Consolidated Statement of Operations................................. 185 Consolidated Statements of Changes in Net Assets..................... 186 Consolidated Financial Highlights.................................... 187 Consolidated Notes to Financial Statements........................... 188 Report of Independent Registered Public Accounting Firm.............. 200 DIMENSIONAL INVESTMENT GROUP INC. Performance Charts................................................... 201 Management's Discussion and Analysis................................. 203 Disclosure of Fund Expenses.......................................... 206 Disclosure of Portfolio Holdings..................................... 208 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio................................ 209 U.S. Large Company Portfolio..................................... 210 Statements of Assets and Liabilities................................. 213 Statements of Operations............................................. 214 Statements of Changes in Net Assets.................................. 215 Financial Highlights................................................. 216 Notes to Financial Statements........................................ 218 Report of Independent Registered Public Accounting Firm.............. 229 THE DFA INVESTMENT TRUST COMPANY Performance Charts................................................... 230 Management's Discussion and Analysis................................. 235 Disclosure of Fund Expenses.......................................... 240 Disclosure of Portfolio Holdings..................................... 242 Summary Schedules of Portfolio Holdings.............................. 244 The U.S. Large Cap Value Series.................................. 244 The DFA International Value Series............................... 247 The Japanese Small Company Series................................ 251 The Asia Pacific Small Company Series............................ 254 The United Kingdom Small Company Series.......................... 257 The Continental Small Company Series............................. 260 The Canadian Small Company Series................................ 264 The Emerging Markets Series...................................... 267 The Emerging Markets Small Cap Series............................ 271 Statements of Assets and Liabilities................................. 275 Statements of Operations............................................. 277 Statements of Changes in Net Assets.................................. 279 Financial Highlights................................................. 282 Notes to Financial Statements........................................ 287 Report of Independent Registered Public Accounting Firm.............. 296
ii TABLE OF CONTENTS CONTINUED
PAGE ---- DIMENSIONAL EMERGING MARKETS VALUE FUND Performance Charts...................................... 297 Management's Discussion and Analysis.................... 298 Disclosure of Fund Expenses............................. 299 Disclosure of Portfolio Holdings........................ 300 Summary Schedule of Portfolio Holdings.................. 301 Statement of Assets and Liabilities..................... 305 Statement of Operations................................. 306 Statements of Changes in Net Assets..................... 307 Financial Highlights.................................... 308 Notes to Financial Statements........................... 309 Report of Independent Registered Public Accounting Firm. 315 FUND MANAGEMENT............................................ 316 VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 325 NOTICE TO SHAREHOLDERS..................................... 326
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 SPDR Standard & Poor's Depository Receipts GBP British Pounds NZD New Zealand Dollars 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. ^^ Security pledged as collateral for the Open Futures Contracts. ++ Security pledged as collateral for Swap Agreements. (o) Security is being fair valued as of October 31, 2013. (S) Affiliated Fund. FINANCIAL HIGHLIGHTS -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. REIT Real Estate Investment Trust RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations. (b) Commencement of Operations.
1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Enhanced U.S. Large Company Portfolio S&P 500/R/ Index ------------------------------------- ------------------ 10/31/2003 $10,000 $10,000 11/30/2003 10,084 10,088 12/31/2003 10,638 10,617 1/31/2004 10,830 10,812 2/29/2004 10,998 10,962 3/31/2004 10,843 10,797 4/30/2004 10,602 10,627 5/31/2004 10,734 10,773 6/30/2004 10,924 10,982 7/31/2004 10,574 10,619 8/31/2004 10,647 10,662 9/30/2004 10,753 10,777 10/31/2004 10,922 10,942 11/30/2004 11,322 11,385 12/31/2004 11,705 11,772 1/31/2005 11,399 11,485 2/28/2005 11,620 11,727 3/31/2005 11,387 11,519 4/30/2005 11,191 11,301 5/31/2005 11,546 11,660 6/30/2005 11,558 11,677 7/31/2005 11,939 12,111 8/31/2005 11,853 12,001 9/30/2005 11,926 12,098 10/31/2005 11,679 11,896 11/30/2005 12,124 12,346 12/31/2005 12,125 12,350 1/31/2006 12,450 12,677 2/28/2006 12,450 12,712 3/31/2006 12,606 12,870 4/30/2006 12,757 13,043 5/31/2006 12,380 12,667 6/30/2006 12,393 12,685 7/31/2006 12,468 12,763 8/31/2006 12,757 13,067 9/30/2006 13,084 13,403 10/31/2006 13,499 13,840 11/30/2006 13,763 14,103 12/31/2006 13,947 14,301 1/31/2007 14,145 14,518 2/28/2007 13,868 14,234 3/31/2007 14,026 14,393 4/30/2007 14,633 15,030 5/31/2007 15,134 15,555 6/30/2007 14,870 15,296 7/31/2007 14,422 14,822 8/31/2007 14,620 15,044 9/30/2007 15,163 15,607 10/31/2007 15,407 15,855 11/30/2007 14,758 15,192 12/31/2007 14,653 15,087 1/31/2008 13,735 14,182 2/29/2008 13,290 13,721 3/31/2008 13,231 13,662 4/30/2008 13,853 14,327 5/31/2008 14,046 14,513 6/30/2008 12,853 13,290 7/31/2008 12,748 13,178 8/31/2008 12,943 13,369 9/30/2008 11,751 12,177 10/31/2008 9,747 10,132 11/30/2008 9,084 9,405 12/31/2008 9,191 9,505 1/31/2009 8,421 8,704 2/28/2009 7,500 7,777 3/31/2009 8,183 8,459 4/30/2009 8,990 9,268 5/31/2009 9,527 9,786 6/30/2009 9,561 9,806 7/31/2009 10,317 10,547 8/31/2009 10,720 10,928 9/30/2009 11,142 11,336 10/31/2009 10,939 11,126 11/30/2009 11,631 11,793 12/31/2009 11,831 12,021 1/31/2010 11,424 11,588 2/28/2010 11,797 11,947 3/31/2010 12,492 12,668 4/30/2010 12,696 12,868 5/31/2010 11,696 11,841 6/30/2010 11,094 11,221 7/31/2010 11,877 12,007 8/31/2010 11,350 11,465 9/30/2010 12,365 12,488 10/31/2010 12,842 12,963 11/30/2010 12,825 12,965 12/31/2010 13,684 13,831 1/31/2011 14,025 14,159 2/28/2011 14,487 14,644 3/31/2011 14,487 14,650 4/30/2011 14,948 15,084 5/31/2011 14,811 14,913 6/30/2011 14,555 14,665 7/31/2011 14,282 14,366 8/31/2011 13,496 13,586 9/30/2011 12,539 12,631 10/31/2011 13,923 14,011 11/30/2011 13,837 13,981 12/31/2011 13,992 14,124 1/31/2012 14,648 14,756 2/29/2012 15,287 15,395 3/31/2012 15,806 15,901 4/30/2012 15,719 15,801 5/31/2012 14,769 14,852 6/30/2012 15,389 15,464 7/31/2012 15,649 15,678 8/31/2012 16,013 16,032 9/30/2012 16,424 16,446 10/31/2012 16,129 16,142 11/30/2012 16,233 16,236 12/31/2012 16,365 16,384 1/31/2013 17,204 17,232 2/28/2013 17,448 17,466 3/31/2013 18,094 18,121 4/30/2013 18,444 18,470 5/31/2013 18,863 18,903 6/30/2013 18,574 18,649 7/31/2013 19,554 19,598 Past performance is not predictive of 8/31/2013 18,976 19,030 future performance. 9/30/2013 19,571 19,627 10/31/2013 20,482 20,529 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ The S&P data are provided by Standard 26.99% 16.01% 7.43% & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY PORTFOLIO VS. RUSSELL 1000(R) INDEX JUNE 25, 2013-OCTOBER 31, 2013 [CHART] U.S. Large Cap Equity Portfolio Russell 1000/R/ Index ----------------- --------------------- 06/25/2013 $10,000 $10,000 06/30/2013 10,020 10,130 07/31/2013 10,550 10,672 Past performance is not predictive of 08/31/2013 10,270 10,378 future performance. 09/30/2013 10,630 10,740 10/31/2013 11,101 11,213 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. FROM TOTAL RETURN 06/25/2013 Russell data copyright (C) Russell ------------------------------------- Investment Group 1995-2013, all rights 11.01% reserved.
-------------------------------------------------------------------------------- 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index ------------------------------ --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,222 10,136 12/31/2003 10,920 10,760 1/31/2004 11,104 10,950 2/29/2004 11,391 11,184 3/31/2004 11,345 11,086 4/30/2004 11,154 10,815 5/31/2004 11,217 10,925 6/30/2004 11,552 11,183 7/31/2004 11,175 11,026 8/31/2004 11,175 11,182 9/30/2004 11,520 11,356 10/31/2004 11,654 11,544 11/30/2004 12,417 12,128 12/31/2004 12,912 12,534 1/31/2005 12,590 12,311 2/28/2005 12,970 12,719 3/31/2005 12,936 12,545 4/30/2005 12,491 12,320 5/31/2005 13,026 12,617 6/30/2005 13,291 12,755 7/31/2005 13,951 13,124 8/31/2005 13,834 13,067 9/30/2005 14,048 13,250 10/31/2005 13,672 12,914 11/30/2005 14,217 13,336 12/31/2005 14,234 13,416 1/31/2006 14,909 13,937 2/28/2006 14,856 14,022 3/31/2006 15,117 14,212 4/30/2006 15,543 14,573 5/31/2006 15,255 14,205 6/30/2006 15,387 14,295 7/31/2006 15,164 14,643 8/31/2006 15,407 14,888 9/30/2006 15,833 15,185 10/31/2006 16,460 15,682 11/30/2006 16,771 16,040 12/31/2006 17,108 16,400 1/31/2007 17,602 16,610 2/28/2007 17,338 16,351 3/31/2007 17,452 16,603 4/30/2007 18,191 17,217 5/31/2007 18,938 17,838 6/30/2007 18,630 17,421 7/31/2007 17,473 16,616 8/31/2007 17,140 16,802 9/30/2007 17,583 17,379 10/31/2007 17,678 17,381 11/30/2007 16,688 16,531 12/31/2007 16,635 16,371 1/31/2008 15,997 15,716 2/29/2008 15,502 15,057 3/31/2008 15,357 14,944 4/30/2008 16,320 15,673 5/31/2008 16,709 15,648 6/30/2008 14,877 14,150 7/31/2008 14,711 14,099 8/31/2008 15,000 14,339 9/30/2008 13,651 13,285 10/31/2008 10,575 10,985 11/30/2008 9,538 10,198 12/31/2008 9,848 10,339 1/31/2009 8,680 9,150 2/28/2009 7,461 7,928 3/31/2009 8,195 8,606 4/30/2009 9,521 9,528 5/31/2009 10,251 10,117 6/30/2009 10,127 10,042 7/31/2009 11,081 10,864 8/31/2009 11,834 11,433 9/30/2009 12,350 11,874 10/31/2009 11,819 11,511 11/30/2009 12,484 12,160 12/31/2009 12,821 12,375 1/31/2010 12,520 12,027 2/28/2010 13,061 12,407 3/31/2010 14,080 13,214 4/30/2010 14,524 13,556 5/31/2010 13,281 12,442 6/30/2010 12,277 11,742 7/31/2010 13,237 12,536 8/31/2010 12,428 12,000 9/30/2010 13,646 12,931 10/31/2010 14,149 13,319 11/30/2010 14,042 13,248 12/31/2010 15,407 14,294 1/31/2011 15,905 14,617 2/28/2011 16,762 15,156 3/31/2011 16,839 15,217 4/30/2011 17,261 15,622 5/31/2011 17,015 15,457 6/30/2011 16,706 15,140 7/31/2011 15,943 14,638 8/31/2011 14,595 13,724 9/30/2011 13,120 12,687 10/31/2011 14,931 14,139 11/30/2011 14,807 14,066 12/31/2011 14,924 14,350 1/31/2012 15,664 14,893 2/29/2012 16,569 15,486 3/31/2012 16,872 15,945 4/30/2012 16,520 15,783 5/31/2012 15,347 14,857 6/30/2012 16,171 15,595 7/31/2012 16,328 15,756 8/31/2012 16,973 16,098 9/30/2012 17,592 16,609 10/31/2012 17,639 16,528 11/30/2012 17,679 16,521 12/31/2012 18,215 16,862 1/31/2013 19,479 17,958 2/28/2013 19,726 18,216 3/31/2013 20,674 18,937 4/30/2013 20,881 19,224 5/31/2013 21,743 19,717 6/30/2013 21,492 19,543 7/31/2013 22,782 20,599 8/31/2013 22,101 19,817 Past performance is not predictive of 9/30/2013 22,754 20,314 future performance. 10/31/2013 23,904 21,203 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2013, all 35.52% 17.72% 9.11% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS. RUSSELL 2000(R) VALUE INDEX JANUARY 31, 2008-OCTOBER 31, 2013 [CHART] U.S. Targeted Value Portfolio - Class R1 Russell 2000/R/ Value Index -------------------------- --------------------------- 1/31/2008 $10,000 $10,000 2/29/2008 9,750 9,603 3/31/2008 9,821 9,748 4/30/2008 10,152 10,056 5/31/2008 10,613 10,400 6/30/2008 9,538 9,402 7/31/2008 9,790 9,884 8/31/2008 10,233 10,353 9/30/2008 9,575 9,868 10/31/2008 7,504 7,897 11/30/2008 6,525 6,982 12/31/2008 6,946 7,412 1/31/2009 5,999 6,353 2/28/2009 5,204 5,471 3/31/2009 5,777 5,956 4/30/2009 6,902 6,901 5/31/2009 7,137 7,051 6/30/2009 7,107 7,028 7/31/2009 7,959 7,841 8/31/2009 8,379 8,212 9/30/2009 8,844 8,624 10/31/2009 8,207 8,051 11/30/2009 8,484 8,308 12/31/2009 9,150 8,937 1/31/2010 8,943 8,675 2/28/2010 9,449 9,077 3/31/2010 10,229 9,832 4/30/2010 10,973 10,520 5/31/2010 9,981 9,631 6/30/2010 9,031 8,790 7/31/2010 9,735 9,418 8/31/2010 8,948 8,710 9/30/2010 10,044 9,645 10/31/2010 10,417 10,019 11/30/2010 10,840 10,273 12/31/2010 11,805 11,127 1/31/2011 11,883 11,133 2/28/2011 12,550 11,698 3/31/2011 12,792 11,861 4/30/2011 12,998 12,053 5/31/2011 12,678 11,837 6/30/2011 12,397 11,546 7/31/2011 11,964 11,164 8/31/2011 10,763 10,178 9/30/2011 9,425 9,067 10/31/2011 10,905 10,373 11/30/2011 10,941 10,353 12/31/2011 11,049 10,515 1/31/2012 11,719 11,214 2/29/2012 12,144 11,380 3/31/2012 12,369 11,733 4/30/2012 12,168 11,564 5/31/2012 11,260 10,857 6/30/2012 11,715 11,380 7/31/2012 11,657 11,264 8/31/2012 12,192 11,612 9/30/2012 12,577 12,025 10/31/2012 12,505 11,874 11/30/2012 12,715 11,911 12/31/2012 13,155 12,413 1/31/2013 14,059 13,152 2/28/2013 14,291 13,303 3/31/2013 14,987 13,856 4/30/2013 14,840 13,843 5/31/2013 15,567 14,256 6/30/2013 15,460 14,199 7/31/2013 16,545 15,111 Past performance is not predictive of 8/31/2013 15,941 14,443 future performance. 9/30/2013 16,826 15,277 10/31/2013 17,555 15,773 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 01/31/2008 Russell data copyright (C) Russell ------------------------------------------------------------- Investment Group 1995-2013, all 40.39% 18.53% 10.29% rights reserved.
-------------------------------------------------------------------------------- 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS. RUSSELL 2000(R) VALUE INDEX JUNE 30, 2008-OCTOBER 31, 2013 [CHART] U.S. Targeted Value Portfolio - Class R2 Russell 2000/R/ Value Index ------------------------ --------------------------- 06/30/2008 $10,000 $10,000 07/31/2008 10,260 10,513 08/31/2008 10,720 11,012 09/30/2008 10,038 10,496 10/31/2008 7,860 8,399 11/30/2008 6,836 7,426 12/31/2008 7,274 7,883 01/31/2009 6,272 6,757 02/28/2009 5,443 5,818 03/31/2009 6,038 6,335 04/30/2009 7,216 7,340 05/31/2009 7,459 7,499 06/30/2009 7,436 7,475 07/31/2009 8,321 8,340 08/31/2009 8,768 8,735 09/30/2009 9,248 9,173 10/31/2009 8,585 8,564 11/30/2009 8,871 8,836 12/31/2009 9,568 9,505 01/31/2010 9,343 9,227 02/28/2010 9,865 9,654 03/31/2010 10,685 10,458 04/30/2010 11,453 11,189 05/31/2010 10,419 10,244 06/30/2010 9,434 9,350 07/31/2010 10,161 10,017 08/31/2010 9,341 9,264 09/30/2010 10,484 10,258 10/31/2010 10,874 10,656 11/30/2010 11,306 10,927 12/31/2010 12,308 11,834 01/31/2011 12,396 11,841 02/28/2011 13,085 12,442 03/31/2011 13,336 12,615 04/30/2011 13,544 12,820 05/31/2011 13,211 12,590 06/30/2011 12,926 12,281 07/31/2011 12,466 11,875 08/31/2011 11,214 10,826 09/30/2011 9,820 9,644 10/31/2011 11,364 11,033 11/30/2011 11,401 11,011 12/31/2011 11,510 11,183 01/31/2012 12,209 11,927 02/29/2012 12,644 12,104 03/31/2012 12,877 12,480 04/30/2012 12,667 12,299 05/31/2012 11,721 11,548 06/30/2012 12,189 12,104 07/31/2012 12,129 11,981 08/31/2012 12,686 12,350 09/30/2012 13,082 12,790 10/31/2012 13,007 12,630 11/30/2012 13,225 12,668 12/31/2012 13,677 13,202 01/31/2013 14,611 13,989 02/28/2013 14,861 14,149 03/31/2013 15,577 14,738 04/30/2013 15,424 14,723 05/31/2013 16,181 15,163 06/30/2013 16,064 15,102 07/31/2013 17,185 16,072 08/31/2013 16,548 15,362 09/30/2013 17,472 16,248 Past performance is not predictive of 10/31/2013 18,223 16,777 future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 06/30/2008 Russell data copyright (C) Russell ----------------------------------------------------------------- Investment Group 1995-2013, all 40.10% 18.32% 11.90% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Targeted Value Portfolio - Institutional Class Russell 2000/R/ Value Index --------------------------------- --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,413 10,384 12/31/2003 10,967 10,760 01/31/2004 11,470 11,132 02/29/2004 11,649 11,348 03/31/2004 11,749 11,505 04/30/2004 11,354 10,910 05/31/2004 11,525 11,042 06/30/2004 12,179 11,603 07/31/2004 11,590 11,069 08/31/2004 11,513 11,178 09/30/2004 12,036 11,620 10/31/2004 12,144 11,800 11/30/2004 13,262 12,847 12/31/2004 13,674 13,154 01/31/2005 13,238 12,645 02/28/2005 13,605 12,897 03/31/2005 13,477 12,631 04/30/2005 12,564 11,979 05/31/2005 13,401 12,710 06/30/2005 13,927 13,272 07/31/2005 14,781 14,027 08/31/2005 14,550 13,705 09/30/2005 14,601 13,682 10/31/2005 14,215 13,339 11/30/2005 14,876 13,880 12/31/2005 14,939 13,773 01/31/2006 16,138 14,912 02/28/2006 15,968 14,911 03/31/2006 16,629 15,633 04/30/2006 16,847 15,675 05/31/2006 16,261 15,026 06/30/2006 16,353 15,211 07/31/2006 15,850 15,000 08/31/2006 16,210 15,448 09/30/2006 16,375 15,599 10/31/2006 17,184 16,393 11/30/2006 17,773 16,860 12/31/2006 17,882 17,007 01/31/2007 18,255 17,262 02/28/2007 18,161 17,050 03/31/2007 18,301 17,256 04/30/2007 18,674 17,435 05/31/2007 19,483 18,074 06/30/2007 19,226 17,653 07/31/2007 17,833 16,150 08/31/2007 17,781 16,474 09/30/2007 17,834 16,548 10/31/2007 17,876 16,729 11/30/2007 16,601 15,475 12/31/2007 16,417 15,344 01/31/2008 15,632 14,715 02/29/2008 15,234 14,130 03/31/2008 15,364 14,343 04/30/2008 15,870 14,797 05/31/2008 16,603 15,303 06/30/2008 14,924 13,835 07/31/2008 15,312 14,544 08/31/2008 16,004 15,235 09/30/2008 14,991 14,521 10/31/2008 11,741 11,620 11/30/2008 10,214 10,274 12/31/2008 10,871 10,906 01/31/2009 9,377 9,348 02/28/2009 8,145 8,050 03/31/2009 9,033 8,764 04/30/2009 10,794 10,155 05/31/2009 11,166 10,375 06/30/2009 11,128 10,342 07/31/2009 12,454 11,538 08/31/2009 13,123 12,084 09/30/2009 13,853 12,690 10/31/2009 12,853 11,847 11/30/2009 13,281 12,224 12/31/2009 14,336 13,150 01/31/2010 14,005 12,765 02/28/2010 14,788 13,357 03/31/2010 16,019 14,468 04/30/2010 17,176 15,480 05/31/2010 15,633 14,172 06/30/2010 14,148 12,935 07/31/2010 15,251 13,858 08/31/2010 14,015 12,816 09/30/2010 15,739 14,192 10/31/2010 16,325 14,742 11/30/2010 16,978 15,117 12/31/2010 18,495 16,373 01/31/2011 18,618 16,381 02/28/2011 19,674 17,213 03/31/2011 20,052 17,452 04/30/2011 20,364 17,736 05/31/2011 19,863 17,418 06/30/2011 19,436 16,990 07/31/2011 18,757 16,428 08/31/2011 16,875 14,977 09/30/2011 14,780 13,341 10/31/2011 17,102 15,264 11/30/2011 17,158 15,234 12/31/2011 17,332 15,472 01/31/2012 18,382 16,500 02/29/2012 19,049 16,746 03/31/2012 19,407 17,265 04/30/2012 19,091 17,015 05/31/2012 17,667 15,976 06/30/2012 18,385 16,746 07/31/2012 18,295 16,575 08/31/2012 19,134 17,086 09/30/2012 19,743 17,695 10/31/2012 19,629 17,473 11/30/2012 19,959 17,526 12/31/2012 20,657 18,265 01/31/2013 22,066 19,353 02/28/2013 22,443 19,574 03/31/2013 23,536 20,389 04/30/2013 23,305 20,369 05/31/2013 24,458 20,978 06/30/2013 24,284 20,893 Past performance is not predictive of 07/31/2013 25,988 22,236 future performance. 08/31/2013 25,026 21,252 09/30/2013 26,426 22,479 The returns shown do not reflect the 10/31/2013 27,560 23,210 deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell ---------------------------------------------------------------- Investment Group 1995-2013, all 40.40% 18.61% 10.67% rights reserved.
-------------------------------------------------------------------------------- 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index ------------------------ --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,416 10,384 12/31/2003 10,972 10,760 01/31/2004 11,508 11,132 02/29/2004 11,671 11,348 03/31/2004 11,781 11,505 04/30/2004 11,408 10,910 05/31/2004 11,451 11,042 06/30/2004 12,217 11,603 07/31/2004 11,566 11,069 08/31/2004 11,393 11,178 09/30/2004 11,955 11,620 10/31/2004 12,070 11,800 11/30/2004 13,277 12,847 12/31/2004 13,758 13,154 01/31/2005 13,266 12,645 02/28/2005 13,625 12,897 03/31/2005 13,359 12,631 04/30/2005 12,386 11,979 05/31/2005 13,210 12,710 06/30/2005 13,762 13,272 07/31/2005 14,741 14,027 08/31/2005 14,495 13,705 09/30/2005 14,610 13,682 10/31/2005 14,183 13,339 11/30/2005 14,780 13,880 12/31/2005 14,829 13,773 01/31/2006 16,138 14,912 02/28/2006 16,082 14,911 03/31/2006 17,062 15,633 04/30/2006 17,230 15,675 05/31/2006 16,474 15,026 06/30/2006 16,482 15,211 07/31/2006 15,865 15,000 08/31/2006 16,173 15,448 09/30/2006 16,366 15,599 10/31/2006 17,255 16,393 11/30/2006 17,779 16,860 12/31/2006 18,025 17,007 01/31/2007 18,422 17,262 02/28/2007 18,379 17,050 03/31/2007 18,579 17,256 04/30/2007 18,914 17,435 05/31/2007 19,604 18,074 06/30/2007 19,301 17,653 07/31/2007 17,826 16,150 08/31/2007 17,691 16,474 09/30/2007 17,642 16,548 10/31/2007 17,839 16,729 11/30/2007 16,284 15,475 12/31/2007 16,088 15,344 01/31/2008 15,454 14,715 02/29/2008 15,015 14,130 03/31/2008 15,142 14,343 04/30/2008 15,393 14,797 05/31/2008 16,029 15,303 06/30/2008 14,410 13,835 07/31/2008 14,708 14,544 08/31/2008 15,319 15,235 09/30/2008 14,263 14,521 10/31/2008 11,106 11,620 11/30/2008 9,663 10,274 12/31/2008 10,170 10,906 01/31/2009 8,718 9,348 02/28/2009 7,610 8,050 03/31/2009 8,402 8,764 04/30/2009 10,053 10,155 05/31/2009 10,376 10,375 06/30/2009 10,413 10,342 07/31/2009 11,813 11,538 08/31/2009 12,420 12,084 09/30/2009 13,207 12,690 10/31/2009 12,212 11,847 11/30/2009 12,592 12,224 12/31/2009 13,589 13,150 01/31/2010 13,160 12,765 02/28/2010 13,970 13,357 03/31/2010 15,208 14,468 04/30/2010 16,441 15,480 05/31/2010 14,813 14,172 06/30/2010 13,310 12,935 07/31/2010 14,467 13,858 08/31/2010 13,255 12,816 09/30/2010 14,969 14,192 10/31/2010 15,593 14,742 11/30/2010 16,294 15,117 12/31/2010 17,789 16,373 01/31/2011 17,844 16,381 02/28/2011 18,964 17,213 03/31/2011 19,354 17,452 04/30/2011 19,598 17,736 05/31/2011 18,985 17,418 06/30/2011 18,642 16,990 07/31/2011 18,106 16,428 08/31/2011 16,191 14,977 09/30/2011 14,154 13,341 10/31/2011 16,394 15,264 11/30/2011 16,282 15,234 12/31/2011 16,446 15,472 01/31/2012 17,668 16,500 02/29/2012 18,229 16,746 03/31/2012 18,648 17,265 04/30/2012 18,350 17,015 05/31/2012 17,043 15,976 06/30/2012 17,790 16,746 07/31/2012 17,747 16,575 08/31/2012 18,495 17,086 09/30/2012 19,108 17,695 10/31/2012 18,951 17,473 11/30/2012 19,300 17,526 12/31/2012 20,019 18,265 01/31/2013 21,333 19,353 02/28/2013 21,707 19,574 03/31/2013 22,772 20,389 04/30/2013 22,520 20,369 05/31/2013 23,734 20,978 06/30/2013 23,568 20,893 07/31/2013 25,297 22,236 08/31/2013 24,241 21,252 09/30/2013 25,512 22,479 Past performance is not predictive of 10/31/2013 26,408 23,210 future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2013, all rights 39.35% 18.92% 10.20% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. CORE EQUITY 1 PORTFOLIO VS. RUSSELL 3000(R) INDEX SEPTEMBER 15, 2005-OCTOBER 31, 2013 [CHART] U.S. Core Equity 1 Portfolio Russell 3000/R/ Index ---------------------- --------------------- 09/15/2005 $10,000 $10,000 09/30/2005 10,040 10,026 10/31/2005 9,820 9,838 11/30/2005 10,220 10,221 12/31/2005 10,224 10,229 01/31/2006 10,636 10,571 02/28/2006 10,656 10,590 03/31/2006 10,893 10,773 04/30/2006 11,024 10,890 05/31/2006 10,641 10,541 06/30/2006 10,644 10,560 07/31/2006 10,532 10,550 08/31/2006 10,785 10,808 09/30/2006 11,009 11,050 10/31/2006 11,414 11,448 11/30/2006 11,686 11,697 12/31/2006 11,828 11,837 01/31/2007 12,053 12,062 02/28/2007 11,920 11,864 03/31/2007 12,039 11,988 04/30/2007 12,489 12,467 05/31/2007 12,970 12,921 06/30/2007 12,760 12,679 07/31/2007 12,226 12,247 08/31/2007 12,349 12,423 09/30/2007 12,704 12,875 10/31/2007 12,899 13,112 11/30/2007 12,233 12,521 12/31/2007 12,159 12,446 01/31/2008 11,465 11,691 02/29/2008 11,123 11,328 03/31/2008 11,043 11,261 04/30/2008 11,594 11,824 05/31/2008 11,895 12,067 06/30/2008 10,877 11,071 07/31/2008 10,877 10,983 08/31/2008 11,117 11,153 09/30/2008 10,086 10,104 10/31/2008 8,214 8,312 11/30/2008 7,520 7,656 12/31/2008 7,718 7,802 01/31/2009 7,020 7,148 02/28/2009 6,269 6,399 03/31/2009 6,845 6,959 04/30/2009 7,674 7,692 05/31/2009 8,036 8,102 06/30/2009 8,072 8,130 07/31/2009 8,755 8,763 08/31/2009 9,076 9,076 09/30/2009 9,506 9,456 10/31/2009 9,170 9,213 11/30/2009 9,631 9,736 12/31/2009 10,020 10,014 01/31/2010 9,697 9,653 02/28/2010 10,074 9,980 03/31/2010 10,744 10,609 04/30/2010 11,078 10,838 05/31/2010 10,204 9,982 06/30/2010 9,546 9,408 07/31/2010 10,229 10,061 08/31/2010 9,677 9,587 09/30/2010 10,664 10,493 10/31/2010 11,077 10,903 11/30/2010 11,218 10,966 12/31/2010 12,035 11,709 01/31/2011 12,276 11,965 02/28/2011 12,768 12,400 03/31/2011 12,903 12,456 04/30/2011 13,254 12,827 05/31/2011 13,068 12,681 06/30/2011 12,826 12,453 07/31/2011 12,463 12,168 08/31/2011 11,594 11,438 09/30/2011 10,579 10,550 10/31/2011 11,904 11,764 11/30/2011 11,882 11,733 12/31/2011 11,959 11,829 01/31/2012 12,603 12,426 02/29/2012 13,148 12,952 03/31/2012 13,496 13,351 04/30/2012 13,363 13,264 05/31/2012 12,483 12,444 06/30/2012 12,945 12,931 07/31/2012 13,034 13,059 08/31/2012 13,415 13,385 09/30/2012 13,796 13,737 10/31/2012 13,605 13,500 11/30/2012 13,752 13,604 12/31/2012 13,981 13,771 01/31/2013 14,830 14,527 02/28/2013 15,012 14,719 03/31/2013 15,627 15,296 04/30/2013 15,797 15,546 05/31/2013 16,319 15,913 06/30/2013 16,154 15,707 07/31/2013 17,089 16,567 08/31/2013 16,610 16,105 Past performance is not predictive of 09/30/2013 17,294 16,704 future performance. 10/31/2013 18,003 17,413 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 09/15/2005 Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2013, all rights 32.32% 16.99% 7.50% reserved.
-------------------------------------------------------------------------------- 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX SEPTEMBER 15, 2005-OCTOBER 31, 2013 [CHART] U.S. Core Equity 2 Portfolio Russell 3000/R/ Index ------------------------ ------------------------- 09/15/2005 $10,000 $10,000 09/30/2005 10,050 10,026 10/31/2005 9,830 9,838 11/30/2005 10,240 10,221 12/31/2005 10,247 10,229 01/31/2006 10,739 10,571 02/28/2006 10,759 10,590 03/31/2006 11,016 10,773 04/30/2006 11,177 10,890 05/31/2006 10,774 10,541 06/30/2006 10,766 10,560 07/31/2006 10,645 10,550 08/31/2006 10,887 10,808 09/30/2006 11,110 11,050 10/31/2006 11,535 11,448 11/30/2006 11,827 11,697 12/31/2006 11,988 11,837 01/31/2007 12,212 12,062 02/28/2007 12,090 11,864 03/31/2007 12,218 11,988 04/30/2007 12,637 12,467 05/31/2007 13,148 12,921 06/30/2007 12,936 12,679 07/31/2007 12,331 12,247 08/31/2007 12,444 12,423 09/30/2007 12,757 12,875 10/31/2007 12,890 13,112 11/30/2007 12,155 12,521 12/31/2007 12,049 12,446 01/31/2008 11,428 11,691 02/29/2008 11,066 11,328 03/31/2008 10,955 11,261 04/30/2008 11,505 11,824 05/31/2008 11,826 12,067 06/30/2008 10,757 11,071 07/31/2008 10,788 10,983 08/31/2008 11,028 11,153 09/30/2008 10,032 10,104 10/31/2008 8,124 8,312 11/30/2008 7,388 7,656 12/31/2008 7,607 7,802 01/31/2009 6,815 7,148 02/28/2009 6,022 6,399 03/31/2009 6,615 6,959 04/30/2009 7,539 7,692 05/31/2009 7,900 8,102 06/30/2009 7,889 8,130 07/31/2009 8,603 8,763 08/31/2009 8,955 9,076 09/30/2009 9,402 9,456 10/31/2009 8,990 9,213 11/30/2009 9,397 9,736 12/31/2009 9,825 10,014 01/31/2010 9,524 9,653 02/28/2010 9,922 9,980 03/31/2010 10,631 10,609 04/30/2010 11,018 10,838 05/31/2010 10,146 9,982 06/30/2010 9,432 9,408 07/31/2010 10,124 10,061 08/31/2010 9,519 9,587 09/30/2010 10,524 10,493 10/31/2010 10,915 10,903 11/30/2010 11,089 10,966 12/31/2010 11,968 11,709 01/31/2011 12,197 11,965 02/28/2011 12,743 12,400 03/31/2011 12,897 12,456 04/30/2011 13,192 12,827 05/31/2011 12,984 12,681 06/30/2011 12,729 12,453 07/31/2011 12,302 12,168 08/31/2011 11,370 11,438 09/30/2011 10,290 10,550 10/31/2011 11,677 11,764 11/30/2011 11,633 11,733 12/31/2011 11,718 11,829 01/31/2012 12,371 12,426 02/29/2012 12,902 12,952 03/31/2012 13,213 13,351 04/30/2012 13,080 13,264 05/31/2012 12,182 12,444 06/30/2012 12,663 12,931 07/31/2012 12,730 13,059 08/31/2012 13,131 13,385 09/30/2012 13,530 13,737 10/31/2012 13,407 13,500 11/30/2012 13,530 13,604 12/31/2012 13,836 13,771 01/31/2013 14,711 14,527 02/28/2013 14,892 14,719 03/31/2013 15,517 15,296 04/30/2013 15,631 15,546 05/31/2013 16,223 15,913 06/30/2013 16,069 15,707 07/31/2013 17,040 16,567 08/31/2013 16,514 16,105 Past performance is not predictive of 09/30/2013 17,220 16,704 future performance. 10/31/2013 17,920 17,413 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 09/15/2005 Russell data copyright (C) Russell ------------------------------------------------------------- Investment Group 1995-2013, all 33.66% 17.14% 7.44% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. VECTOR EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX DECEMBER 30, 2005-OCTOBER 31, 2013 [CHART] U.S. Vector Equity Portfolio Russell 2500/R/ Index Russell 3000/R/ Index ------------------ --------------------- --------------------- 12/30/2005 $10,000 $10,000 $10,000 12/31/2005 10,000 10,000 10,000 01/31/2006 10,810 10,707 10,334 02/28/2006 10,800 10,698 10,352 03/31/2006 11,196 11,114 10,531 04/30/2006 11,316 11,153 10,646 05/31/2006 10,865 10,626 10,305 06/30/2006 10,845 10,632 10,323 07/31/2006 10,624 10,297 10,313 08/31/2006 10,865 10,558 10,566 09/30/2006 11,050 10,687 10,802 10/31/2006 11,533 11,200 11,191 11/30/2006 11,865 11,566 11,435 12/31/2006 12,001 11,616 11,572 01/31/2007 12,237 11,930 11,792 02/28/2007 12,155 11,913 11,598 03/31/2007 12,268 12,029 11,719 04/30/2007 12,628 12,339 12,187 05/31/2007 13,152 12,855 12,631 06/30/2007 12,951 12,624 12,395 07/31/2007 12,220 11,899 11,972 08/31/2007 12,281 12,025 12,144 09/30/2007 12,496 12,308 12,587 10/31/2007 12,579 12,624 12,818 11/30/2007 11,762 11,850 12,241 12/31/2007 11,632 11,777 12,166 01/31/2008 11,081 11,057 11,429 02/29/2008 10,707 10,754 11,074 03/31/2008 10,663 10,674 11,009 04/30/2008 11,142 11,249 11,559 05/31/2008 11,517 11,783 11,796 06/30/2008 10,417 10,822 10,823 07/31/2008 10,500 10,897 10,736 08/31/2008 10,803 11,209 10,903 09/30/2008 9,892 10,095 9,878 10/31/2008 7,847 7,920 8,126 11/30/2008 6,987 7,061 7,484 12/31/2008 7,307 7,445 7,627 01/31/2009 6,417 6,775 6,987 02/28/2009 5,612 6,042 6,255 03/31/2009 6,178 6,594 6,803 04/30/2009 7,178 7,610 7,519 05/31/2009 7,486 7,842 7,921 06/30/2009 7,490 7,930 7,947 07/31/2009 8,258 8,646 8,566 08/31/2009 8,642 8,999 8,872 09/30/2009 9,093 9,521 9,244 10/31/2009 8,590 8,970 9,006 11/30/2009 8,911 9,332 9,518 12/31/2009 9,442 10,005 9,789 01/31/2010 9,173 9,670 9,436 02/28/2010 9,625 10,151 9,756 03/31/2010 10,347 10,926 10,371 04/30/2010 10,874 11,444 10,595 05/31/2010 10,003 10,592 9,758 06/30/2010 9,227 9,836 9,197 07/31/2010 9,906 10,528 9,835 08/31/2010 9,227 9,904 9,372 09/30/2010 10,243 11,037 10,257 10/31/2010 10,621 11,460 10,658 11/30/2010 10,881 11,783 10,720 12/31/2010 11,813 12,677 11,446 01/31/2011 11,976 12,847 11,696 02/28/2011 12,585 13,474 12,122 03/31/2011 12,794 13,780 12,177 04/30/2011 13,055 14,178 12,539 05/31/2011 12,805 14,008 12,396 06/30/2011 12,530 13,699 12,174 07/31/2011 12,072 13,178 11,895 08/31/2011 11,014 12,099 11,181 09/30/2011 9,822 10,792 10,314 10/31/2011 11,244 12,374 11,501 11/30/2011 11,189 12,331 11,470 12/31/2011 11,274 12,359 11,564 01/31/2012 11,967 13,180 12,147 02/29/2012 12,462 13,669 12,661 03/31/2012 12,762 13,964 13,052 04/30/2012 12,575 13,862 12,966 05/31/2012 11,661 12,915 12,165 06/30/2012 12,122 13,385 12,641 07/31/2012 12,099 13,294 12,766 08/31/2012 12,542 13,771 13,085 09/30/2012 12,947 14,130 13,429 10/31/2012 12,880 13,982 13,197 11/30/2012 13,035 14,197 13,299 12/31/2012 13,413 14,568 13,462 01/31/2013 14,342 15,564 14,201 02/28/2013 14,499 15,743 14,389 03/31/2013 15,148 16,440 14,953 04/30/2013 15,136 16,491 15,198 05/31/2013 15,798 17,000 15,556 06/30/2013 15,667 16,814 15,354 07/31/2013 16,679 17,912 16,196 08/31/2013 16,139 17,346 15,744 09/30/2013 16,932 18,340 16,329 10/31/2013 17,620 18,933 17,023 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/30/2005 Russell data copyright (C) Russell ----------------------------------------------------------------- Investment Group 1995-2013, all 36.80% 17.56% 7.50% rights reserved.
-------------------------------------------------------------------------------- 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Small Cap Portfolio Russell 2000/R/ Index ---------------------------- ---------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,364 10,355 12/31/2003 10,606 10,565 1/31/2004 11,079 11,024 2/29/2004 11,173 11,123 3/31/2004 11,230 11,226 4/30/2004 10,770 10,654 5/31/2004 10,883 10,823 6/30/2004 11,359 11,279 7/31/2004 10,545 10,520 8/31/2004 10,394 10,466 9/30/2004 10,902 10,957 10/31/2004 11,110 11,173 11/30/2004 12,083 12,142 12/31/2004 12,502 12,501 1/31/2005 12,010 11,980 2/28/2005 12,221 12,182 3/31/2005 11,868 11,834 4/30/2005 11,127 11,156 5/31/2005 11,894 11,886 6/30/2005 12,343 12,344 7/31/2005 13,187 13,126 8/31/2005 13,001 12,883 9/30/2005 13,084 12,923 10/31/2005 12,681 12,522 11/30/2005 13,296 13,130 12/31/2005 13,262 13,070 1/31/2006 14,467 14,242 2/28/2006 14,440 14,203 3/31/2006 15,102 14,892 4/30/2006 15,136 14,889 5/31/2006 14,312 14,053 6/30/2006 14,228 14,144 7/31/2006 13,682 13,683 8/31/2006 14,064 14,089 9/30/2006 14,180 14,206 10/31/2006 14,980 15,024 11/30/2006 15,356 15,419 12/31/2006 15,465 15,471 1/31/2007 15,697 15,729 2/28/2007 15,617 15,605 3/31/2007 15,781 15,772 4/30/2007 16,070 16,055 5/31/2007 16,678 16,713 6/30/2007 16,496 16,469 7/31/2007 15,502 15,343 8/31/2007 15,720 15,690 9/30/2007 15,918 15,960 10/31/2007 16,231 16,417 11/30/2007 15,023 15,239 12/31/2007 14,992 15,229 1/31/2008 13,955 14,191 2/29/2008 13,506 13,665 3/31/2008 13,555 13,722 4/30/2008 13,982 14,296 5/31/2008 14,649 14,953 6/30/2008 13,338 13,802 7/31/2008 13,758 14,313 8/31/2008 14,255 14,829 9/30/2008 13,116 13,648 10/31/2008 10,416 10,809 11/30/2008 9,144 9,530 12/31/2008 9,594 10,083 1/31/2009 8,532 8,962 2/28/2009 7,502 7,873 3/31/2009 8,274 8,576 4/30/2009 9,811 9,901 5/31/2009 10,158 10,200 6/30/2009 10,421 10,349 7/31/2009 11,503 11,346 8/31/2009 11,914 11,672 9/30/2009 12,657 12,345 10/31/2009 11,779 11,507 11/30/2009 12,079 11,868 12/31/2009 13,080 12,823 1/31/2010 12,683 12,351 2/28/2010 13,302 12,907 3/31/2010 14,392 13,958 4/30/2010 15,369 14,748 5/31/2010 14,170 13,629 6/30/2010 13,037 12,573 7/31/2010 13,976 13,437 8/31/2010 12,910 12,442 9/30/2010 14,595 13,992 10/31/2010 15,193 14,565 11/30/2010 15,831 15,070 12/31/2010 17,096 16,267 1/31/2011 17,112 16,225 2/28/2011 18,073 17,115 3/31/2011 18,590 17,558 4/30/2011 19,030 18,022 5/31/2011 18,646 17,684 6/30/2011 18,348 17,276 7/31/2011 17,706 16,652 8/31/2011 16,118 15,203 9/30/2011 14,328 13,499 10/31/2011 16,523 15,542 11/30/2011 16,467 15,485 12/31/2011 16,558 15,587 1/31/2012 17,671 16,689 2/29/2012 18,180 17,088 3/31/2012 18,654 17,526 4/30/2012 18,396 17,255 5/31/2012 17,201 16,113 6/30/2012 17,928 16,917 7/31/2012 17,782 16,683 8/31/2012 18,406 17,240 9/30/2012 19,006 17,806 10/31/2012 18,771 17,420 11/30/2012 18,990 17,512 12/31/2012 19,603 18,136 1/31/2013 20,831 19,271 2/28/2013 21,039 19,484 3/31/2013 22,055 20,383 4/30/2013 21,873 20,309 5/31/2013 22,997 21,120 6/30/2013 22,972 21,012 7/31/2013 24,628 22,483 Past performance is not predictive of 8/31/2013 23,795 21,769 future performance. 9/30/2013 25,271 23,157 10/31/2013 26,097 23,740 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell ------------------------------------------------------------ Investment Group 1995-2013, all 39.03% 20.16% 10.07% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Micro Cap Portfolio Russell 2000/R/ Index ---------------------------- -------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,430 10,355 12/31/2003 10,719 10,565 1/31/2004 11,338 11,024 2/29/2004 11,395 11,123 3/31/2004 11,411 11,226 4/30/2004 10,944 10,654 5/31/2004 10,944 10,823 6/30/2004 11,427 11,279 7/31/2004 10,573 10,520 8/31/2004 10,412 10,466 9/30/2004 10,934 10,957 10/31/2004 11,135 11,173 11/30/2004 12,134 12,142 12/31/2004 12,690 12,501 1/31/2005 12,169 11,980 2/28/2005 12,270 12,182 3/31/2005 11,874 11,834 4/30/2005 11,135 11,156 5/31/2005 11,807 11,886 6/30/2005 12,340 12,344 7/31/2005 13,282 13,126 8/31/2005 13,097 12,883 9/30/2005 13,177 12,923 10/31/2005 12,807 12,522 11/30/2005 13,387 13,130 12/31/2005 13,411 13,070 1/31/2006 14,637 14,242 2/28/2006 14,673 14,203 3/31/2006 15,341 14,892 4/30/2006 15,277 14,889 5/31/2006 14,378 14,053 6/30/2006 14,250 14,144 7/31/2006 13,759 13,683 8/31/2006 14,141 14,089 9/30/2006 14,220 14,206 10/31/2006 14,994 15,024 11/30/2006 15,331 15,419 12/31/2006 15,579 15,471 1/31/2007 15,757 15,729 2/28/2007 15,678 15,605 3/31/2007 15,838 15,772 4/30/2007 16,076 16,055 5/31/2007 16,583 16,713 6/30/2007 16,527 16,469 7/31/2007 15,452 15,343 8/31/2007 15,631 15,690 9/30/2007 15,862 15,960 10/31/2007 16,131 16,417 11/30/2007 14,774 15,239 12/31/2007 14,765 15,229 1/31/2008 13,636 14,191 2/29/2008 13,209 13,665 3/31/2008 13,249 13,722 4/30/2008 13,524 14,296 5/31/2008 14,062 14,953 6/30/2008 12,789 13,802 7/31/2008 13,361 14,313 8/31/2008 13,813 14,829 9/30/2008 12,795 13,648 10/31/2008 10,146 10,809 11/30/2008 8,843 9,530 12/31/2008 9,343 10,083 1/31/2009 8,230 8,962 2/28/2009 7,151 7,873 3/31/2009 7,836 8,576 4/30/2009 9,198 9,901 5/31/2009 9,513 10,200 6/30/2009 9,776 10,349 7/31/2009 10,736 11,346 8/31/2009 11,029 11,672 9/30/2009 11,664 12,345 10/31/2009 10,816 11,507 11/30/2009 11,009 11,868 12/31/2009 11,965 12,823 1/31/2010 11,614 12,351 2/28/2010 12,124 12,907 3/31/2010 13,104 13,958 4/30/2010 14,056 14,748 5/31/2010 13,013 13,629 6/30/2010 12,071 12,573 7/31/2010 12,933 13,437 8/31/2010 11,901 12,442 9/30/2010 13,348 13,992 10/31/2010 13,928 14,565 11/30/2010 14,519 15,070 12/31/2010 15,709 16,267 1/31/2011 15,537 16,225 2/28/2011 16,450 17,115 3/31/2011 16,984 17,558 4/30/2011 17,270 18,022 5/31/2011 16,939 17,684 6/30/2011 16,573 17,276 7/31/2011 16,128 16,652 8/31/2011 14,687 15,203 9/30/2011 13,134 13,499 10/31/2011 15,160 15,542 11/30/2011 15,069 15,485 12/31/2011 15,198 15,587 1/31/2012 16,255 16,689 2/29/2012 16,566 17,088 3/31/2012 17,060 17,526 4/30/2012 16,819 17,255 5/31/2012 15,646 16,113 6/30/2012 16,447 16,917 7/31/2012 16,297 16,683 8/31/2012 16,805 17,240 9/30/2012 17,510 17,806 10/31/2012 17,151 17,420 11/30/2012 17,313 17,512 12/31/2012 17,970 18,136 1/31/2013 18,992 19,271 2/28/2013 19,201 19,484 3/31/2013 20,137 20,383 4/30/2013 19,977 20,309 5/31/2013 21,011 21,120 6/30/2013 21,106 21,012 7/31/2013 22,671 22,483 Past performance is not predictive of 8/31/2013 21,883 21,769 future performance. 9/30/2013 23,426 23,157 10/31/2013 24,241 23,740 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2013, all 41.34% 19.03% 9.26% rights reserved.
-------------------------------------------------------------------------------- 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA REAL ESTATE SECURITIES PORTFOLIO VS. S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX/SM/ OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] DFA Real Estate Dow Jones U.S. Select Securities Portfolio S&P 500/R/ Index REIT Index/SM/ ------------------------ ---------------- ----------------------- 10/31/2003 $10,000 $10,000 $10,000 11/30/2003 10,450 10,088 10,441 12/31/2003 10,756 10,617 10,754 1/31/2004 11,198 10,812 11,184 2/29/2004 11,396 10,962 11,370 3/31/2004 12,048 10,797 12,054 4/30/2004 10,319 10,627 10,289 5/31/2004 11,064 10,773 11,070 6/30/2004 11,384 10,982 11,401 7/31/2004 11,431 10,619 11,458 8/31/2004 12,340 10,662 12,405 9/30/2004 12,299 10,777 12,345 10/31/2004 12,963 10,942 13,033 11/30/2004 13,527 11,385 13,614 12/31/2004 14,205 11,772 14,320 1/31/2005 13,015 11,485 13,057 2/28/2005 13,424 11,727 13,478 3/31/2005 13,220 11,519 13,274 4/30/2005 13,970 11,301 14,071 5/31/2005 14,428 11,660 14,537 6/30/2005 15,165 11,677 15,295 7/31/2005 16,268 12,111 16,461 8/31/2005 15,661 12,001 15,829 9/30/2005 15,734 12,098 15,898 10/31/2005 15,378 11,896 15,560 11/30/2005 16,071 12,346 16,283 12/31/2005 16,073 12,350 16,299 1/31/2006 17,308 12,677 17,576 2/28/2006 17,635 12,712 17,953 3/31/2006 18,548 12,870 18,872 4/30/2006 17,848 13,043 18,158 5/31/2006 17,314 12,667 17,655 6/30/2006 18,271 12,685 18,660 7/31/2006 18,898 12,763 19,322 8/31/2006 19,564 13,067 19,971 9/30/2006 19,955 13,403 20,360 10/31/2006 21,206 13,840 21,643 11/30/2006 22,214 14,103 22,676 12/31/2006 21,741 14,301 22,162 1/31/2007 23,624 14,518 24,136 2/28/2007 23,073 14,234 23,596 3/31/2007 22,500 14,393 22,991 4/30/2007 22,480 15,030 22,982 5/31/2007 22,480 15,555 22,997 6/30/2007 20,371 15,296 20,838 7/31/2007 18,767 14,822 19,203 8/31/2007 19,903 15,044 20,338 9/30/2007 20,681 15,607 21,134 10/31/2007 20,915 15,855 21,376 11/30/2007 18,781 15,192 19,298 12/31/2007 17,681 15,087 18,272 1/31/2008 17,689 14,182 18,184 2/29/2008 17,017 13,721 17,499 3/31/2008 18,087 13,662 18,662 4/30/2008 19,154 14,327 19,813 5/31/2008 19,192 14,513 19,857 6/30/2008 17,085 13,290 17,657 7/31/2008 17,580 13,178 18,167 8/31/2008 18,014 13,369 18,579 9/30/2008 17,976 12,177 18,501 10/31/2008 12,309 10,132 12,510 11/30/2008 9,460 9,405 9,438 12/31/2008 11,075 9,505 11,109 1/31/2009 9,109 8,704 9,101 2/28/2009 7,199 7,777 7,112 3/31/2009 7,454 8,459 7,341 4/30/2009 9,787 9,268 9,749 5/31/2009 10,042 9,786 10,000 6/30/2009 9,731 9,806 9,650 7/31/2009 10,752 10,547 10,655 8/31/2009 12,206 10,928 12,215 9/30/2009 13,023 11,336 13,070 10/31/2009 12,430 11,126 12,478 11/30/2009 13,283 11,793 13,336 12/31/2009 14,195 12,021 14,270 1/31/2010 13,454 11,588 13,454 2/28/2010 14,195 11,947 14,218 3/31/2010 15,638 12,668 15,671 4/30/2010 16,738 12,868 16,779 5/31/2010 15,845 11,841 15,875 6/30/2010 15,024 11,221 15,024 7/31/2010 16,507 12,007 16,509 8/31/2010 16,299 11,465 16,288 9/30/2010 17,005 12,488 17,010 10/31/2010 17,801 12,963 17,796 11/30/2010 17,449 12,965 17,450 12/31/2010 18,265 13,831 18,277 1/31/2011 18,909 14,159 18,926 2/28/2011 19,764 14,644 19,790 3/31/2011 19,468 14,650 19,500 4/30/2011 20,595 15,084 20,657 5/31/2011 20,874 14,913 20,977 6/30/2011 20,187 14,665 20,274 7/31/2011 20,518 14,366 20,643 8/31/2011 19,415 13,586 19,512 9/30/2011 17,282 12,631 17,327 10/31/2011 19,774 14,011 19,873 11/30/2011 19,026 13,981 19,091 12/31/2011 19,900 14,124 19,989 1/31/2012 21,158 14,756 21,274 2/29/2012 20,934 15,395 21,037 3/31/2012 22,011 15,901 22,139 4/30/2012 22,640 15,801 22,804 5/31/2012 21,606 14,852 21,764 6/30/2012 22,825 15,464 22,968 7/31/2012 23,275 15,678 23,405 8/31/2012 23,240 16,032 23,342 9/30/2012 22,807 16,446 22,882 10/31/2012 22,631 16,142 22,673 11/30/2012 22,553 16,236 22,560 12/31/2012 23,379 16,384 23,411 1/31/2013 24,204 17,232 24,206 2/28/2013 24,471 17,466 24,408 3/31/2013 25,145 18,121 25,058 4/30/2013 26,843 18,470 26,782 5/31/2013 25,243 18,903 25,178 6/30/2013 24,771 18,649 24,735 7/31/2013 24,986 19,598 24,925 Past performance is not predictive of 8/31/2013 23,227 19,030 23,216 future performance. 9/30/2013 23,951 19,627 23,957 10/31/2013 24,958 20,529 24,932 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS The Dow Jones data are provided by S&P ---------------------------------------------------------------- Dow Jones Indices, LLC a part of McGraw 10.28% 15.18% 9.58% Hill Financial.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Large Cap International MSCI World ex USA Portfolio Index (net dividends) -------------------------- -------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,216 10,227 12/31/2003 10,973 11,011 1/31/2004 11,114 11,164 2/29/2004 11,363 11,421 3/31/2004 11,448 11,478 4/30/2004 11,093 11,178 5/31/2004 11,178 11,230 6/30/2004 11,489 11,489 7/31/2004 11,059 11,139 8/31/2004 11,130 11,185 9/30/2004 11,349 11,511 10/31/2004 11,731 11,925 11/30/2004 12,473 12,718 12/31/2004 13,037 13,255 1/31/2005 12,804 12,994 2/28/2005 13,298 13,572 3/31/2005 12,985 13,264 4/30/2005 12,723 12,926 5/31/2005 12,643 12,950 6/30/2005 12,825 13,161 7/31/2005 13,216 13,586 8/31/2005 13,702 13,961 9/30/2005 14,156 14,599 10/31/2005 13,845 14,127 11/30/2005 14,060 14,501 12/31/2005 14,794 15,173 1/31/2006 15,658 16,133 2/28/2006 15,553 16,079 3/31/2006 16,127 16,589 4/30/2006 16,910 17,382 5/31/2006 16,298 16,722 6/30/2006 16,234 16,700 7/31/2006 16,408 16,857 8/31/2006 16,839 17,336 9/30/2006 16,832 17,322 10/31/2006 17,478 18,006 11/30/2006 17,996 18,543 12/31/2006 18,471 19,074 1/31/2007 18,708 19,191 2/28/2007 18,761 19,344 3/31/2007 19,280 19,840 4/30/2007 19,961 20,742 5/31/2007 20,581 21,203 6/30/2007 20,543 21,224 7/31/2007 20,155 20,931 8/31/2007 20,015 20,628 9/30/2007 21,114 21,800 10/31/2007 22,056 22,748 11/30/2007 21,269 21,858 12/31/2007 20,773 21,447 1/31/2008 19,199 19,513 2/29/2008 19,183 19,867 3/31/2008 19,116 19,583 4/30/2008 20,127 20,672 5/31/2008 20,549 20,986 6/30/2008 18,913 19,354 7/31/2008 18,224 18,665 8/31/2008 17,447 17,943 9/30/2008 15,325 15,353 10/31/2008 12,094 12,159 11/30/2008 11,367 11,500 12/31/2008 12,164 12,106 1/31/2009 10,798 10,976 2/28/2009 9,711 9,865 3/31/2009 10,458 10,515 4/30/2009 11,648 11,871 5/31/2009 13,275 13,373 6/30/2009 13,091 13,234 7/31/2009 14,348 14,477 8/31/2009 14,910 15,170 9/30/2009 15,545 15,796 10/31/2009 15,141 15,543 11/30/2009 15,704 15,927 12/31/2009 15,891 16,181 1/31/2010 15,069 15,423 2/28/2010 15,170 15,407 3/31/2010 16,126 16,399 4/30/2010 15,812 16,155 5/31/2010 14,088 14,372 6/30/2010 13,859 14,164 7/31/2010 15,290 15,473 8/31/2010 14,764 15,011 9/30/2010 16,217 16,451 10/31/2010 16,806 17,037 11/30/2010 16,070 16,315 12/31/2010 17,361 17,629 1/31/2011 17,753 18,009 2/28/2011 18,451 18,676 3/31/2011 18,028 18,302 4/30/2011 19,060 19,299 5/31/2011 18,518 18,727 6/30/2011 18,255 18,460 7/31/2011 17,883 18,156 8/31/2011 16,383 16,621 9/30/2011 14,579 14,952 10/31/2011 15,990 16,406 11/30/2011 15,588 15,648 12/31/2011 15,229 15,477 1/31/2012 16,149 16,312 2/29/2012 16,933 17,209 3/31/2012 16,903 17,082 4/30/2012 16,578 16,792 5/31/2012 14,743 14,878 6/30/2012 15,719 15,852 7/31/2012 15,765 16,050 8/31/2012 16,299 16,508 9/30/2012 16,784 17,009 10/31/2012 16,932 17,128 11/30/2012 17,274 17,488 12/31/2012 17,932 18,017 1/31/2013 18,659 18,903 2/28/2013 18,408 18,715 3/31/2013 18,658 18,863 4/30/2013 19,461 19,722 5/31/2013 18,948 19,281 6/30/2013 18,392 18,558 7/31/2013 19,406 19,546 8/31/2013 19,122 19,294 9/30/2013 20,472 20,657 10/31/2013 21,139 21,350 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS -------------------------------------------------------- MSCI data copyright MSCI 2013, all 24.85% 11.82% 7.77% rights reserved.
-------------------------------------------------------------------------------- 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- INTERNATIONAL CORE EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) SEPTEMBER 15, 2005-OCTOBER 31, 2013 [CHART] International Core MSCI World ex USA Equity Portfolio Index (net dividends) ------------------------ --------------------- 9/15/2005 $10,000 $10,000 9/30/2005 10,100 10,171 10/31/2005 9,860 9,842 11/30/2005 10,070 10,103 12/31/2005 10,636 10,571 1/31/2006 11,329 11,240 2/28/2006 11,339 11,202 3/31/2006 11,781 11,557 4/30/2006 12,343 12,110 5/31/2006 11,841 11,650 6/30/2006 11,703 11,635 7/31/2006 11,763 11,744 8/31/2006 12,108 12,078 9/30/2006 12,173 12,068 10/31/2006 12,652 12,545 11/30/2006 13,097 12,919 12/31/2006 13,502 13,289 1/31/2007 13,749 13,370 2/28/2007 13,821 13,477 3/31/2007 14,258 13,822 4/30/2007 14,792 14,451 5/31/2007 15,203 14,772 6/30/2007 15,112 14,787 7/31/2007 14,852 14,583 8/31/2007 14,571 14,372 9/30/2007 15,193 15,188 10/31/2007 15,913 15,848 11/30/2007 15,040 15,228 12/31/2007 14,649 14,942 1/31/2008 13,545 13,595 2/29/2008 13,566 13,841 3/31/2008 13,629 13,644 4/30/2008 14,192 14,402 5/31/2008 14,426 14,621 6/30/2008 13,086 13,484 7/31/2008 12,567 13,004 8/31/2008 12,091 12,501 9/30/2008 10,548 10,696 10/31/2008 8,158 8,471 11/30/2008 7,666 8,012 12/31/2008 8,202 8,434 1/31/2009 7,312 7,647 2/28/2009 6,544 6,873 3/31/2009 7,095 7,326 4/30/2009 8,164 8,271 5/31/2009 9,398 9,317 6/30/2009 9,319 9,220 7/31/2009 10,246 10,086 8/31/2009 10,815 10,569 9/30/2009 11,340 11,005 10/31/2009 10,997 10,829 11/30/2009 11,289 11,097 12/31/2009 11,424 11,273 1/31/2010 10,940 10,745 2/28/2010 10,951 10,734 3/31/2010 11,769 11,425 4/30/2010 11,712 11,255 5/31/2010 10,336 10,013 6/30/2010 10,163 9,868 7/31/2010 11,238 10,780 8/31/2010 10,781 10,458 9/30/2010 11,933 11,461 10/31/2010 12,369 11,869 11/30/2010 11,876 11,367 12/31/2010 13,013 12,282 1/31/2011 13,349 12,547 2/28/2011 13,799 13,012 3/31/2011 13,557 12,751 4/30/2011 14,287 13,446 5/31/2011 13,847 13,047 6/30/2011 13,602 12,861 7/31/2011 13,297 12,649 8/31/2011 12,122 11,580 9/30/2011 10,709 10,417 10/31/2011 11,690 11,430 11/30/2011 11,336 10,902 12/31/2011 11,047 10,783 1/31/2012 11,858 11,365 2/29/2012 12,466 11,990 3/31/2012 12,465 11,901 4/30/2012 12,190 11,699 5/31/2012 10,732 10,365 6/30/2012 11,390 11,044 7/31/2012 11,378 11,182 8/31/2012 11,779 11,501 9/30/2012 12,197 11,850 10/31/2012 12,332 11,933 11/30/2012 12,539 12,184 12/31/2012 13,117 12,552 1/31/2013 13,683 13,170 2/28/2013 13,535 13,039 3/31/2013 13,699 13,142 4/30/2013 14,228 13,741 5/31/2013 13,908 13,433 6/30/2013 13,483 12,930 7/31/2013 14,321 13,617 8/31/2013 14,171 13,442 9/30/2013 15,255 14,392 10/31/2013 15,782 14,875 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 09/15/2005 --------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.98% 14.11% 5.78% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] International Small MSCI World ex USA Small Company Portfolio Cap Index (net dividends) -------------------------- ------------------------- 10/31/03 $10,000 $10,000 11/30/03 10,055 10,009 12/31/03 10,624 10,620 1/31/04 11,218 11,076 2/29/04 11,553 11,412 3/31/04 12,017 11,852 4/30/04 11,655 11,428 5/31/04 11,525 11,305 6/30/04 12,062 11,876 7/31/04 11,621 11,352 8/31/04 11,724 11,411 9/30/04 12,003 11,723 10/31/04 12,389 12,157 11/30/04 13,283 13,129 12/31/04 13,909 13,741 1/31/05 14,239 13,953 2/28/05 14,869 14,546 3/31/05 14,607 14,309 4/30/05 14,258 13,906 5/31/05 14,016 13,939 6/30/05 14,369 14,309 7/31/05 14,888 14,930 8/31/05 15,544 15,388 9/30/05 15,915 16,012 10/31/05 15,600 15,429 11/30/05 15,905 15,943 12/31/05 16,963 17,183 1/31/06 18,135 18,408 2/28/06 18,021 18,177 3/31/06 18,851 19,031 4/30/06 19,743 19,917 5/31/06 18,747 18,816 6/30/06 18,387 18,358 7/31/06 18,188 17,910 8/31/06 18,670 18,433 9/30/06 18,808 18,384 10/31/06 19,555 19,114 11/30/06 20,439 19,936 12/31/06 21,183 20,526 1/31/07 21,775 20,945 2/28/07 22,083 21,312 3/31/07 22,909 22,018 4/30/07 23,666 22,868 5/31/07 24,150 23,205 6/30/07 24,111 23,155 7/31/07 24,122 23,012 8/31/07 23,190 21,799 9/30/07 23,700 22,291 10/31/07 24,980 23,796 11/30/07 23,155 21,840 12/31/07 22,382 21,200 1/31/08 20,679 19,145 2/29/08 21,203 20,054 3/31/08 21,231 19,832 4/30/08 21,684 20,315 5/31/08 22,257 20,725 6/30/08 20,609 19,125 7/31/08 19,618 18,161 8/31/08 18,844 17,489 9/30/08 15,987 14,413 10/31/08 12,242 10,855 11/30/08 11,610 10,329 12/31/08 12,563 11,018 1/31/09 11,570 10,378 2/28/09 10,516 9,430 3/31/09 11,212 10,036 4/30/09 12,698 11,583 5/31/09 14,589 13,297 6/30/09 14,742 13,456 7/31/09 15,848 14,538 8/31/09 16,854 15,658 9/30/09 17,750 16,538 10/31/09 17,426 16,283 11/30/09 17,663 16,410 12/31/09 17,834 16,617 1/31/10 17,559 16,398 2/28/10 17,534 16,305 3/31/10 18,786 17,517 4/30/10 19,074 17,863 5/31/10 16,817 15,717 6/30/10 16,778 15,569 7/31/10 18,311 16,904 8/31/10 17,766 16,465 9/30/10 19,720 18,333 10/31/10 20,495 19,089 11/30/10 19,923 18,589 12/31/10 22,099 20,690 1/31/11 22,369 20,799 2/28/11 23,051 21,390 3/31/11 23,015 21,370 4/30/11 24,109 22,430 5/31/11 23,439 21,809 6/30/11 22,964 21,337 7/31/11 22,742 21,220 8/31/11 20,960 19,544 9/30/11 18,483 17,300 10/31/11 19,895 18,705 11/30/11 19,267 17,765 12/31/11 18,707 17,419 1/31/12 20,302 18,858 2/29/12 21,329 19,926 3/31/12 21,412 19,794 4/30/12 21,155 19,691 5/31/12 18,693 17,377 6/30/12 19,424 17,977 7/31/12 19,369 18,116 8/31/12 20,041 18,636 9/30/12 20,877 19,519 10/31/12 21,015 19,614 11/30/12 21,194 19,715 12/31/12 22,234 20,464 1/31/13 23,211 21,449 2/28/13 23,198 21,525 3/31/13 23,619 21,945 4/30/13 24,247 22,582 5/31/13 23,717 22,052 6/30/13 23,088 21,180 7/31/13 24,616 22,504 8/31/13 24,531 22,464 9/30/13 26,551 24,350 Past performance is not predictive of 10/31/13 27,457 25,070 future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------------- MSCI data copyright MSCI 2013, all 30.66% 17.53% 10.63% rights reserved.
-------------------------------------------------------------------------------- 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- JAPANESE SMALL COMPANY PORTFOLIO VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Japanese Small MSCI Japan Small Cap Company Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,375 9,313 12/31/2003 9,926 9,979 1/31/2004 10,394 10,342 2/29/2004 10,456 10,315 3/31/2004 12,558 12,206 4/30/2004 12,152 11,818 5/31/2004 11,569 11,231 6/30/2004 12,664 12,412 7/31/2004 11,869 11,395 8/31/2004 12,046 11,514 9/30/2004 11,754 11,167 10/31/2004 11,984 11,373 11/30/2004 12,355 11,868 12/31/2004 12,945 12,443 1/31/2005 13,463 12,866 2/28/2005 13,955 13,112 3/31/2005 14,035 13,081 4/30/2005 13,651 12,975 5/31/2005 13,410 12,736 6/30/2005 13,662 12,908 7/31/2005 13,948 13,274 8/31/2005 14,708 13,729 9/30/2005 15,308 14,587 10/31/2005 15,773 14,879 11/30/2005 16,077 15,515 12/31/2005 17,902 17,613 1/31/2006 18,658 18,174 2/28/2006 17,533 16,991 3/31/2006 18,307 17,753 4/30/2006 18,658 17,841 5/31/2006 17,335 16,410 6/30/2006 16,670 15,896 7/31/2006 15,874 14,845 8/31/2006 16,127 15,240 9/30/2006 15,841 14,906 10/31/2006 15,714 14,811 11/30/2006 15,606 14,686 12/31/2006 15,741 14,772 1/31/2007 16,060 15,059 2/28/2007 16,707 15,653 3/31/2007 16,570 15,509 4/30/2007 16,343 15,243 5/31/2007 16,005 14,880 6/30/2007 16,263 14,978 7/31/2007 16,346 14,974 8/31/2007 15,658 14,062 9/30/2007 15,636 13,976 10/31/2007 15,737 14,482 11/30/2007 15,370 13,873 12/31/2007 14,398 13,043 1/31/2008 14,001 12,402 2/29/2008 13,881 12,538 3/31/2008 14,153 12,542 4/30/2008 14,255 12,698 5/31/2008 14,773 13,089 6/30/2008 14,072 12,286 7/31/2008 13,679 11,883 8/31/2008 12,923 11,358 9/30/2008 12,074 10,249 10/31/2008 11,195 9,167 11/30/2008 11,485 9,542 12/31/2008 12,654 10,285 1/31/2009 11,785 9,746 2/28/2009 10,246 8,465 3/31/2009 10,720 8,763 4/30/2009 11,146 9,212 5/31/2009 12,517 10,339 6/30/2009 13,345 10,997 7/31/2009 13,621 11,272 8/31/2009 14,337 11,904 9/30/2009 14,182 11,857 10/31/2009 13,667 11,423 11/30/2009 13,113 11,014 12/31/2009 13,059 10,809 1/31/2010 13,232 11,042 2/28/2010 13,482 11,252 3/31/2010 14,167 11,764 4/30/2010 14,580 12,082 5/31/2010 13,359 11,244 6/30/2010 13,565 11,294 7/31/2010 13,798 11,431 8/31/2010 13,420 11,189 9/30/2010 14,013 11,646 10/31/2010 13,712 11,550 11/30/2010 14,051 11,775 12/31/2010 15,344 12,964 1/31/2011 15,686 13,118 2/28/2011 16,409 13,645 3/31/2011 15,383 12,803 4/30/2011 15,305 12,815 5/31/2011 15,051 12,625 6/30/2011 15,800 13,095 7/31/2011 16,372 13,639 8/31/2011 15,928 13,081 9/30/2011 15,842 13,093 10/31/2011 15,023 12,610 11/30/2011 15,270 12,269 12/31/2011 15,189 12,460 1/31/2012 16,144 12,971 2/29/2012 16,163 13,112 3/31/2012 16,621 13,462 4/30/2012 16,273 13,267 5/31/2012 14,911 12,166 6/30/2012 15,700 12,685 7/31/2012 15,168 12,486 8/31/2012 15,168 12,415 9/30/2012 15,385 12,758 10/31/2012 15,054 12,482 11/30/2012 15,265 12,568 12/31/2012 15,822 12,960 1/31/2013 16,318 13,445 2/28/2013 16,713 13,900 3/31/2013 17,989 15,023 4/30/2013 18,941 16,011 5/31/2013 17,392 14,743 6/30/2013 17,544 14,702 7/31/2013 17,959 14,942 8/31/2013 17,554 14,740 9/30/2013 19,529 16,418 10/31/2013 19,579 16,351 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS -------------------------------------------------------- MSCI data copyright MSCI 2013, all 30.06% 11.83% 6.95% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ASIA PACIFIC SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Asia Pacific Small MSCI Pacific ex Japan Small Cap Company Portfolio Index (net dividends) -------------------------- --------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,075 9,956 12/31/2003 10,520 10,608 1/31/2004 11,178 11,042 2/29/2004 11,507 11,376 3/31/2004 11,143 11,398 4/30/2004 10,329 10,754 5/31/2004 10,251 10,705 6/30/2004 10,287 10,718 7/31/2004 10,470 11,122 8/31/2004 10,715 11,489 9/30/2004 11,372 12,174 10/31/2004 11,908 12,954 11/30/2004 12,768 13,951 12/31/2004 13,056 14,540 1/31/2005 13,352 14,667 2/28/2005 13,729 15,134 3/31/2005 13,262 14,704 4/30/2005 12,813 14,465 5/31/2005 12,517 14,651 6/30/2005 13,080 15,452 7/31/2005 13,514 16,095 8/31/2005 13,867 16,082 9/30/2005 14,374 16,893 10/31/2005 13,556 15,901 11/30/2005 13,892 16,504 12/31/2005 14,100 16,828 1/31/2006 15,048 17,791 2/28/2006 15,262 17,969 3/31/2006 16,034 18,730 4/30/2006 16,946 19,938 5/31/2006 15,988 18,920 6/30/2006 15,876 18,690 7/31/2006 16,176 18,882 8/31/2006 16,570 19,498 9/30/2006 16,738 19,820 10/31/2006 18,105 21,202 11/30/2006 19,105 22,491 12/31/2006 19,643 23,330 1/31/2007 20,153 23,923 2/28/2007 20,682 24,379 3/31/2007 21,758 25,637 4/30/2007 23,278 27,414 5/31/2007 25,258 28,491 6/30/2007 26,288 29,231 7/31/2007 26,695 29,224 8/31/2007 24,690 27,343 9/30/2007 27,579 29,769 10/31/2007 29,986 31,804 11/30/2007 27,998 29,249 12/31/2007 27,511 28,847 1/31/2008 24,739 24,981 2/29/2008 25,489 26,465 3/31/2008 24,250 24,796 4/30/2008 25,936 26,455 5/31/2008 27,067 26,740 6/30/2008 24,392 23,749 7/31/2008 22,950 22,656 8/31/2008 21,337 20,816 9/30/2008 17,670 16,752 10/31/2008 11,787 10,835 11/30/2008 10,656 9,653 12/31/2008 11,818 10,774 1/31/2009 10,356 9,588 2/28/2009 9,786 8,993 3/31/2009 11,303 10,281 4/30/2009 12,986 12,122 5/31/2009 16,342 15,028 6/30/2009 16,460 15,451 7/31/2009 18,831 17,683 8/31/2009 19,691 18,591 9/30/2009 21,219 20,149 10/31/2009 21,682 20,632 11/30/2009 22,693 21,225 12/31/2009 23,286 22,073 1/31/2010 22,019 20,661 2/28/2010 22,402 20,920 3/31/2010 24,244 22,645 4/30/2010 24,564 23,278 5/31/2010 21,160 19,763 6/30/2010 20,894 19,650 7/31/2010 23,207 21,650 8/31/2010 23,175 21,602 9/30/2010 26,690 24,845 10/31/2010 27,830 25,948 11/30/2010 27,450 25,601 12/31/2010 30,135 28,185 1/31/2011 29,483 27,365 2/28/2011 29,663 27,515 3/31/2011 30,286 28,360 4/30/2011 31,557 29,507 5/31/2011 30,623 28,831 6/30/2011 29,582 27,806 7/31/2011 30,060 28,216 8/31/2011 27,956 26,254 9/30/2011 22,737 21,480 10/31/2011 26,274 25,000 11/30/2011 25,567 23,295 12/31/2011 24,070 22,548 1/31/2012 26,552 24,889 2/29/2012 28,558 26,824 3/31/2012 28,131 25,984 4/30/2012 28,012 26,125 5/31/2012 24,514 22,734 6/30/2012 25,022 23,052 7/31/2012 25,383 23,810 8/31/2012 26,227 24,191 9/30/2012 27,518 25,477 10/31/2012 28,136 26,003 11/30/2012 28,523 26,259 12/31/2012 29,852 26,918 1/31/2013 31,342 28,345 2/28/2013 31,468 28,681 3/31/2013 31,605 28,754 4/30/2013 31,067 28,526 5/31/2013 28,750 26,426 6/30/2013 26,722 24,166 7/31/2013 28,024 25,132 Past performance is not predictive of 8/31/2013 28,237 25,350 future performance. 9/30/2013 30,215 27,300 10/31/2013 31,079 27,778 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------------- MSCI data copyright MSCI 2013, all 10.46% 21.40% 12.01% rights reserved.
-------------------------------------------------------------------------------- 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] United Kingdom Small MSCI UK Small Cap Company Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,047 10,083 12/31/2003 10,602 10,649 1/31/2004 11,391 11,551 2/29/2004 12,043 12,334 3/31/2004 11,880 12,287 4/30/2004 11,445 11,859 5/31/2004 11,461 11,852 6/30/2004 11,849 12,264 7/31/2004 11,404 11,709 8/31/2004 11,322 11,548 9/30/2004 11,640 11,928 10/31/2004 12,004 12,382 11/30/2004 12,966 13,383 12/31/2004 13,499 14,155 1/31/2005 13,877 14,473 2/28/2005 14,348 14,815 3/31/2005 14,019 14,630 4/30/2005 13,542 13,969 5/31/2005 13,274 13,845 6/30/2005 13,513 14,058 7/31/2005 13,777 14,476 8/31/2005 14,551 15,176 9/30/2005 14,377 15,203 10/31/2005 13,970 14,740 11/30/2005 14,566 15,475 12/31/2005 15,203 16,144 1/31/2006 16,388 17,459 2/28/2006 16,608 17,732 3/31/2006 16,879 18,091 4/30/2006 17,723 19,049 5/31/2006 17,358 18,626 6/30/2006 17,337 18,468 7/31/2006 17,457 18,324 8/31/2006 18,186 18,983 9/30/2006 18,710 19,540 10/31/2006 19,761 20,659 11/30/2006 20,997 21,998 12/31/2006 22,136 23,030 1/31/2007 22,278 22,976 2/28/2007 22,271 23,048 3/31/2007 23,305 24,001 4/30/2007 24,102 25,193 5/31/2007 24,419 25,355 6/30/2007 23,518 24,617 7/31/2007 23,382 24,478 8/31/2007 23,239 23,581 9/30/2007 22,430 22,245 10/31/2007 24,215 24,689 11/30/2007 21,404 21,832 12/31/2007 20,270 20,736 1/31/2008 18,901 19,068 2/29/2008 19,167 19,714 3/31/2008 19,088 19,466 4/30/2008 19,405 19,828 5/31/2008 19,456 19,922 6/30/2008 17,901 18,560 7/31/2008 17,266 17,819 8/31/2008 16,975 17,353 9/30/2008 14,349 14,162 10/31/2008 10,495 10,232 11/30/2008 9,745 9,283 12/31/2008 9,522 9,048 1/31/2009 9,292 8,998 2/28/2009 8,906 8,700 3/31/2009 9,288 9,205 4/30/2009 11,230 11,319 5/31/2009 12,376 12,515 6/30/2009 12,430 12,603 7/31/2009 13,506 13,763 8/31/2009 14,552 15,090 9/30/2009 14,974 15,438 10/31/2009 14,989 15,460 11/30/2009 14,936 15,299 12/31/2009 15,243 15,677 1/31/2010 15,091 15,604 2/28/2010 14,572 14,905 3/31/2010 15,787 16,219 4/30/2010 16,360 16,866 5/31/2010 14,503 14,839 6/30/2010 14,777 14,903 7/31/2010 16,767 16,696 8/31/2010 16,142 16,242 9/30/2010 17,860 18,032 10/31/2010 18,791 18,801 11/30/2010 17,860 18,018 12/31/2010 19,676 19,903 1/31/2011 19,957 20,095 2/28/2011 20,552 20,625 3/31/2011 20,160 20,269 4/30/2011 21,940 22,127 5/31/2011 21,799 21,847 6/30/2011 21,103 21,111 7/31/2011 20,953 21,053 8/31/2011 18,856 18,905 9/30/2011 16,947 16,912 10/31/2011 18,738 18,760 11/30/2011 18,162 18,032 12/31/2011 17,591 17,430 1/31/2012 19,138 19,198 2/29/2012 20,701 20,981 3/31/2012 21,137 21,050 4/30/2012 21,496 21,408 5/31/2012 19,068 18,756 6/30/2012 19,995 19,649 7/31/2012 20,325 20,007 8/31/2012 21,431 21,066 9/30/2012 22,526 22,190 10/31/2012 23,015 22,649 11/30/2012 23,155 22,657 12/31/2012 24,420 23,700 1/31/2013 24,847 24,323 2/28/2013 25,065 24,460 3/31/2013 25,807 25,119 4/30/2013 26,452 25,747 5/31/2013 26,686 26,095 6/30/2013 26,098 25,154 7/31/2013 28,295 27,249 Past performance is not predictive of 8/31/2013 28,490 27,622 future performance. 9/30/2013 30,406 29,695 10/31/2013 31,487 30,741 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------ MSCI data copyright MSCI 2013, all 36.81% 24.57% 12.15% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Continental MSCI Europe ex Small Company Portfolio UK Small Cap Index (net dividends) ------------------------ ---------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,518 10,532 12/31/2003 11,163 11,083 1/31/2004 11,705 11,641 2/29/2004 12,087 12,033 3/31/2004 11,836 11,618 4/30/2004 11,695 11,435 5/31/2004 11,816 11,471 6/30/2004 12,173 11,881 7/31/2004 11,770 11,403 8/31/2004 11,840 11,439 9/30/2004 12,451 12,077 10/31/2004 12,917 12,589 11/30/2004 14,294 13,986 12/31/2004 15,028 14,686 1/31/2005 15,241 14,850 2/28/2005 16,209 15,891 3/31/2005 15,762 15,485 4/30/2005 15,336 15,029 5/31/2005 15,368 15,243 6/30/2005 15,785 15,731 7/31/2005 16,758 16,810 8/31/2005 17,314 17,288 9/30/2005 17,752 17,878 10/31/2005 16,873 16,644 11/30/2005 16,926 16,856 12/31/2005 17,793 17,833 1/31/2006 19,499 19,823 2/28/2006 20,048 20,383 3/31/2006 21,337 21,700 4/30/2006 22,805 23,237 5/31/2006 21,695 22,043 6/30/2006 21,293 21,541 7/31/2006 21,233 21,305 8/31/2006 21,787 21,806 9/30/2006 22,070 22,035 10/31/2006 23,171 23,213 11/30/2006 24,768 24,837 12/31/2006 25,946 26,009 1/31/2007 27,143 26,842 2/28/2007 27,168 26,957 3/31/2007 28,750 28,390 4/30/2007 30,258 30,108 5/31/2007 30,832 30,633 6/30/2007 30,486 30,340 7/31/2007 30,310 30,118 8/31/2007 29,217 28,755 9/30/2007 29,859 29,327 10/31/2007 31,299 31,082 11/30/2007 28,975 28,858 12/31/2007 28,398 28,274 1/31/2008 25,689 24,869 2/29/2008 26,786 26,374 3/31/2008 27,629 26,910 4/30/2008 27,947 27,370 5/31/2008 28,475 27,796 6/30/2008 26,065 25,227 7/31/2008 24,681 23,795 8/31/2008 23,996 23,145 9/30/2008 19,813 18,353 10/31/2008 14,521 13,189 11/30/2008 13,384 12,096 12/31/2008 14,779 13,213 1/31/2009 13,100 12,027 2/28/2009 11,962 10,968 3/31/2009 12,821 11,816 4/30/2009 14,908 14,275 5/31/2009 17,077 16,407 6/30/2009 16,856 16,196 7/31/2009 18,193 17,650 8/31/2009 19,710 19,462 9/30/2009 21,392 21,327 10/31/2009 20,783 20,745 11/30/2009 21,405 21,171 12/31/2009 21,331 21,267 1/31/2010 20,970 20,983 2/28/2010 20,526 20,386 3/31/2010 22,039 22,039 4/30/2010 21,831 21,900 5/31/2010 18,720 18,512 6/30/2010 18,588 18,236 7/31/2010 20,815 20,420 8/31/2010 19,857 19,450 9/30/2010 22,600 22,451 10/31/2010 23,869 23,891 11/30/2010 22,008 22,081 12/31/2010 24,866 25,173 1/31/2011 25,561 25,742 2/28/2011 25,986 26,179 3/31/2011 26,865 27,062 4/30/2011 28,666 28,952 5/31/2011 27,687 27,848 6/30/2011 26,788 26,949 7/31/2011 25,263 25,313 8/31/2011 22,673 22,669 9/30/2011 19,238 19,263 10/31/2011 21,221 21,374 11/30/2011 19,802 19,704 12/31/2011 19,028 19,034 1/31/2012 20,830 20,922 2/29/2012 22,151 22,528 3/31/2012 22,195 22,345 4/30/2012 21,672 21,973 5/31/2012 18,707 18,960 6/30/2012 19,510 19,894 7/31/2012 19,317 19,823 8/31/2012 20,179 20,687 9/30/2012 21,241 21,801 10/31/2012 21,613 22,177 11/30/2012 21,881 22,516 12/31/2012 23,202 23,731 1/31/2013 24,953 25,663 2/28/2013 24,699 25,584 3/31/2013 24,145 24,927 4/30/2013 25,118 25,895 5/31/2013 25,582 26,483 6/30/2013 24,728 25,304 7/31/2013 26,873 27,605 Past performance is not predictive of 8/31/2013 26,904 27,554 future performance. 9/30/2013 29,242 29,910 10/31/2013 30,905 31,711 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------------------- MSCI data copyright MSCI 2013, all 42.99% 16.31% 11.94% rights reserved.
-------------------------------------------------------------------------------- 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS) MARCH 1, 2007-OCTOBER 31, 2013 [CHART] DFA International S&P Global ex Real Estate Securities Portfolio U.S. REIT Index (net dividends) --------------------------------- ------------------------------- 3/1/2007 $10,000 $10,000 3/31/2007 10,480 10,343 4/30/2007 10,570 10,492 5/31/2007 10,780 10,647 6/30/2007 10,061 9,995 7/31/2007 9,459 9,513 8/31/2007 9,679 9,662 9/30/2007 10,130 10,149 10/31/2007 10,211 10,249 11/30/2007 9,462 9,433 12/31/2007 8,995 9,061 1/31/2008 8,627 8,529 2/29/2008 8,585 8,635 3/31/2008 8,606 8,552 4/30/2008 8,659 8,703 5/31/2008 8,332 8,348 6/30/2008 7,450 7,505 7/31/2008 7,215 7,301 8/31/2008 6,970 7,088 9/30/2008 6,457 6,368 10/31/2008 4,461 4,537 11/30/2008 4,152 4,234 12/31/2008 4,325 4,363 1/31/2009 3,873 3,947 2/28/2009 3,356 3,433 3/31/2009 3,587 3,636 4/30/2009 3,950 4,053 5/31/2009 4,479 4,503 6/30/2009 4,578 4,610 7/31/2009 4,985 5,022 8/31/2009 5,535 5,634 9/30/2009 5,887 6,017 10/31/2009 5,766 5,922 11/30/2009 5,832 5,926 12/31/2009 5,925 6,027 1/31/2010 5,704 5,831 2/28/2010 5,728 5,809 3/31/2010 5,925 6,011 4/30/2010 5,974 6,082 5/31/2010 5,347 5,414 6/30/2010 5,360 5,435 7/31/2010 5,987 6,026 8/31/2010 5,999 6,044 9/30/2010 6,577 6,624 10/31/2010 6,859 6,894 11/30/2010 6,429 6,471 12/31/2010 6,997 7,046 1/31/2011 7,025 7,045 2/28/2011 7,318 7,329 3/31/2011 7,332 7,348 4/30/2011 7,792 7,804 5/31/2011 7,750 7,761 6/30/2011 7,694 7,685 7/31/2011 7,569 7,575 8/31/2011 7,262 7,261 9/30/2011 6,328 6,367 10/31/2011 6,830 6,889 11/30/2011 6,691 6,606 12/31/2011 6,455 6,440 1/31/2012 6,897 6,857 2/29/2012 7,133 7,133 3/31/2012 7,221 7,159 4/30/2012 7,369 7,331 5/31/2012 6,941 6,853 6/30/2012 7,398 7,322 7/31/2012 7,737 7,719 8/31/2012 7,855 7,792 9/30/2012 8,032 8,000 10/31/2012 8,356 8,295 11/30/2012 8,415 8,352 12/31/2012 8,611 8,495 1/31/2013 8,745 8,714 2/28/2013 8,811 8,792 3/31/2013 9,161 9,125 4/30/2013 9,644 9,604 5/31/2013 8,761 8,738 6/30/2013 8,445 8,368 7/31/2013 8,478 8,386 Past performance is not predictive of 8/31/2013 8,162 8,091 future performance. 9/30/2013 8,861 8,784 10/31/2013 9,128 9,045 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 03/01/2007 ----------------------------------------------------------------- The S&P data are provided by Standard 9.24% 15.39% -1.36% & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL REIT INDEX (NET DIVIDENDS) JUNE 4, 2008-OCTOBER 31, 2013 [CHART] DFA Global Real S&P Global Estate Securities Portfolio REIT Index (net dividends) --------------------------- --------------------------- 6/4/2008 $10,000 $10,000 6/30/2008 9,000 8,970 7/31/2008 9,020 8,995 8/31/2008 9,000 8,979 9/30/2008 8,710 8,552 10/31/2008 6,040 5,939 11/30/2008 5,040 4,955 12/31/2008 5,632 5,465 1/31/2009 4,817 4,698 2/28/2009 3,982 3,887 3/31/2009 4,186 4,070 4/30/2009 5,051 4,921 5/31/2009 5,438 5,235 6/30/2009 5,408 5,208 7/31/2009 5,937 5,716 8/31/2009 6,670 6,460 9/30/2009 7,108 6,889 10/31/2009 6,874 6,673 11/30/2009 7,159 6,897 12/31/2009 7,471 7,199 1/31/2010 7,133 6,884 2/28/2010 7,362 7,066 3/31/2010 7,875 7,557 4/30/2010 8,202 7,887 5/31/2010 7,591 7,270 6/30/2010 7,373 7,054 7/31/2010 8,158 7,772 8/31/2010 8,115 7,722 9/30/2010 8,649 8,231 10/31/2010 9,031 8,595 11/30/2010 8,682 8,264 12/31/2010 9,249 8,789 1/31/2011 9,448 8,947 2/28/2011 9,856 9,334 3/31/2011 9,786 9,258 4/30/2011 10,370 9,804 5/31/2011 10,428 9,853 6/30/2011 10,195 9,617 7/31/2011 10,218 9,647 8/31/2011 9,728 9,153 9/30/2011 8,583 8,093 10/31/2011 9,588 9,052 11/30/2011 9,296 8,693 12/31/2011 9,417 8,843 1/31/2012 10,020 9,412 2/29/2012 10,092 9,489 3/31/2012 10,454 9,791 4/30/2012 10,719 10,055 5/31/2012 10,176 9,518 6/30/2012 10,791 10,090 7/31/2012 11,105 10,413 8/31/2012 11,153 10,448 9/30/2012 11,117 10,424 10/31/2012 11,249 10,520 11/30/2012 11,249 10,526 12/31/2012 11,599 10,822 1/31/2013 11,921 11,170 2/28/2013 12,037 11,290 3/31/2013 12,423 11,651 4/30/2013 13,182 12,361 5/31/2013 12,230 11,472 6/30/2013 11,921 11,139 7/31/2013 11,998 11,213 Past performance is not predictive of 8/31/2013 11,316 10,573 future performance. 9/30/2013 11,908 11,121 10/31/2013 12,346 11,548 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 06/04/2008 ---------------------------------------------------------------- The S&P data are provided by Standard 9.74% 15.37% 3.97% & Poor's Index Services Group.
-------------------------------------------------------------------------------- 12 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] DFA International MSCI World ex USA Small Cap Value Portfolio Small Cap Index (net dividends) ------------------------- ------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,044 10,009 12/31/2003 10,673 10,620 01/31/2004 11,324 11,076 02/29/2004 11,672 11,412 03/31/2004 12,162 11,852 04/30/2004 11,734 11,428 05/31/2004 11,619 11,305 06/30/2004 12,147 11,876 07/31/2004 11,724 11,352 08/31/2004 11,868 11,411 09/30/2004 12,184 11,723 10/31/2004 12,581 12,157 11/30/2004 13,682 13,129 12/31/2004 14,388 13,741 01/31/2005 14,790 13,953 02/28/2005 15,491 14,546 03/31/2005 15,345 14,309 04/30/2005 15,046 13,906 05/31/2005 14,821 13,939 06/30/2005 15,169 14,309 07/31/2005 15,746 14,930 08/31/2005 16,360 15,388 09/30/2005 16,742 16,012 10/31/2005 16,354 15,429 11/30/2005 16,657 15,943 12/31/2005 17,730 17,183 01/31/2006 19,030 18,408 02/28/2006 19,070 18,177 03/31/2006 19,979 19,031 04/30/2006 20,809 19,917 05/31/2006 19,809 18,816 06/30/2006 19,440 18,358 07/31/2006 19,370 17,910 08/31/2006 19,863 18,433 09/30/2006 20,052 18,384 10/31/2006 20,931 19,114 11/30/2006 21,942 19,936 12/31/2006 22,765 20,526 01/31/2007 23,371 20,945 02/28/2007 23,794 21,312 03/31/2007 24,828 22,018 04/30/2007 25,565 22,868 05/31/2007 26,052 23,205 06/30/2007 25,943 23,155 07/31/2007 25,877 23,012 08/31/2007 24,816 21,799 09/30/2007 25,332 22,291 10/31/2007 26,330 23,796 11/30/2007 24,191 21,840 12/31/2007 23,435 21,200 01/31/2008 21,890 19,145 02/29/2008 22,369 20,054 03/31/2008 22,577 19,832 04/30/2008 22,961 20,315 05/31/2008 23,465 20,725 06/30/2008 21,415 19,125 07/31/2008 20,463 18,161 08/31/2008 19,804 17,489 09/30/2008 16,954 14,413 10/31/2008 13,264 10,855 11/30/2008 12,529 10,329 12/31/2008 13,668 11,018 01/31/2009 12,515 10,378 02/28/2009 11,140 9,430 03/31/2009 11,867 10,036 04/30/2009 13,791 11,583 05/31/2009 15,690 13,297 06/30/2009 15,638 13,456 07/31/2009 17,094 14,538 08/31/2009 18,575 15,658 09/30/2009 19,450 16,538 10/31/2009 18,759 16,283 11/30/2009 18,847 16,410 12/31/2009 19,068 16,617 01/31/2010 18,701 16,398 02/28/2010 18,524 16,305 03/31/2010 20,028 17,517 04/30/2010 20,281 17,863 05/31/2010 17,551 15,717 06/30/2010 17,199 15,569 07/31/2010 18,871 16,904 08/31/2010 17,990 16,465 09/30/2010 20,010 18,333 10/31/2010 20,636 19,089 11/30/2010 20,049 18,589 12/31/2010 22,519 20,690 01/31/2011 22,991 20,799 02/28/2011 23,658 21,390 03/31/2011 23,776 21,370 04/30/2011 24,797 22,430 05/31/2011 23,946 21,809 06/30/2011 23,424 21,337 07/31/2011 22,974 21,220 08/31/2011 20,789 19,544 09/30/2011 18,336 17,300 10/31/2011 19,731 18,705 11/30/2011 19,093 17,765 12/31/2011 18,586 17,419 01/31/2012 20,448 18,858 02/29/2012 21,666 19,926 03/31/2012 21,693 19,794 04/30/2012 21,091 19,691 05/31/2012 18,408 17,377 06/30/2012 19,316 17,977 07/31/2012 19,261 18,116 08/31/2012 19,968 18,636 09/30/2012 20,902 19,519 10/31/2012 21,097 19,614 11/30/2012 21,389 19,715 12/31/2012 22,723 20,464 01/31/2013 23,889 21,449 02/28/2013 24,031 21,525 03/31/2013 24,521 21,945 04/30/2013 25,217 22,582 05/31/2013 24,720 22,052 06/30/2013 23,967 21,180 07/31/2013 25,754 22,504 Past performance is not predictive of 08/31/2013 25,437 22,464 future performance. 09/30/2013 27,902 24,350 10/31/2013 29,069 25,070 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------------------- MSCI data copyright MSCI 2013, all 37.79% 16.99% 11.26% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL VECTOR EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 14, 2008-OCTOBER 31, 2013 [CHART] International Vector MSCI World ex Equity Portfolio USA Index (net dividends) -------------------- ------------------------ 08/14/2008 $10,000 $10,000 08/31/2008 10,050 10,052 09/30/2008 8,750 8,601 10/31/2008 6,740 6,812 11/30/2008 6,340 6,442 12/31/2008 6,798 6,782 01/31/2009 6,065 6,149 02/28/2009 5,392 5,527 03/31/2009 5,903 5,891 04/30/2009 6,919 6,650 05/31/2009 7,985 7,491 06/30/2009 7,932 7,414 07/31/2009 8,715 8,110 08/31/2009 9,274 8,499 09/30/2009 9,740 8,849 10/31/2009 9,404 8,707 11/30/2009 9,608 8,923 12/31/2009 9,715 9,065 01/31/2010 9,377 8,640 02/28/2010 9,357 8,631 03/31/2010 10,099 9,187 04/30/2010 10,120 9,050 05/31/2010 8,870 8,051 06/30/2010 8,736 7,935 07/31/2010 9,659 8,668 08/31/2010 9,254 8,409 09/30/2010 10,289 9,216 10/31/2010 10,684 9,544 11/30/2010 10,300 9,140 12/31/2010 11,397 9,876 01/31/2011 11,660 10,089 02/28/2011 12,050 10,463 03/31/2011 11,881 10,253 04/30/2011 12,482 10,812 05/31/2011 12,071 10,491 06/30/2011 11,823 10,342 07/31/2011 11,545 10,171 08/31/2011 10,519 9,311 09/30/2011 9,260 8,376 10/31/2011 10,045 9,191 11/30/2011 9,733 8,766 12/31/2011 9,464 8,670 01/31/2012 10,238 9,138 02/29/2012 10,780 9,641 03/31/2012 10,780 9,570 04/30/2012 10,514 9,407 05/31/2012 9,219 8,335 06/30/2012 9,745 8,881 07/31/2012 9,700 8,991 08/31/2012 10,038 9,248 09/30/2012 10,435 9,529 10/31/2012 10,537 9,595 11/30/2012 10,706 9,797 12/31/2012 11,253 10,093 01/31/2013 11,755 10,590 02/28/2013 11,652 10,484 03/31/2013 11,784 10,567 04/30/2013 12,218 11,049 05/31/2013 11,944 10,801 06/30/2013 11,564 10,397 07/31/2013 12,305 10,950 Past performance is not predictive of 08/31/2013 12,213 10,809 future performance. 09/30/2013 13,183 11,573 10/31/2013 13,648 11,961 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 08/14/2008 ----------------------------------------------------------------- MSCI data copyright MSCI 2013, all 29.52% 15.15% 6.15% rights reserved.
-------------------------------------------------------------------------------- 13 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- WORLD EX U.S. VALUE PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 23, 2010-OCTOBER 31, 2013 [CHART] World Ex U.S. MSCI All Country World Value Portfolio ex USA Index (net dividends) ------------------ ----------------------------- 08/23/2010 $10,000 $10,000 08/31/2010 9,890 9,920 09/30/2010 10,980 10,906 10/31/2010 11,350 11,278 11/30/2010 10,850 10,843 12/31/2010 11,859 11,692 01/31/2011 12,122 11,807 02/28/2011 12,385 12,118 03/31/2011 12,311 12,090 04/30/2011 12,899 12,681 05/31/2011 12,433 12,315 06/30/2011 12,238 12,136 07/31/2011 11,920 11,971 08/31/2011 10,670 10,945 09/30/2011 9,314 9,727 10/31/2011 10,261 10,752 11/30/2011 9,880 10,203 12/31/2011 9,590 10,089 01/31/2012 10,422 10,774 02/29/2012 10,984 11,379 03/31/2012 10,811 11,222 04/30/2012 10,436 11,045 05/31/2012 9,177 9,791 06/30/2012 9,755 10,369 07/31/2012 9,703 10,515 08/31/2012 10,041 10,735 09/30/2012 10,475 11,136 10/31/2012 10,538 11,179 11/30/2012 10,687 11,392 12/31/2012 11,281 11,787 01/31/2013 11,720 12,266 02/28/2013 11,442 12,137 03/31/2013 11,460 12,161 04/30/2013 11,899 12,608 05/31/2013 11,696 12,316 06/30/2013 11,154 11,782 07/31/2013 11,796 12,298 Past performance is not predictive of 08/31/2013 11,666 12,128 future performance. 09/30/2013 12,556 12,971 10/31/2013 13,026 13,447 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FROM redemption of fund shares. TOTAL RETURN YEAR 08/23/2010 ---------------------------------------------------- MSCI data copyright MSCI 2013, all 23.61% 8.64% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- WORLD EX U.S. TARGETED VALUE PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) NOVEMBER 1, 2012-OCTOBER 31, 2013 [CHART] World Ex U.S. Targeted MSCI All Country World ex USA Value Portfolio Small Cap Index (net dividends) ----------------------- ---------------------------------- 11/01/2012 $10,000 $10,000 11/30/2012 10,120 10,013 12/31/2012 10,735 10,417 01/31/2013 11,157 10,868 02/28/2013 11,147 10,925 03/31/2013 11,278 11,098 04/30/2013 11,549 11,398 05/31/2013 11,298 11,175 06/30/2013 10,766 10,607 07/31/2013 11,376 11,134 Past performance is not predictive of 08/31/2013 11,193 11,038 future performance. 09/30/2013 12,191 11,920 10/31/2013 12,690 12,289 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL FROM redemption of fund shares. TOTAL RETURN 11/01/2012 ----------------------------------------- MSCI data copyright MSCI 2013, all 26.90% rights reserved.
-------------------------------------------------------------------------------- 14 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- WORLD EX U.S. CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) APRIL 9, 2013-OCTOBER 31, 2013 [CHART] World Ex U.S. Core MSCI All Country World Equity Portfolio ex USA Index (net dividends) ------------------ ---------------------------- 04/09/2013 $10,000 $10,000 04/30/2013 10,160 10,415 05/31/2013 9,890 10,174 06/30/2013 9,485 9,733 07/31/2013 9,971 10,159 08/31/2013 9,830 10,019 09/30/2013 10,575 10,715 Past performance is not predictive of 10/31/2013 10,962 11,108 future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the FROM redemption of fund shares. TOTAL RETURN 04/09/2013 ---------------------------------------- MSCI data copyright MSCI 2013, all 9.62% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) NOVEMBER 14, 2011-OCTOBER 31, 2013 [CHART] Selectively Hedged Global MSCI All Country World Equity Portfolio Index (net dividends) ------------------------- ----------------------- 11/14/2011 $10,000 $10,000 11/30/2011 9,920 9,873 12/31/2011 9,828 9,853 1/31/2012 10,533 10,426 2/29/2012 11,077 10,951 3/31/2012 11,141 11,024 4/30/2012 10,939 10,898 5/31/2012 9,962 9,921 6/30/2012 10,442 10,410 7/31/2012 10,463 10,553 8/31/2012 10,748 10,782 9/30/2012 11,122 11,122 10/31/2012 11,112 11,048 11/30/2012 11,265 11,189 12/31/2012 11,718 11,443 1/31/2013 12,225 11,970 2/28/2013 12,287 11,968 3/31/2013 12,576 12,187 4/30/2013 12,814 12,535 5/31/2013 12,897 12,501 6/30/2013 12,514 12,135 7/31/2013 13,114 12,716 Past performance is not predictive of 8/31/2013 12,845 12,451 future performance. 9/30/2013 13,569 13,094 10/31/2013 14,096 13,621 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FROM redemption of fund shares. TOTAL RETURN YEAR 11/14/2011 ---------------------------------------------------- MSCI data copyright MSCI 2013, all 26.86% 19.13% rights reserved.
-------------------------------------------------------------------------------- 15 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] MSCI Emerging Markets Emerging Markets Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,900 10,122 12/31/2003 10,941 10,855 1/31/2004 11,143 11,234 2/29/2004 11,633 11,749 3/31/2004 11,709 11,896 4/30/2004 10,966 10,922 5/31/2004 10,831 10,704 6/30/2004 11,026 10,749 7/31/2004 11,018 10,552 8/31/2004 11,324 10,990 9/30/2004 11,957 11,624 10/31/2004 12,290 11,902 11/30/2004 13,360 13,004 12/31/2004 14,216 13,628 1/31/2005 14,328 13,663 2/28/2005 15,396 14,855 3/31/2005 14,337 13,873 4/30/2005 13,992 13,501 5/31/2005 14,406 13,971 6/30/2005 14,834 14,445 7/31/2005 15,784 15,455 8/31/2005 15,880 15,587 9/30/2005 17,139 17,039 10/31/2005 16,279 15,925 11/30/2005 17,455 17,243 12/31/2005 18,460 18,262 1/31/2006 20,217 20,301 2/28/2006 20,155 20,277 3/31/2006 20,429 20,456 4/30/2006 21,646 21,913 5/31/2006 19,141 19,617 6/30/2006 19,111 19,569 7/31/2006 19,461 19,849 8/31/2006 20,069 20,355 9/30/2006 20,339 20,524 10/31/2006 21,548 21,499 11/30/2006 22,920 23,097 12/31/2006 23,844 24,137 1/31/2007 24,190 23,877 2/28/2007 23,807 23,735 3/31/2007 24,892 24,680 4/30/2007 26,471 25,823 5/31/2007 28,241 27,102 6/30/2007 28,700 28,372 7/31/2007 29,380 29,869 8/31/2007 28,866 29,235 9/30/2007 31,409 32,463 10/31/2007 34,839 36,084 11/30/2007 32,565 33,526 12/31/2007 32,432 33,643 1/31/2008 29,598 29,445 2/29/2008 30,536 31,618 3/31/2008 29,583 29,945 4/30/2008 31,685 32,375 5/31/2008 31,869 32,976 6/30/2008 28,589 29,687 7/31/2008 28,209 28,567 8/31/2008 26,529 26,285 9/30/2008 22,827 21,685 10/31/2008 16,812 15,750 11/30/2008 15,284 14,565 12/31/2008 16,475 15,701 1/31/2009 15,216 14,687 2/28/2009 14,218 13,858 3/31/2009 16,273 15,850 4/30/2009 18,677 18,487 5/31/2009 21,859 21,646 6/30/2009 21,667 21,355 7/31/2009 24,138 23,756 8/31/2009 24,219 23,671 9/30/2009 26,341 25,820 10/31/2009 25,789 25,852 11/30/2009 27,322 26,962 12/31/2009 28,300 28,027 1/31/2010 26,749 26,464 2/28/2010 27,072 26,557 3/31/2010 29,330 28,701 4/30/2010 29,497 29,049 5/31/2010 26,745 26,494 6/30/2010 26,786 26,299 7/31/2010 29,138 28,489 8/31/2010 28,456 27,936 9/30/2010 31,682 31,040 10/31/2010 32,632 31,941 11/30/2010 31,893 31,098 12/31/2010 34,474 33,317 1/31/2011 33,574 32,413 2/28/2011 33,327 32,111 3/31/2011 35,171 33,999 4/30/2011 36,396 35,054 5/31/2011 35,385 34,134 6/30/2011 34,953 33,609 7/31/2011 34,671 33,460 8/31/2011 31,855 30,470 9/30/2011 27,033 26,027 10/31/2011 30,407 29,475 11/30/2011 29,335 27,511 12/31/2011 28,471 27,179 1/31/2012 31,525 30,262 2/29/2012 33,226 32,074 3/31/2012 32,351 31,004 4/30/2012 31,764 30,633 5/31/2012 28,339 27,198 6/30/2012 29,724 28,248 7/31/2012 29,966 28,799 8/31/2012 30,146 28,703 9/30/2012 31,830 30,435 10/31/2012 31,648 30,250 11/30/2012 32,061 30,634 12/31/2012 33,924 32,132 1/31/2013 34,097 32,575 2/28/2013 33,690 32,166 3/31/2013 33,203 31,612 4/30/2013 33,560 31,850 5/31/2013 32,463 31,033 6/30/2013 30,419 29,057 7/31/2013 30,854 29,361 8/31/2013 30,121 28,856 Past performance is not predictive of 9/30/2013 32,268 30,733 future performance. 10/31/2013 33,731 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS -------------------------------------------------------- MSCI data copyright MSCI 2013, all 6.58% 14.94% 12.93% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Emerging Markets MSCI Emerging Markets Small Cap Portfolio Index (net dividends) -------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,198 10,122 12/31/2003 11,211 10,855 1/31/2004 11,543 11,234 2/29/2004 12,030 11,749 3/31/2004 12,232 11,896 4/30/2004 11,543 10,922 5/31/2004 11,057 10,704 6/30/2004 11,148 10,749 7/31/2004 11,220 10,552 8/31/2004 11,590 10,990 9/30/2004 12,235 11,624 10/31/2004 12,535 11,902 11/30/2004 13,722 13,004 12/31/2004 14,449 13,628 1/31/2005 14,850 13,663 2/28/2005 15,791 14,855 3/31/2005 14,690 13,873 4/30/2005 14,149 13,501 5/31/2005 14,426 13,971 6/30/2005 14,791 14,445 7/31/2005 15,602 15,455 8/31/2005 15,703 15,587 9/30/2005 16,733 17,039 10/31/2005 15,917 15,925 11/30/2005 17,052 17,243 12/31/2005 18,170 18,262 1/31/2006 19,924 20,301 2/28/2006 20,133 20,277 3/31/2006 20,501 20,456 4/30/2006 22,166 21,913 5/31/2006 19,832 19,617 6/30/2006 18,957 19,569 7/31/2006 19,393 19,849 8/31/2006 20,067 20,355 9/30/2006 20,622 20,524 10/31/2006 22,177 21,499 11/30/2006 23,864 23,097 12/31/2006 24,948 24,137 1/31/2007 25,417 23,877 2/28/2007 25,644 23,735 3/31/2007 26,781 24,680 4/30/2007 28,827 25,823 5/31/2007 31,114 27,102 6/30/2007 32,044 28,372 7/31/2007 33,601 29,869 8/31/2007 32,201 29,235 9/30/2007 34,414 32,463 10/31/2007 36,993 36,084 11/30/2007 34,027 33,526 12/31/2007 34,433 33,643 1/31/2008 30,280 29,445 2/29/2008 31,157 31,618 3/31/2008 29,681 29,945 4/30/2008 31,496 32,375 5/31/2008 31,296 32,976 6/30/2008 27,690 29,687 7/31/2008 27,256 28,567 8/31/2008 25,609 26,285 9/30/2008 20,983 21,685 10/31/2008 14,616 15,750 11/30/2008 13,722 14,565 12/31/2008 15,655 15,701 1/31/2009 14,451 14,687 2/28/2009 13,563 13,858 3/31/2009 15,430 15,850 4/30/2009 18,554 18,487 5/31/2009 22,804 21,646 6/30/2009 22,691 21,355 7/31/2009 25,569 23,756 8/31/2009 25,873 23,671 9/30/2009 28,031 25,820 10/31/2009 27,998 25,852 11/30/2009 29,635 26,962 12/31/2009 31,269 28,027 1/31/2010 29,884 26,464 2/28/2010 30,399 26,557 3/31/2010 32,995 28,701 4/30/2010 33,527 29,049 5/31/2010 30,144 26,494 6/30/2010 30,941 26,299 7/31/2010 33,780 28,489 8/31/2010 33,942 27,936 9/30/2010 38,053 31,040 10/31/2010 39,570 31,941 11/30/2010 38,494 31,098 12/31/2010 40,707 33,317 1/31/2011 38,981 32,413 2/28/2011 37,831 32,111 3/31/2011 39,929 33,999 4/30/2011 42,026 35,054 5/31/2011 41,062 34,134 6/30/2011 40,729 33,609 7/31/2011 41,189 33,460 8/31/2011 37,273 30,470 9/30/2011 30,643 26,027 10/31/2011 34,020 29,475 11/30/2011 32,357 27,511 12/31/2011 31,498 27,179 1/31/2012 35,049 30,262 2/29/2012 37,911 32,074 3/31/2012 36,922 31,004 4/30/2012 36,038 30,633 5/31/2012 32,735 27,198 6/30/2012 33,989 28,248 7/31/2012 33,562 28,799 8/31/2012 34,433 28,703 9/30/2012 36,446 30,435 10/31/2012 36,303 30,250 11/30/2012 36,928 30,634 12/31/2012 39,198 32,132 1/31/2013 39,920 32,575 2/28/2013 40,327 32,166 3/31/2013 40,138 31,612 4/30/2013 40,953 31,850 5/31/2013 40,360 31,033 6/30/2013 36,869 29,057 7/31/2013 37,036 29,361 8/31/2013 35,489 28,856 Past performance is not predictive of 9/30/2013 38,080 30,733 future performance. 10/31/2013 39,542 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------- MSCI data copyright MSCI 2013, all 8.92% 22.02% 14.74% rights reserved.
-------------------------------------------------------------------------------- 16 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) JANUARY 29, 2008-OCTOBER 31, 2013 [CHART] Emerging Markets Value MSCI Emerging Markets Portfolio - Class R2 Index (net dividends) ----------------------- --------------------- 1/29/2008 $10,000 $10,000 1/31/2008 10,050 9,871 2/29/2008 10,450 10,599 3/31/2008 10,097 10,038 4/30/2008 10,872 10,853 5/31/2008 10,962 11,054 6/30/2008 9,677 9,952 7/31/2008 9,489 9,576 8/31/2008 8,674 8,811 9/30/2008 7,174 7,269 10/31/2008 4,949 5,280 11/30/2008 4,569 4,882 12/31/2008 5,120 5,263 1/31/2009 4,675 4,923 2/28/2009 4,262 4,646 3/31/2009 5,002 5,313 4/30/2009 5,996 6,197 5/31/2009 7,342 7,256 6/30/2009 7,241 7,159 7/31/2009 8,197 7,964 8/31/2009 8,265 7,935 9/30/2009 9,035 8,655 10/31/2009 8,823 8,666 11/30/2009 9,388 9,038 12/31/2009 9,847 9,395 1/31/2010 9,297 8,871 2/28/2010 9,347 8,902 3/31/2010 10,147 9,621 4/30/2010 10,246 9,738 5/31/2010 9,147 8,881 6/30/2010 9,199 8,816 7/31/2010 10,085 9,550 8/31/2010 9,864 9,365 9/30/2010 11,031 10,405 10/31/2010 11,444 10,707 11/30/2010 11,031 10,425 12/31/2010 11,960 11,169 1/31/2011 11,583 10,866 2/28/2011 11,391 10,764 3/31/2011 12,043 11,397 4/30/2011 12,466 11,751 5/31/2011 11,990 11,443 6/30/2011 11,738 11,267 7/31/2011 11,639 11,217 8/31/2011 10,454 10,214 9/30/2011 8,577 8,725 10/31/2011 9,701 9,881 11/30/2011 9,206 9,222 12/31/2011 8,875 9,111 1/31/2012 10,102 10,144 2/29/2012 10,714 10,752 3/31/2012 10,253 10,393 4/30/2012 9,918 10,269 5/31/2012 8,817 9,117 6/30/2012 9,214 9,469 7/31/2012 9,155 9,654 8/31/2012 9,279 9,622 9/30/2012 9,873 10,202 10/31/2012 9,742 10,140 11/30/2012 9,849 10,269 12/31/2012 10,564 10,771 1/31/2013 10,734 10,920 2/28/2013 10,550 10,783 3/31/2013 10,459 10,597 4/30/2013 10,547 10,677 5/31/2013 10,243 10,403 6/30/2013 9,377 9,741 Past performance is not predictive of 7/31/2013 9,559 9,842 future performance. 8/31/2013 9,356 9,673 9/30/2013 10,045 10,302 The returns shown do not reflect the 10/31/2013 10,497 10,803 deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 01/29/2008 ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 7.75% 16.23% 0.85% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Emerging Markets Value Portfolio- MSCI Emerging Markets Institutional Class Index (net dividends) ----------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,113 10,122 12/31/2003 11,330 10,855 1/31/2004 11,641 11,234 2/29/2004 12,394 11,749 3/31/2004 12,550 11,896 4/30/2004 11,666 10,922 5/31/2004 11,322 10,704 6/30/2004 11,528 10,749 7/31/2004 11,676 10,552 8/31/2004 12,195 10,990 9/30/2004 12,998 11,624 10/31/2004 13,404 11,902 11/30/2004 14,854 13,004 12/31/2004 15,809 13,628 1/31/2005 16,068 13,663 2/28/2005 17,533 14,855 3/31/2005 16,251 13,873 4/30/2005 15,673 13,501 5/31/2005 15,899 13,971 6/30/2005 16,421 14,445 7/31/2005 17,616 15,455 8/31/2005 17,896 15,587 9/30/2005 19,332 17,039 10/31/2005 18,122 15,925 11/30/2005 19,460 17,243 12/31/2005 20,680 18,262 1/31/2006 22,656 20,301 2/28/2006 22,743 20,277 3/31/2006 23,511 20,456 4/30/2006 25,562 21,913 5/31/2006 22,790 19,617 6/30/2006 22,583 19,569 7/31/2006 23,117 19,849 8/31/2006 23,537 20,355 9/30/2006 24,014 20,524 10/31/2006 25,680 21,499 11/30/2006 27,558 23,097 12/31/2006 28,524 24,137 1/31/2007 28,962 23,877 2/28/2007 29,124 23,735 3/31/2007 30,640 24,680 4/30/2007 33,081 25,823 5/31/2007 35,594 27,102 6/30/2007 36,605 28,372 7/31/2007 38,339 29,869 8/31/2007 37,101 29,235 9/30/2007 40,445 32,463 10/31/2007 44,882 36,084 11/30/2007 41,607 33,526 12/31/2007 41,541 33,643 1/31/2008 37,405 29,445 2/29/2008 38,899 31,618 3/31/2008 37,590 29,945 4/30/2008 40,489 32,375 5/31/2008 40,835 32,976 6/30/2008 36,084 29,687 7/31/2008 35,376 28,567 8/31/2008 32,346 26,285 9/30/2008 26,765 21,685 10/31/2008 18,454 15,750 11/30/2008 17,052 14,565 12/31/2008 19,134 15,701 1/31/2009 17,407 14,687 2/28/2009 15,928 13,858 3/31/2009 18,683 15,850 4/30/2009 22,357 18,487 5/31/2009 27,386 21,646 6/30/2009 27,049 21,355 7/31/2009 30,676 23,756 8/31/2009 30,903 23,671 9/30/2009 33,754 25,820 10/31/2009 32,956 25,852 11/30/2009 35,054 26,962 12/31/2009 36,791 28,027 1/31/2010 34,696 26,464 2/28/2010 34,965 26,557 3/31/2010 38,043 28,701 4/30/2010 38,289 29,049 5/31/2010 34,275 26,494 6/30/2010 34,489 26,299 7/31/2010 37,680 28,489 8/31/2010 36,997 27,936 9/30/2010 41,438 31,040 10/31/2010 42,856 31,941 11/30/2010 41,462 31,098 12/31/2010 44,906 33,317 1/31/2011 43,503 32,413 2/28/2011 42,770 32,111 3/31/2011 45,229 33,999 4/30/2011 46,843 35,054 5/31/2011 45,055 34,134 6/30/2011 44,132 33,609 7/31/2011 43,758 33,460 8/31/2011 39,316 30,470 9/30/2011 32,257 26,027 10/31/2011 36,496 29,475 11/30/2011 34,647 27,511 12/31/2011 33,402 27,179 1/31/2012 38,034 30,262 2/29/2012 40,350 32,074 3/31/2012 38,613 31,004 4/30/2012 37,352 30,633 5/31/2012 33,222 27,198 6/30/2012 34,724 28,248 7/31/2012 34,504 28,799 8/31/2012 34,983 28,703 9/30/2012 37,233 30,435 10/31/2012 36,751 30,250 11/30/2012 37,154 30,634 12/31/2012 39,870 32,132 1/31/2013 40,511 32,575 2/28/2013 39,830 32,166 3/31/2013 39,489 31,612 4/30/2013 39,836 31,850 5/31/2013 38,700 31,033 6/30/2013 35,441 29,057 Past performance is not predictive of 7/31/2013 36,129 29,361 future performance. 8/31/2013 35,360 28,856 9/30/2013 37,973 30,733 The returns shown do not reflect the 10/31/2013 39,694 32,226 deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------- MSCI data copyright MSCI 2013, all 8.01% 16.55% 14.78% rights reserved.
-------------------------------------------------------------------------------- 17 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- EMERGING MARKETS CORE EQUITY PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) APRIL 5, 2005-OCTOBER 31, 2013 [CHART] Emerging Markets Core MSCI Emerging Markets Equity Portfolio Index (net dividends) ----------------------- --------------------- 4/5/2005 $10,000 $10,000 4/30/2005 9,580 9,682 5/31/2005 9,720 10,019 6/30/2005 9,980 10,359 7/31/2005 10,653 11,083 8/31/2005 10,763 11,178 9/30/2005 11,511 12,219 10/31/2005 10,898 11,421 11/30/2005 11,612 12,365 12/31/2005 12,295 13,096 1/31/2006 13,395 14,559 2/28/2006 13,416 14,542 3/31/2006 13,684 14,670 4/30/2006 14,624 15,714 5/31/2006 12,988 14,068 6/30/2006 12,775 14,034 7/31/2006 13,019 14,235 8/31/2006 13,333 14,597 9/30/2006 13,598 14,719 10/31/2006 14,487 15,418 11/30/2006 15,490 16,564 12/31/2006 16,100 17,310 1/31/2007 16,327 17,123 2/28/2007 16,204 17,022 3/31/2007 16,906 17,699 4/30/2007 18,042 18,519 5/31/2007 19,353 19,436 6/30/2007 19,811 20,347 7/31/2007 20,485 21,421 8/31/2007 19,956 20,965 9/30/2007 21,671 23,281 10/31/2007 23,924 25,877 11/30/2007 22,181 24,043 12/31/2007 22,136 24,127 1/31/2008 19,968 21,116 2/29/2008 20,621 22,675 3/31/2008 19,871 21,475 4/30/2008 21,378 23,218 5/31/2008 21,473 23,648 6/30/2008 19,079 21,290 7/31/2008 18,877 20,487 8/31/2008 17,623 18,850 9/30/2008 14,861 15,551 10/31/2008 10,661 11,295 11/30/2008 9,949 10,445 12/31/2008 10,922 11,260 1/31/2009 9,948 10,533 2/28/2009 9,277 9,938 3/31/2009 10,741 11,367 4/30/2009 12,702 13,258 5/31/2009 15,206 15,523 6/30/2009 15,058 15,314 7/31/2009 16,880 17,036 8/31/2009 16,946 16,975 9/30/2009 18,408 18,516 10/31/2009 18,068 18,539 11/30/2009 19,175 19,336 12/31/2009 20,050 20,099 1/31/2010 18,950 18,978 2/28/2010 19,159 19,045 3/31/2010 20,812 20,583 4/30/2010 21,010 20,832 5/31/2010 18,974 19,000 6/30/2010 19,134 18,860 7/31/2010 20,862 20,431 8/31/2010 20,585 20,034 9/30/2010 23,045 22,260 10/31/2010 23,724 22,906 11/30/2010 23,090 22,302 12/31/2010 24,785 23,893 1/31/2011 24,003 23,245 2/28/2011 23,589 23,028 3/31/2011 24,931 24,382 4/30/2011 25,915 25,138 5/31/2011 25,199 24,479 6/30/2011 24,849 24,102 7/31/2011 24,793 23,995 8/31/2011 22,555 21,851 9/30/2011 18,823 18,665 10/31/2011 21,213 21,138 11/30/2011 20,307 19,729 12/31/2011 19,668 19,491 1/31/2012 21,984 21,702 2/29/2012 23,365 23,002 3/31/2012 22,635 22,234 4/30/2012 22,133 21,968 5/31/2012 19,805 19,505 6/30/2012 20,693 20,258 7/31/2012 20,705 20,653 8/31/2012 20,923 20,584 9/30/2012 22,115 21,826 10/31/2012 21,965 21,693 11/30/2012 22,300 21,969 12/31/2012 23,698 23,043 1/31/2013 23,907 23,361 2/28/2013 23,744 23,067 3/31/2013 23,492 22,670 4/30/2013 23,759 22,841 5/31/2013 23,108 22,255 6/30/2013 21,448 20,838 7/31/2013 21,740 21,056 Past performance is not predictive of 8/31/2013 21,178 20,694 future performance. 9/30/2013 22,690 22,040 10/31/2013 23,668 23,111 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 04/05/2005 ----------------------------------------------------------- MSCI data copyright MSCI 2013, all 7.75% 17.29% 10.57% rights reserved.
-------------------------------------------------------------------------------- 18 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value, small cap, and/or micro cap companies relative to widely used benchmarks. MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. ENHANCED U.S. LARGE COMPANY PORTFOLIO The Enhanced U.S. Large Company Portfolio seeks to outperform the total return of the S&P 500(R) Index. This strategy combines investment in investment grade, short-term fixed income instruments with an overlay of S&P 500(R) Index futures contracts, swaps, and/or ETFs. For the 12 months ended October 31, 2013, an average of approximately 96% of the equity exposure consisted of S&P 500(R) Index futures contracts. ETFs accounted for the remaining exposure. The behavior of S&P 500(R) Index futures contracts and ETFs linked to the S&P 500(R) Index is determined principally by the performance of the S&P 500(R) Index. 19 For the 12 months ended October 31, 2013, the total return was 26.99% for the Portfolio and 27.18% for the S&P 500(R) Index. Relative to the Index, the Portfolio's underperformance was primarily due to the performance of the fixed income component of the Portfolio. The return of the fixed income component was slightly less than the average interest rate priced into the S&P 500(R) futures contracts that the Portfolio purchased throughout the year. U.S. LARGE CAP EQUITY PORTFOLIO The U.S. Large Cap Equity Portfolio seeks to capture the returns of U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 830 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. From the Portfolio's inception on June 25, 2013, through October 31, 2013, total returns were 11.01% for the Portfolio and 12.13% for the Russell 1000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had higher average cash balances than the Index in June 2013, the month it launched, which was primarily responsible for the Portfolio's relative underperformance compared to the Index as U.S. equities generally had positive returns in the last days of June. The Portfolio's relative underperformance was partly offset by its greater exposure than the Index to smaller stocks within the large cap universe, which generally outperformed larger stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. U.S. LARGE CAP VALUE PORTFOLIO The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of The U.S. Large Cap Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 220 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 35.52% for the Portfolio and 28.29% for the Russell 1000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Master Fund had significantly greater exposure than the Index to deeper value stocks. These stocks generally outperformed the Index, and the Master Fund's higher weight helped the Portfolio's relative performance. The Master Fund's exclusion of real estate investment trusts ("REITs") and highly regulated utilities also contributed to the Portfolio's outperformance relative to the Index as both sectors underperformed the overall Index during the period. U.S. TARGETED VALUE PORTFOLIO The U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 1,500 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 40.39% for the Portfolio's Class R1 shares, 40.10% for the Portfolio's Class R2 shares, 40.40% for the Portfolio's Institutional Class shares, and 32.83% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's exclusion of REITs and highly regulated utilities contributed to the Portfolio's outperformance relative to the Index as these sectors underperformed the overall Index during the period. U.S. SMALL CAP VALUE PORTFOLIO The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad 20 diversification. As of October 31, 2013, the Portfolio held approximately 1,200 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 39.35% for the Portfolio and 32.83% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's exclusion of real estate investment trusts ("REITs") and highly regulated utilities contributed to the Portfolio's outperformance relative to the Index as both sectors underperformed the overall Index during the period. U.S. CORE EQUITY 1 PORTFOLIO The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total U.S. market universe with increased exposure to smaller company stocks and value stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 2,900 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 32.32% for the Portfolio and 28.99% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the Index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. U.S. CORE EQUITY 2 PORTFOLIO The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe with increased exposure to smaller company stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 2,900 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 33.66% for the Portfolio and 28.99% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the Index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. U.S. VECTOR EQUITY PORTFOLIO The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly diversified portfolio of U.S. stocks with increased exposure to smaller company stocks and value stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 2,800 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 36.80% for the Portfolio and 28.99% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the Index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 21 U.S. SMALL CAP PORTFOLIO The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 2,200 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 39.03% for the Portfolio and 36.28% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's exclusion of real estate investment trusts ("REITs") contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. The Portfolio excluded certain extreme small cap growth stocks, as measured by book-to-market ratio and other metrics, which were held by the Index. These stocks generally underperformed relative to the Index, and their exclusion from the Portfolio also benefited the Portfolio's relative performance. U.S. MICRO CAP PORTFOLIO The U.S. Micro Cap Portfolio seeks to capture the returns of the smallest U.S. company stocks and generally has a smaller market capitalization profile than the U.S. Small Cap Portfolio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 1,900 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 41.34% for the Portfolio and 36.28% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio focuses on micro cap stocks while the Index has exposure to small and mid-cap stocks. Micro cap stocks generally outperformed small and mid-cap stocks during the period, and the Portfolio's greater exposure than the Index to micro cap stocks contributed to the Portfolio's relative outperformance. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. The Portfolio excluded certain extreme small cap growth stocks, as measured by book-to-market ratio and other metrics, which were held by the Index. These stocks generally underperformed, and their exclusion from the Portfolio benefited the Portfolio's relative performance. DFA REAL ESTATE SECURITIES PORTFOLIO The DFA Real Estate Securities Portfolio seeks to capture the returns of a broadly diversified portfolio of U.S. real estate securities. As of October 31, 2013, the Portfolio held approximately 120 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of portfolio assets. For the 12 months ended October 31, 2013, total returns were 10.28% for the Portfolio, 9.96% for the Dow Jones U.S. Select REIT Index/SM/, and 27.18% for the S&P 500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. real estate securities market rather than the behavior of a limited number of securities. The Portfolio has a lower market cap floor than the Dow Jones U.S. Select REIT Index/SM/ and invests in small cap REITs that may not be included in the Index. In addition, the Index excludes net lease REITs, which are eligible for the Portfolio. These securities held by the Portfolio and excluded by the Index, particularly net lease REITs, generally outperformed during the period and benefited the Portfolio's relative performance. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity markets with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large cap stocks while value stocks outperformed growth stocks. 22
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. Gains in emerging markets were lower on average than in developed markets although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. 23 GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 Publicly traded global real estate investment trusts ("REITs") produced positive overall returns during the one-year period ended October 31, 2013. In most of the world, REITs trailed equities but exceeded fixed income returns. REITs in the U.K., Continental Europe, and Japan produced the strongest returns while REITs in emerging markets generally underperformed. The largest REIT market, the United States, had positive returns. On a global basis, specialized and industrial REITs had the biggest gains. Residential REITs were the weakest performers but still delivered positive returns.
12 MONTHS ENDED OCTOBER 31, 2013 U.S. DOLLAR RETURN - ------------------ S&P Global ex U.S. REIT Index (net dividends). 9.05% S&P Global REIT Index (net dividends)......... 9.77%
Source: Standard and Poor's. Copyright S&P, 2013. All rights reserved. MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. LARGE CAP INTERNATIONAL PORTFOLIO The Large Cap International Portfolio seeks to capture the returns of a broadly diversified portfolio of international large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 1,500 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 24.85% for the Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. By design, the Portfolio had slightly greater exposure than the Index to smaller stocks within the large cap universe. These smaller stocks generally outperformed larger stocks within the large cap universe and contributed to the Portfolio's outperformance relative to the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. INTERNATIONAL CORE EQUITY PORTFOLIO The International Core Equity Portfolio seeks to capture the returns of the broad universe of international stocks, with increased exposure to smaller company stocks and those with value characteristics. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 4,900 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 27.98% for the Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. International small cap stocks generally outperformed international large cap and mid cap stocks during the period, and the Portfolio's greater exposure to small cap stocks benefited the Portfolio's performance relative to the Index. The Portfolio's greater exposure to deeper value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 24 INTERNATIONAL SMALL COMPANY PORTFOLIO The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of five Master Funds that invest individually in Canada, the United Kingdom, Continental Europe (including Israel and excluding the U.K.), Japan, and the Asia Pacific region ex Japan. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Funds collectively held approximately 4,200 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 30.66% for the Portfolio and 27.81% for the MSCI World ex USA Small Cap Index (net dividends). As a result of each Master Fund's diversified investment approach, the Portfolio's performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. The Portfolio had a lesser allocation to Canadian securities, which contributed to the Portfolio's outperformance relative to the Index as Canadian securities significantly underperformed. In addition, within the materials sector, the Portfolio's holdings in Canada and Australia significantly outperformed those of the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. JAPANESE SMALL COMPANY PORTFOLIO The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of The Japanese Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 1,400 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 30.06% for the Portfolio and 30.99% for the MSCI Japan Small Cap Index (net dividends). The Master Fund's lesser exposure than the Index to GungHo Online Entertainment, Inc., an online gaming company that significantly outperformed, was primarily responsible for the Portfolio's underperformance relative to the Index. To a lesser extent, the Master Fund's exclusion of real estate investment trusts ("REITs") benefited the Portfolio's relative performance as REITs underperformed during the period. ASIA PACIFIC SMALL COMPANY PORTFOLIO The Asia Pacific Small Company Portfolio seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by purchasing shares of The Asia Pacific Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 940 securities across the eligible countries. Country allocations generally reflect the approximate weights of individual securities within a universe of these countries' stocks constructed by the Advisor. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 10.46% for the Portfolio and 6.83% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. The Master Fund's greater weight in the consumer discretionary sector and lesser weight in the materials sector contributed to the Portfolio's outperformance relative to the Index as consumer discretionary generally outperformed and materials generally underperformed. The Master Fund's exclusion of real estate investment trusts ("REITs") also had a small positive impact on the Portfolio's relative performance as REITs underperformed during the period. UNITED KINGDOM SMALL COMPANY PORTFOLIO The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of The United Kingdom Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 350 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. 25 For the 12 months ended October 31, 2013, total returns were 36.81% for the Portfolio and 35.72% for the MSCI UK Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Master Fund had a lesser allocation to the energy sector, which contributed to the Portfolio's outperformance relative to the Index as energy significantly underperformed. The Master Fund's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Master Fund and the Index generally detracted from the Portfolio's relative performance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. CONTINENTAL SMALL COMPANY PORTFOLIO The Continental Small Company Portfolio seeks to capture the returns of small company stocks in the developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares of The Continental Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 1,200 securities in 14 eligible developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 42.99% for the Portfolio and 42.99% for the MSCI Europe ex UK Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. The Master Fund's exclusion of real estate investment trusts ("REITs") had a positive impact on the Portfolio's relative performance as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Master Fund and the Index generally detracted from the Portfolio's relative performance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO The DFA International Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities in international markets. As of October 31, 2013, the Portfolio held approximately 220 securities in 20 approved developed and emerging market countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of portfolio assets. For the 12 months ended October 31, 2013, total returns were 9.24% for the Portfolio and 9.05% for the S&P Global ex US REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was determined principally by structural trends in international real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's outperformance relative to the Index. DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO The DFA Global Real Estate Securities Portfolio, a fund of funds, is designed to capture the returns of a broadly diversified portfolio of real estate securities in U.S. and international markets. As of October 31, 2013, the Portfolio invested in the DFA International Real Estate Securities Portfolio and the DFA Real Estate Securities Portfolio (the "Underlying Funds"). As of that date, the Underlying Funds held approximately 350 securities in 21 approved developed and emerging markets countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. 26 For the 12 months ended October 31, 2013, total returns were 9.74% for the Portfolio and 9.77% for the S&P Global REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was principally determined by structural trends in global real estate securities markets rather than the behavior of a limited number of stocks. The Portfolio generally performed in-line with the Index. DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 2,000 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 37.79% for the Portfolio and 27.81% for the MSCI World ex USA Small Cap Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. Within the small cap universe, the Portfolio's greater exposure to value stocks, as measured by book-to-market, contributed to the Portfolio's outperformance relative to the Index as these stocks generally outperformed. Differences in holdings in the materials and industrials sectors also contributed significantly to the Portfolio's outperformance relative to the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. INTERNATIONAL VECTOR EQUITY PORTFOLIO The International Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks with increased exposure to smaller company stocks and those with value characteristics relative to the market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 4,300 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 29.52% for the Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. International small cap stocks generally outperformed international mid cap and large cap stocks during the period, and the Portfolio's greater exposure to small cap stocks contributed to the Portfolio's outperformance relative to the Index. The Portfolio's greater exposure to deeper value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. WORLD EX U.S. VALUE PORTFOLIO The World ex U.S. Value Portfolio seeks to capture the returns of value stocks across all market capitalizations in international developed and emerging markets by purchasing shares of three funds managed by Dimensional: The DFA International Value Series, The DFA International Small Cap Value Portfolio, and The Dimensional Emerging Markets Value Fund (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Underlying Funds collectively held approximately 4,700 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 23.61% for the Portfolio and 20.29% for the MSCI All Country World ex USA Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in the international and emerging equity markets rather than the behavior of a limited number of stocks. The Portfolio focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks generally outperformed growth stocks during the period, particularly in developed markets. The Portfolio had greater 27 exposure than the Index to value stocks, which contributed to the Portfolio's outperformance relative to the Index. The Underlying Funds invest in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Small cap stocks generally outperformed large and mid cap stocks during the period, and the Portfolio's greater exposure to small cap stocks contributed to the Portfolio's outperformance relative to the Index. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. Differences in the valuation timing and methodology between the Portfolio and the Index generally detracted from the Portfolio's relative performance. The Underlying Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. WORLD EX U.S. TARGETED VALUE PORTFOLIO The World ex U.S. Targeted Value Portfolio seeks to capture the returns of value stocks in international developed and emerging markets by purchasing shares of four funds managed by Dimensional: The DFA International Small Cap Value Portfolio, the International Vector Equity Portfolio, the Dimensional Emerging Markets Value Fund, and the Emerging Markets Small Cap Series (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Underlying Funds collectively held approximately 8,200 securities. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. From the Portfolio's inception on November 1, 2012, through October 31, 2013, total returns were 26.90% for the Portfolio and 22.89% for the MSCI All Country World ex USA Small Cap Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds focus on small and mid-cap securities that are considered value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks, particularly within the developed markets small cap universe, generally outperformed growth stocks during the period. The Portfolio had greater exposure than the Index to these stocks, which contributed to the Portfolio's outperformance relative to the Index. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. WORLD EX U.S. CORE EQUITY PORTFOLIO The World ex U.S. Core Equity Portfolio seeks to capture the returns of international stocks in developed and emerging markets, with increased exposure to smaller company stocks and those with value characteristics, by purchasing shares of two funds managed by Dimensional: The International Core Equity Portfolio and the Emerging Markets Core Equity Portfolio (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Underlying Funds collectively held approximately 8,800 securities. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. From the Portfolio's inception on April 9, 2013, through October 31, 2013, total returns were 9.62% for the Portfolio and 11.08% for the MSCI All Country World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio had a higher than average cash balance around the time of its launch in April 2013. As developed and emerging market equities generally had positive returns in April, the higher cash balance was primarily responsible for the Portfolio's underperformance relative to the Index. The Portfolio's relative underperformance was partly offset by its greater exposure than the Index to small cap stocks and value stocks, both of which generally outperformed relative to the Index during the period. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of mutual funds managed by Dimensional. As of the date of this report, the mutual funds invested in by 28 the Portfolio include the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Underlying Funds held approximately 12,000 equity securities in 44 countries. For the 12 months ended October 31, 2013, total returns were 26.86% for the Portfolio and 23.29% for the MSCI All Country World Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. The Underlying Funds invest in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. The Portfolio had greater exposure than the Index to value stocks, as measured by book-to-market ratio. This emphasis on small cap and value, particularly in the U.S., was primarily responsible for the Portfolio's outperformance relative to the Index as small cap stocks and value stocks generally outperformed large and mid cap stocks and growth stocks, respectively, during the period. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs generally underperformed during the period. The Portfolio had greater exposure than the Index to emerging markets, which detracted from the Portfolio's relative performance as emerging markets generally underperformed during the period. The Portfolio's currency hedging in Japanese yen also contributed to the Portfolio's outperformance relative to the Index during the period. EMERGING MARKETS PORTFOLIO The Emerging Markets Portfolio seeks to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 1,000 securities across 21 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 6.58% for the Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. Differences in country weights between the Master Fund and the Index contributed to relative performance differences. In addition, differences in holdings within the financial sector contributed to the Master Fund's outperformance relative to the Index. EMERGING MARKETS SMALL CAP PORTFOLIO The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of the Emerging Markets Small Cap Series, a Master Fund that invests in such securities. The Master Fund's investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 3,100 securities across 17 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 8.92% for the Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund focuses on small cap stocks while the Index primarily holds large cap and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks over the period. The Master Fund's significantly greater exposure to small cap stocks was primarily responsible for the Portfolio's outperformance relative to the Index. EMERGING MARKETS VALUE PORTFOLIO The Emerging Markets Value Portfolio seeks to capture the returns of value stocks of large and small companies in selected emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, 29 a Master Fund that invests in such securities. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 7.75% for the Portfolio's Class R2 shares, 8.01% for the Portfolio's Institutional Class shares, and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was generally determined by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund invests in stocks across all size categories while the Index primarily holds large and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks during the period. The Master Fund's greater exposure to small cap stocks value was primarily responsible for the Portfolio's outperformance relative to the Index. The Master Fund's greater exposure to value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. EMERGING MARKETS CORE EQUITY PORTFOLIO The Emerging Markets Core Equity Portfolio seeks to capture the returns of a broad universe of stocks in selected emerging markets with increased exposure to smaller company stocks and those stocks with value characteristics, as measured by book-to-market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 3,900 securities across 21 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 7.75% for the Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Portfolio's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories while the Index primarily holds large and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks during the period. The Portfolio's greater exposure to small cap stocks was primarily responsible for the Portfolio's outperformance relative to the Index. The Portfolio's greater exposure to value stocks, as measured by book-to-market, also contributed to the Portfolio's relative performance as these stocks generally outperformed the Index. 30 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- ENHANCED U.S. LARGE COMPANY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,110.50 0.24% $1.28 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.00 0.24% $1.22 U.S. LARGE CAP EQUITY PORTFOLIO+ -------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,110.10 0.19% $0.70 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.25 0.19% $0.97
31 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE CAP VALUE PORTFOLIO** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,144.80 0.27% $1.46 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.84 0.27% $1.38 U.S. TARGETED VALUE PORTFOLIO ----------------------------- Actual Fund Return Class R1 Shares................. $1,000.00 $1,182.90 0.46% $2.53 Class R2 Shares................. $1,000.00 $1,181.40 0.62% $3.41 Institutional Class Shares...... $1,000.00 $1,182.60 0.37% $2.04 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.89 0.46% $2.35 Class R2 Shares................. $1,000.00 $1,022.08 0.62% $3.16 Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89 U.S. SMALL CAP VALUE PORTFOLIO ------------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,172.70 0.52% $2.85 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.58 0.52% $2.65 U.S. CORE EQUITY 1 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,139.70 0.19% $1.02 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.25 0.19% $0.97 U.S. CORE EQUITY 2 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,146.40 0.22% $1.19 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.10 0.22% $1.12 U.S. VECTOR EQUITY PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,164.10 0.32% $1.75 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63 U.S. SMALL CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,193.10 0.37% $2.05 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89
32 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- U.S. MICRO CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,213.50 0.52% $2.90 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.58 0.52% $2.65 DFA REAL ESTATE SECURITIES PORTFOLIO ------------------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $ 929.70 0.18% $0.88 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,024.30 0.18% $0.92 LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,086.20 0.28% $1.47 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.79 0.28% $1.43 INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,109.20 0.38% $2.02 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.29 0.38% $1.94 INTERNATIONAL SMALL COMPANY PORTFOLIO*** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,132.40 0.53% $2.85 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.53 0.53% $2.70 JAPANESE SMALL COMPANY PORTFOLIO** ---------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,033.70 0.54% $2.77 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.48 0.54% $2.75 ASIA PACIFIC SMALL COMPANY PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,000.40 0.55% $2.77 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80 UNITED KINGDOM SMALL COMPANY PORTFOLIO** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,190.40 0.59% $3.26 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.23 0.59% $3.01
33 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- CONTINENTAL SMALL COMPANY PORTFOLIO** ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,230.40 0.57% $3.20 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.33 0.57% $2.91 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 946.50 0.39% $1.91 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.24 0.39% $1.99 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO*** ---------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 936.50 0.32% $1.56 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.59 0.32% $1.63 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,152.70 0.67% $3.64 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.83 0.67% $3.41 INTERNATIONAL VECTOR EQUITY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,117.00 0.51% $2.72 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.63 0.51% $2.60 WORLD EX U.S. VALUE PORTFOLIO*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,094.70 0.60% $3.17 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.18 0.60% $3.06 WORLD EX U.S. TARGETED VALUE PORTFOLIO*** ----------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,098.80 0.79% $4.18 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.22 0.79% $4.02 WORLD EX U.S. CORE EQUITY PORTFOLIO*** -------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,078.90 0.47% $2.46 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.84 0.47% $2.40
34 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,100.10 0.40% $2.12 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.19 0.40% $2.04 EMERGING MARKETS PORTFOLIO** ---------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,005.10 0.55% $2.78 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.43 0.55% $2.80 EMERGING MARKETS SMALL CAP PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares................. $1,000.00 $ 965.50 0.71% $3.52 Hypothetical 5% Annual Return Institutional Class Shares................. $1,000.00 $1,021.63 0.71% $3.62 EMERGING MARKETS VALUE PORTFOLIO** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $ 995.20 0.79% $3.97 Institutional Class Shares................... $1,000.00 $ 996.40 0.54% $2.72 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,021.22 0.79% $4.02 Institutional Class Shares................... $1,000.00 $1,022.48 0.54% $2.75 EMERGING MARKETS CORE EQUITY PORTFOLIO -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $ 996.20 0.61% $3.07 Hypothetical 5% Annual Return Institutional Class Shares................. $1,000.00 $1,022.13 0.61% $3.11
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. **The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). ***The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). + U.S. Large Cap Equity Portfolio commenced operations on June 25, 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 (129), 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 184 day period for the six months ended October 31, 2013 to allow for comparability. 35 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 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 Affiliated Investment Companies' 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%
36 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED 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%
ENHANCED DOMESTIC EQUITY PORTFOLIO ENHANCED U.S LARGE COMPANY PORTFOLIO Corporate.................................... 25.9% Government................................... 40.9% Foreign Corporate............................ 15.0% Foreign Government........................... 14.7% Supranational................................ 3.5% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. LARGE CAP EQUITY PORTFOLO Consumer Discretionary....................... 14.3% Consumer Staples............................. 9.2% Energy....................................... 10.9% Financials................................... 13.7% Health Care.................................. 11.9% Industrials.................................. 12.9% Information Technology....................... 17.8% Materials.................................... 4.4% Telecommunication Services................... 2.5% Utilities.................................... 2.4% ----- 100.0%
U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary....................... 13.7% Consumer Staples............................. 3.4% Energy....................................... 10.6% Financials................................... 25.7% Health Care.................................. 6.4% Industrials.................................. 15.8% Information Technology....................... 14.8% Materials.................................... 7.5% Other........................................ -- Real Estate Investment Trusts................ 0.2% Telecommunication Services................... 1.4% Utilities.................................... 0.5% ----- 100.0%
U.S. SMALL CAP VALUE PORTFOLIO Consumer Discretionary....................... 16.1% Consumer Staples............................. 3.9% Energy....................................... 10.5% Financials................................... 27.0% Health Care.................................. 4.3% Industrials.................................. 17.3% Information Technology....................... 13.9% Materials.................................... 6.3% Other........................................ -- Real Estate Investment Trusts................ 0.2% Telecommunication Services................... 0.4% Utilities.................................... 0.1% ----- 100.0%
U.S. CORE EQUITY 1 PORTFOLIO Consumer Discretionary....................... 14.6% Consumer Staples............................. 7.3% Energy....................................... 10.4% Financials................................... 17.3% Health Care.................................. 11.2% Industrials.................................. 13.2% Information Technology....................... 16.3% Materials.................................... 4.7% Other........................................ -- Telecommunication Services................... 2.0% Utilities.................................... 3.0% ----- 100.0%
U.S. CORE EQUITY 2 PORTFOLIO Consumer Discretionary....................... 14.2% Consumer Staples............................. 6.1% Energy....................................... 11.6% Financials................................... 20.2% Health Care.................................. 10.7% Industrials.................................. 13.7% Information Technology....................... 14.0% Materials.................................... 4.9% Other........................................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.1% ----- 100.0%
U.S. VECTOR EQUITY PORTFOLIO Consumer Discretionary....................... 15.0% Consumer Staples............................. 5.1% Energy....................................... 11.5% Financials................................... 24.5% Health Care.................................. 8.2% Industrials.................................. 13.9% Information Technology....................... 12.7% Materials.................................... 6.0% Other........................................ -- Telecommunication Services................... 1.9% Utilities.................................... 1.2% ----- 100.0%
37 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED U.S. SMALL CAP PORTFOLIO Consumer Discretionary....................... 18.8% Consumer Staples............................. 4.4% Energy....................................... 5.2% Financials................................... 16.8% Health Care.................................. 9.6% Industrials.................................. 18.2% Information Technology....................... 18.0% Materials.................................... 5.1% Other........................................ -- Real Estate Investment Trusts................ 0.2% Telecommunication Services................... 0.6% Utilities.................................... 3.1% ----- 100.0%
U.S. MICRO CAP PORTFOLIO Consumer Discretionary....................... 19.3% Consumer Staples............................. 4.3% Energy....................................... 5.2% Financials................................... 17.5% Health Care.................................. 9.4% Industrials.................................. 17.8% Information Technology....................... 17.8% Materials.................................... 6.0% Other........................................ -- Telecommunication Services................... 1.1% Utilities.................................... 1.6% ----- 100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO Real Estate Investment Trusts................ 100.0% ----- 100.0%
LARGE CAP INTERNATIONAL PORTFOLIO Consumer Discretionary....................... 11.6% Consumer Staples............................. 10.3% Energy....................................... 8.8% Financials................................... 25.8% Health Care.................................. 9.2% Industrials.................................. 12.6% Information Technology....................... 4.2% Materials.................................... 9.1% Other........................................ -- Telecommunication Services................... 5.2% Utilities.................................... 3.2% ----- 100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO Consumer Discretionary....................... 13.7% Consumer Staples............................. 6.6% Energy....................................... 8.7% Financials................................... 26.6% Health Care.................................. 5.3% Industrials.................................. 16.9% Information Technology....................... 5.5% Materials.................................... 10.6% Other........................................ -- Telecommunication Services................... 3.2% Utilities.................................... 2.9% ----- 100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Consumer Discretionary....................... 0.1% Financials................................... 0.5% Health Care.................................. -- Other........................................ -- Real Estate Investment Trusts................ 99.4% ----- 100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Consumer Discretionary....................... 20.6% Consumer Staples............................. 3.6% Energy....................................... 4.7% Financials................................... 19.8% Health Care.................................. 2.0% Industrials.................................. 27.9% Information Technology....................... 4.9% Materials.................................... 15.9% Other........................................ -- Telecommunication Services................... 0.3% Utilities.................................... 0.3% ----- 100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO Consumer Discretionary....................... 14.6% Consumer Staples............................. 5.8% Energy....................................... 8.0% Financials................................... 25.5% Health Care.................................. 4.3% Industrials.................................. 19.1% Information Technology....................... 6.1% Materials.................................... 12.2% Other........................................ -- Telecommunication Services................... 2.3% Utilities.................................... 2.1% ----- 100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO Consumer Discretionary....................... 10.7% Consumer Staples............................. 7.5% Energy....................................... 9.8% Financials................................... 25.0% Health Care.................................. 2.5% Industrials.................................. 10.8% Information Technology....................... 13.4% Materials.................................... 12.4% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 4.2% Utilities.................................... 3.6% ----- 100.0%
38 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
FACE AMOUNT^ VALUE+ ------- ------ (000) BONDS -- (55.2%) AUSTRALIA -- (4.3%) Commonwealth Bank of Australia ^^ 3.500%, 03/19/15............................. 4,000 $ 4,158,428 Westpac Banking Corp. ^^ 1.125%, 09/25/15............................. 4,930 4,979,975 ------------ TOTAL AUSTRALIA.................................. 9,138,403 ------------ BELGIUM -- (1.2%) Belgium Government International Bond ^^ 2.750%, 03/05/15............................. 2,500 2,573,925 ------------ CANADA -- (8.9%) Bank of Nova Scotia ^^ 1.850%, 01/12/15............................. 5,000 5,081,080 Enbridge, Inc. ^^ 5.800%, 06/15/14............................. 1,100 1,131,541 Manitoba, Province of Canada ^^ 2.625%, 07/15/15............................. 4,500 4,666,410 Ontario, Province of Canada ^^ 0.950%, 05/26/15............................. 4,500 4,537,935 Thomson Reuters Corp. ^^ 5.700%, 10/01/14............................. 800 837,010 TransAlta Corp. ^^ 4.750%, 01/15/15............................. 925 963,619 TransCanada PipeLines, Ltd. ^^ 3.400%, 06/01/15............................. 1,500 1,565,930 ------------ TOTAL CANADA..................................... 18,783,525 ------------ FRANCE -- (2.0%) BNP Paribas SA ^^ 3.250%, 03/11/15............................. 1,500 1,550,738 Orange SA ^^ 4.375%, 07/08/14............................. 1,000 1,023,692 Total Capital SA ^^ 3.125%, 10/02/15............................. 1,587 1,663,003 ------------ TOTAL FRANCE..................................... 4,237,433 ------------ NETHERLANDS -- (6.7%) Bank Nederlandse Gemeenten ^^ 3.125%, 01/12/15............................. 1,500 1,548,684 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA ^^ 2.500%, 12/12/13............................. 2,000 2,004,134 ^^ 2.125%, 10/13/15............................. 2,532 2,599,521 Nederlandse Waterschapsbank NV ^^ 3.000%, 03/17/15............................. 2,900 3,003,599 Netherlands Government Bond ^^ 0.250%, 09/12/15............................. 5,000 4,987,070 ------------ TOTAL NETHERLANDS................................ 14,143,008 ------------
FACE AMOUNT^ VALUE+ ------- ------ (000) NEW ZEALAND -- (2.4%) New Zealand Government Bond ^^ 6.000%, 04/15/15............................. NZD 6,000 $ 5,161,871 ------------ SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.5%) Inter-American Development Bank ^^ 2.250%, 07/15/15............................. 2,500 2,580,848 International Finance Facility for Immunisation ^^ 3.375%, 05/15/14............................. GBP 3,000 4,873,596 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 7,454,444 ------------ SWEDEN -- (2.1%) Svensk Exportkredit AB ^^ 0.625%, 09/04/15............................. 4,500 4,515,255 ------------ UNITED KINGDOM -- (2.0%) Barclays Bank P.L.C. ^^ 5.200%, 07/10/14............................. 300 309,725 BP Capital Markets P.L.C. ^^ 3.875%, 03/10/15............................. 1,500 1,566,489 Royal Bank of Scotland Group P.L.C. ^^ 2.550%, 09/18/15............................. 700 716,926 Vodafone Group P.L.C. ^^ 5.000%, 12/16/13............................. 1,000 1,005,330 ^^ 4.150%, 06/10/14............................. 500 510,728 ------------ TOTAL UNITED KINGDOM............................. 4,109,198 ------------ UNITED STATES -- (22.1%) American Express Co. ^^ 7.250%, 05/20/14............................. $ 1,100 1,140,621 American International Group, Inc. ^^ 3.000%, 03/20/15............................. 1,500 1,543,209 Amgen, Inc. ^^ 4.850%, 11/18/14............................. 1,900 1,984,955 Anheuser-Busch InBev Worldwide, Inc. ^^ 0.800%, 07/15/15............................. 1,000 1,004,595 Assurant, Inc. ^^ 5.625%, 02/15/14............................. 1,000 1,013,837 AT&T, Inc. ^^ 2.500%, 08/15/15............................. 1,606 1,652,152 Bank of America Corp. ^^ 7.375%, 05/15/14............................. 1,000 1,035,292 Capital One Financial Corp. ^^ 2.125%, 07/15/14............................. 1,000 1,010,868 Citigroup, Inc. ^^ 6.375%, 08/12/14............................. 762 795,436
39 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) CNA Financial Corp. ^^ 5.850%, 12/15/14............................. 1,000 $ 1,053,937 Coca-Cola Enterprises, Inc. ^^ 1.125%, 11/12/13............................. 1,921 1,921,271 Constellation Energy Group, Inc. ^^ 4.550%, 06/15/15............................. 1,000 1,054,155 Daimler Finance North America LLC ^^ 6.500%, 11/15/13............................. 1,500 1,502,546 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. ^^ 4.750%, 10/01/14............................. 1,500 1,555,051 Enterprise Products Operating LLC ^^ 5.600%, 10/15/14............................. 500 523,424 Express Scripts Holding Co. ^^ 2.100%, 02/12/15............................. 1,000 1,015,780 Ford Motor Credit Co. LLC ^^ 2.750%, 05/15/15............................. 1,000 1,026,509 Freeport-McMoRan Copper & Gold, Inc. ^^ 1.400%, 02/13/15............................. 500 502,538 General Electric Capital Corp. ^^ 4.875%, 03/04/15............................. 1,200 1,268,087 Goldman Sachs Group, Inc. (The) ^^ 5.125%, 01/15/15............................. 894 939,233 Hartford Financial Services Group, Inc. ^^ 4.750%, 03/01/14............................. 1,580 1,599,780 HSBC USA, Inc. ^^ 2.375%, 02/13/15............................. 1,000 1,023,009 International Paper Co. ^^ 5.300%, 04/01/15............................. 1,050 1,112,894 JPMorgan Chase & Co. ^^ 2.050%, 01/24/14............................. 1,000 1,004,057 MetLife, Inc. ^^ 5.000%, 11/24/13............................. 350 350,882 Morgan Stanley ^^ 4.200%, 11/20/14............................. 1,500 1,554,595 National City Corp. ^^ 4.900%, 01/15/15............................. 1,500 1,576,506 NextEra Energy Capital Holdings, Inc. ^^ 1.200%, 06/01/15............................. 1,000 1,006,594 Safeway, Inc. ^^ 5.625%, 08/15/14............................. 1,500 1,542,330 Spectra Energy Capital LLC ^^ 5.500%, 03/01/14............................. 1,500 1,522,093 Time Warner Cable, Inc. ^^ 3.500%, 02/01/15............................. 1,000 1,028,576 Toyota Motor Credit Corp. ^^ 0.875%, 07/17/15............................. 2,000 2,014,134 Union Bank NA ^^ 2.125%, 12/16/13............................. 1,050 1,052,267 Viacom, Inc. ^^ 4.375%, 09/15/14............................. 1,500 1,547,665 WellPoint, Inc. ^^ 5.000%, 12/15/14............................. 1,572 1,647,264
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Wells Fargo & Co. ^^ 1.500%, 07/01/15............................. 1,500 $ 1,520,779 Williams Partners L.P. ^^ 3.800%, 02/15/15............................. 1,000 1,036,267 Xerox Corp. ^^ 4.250%, 02/15/15............................. 1,000 1,041,707 ------------ TOTAL UNITED STATES.............................. 46,724,895 ------------ TOTAL BONDS...................................... 116,841,957 ------------ AGENCY OBLIGATIONS -- (26.4%) Federal Home Loan Bank ^^ 0.375%, 08/28/15............................. 11,000 11,016,093 ^^ 1.750%, 09/11/15............................. 4,000 4,104,364 Federal Home Loan Mortgage Corporation ^^ 1.750%, 09/10/15............................. 23,500 24,104,866 Federal National Mortgage Association ^^ 4.375%, 10/15/15............................. 5,000 5,390,740 ^^ 1.625%, 10/26/15............................. 11,000 11,273,592 ------------ TOTAL AGENCY OBLIGATIONS......................... 55,889,655 ------------ U.S. TREASURY OBLIGATIONS -- (14.7%) U.S. Treasury Notes ^^ 1.250%, 08/31/15............................. 5,000 5,088,085 ^^ 0.250%, 09/15/15............................. 26,000 25,978,680 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................. 31,066,765 ------------ SHARES ------ - EXCHANGE-TRADED FUNDS -- (3.7%) UNITED STATES -- (3.7%) ^^ SPDR S&P 500 ETF Trust....................... 44,100 $ 7,749,693 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $207,572,600)............................ $211,548,070 ============
40 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 9,138,403 -- $ 9,138,403 Belgium................................ -- 2,573,925 -- 2,573,925 Canada................................. -- 18,783,525 -- 18,783,525 France................................. -- 4,237,433 -- 4,237,433 Netherlands............................ -- 14,143,008 -- 14,143,008 New Zealand............................ -- 5,161,871 -- 5,161,871 Supranational Organization Obligations. -- 7,454,444 -- 7,454,444 Sweden................................. -- 4,515,255 -- 4,515,255 United Kingdom......................... -- 4,109,198 -- 4,109,198 United States.......................... -- 46,724,895 -- 46,724,895 Agency Obligations....................... -- 55,889,655 -- 55,889,655 U.S. Treasury Obligations................ -- 31,066,765 -- 31,066,765 Exchange-Traded Funds.................... $ 7,749,693 -- -- 7,749,693 Forward Currency Contracts**............. -- (217,267) -- (217,267) Futures Contracts**...................... 7,914,250 -- -- 7,914,250 ----------- ------------ -- ------------ TOTAL.................................... $15,663,943 $203,581,110 -- $219,245,053 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 41 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (78.8%) Consumer Discretionary -- (11.3%) #* Amazon.com, Inc................... 2,368 $ 862,023 0.6% # Comcast Corp. Class A............. 12,656 602,172 0.4% # Ford Motor Co..................... 29,889 511,401 0.4% Home Depot, Inc. (The)............ 10,741 836,616 0.6% McDonald's Corp................... 6,834 659,618 0.5% # Walt Disney Co. (The)............. 11,484 787,688 0.6% Other Securities.................. 14,923,649 11.1% ------------ ----- Total Consumer Discretionary.......... 19,183,167 14.2% ------------ ----- Consumer Staples -- (7.2%) Altria Group, Inc................. 15,353 571,592 0.4% Coca-Cola Co. (The)............... 24,123 954,547 0.7% CVS Caremark Corp................. 8,794 547,514 0.4% PepsiCo, Inc...................... 11,559 971,996 0.7% Philip Morris International, Inc.. 7,357 655,656 0.5% Procter & Gamble Co. (The)........ 16,427 1,326,480 1.0% Wal-Mart Stores, Inc.............. 14,077 1,080,410 0.8% Other Securities.................. 6,156,227 4.5% ------------ ----- Total Consumer Staples................ 12,264,422 9.0% ------------ ----- Energy -- (8.6%) Chevron Corp...................... 15,399 1,847,264 1.4% # ConocoPhillips.................... 9,824 720,099 0.5% Exxon Mobil Corp.................. 33,948 3,042,420 2.2% Occidental Petroleum Corp......... 6,368 611,837 0.4% Schlumberger, Ltd................. 9,413 882,186 0.6% Other Securities.................. 7,529,797 5.7% ------------ ----- Total Energy.......................... 14,633,603 10.8% ------------ ----- Financials -- (10.8%) Bank of America Corp.............. 60,004 837,656 0.6% * Berkshire Hathaway, Inc. Class B.. 7,001 805,675 0.6% Citigroup, Inc.................... 17,040 831,211 0.6% Goldman Sachs Group, Inc. (The)... 3,171 510,087 0.4% JPMorgan Chase & Co............... 21,278 1,096,668 0.8% Wells Fargo & Co.................. 35,385 1,510,586 1.1% Other Securities.................. 12,832,461 9.5% ------------ ----- Total Financials...................... 18,424,344 13.6% ------------ ----- Health Care -- (9.4%) AbbVie, Inc....................... 11,687 566,235 0.4% Amgen, Inc........................ 4,379 507,964 0.4% #* Gilead Sciences, Inc.............. 10,529 747,454 0.6% Johnson & Johnson................. 17,936 1,661,053 1.2% Merck & Co., Inc.................. 16,010 721,891 0.5% Pfizer, Inc....................... 42,830 1,314,024 1.0% UnitedHealth Group, Inc........... 8,727 595,705 0.4% Other Securities.................. 9,891,997 7.3% ------------ ----- Total Health Care..................... 16,006,323 11.8% ------------ -----
42 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (10.1%) 3M Co.............................................. 5,226 $ 657,692 0.5% # Boeing Co. (The)................................... 5,477 714,749 0.5% # Caterpillar, Inc................................... 6,084 507,162 0.4% General Electric Co................................ 60,931 1,592,736 1.2% Union Pacific Corp................................. 3,705 560,937 0.4% # United Parcel Service, Inc. Class B................ 5,411 531,577 0.4% United Technologies Corp........................... 5,829 619,331 0.5% Other Securities................................... 12,050,736 8.8% ------------ ------ Total Industrials........................................ 17,234,920 12.7% ------------ ------ Information Technology -- (14.1%) Apple, Inc......................................... 7,301 3,813,677 2.8% Cisco Systems, Inc................................. 37,573 845,392 0.6% * Google, Inc. Class A............................... 1,196 1,232,574 0.9% # Intel Corp......................................... 49,134 1,200,344 0.9% International Business Machines Corp............... 5,277 945,691 0.7% Mastercard, Inc. Class A........................... 840 602,364 0.5% Microsoft Corp..................................... 58,934 2,083,317 1.5% Oracle Corp........................................ 22,445 751,907 0.6% QUALCOMM, Inc...................................... 10,063 699,077 0.5% # Visa, Inc. Class A................................. 2,928 575,850 0.4% Other Securities................................... 11,166,673 8.3% ------------ ------ Total Information Technology............................. 23,916,866 17.7% ------------ ------ Materials -- (3.5%) Other Securities................................... 5,926,778 4.4% ------------ ------ Telecommunication Services -- (2.0%) AT&T, Inc.......................................... 28,648 1,037,057 0.8% Verizon Communications, Inc........................ 29,531 1,491,611 1.1% Other Securities................................... 803,507 0.6% ------------ ------ Total Telecommunication Services......................... 3,332,175 2.5% ------------ ------ Utilities -- (1.8%) Other Securities................................... 3,161,345 2.3% ------------ ------ TOTAL COMMON STOCKS...................................... 134,083,943 99.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (1.3%) State Street Institutional Liquid Reserves, 0.073% 2,237,177 2,237,177 1.7% ------------ ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (19.9%) (S)@ DFA Short Term Investment Fund..................... 2,917,225 33,752,290 24.9% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $159,513,609).................................. $170,073,410 125.6% ============ ======
43 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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...... $ 19,183,167 -- -- $ 19,183,167 Consumer Staples............ 12,264,422 -- -- 12,264,422 Energy...................... 14,633,603 -- -- 14,633,603 Financials.................. 18,424,344 -- -- 18,424,344 Health Care................. 16,006,323 -- -- 16,006,323 Industrials................. 17,234,920 -- -- 17,234,920 Information Technology...... 23,916,866 -- -- 23,916,866 Materials................... 5,926,778 -- -- 5,926,778 Telecommunication Services.. 3,332,175 -- -- 3,332,175 Utilities................... 3,161,345 -- -- 3,161,345 Temporary Cash Investments.... 2,237,177 -- -- 2,237,177 Securities Lending Collateral. -- $33,752,290 -- 33,752,290 ------------ ----------- -- ------------ TOTAL......................... $136,321,120 $33,752,290 -- $170,073,410 ============ =========== == ============
See accompanying Notes to Financial Statements. 44 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
VALUE+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company..................... $11,967,119,572 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $7,741,066,829)............................. $11,967,119,572 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 45 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (86.6%) Consumer Discretionary -- (11.9%) #* Cabela's, Inc.......................... 289,665 $ 17,182,928 0.4% Dillard's, Inc. Class A................ 211,147 17,309,831 0.4% # GameStop Corp. Class A................. 635,798 34,854,446 0.8% * Live Nation Entertainment, Inc......... 924,308 17,968,548 0.4% # Washington Post Co. (The) Class B...... 30,743 19,777,587 0.5% # Wendy's Co. (The)...................... 2,246,594 19,522,902 0.5% Other Securities....................... 446,579,792 10.6% -------------- ------ Total Consumer Discretionary............... 573,196,034 13.6% -------------- ------ Consumer Staples -- (2.9%) * Hain Celestial Group, Inc. (The)....... 189,025 15,732,551 0.4% Other Securities....................... 125,648,756 3.0% -------------- ------ Total Consumer Staples..................... 141,381,307 3.4% -------------- ------ Energy -- (9.2%) Nabors Industries, Ltd................. 991,502 17,331,455 0.4% # Patterson-UTI Energy, Inc.............. 696,309 16,892,456 0.4% * Rowan Cos. P.L.C. Class A.............. 671,277 24,219,674 0.6% * Superior Energy Services, Inc.......... 633,713 17,002,520 0.4% Tesoro Corp............................ 476,686 23,305,179 0.6% Tidewater, Inc......................... 297,291 17,902,864 0.4% * Whiting Petroleum Corp................. 384,511 25,719,941 0.6% Other Securities....................... 299,773,020 7.1% -------------- ------ Total Energy............................... 442,147,109 10.5% -------------- ------ Financials -- (22.3%) Allied World Assurance Co. Holdings AG. 169,770 18,384,393 0.4% * American Capital, Ltd.................. 1,522,751 21,333,742 0.5% American Financial Group, Inc.......... 459,734 25,864,635 0.6% Assurant, Inc.......................... 471,974 27,601,040 0.7% # Assured Guaranty, Ltd.................. 768,259 15,749,309 0.4% Axis Capital Holdings, Ltd............. 593,046 28,122,241 0.7% CNO Financial Group, Inc............... 1,174,038 18,291,512 0.4% #* E*TRADE Financial Corp................. 1,092,091 18,467,259 0.4% * Genworth Financial, Inc. Class A....... 2,131,699 30,973,586 0.7% # Legg Mason, Inc........................ 731,595 28,144,460 0.7% NASDAQ OMX Group, Inc. (The)........... 858,799 30,427,249 0.7% Old Republic International Corp........ 1,179,426 19,802,563 0.5% PartnerRe, Ltd......................... 321,083 32,175,727 0.8% # People's United Financial, Inc......... 1,477,976 21,327,194 0.5% Protective Life Corp................... 420,743 19,387,837 0.5% Reinsurance Group of America, Inc...... 387,086 27,552,781 0.7% Validus Holdings, Ltd.................. 382,593 15,104,772 0.4% Zions BanCorp.......................... 790,545 22,427,762 0.5% Other Securities....................... 653,986,823 15.4% -------------- ------ Total Financials........................... 1,075,124,885 25.5% -------------- ------ Health Care -- (5.5%) Community Health Systems, Inc.......... 490,559 21,403,089 0.5% Omnicare, Inc.......................... 597,354 32,944,073 0.8% Other Securities....................... 211,790,254 5.0% -------------- ------ Total Health Care.......................... 266,137,416 6.3% -------------- ------
46 U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (13.6%) AMERCO............................................. 84,246 $ 17,011,795 0.4% * Avis Budget Group, Inc............................. 665,365 20,845,885 0.5% * Owens Corning...................................... 624,093 22,423,661 0.5% Ryder System, Inc.................................. 309,611 20,381,692 0.5% # Trinity Industries, Inc............................ 485,295 24,570,486 0.6% URS Corp........................................... 366,165 19,853,466 0.5% Other Securities................................... 534,006,806 12.6% -------------- ------ Total Industrials........................................ 659,093,791 15.6% -------------- ------ Information Technology -- (12.8%) # AOL, Inc........................................... 416,163 15,081,747 0.4% * Arrow Electronics, Inc............................. 462,647 22,216,309 0.5% Avnet, Inc......................................... 602,535 23,920,640 0.6% #* First Solar, Inc................................... 629,345 31,637,173 0.8% * Ingram Micro, Inc. Class A......................... 737,900 17,097,143 0.4% Marvell Technology Group, Ltd...................... 1,425,540 17,106,480 0.4% Other Securities................................... 489,704,916 11.5% -------------- ------ Total Information Technology............................. 616,764,408 14.6% -------------- ------ Materials -- (6.5%) Reliance Steel & Aluminum Co....................... 404,807 29,668,305 0.7% Rock Tenn Co. Class A.............................. 178,696 19,122,259 0.5% Steel Dynamics, Inc................................ 904,475 16,253,416 0.4% Other Securities................................... 248,841,823 5.8% -------------- ------ Total Materials.......................................... 313,885,803 7.4% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.2%) Other Securities................................... 7,868,529 0.2% -------------- ------ Telecommunication Services -- (1.2%) Other Securities................................... 58,657,005 1.4% -------------- ------ Utilities -- (0.5%)...................................... # UGI Corp........................................... 424,799 17,573,935 0.4% Other Securities................................... 5,926,184 0.2% -------------- ------ Total Utilities.......................................... 23,500,119 0.6% -------------- ------ TOTAL COMMON STOCKS...................................... 4,177,756,406 99.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 25,593 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.073%. 25,534,847 25,534,847 0.6% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (12.9%) (S)@ DFA Short Term Investment Fund..................... 53,871,979 623,298,798 14.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,493,026,078)................................ $4,826,615,644 114.5% ============== ======
47 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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........ $ 573,196,034 -- -- $ 573,196,034 Consumer Staples.............. 141,381,307 -- -- 141,381,307 Energy........................ 442,147,109 -- -- 442,147,109 Financials.................... 1,075,117,373 $ 7,512 -- 1,075,124,885 Health Care................... 265,990,921 146,495 -- 266,137,416 Industrials................... 658,984,691 109,100 -- 659,093,791 Information Technology........ 616,764,408 -- -- 616,764,408 Materials..................... 313,885,803 -- -- 313,885,803 Other......................... -- -- -- -- Real Estate Investment Trusts. 7,868,529 -- -- 7,868,529 Telecommunication Services.... 58,657,005 -- -- 58,657,005 Utilities..................... 23,500,119 -- -- 23,500,119 Rights/Warrants................. -- 25,593 -- 25,593 Temporary Cash Investments...... 25,534,847 -- -- 25,534,847 Securities Lending Collateral... -- 623,298,798 -- 623,298,798 -------------- ------------ -- -------------- TOTAL........................... $4,203,028,146 $623,587,498 -- $4,826,615,644 ============== ============ == ==============
See accompanying Notes to Financial Statements. 48 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (85.8%) Consumer Discretionary -- (13.8%) #* Cabela's, Inc........................... 730,898 $ 43,356,869 0.5% #* Iconix Brand Group, Inc................. 2,233,461 80,605,607 0.8% * Live Nation Entertainment, Inc.......... 2,980,399 57,938,957 0.6% Penske Automotive Group, Inc............ 1,250,616 49,549,406 0.5% # Rent-A-Center, Inc...................... 1,772,669 60,696,187 0.6% # Wendy's Co. (The)....................... 5,109,486 44,401,433 0.5% Other Securities........................ 1,183,785,818 12.4% -------------- ------ Total Consumer Discretionary................ 1,520,334,277 15.9% -------------- ------ Consumer Staples -- (3.3%) Fresh Del Monte Produce, Inc............ 1,603,629 42,640,495 0.5% Seaboard Corp........................... 18,588 50,745,240 0.5% # Universal Corp.......................... 830,795 44,057,059 0.5% Other Securities........................ 229,684,189 2.3% -------------- ------ Total Consumer Staples...................... 367,126,983 3.8% -------------- ------ Energy -- (9.1%) Bristow Group, Inc...................... 1,325,217 106,640,212 1.1% #* Exterran Holdings, Inc.................. 2,293,667 65,484,193 0.7% * Helix Energy Solutions Group, Inc....... 3,443,185 81,465,757 0.8% #* Hornbeck Offshore Services, Inc......... 1,311,935 72,510,647 0.8% #* PDC Energy, Inc......................... 643,218 43,616,613 0.5% # SEACOR Holdings, Inc.................... 510,108 49,888,562 0.5% Other Securities........................ 579,294,876 6.1% -------------- ------ Total Energy................................ 998,900,860 10.5% -------------- ------ Financials -- (23.2%) Argo Group International Holdings, Ltd.. 1,019,162 42,784,421 0.5% CapitalSource, Inc...................... 3,605,113 47,154,878 0.5% CNO Financial Group, Inc................ 8,581,021 133,692,307 1.4% # Endurance Specialty Holdings, Ltd....... 1,240,849 68,606,541 0.7% Hanover Insurance Group, Inc. (The)..... 955,408 55,929,584 0.6% Kemper Corp............................. 1,614,877 59,782,747 0.6% # MB Financial, Inc....................... 1,464,568 43,497,670 0.5% #* MBIA, Inc............................... 4,664,368 53,033,864 0.6% Montpelier Re Holdings, Ltd............. 2,155,898 59,524,344 0.6% #* PHH Corp................................ 1,999,053 48,077,225 0.5% Platinum Underwriters Holdings, Ltd..... 978,955 60,881,211 0.7% Provident Financial Services, Inc....... 2,294,791 43,004,383 0.5% # Radian Group, Inc....................... 2,978,199 43,392,359 0.5% Selective Insurance Group, Inc.......... 1,840,980 48,362,545 0.5% Susquehanna Bancshares, Inc............. 5,363,165 63,204,900 0.7% # Umpqua Holdings Corp.................... 4,077,772 66,753,128 0.7% Washington Federal, Inc................. 1,940,982 44,215,570 0.5% Webster Financial Corp.................. 2,225,867 62,079,431 0.7% # Wintrust Financial Corp................. 1,288,249 56,051,714 0.6% Other Securities........................ 1,461,735,985 15.0% -------------- ------ Total Financials............................ 2,561,764,807 26.9% -------------- ------ Health Care -- (3.7%) * LifePoint Hospitals, Inc................ 1,892,213 97,713,879 1.0% Other Securities........................ 308,580,478 3.3% -------------- ------ Total Health Care........................... 406,294,357 4.3% -------------- ------
49 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (14.8%) AMERCO............................................. 343,691 $ 69,401,524 0.7% #* Avis Budget Group, Inc............................. 3,927,269 123,041,338 1.3% * Esterline Technologies Corp........................ 1,145,345 91,810,855 1.0% # GATX Corp.......................................... 1,763,892 90,928,633 1.0% # General Cable Corp................................. 1,577,516 51,947,602 0.6% #* JetBlue Airways Corp............................... 10,286,881 72,933,986 0.8% #* Mobile Mini, Inc................................... 1,175,105 42,444,793 0.5% Other Securities................................... 1,095,470,224 11.3% --------------- ------ Total Industrials........................................ 1,637,978,955 17.2% --------------- ------ Information Technology -- (11.9%) * Benchmark Electronics, Inc......................... 2,299,623 52,270,431 0.6% #* CACI International, Inc. Class A................... 780,459 56,177,439 0.6% # Convergys Corp..................................... 3,909,664 77,176,767 0.8% #* SYNNEX Corp........................................ 1,175,733 72,072,433 0.8% * Tech Data Corp..................................... 836,389 43,542,411 0.5% #* Vishay Intertechnology, Inc........................ 4,709,603 57,786,829 0.6% Other Securities................................... 955,905,032 9.9% --------------- ------ Total Information Technology............................. 1,314,931,342 13.8% --------------- ------ Materials -- (5.4%) * Graphic Packaging Holding Co....................... 5,789,957 48,635,639 0.5% * Louisiana-Pacific Corp............................. 3,503,276 59,590,725 0.6% Other Securities................................... 491,791,727 5.2% --------------- ------ Total Materials.......................................... 600,018,091 6.3% --------------- ------ Other -- (0.0%) Other Securities................................... 85,260 0.0% --------------- ------ Real Estate Investment Trusts -- (0.2%) Other Securities................................... 19,418,367 0.2% --------------- ------ Telecommunication Services -- (0.3%) Other Securities................................... 35,414,331 0.4% --------------- ------ Utilities -- (0.1%) Other Securities................................... 7,908,495 0.1% --------------- ------ TOTAL COMMON STOCKS...................................... 9,470,176,125 99.4% --------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 222,356 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.073%. 58,723,771 58,723,771 0.6% --------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (13.7%) (S)@ DFA Short Term Investment Fund..................... 130,380,635 1,508,503,951 15.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,164,435,164)................................ $11,037,626,203 115.9% =============== ======
50 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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........ $1,520,334,277 -- -- $ 1,520,334,277 Consumer Staples.............. 367,126,983 -- -- 367,126,983 Energy........................ 998,900,860 -- -- 998,900,860 Financials.................... 2,561,714,904 $ 49,903 -- 2,561,764,807 Health Care................... 405,421,123 873,234 -- 406,294,357 Industrials................... 1,637,355,218 623,737 -- 1,637,978,955 Information Technology........ 1,314,931,342 -- -- 1,314,931,342 Materials..................... 600,018,091 -- -- 600,018,091 Other......................... -- 85,260 -- 85,260 Real Estate Investment Trusts. 19,418,367 -- -- 19,418,367 Telecommunication Services.... 35,414,331 -- -- 35,414,331 Utilities..................... 7,908,495 -- -- 7,908,495 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 222,356 -- 222,356 Temporary Cash Investments...... 58,723,771 -- -- 58,723,771 Securities Lending Collateral... -- 1,508,503,951 -- 1,508,503,951 -------------- -------------- -- --------------- TOTAL........................... $9,527,267,762 $1,510,358,441 -- $11,037,626,203 ============== ============== == ===============
See accompanying Notes to Financial Statements. 51 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.8%) Consumer Discretionary -- (13.2%) * Amazon.com, Inc...................... 86,377 $ 31,443,819 0.4% Comcast Corp. Class A................ 725,325 34,510,963 0.5% Home Depot, Inc. (The)............... 350,095 27,268,900 0.4% McDonald's Corp...................... 237,696 22,942,418 0.3% Time Warner, Inc..................... 312,767 21,499,604 0.3% Walt Disney Co. (The)................ 447,208 30,673,997 0.4% Other Securities..................... 928,419,928 12.2% -------------- ------ Total Consumer Discretionary............. 1,096,759,629 14.5% -------------- ------ Consumer Staples -- (6.7%) Coca-Cola Co. (The).................. 932,501 36,899,065 0.5% CVS Caremark Corp.................... 419,936 26,145,215 0.4% Mondelez International, Inc. Class A. 575,836 19,371,123 0.3% PepsiCo, Inc......................... 378,786 31,852,115 0.4% Philip Morris International, Inc..... 379,444 33,816,049 0.5% Procter & Gamble Co. (The)........... 620,688 50,120,556 0.7% Wal-Mart Stores, Inc................. 421,387 32,341,452 0.4% Other Securities..................... 321,110,342 4.1% -------------- ------ Total Consumer Staples................... 551,655,917 7.3% -------------- ------ Energy -- (9.4%) Chevron Corp......................... 671,031 80,496,879 1.1% ConocoPhillips....................... 409,670 30,028,811 0.4% Exxon Mobil Corp..................... 1,499,029 134,342,979 1.8% Occidental Petroleum Corp............ 273,715 26,298,537 0.4% Schlumberger, Ltd.................... 299,627 28,081,042 0.4% Other Securities..................... 483,605,737 6.2% -------------- ------ Total Energy............................. 782,853,985 10.3% -------------- ------ Financials -- (15.7%) American Express Co.................. 241,143 19,725,497 0.3% American International Group, Inc.... 492,240 25,424,196 0.3% Bank of America Corp................. 3,834,941 53,535,776 0.7% * Berkshire Hathaway, Inc. Class B..... 406,267 46,753,206 0.6% Citigroup, Inc....................... 1,073,660 52,373,135 0.7% Goldman Sachs Group, Inc. (The)...... 152,527 24,535,493 0.3% JPMorgan Chase & Co.................. 1,350,398 69,599,513 0.9% U.S. Bancorp......................... 623,331 23,287,646 0.3% Wells Fargo & Co..................... 1,760,712 75,164,795 1.0% Other Securities..................... 915,425,567 12.1% -------------- ------ Total Financials......................... 1,305,824,824 17.2% -------------- ------ Health Care -- (10.2%) Amgen, Inc........................... 197,640 22,926,240 0.3% Bristol-Myers Squibb Co.............. 391,740 20,574,185 0.3% * Gilead Sciences, Inc................. 358,324 25,437,421 0.3% Johnson & Johnson.................... 710,094 65,761,805 0.9% Merck & Co., Inc..................... 801,185 36,125,432 0.5% Pfizer, Inc.......................... 2,220,281 68,118,221 0.9% UnitedHealth Group, Inc.............. 344,956 23,546,697 0.3% Other Securities..................... 583,322,666 7.7% -------------- ------ Total Health Care........................ 845,812,667 11.2% -------------- ------
52 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (12.0%) 3M Co.............................................. 157,069 $ 19,767,134 0.3% Boeing Co. (The)................................... 168,655 22,009,477 0.3% General Electric Co................................ 3,541,296 92,569,477 1.2% Union Pacific Corp................................. 158,185 23,949,209 0.3% United Technologies Corp........................... 215,910 22,940,437 0.3% Other Securities................................... 816,458,383 10.8% -------------- ------ Total Industrials........................................ 997,694,117 13.2% -------------- ------ Information Technology -- (14.8%) Apple, Inc......................................... 195,508 102,123,604 1.4% Cisco Systems, Inc................................. 1,871,862 42,116,895 0.6% * Google, Inc. Class A............................... 65,230 67,224,733 0.9% Intel Corp......................................... 1,702,035 41,580,715 0.6% International Business Machines Corp............... 236,758 42,429,401 0.6% Microsoft Corp..................................... 1,967,669 69,557,099 0.9% Oracle Corp........................................ 843,387 28,253,464 0.4% QUALCOMM, Inc...................................... 373,897 25,974,625 0.4% Visa, Inc. Class A................................. 127,752 25,124,986 0.3% Other Securities................................... 780,908,300 10.1% -------------- ------ Total Information Technology............................. 1,225,293,822 16.2% -------------- ------ Materials -- (4.3%) Other Securities................................... 354,429,733 4.7% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (1.8%) AT&T, Inc.......................................... 1,762,656 63,808,147 0.8% Verizon Communications, Inc........................ 743,452 37,551,761 0.5% Other Securities................................... 49,643,037 0.7% -------------- ------ Total Telecommunication Services......................... 151,002,945 2.0% -------------- ------ Utilities -- (2.7%) Other Securities................................... 225,005,109 3.0% -------------- ------ TOTAL COMMON STOCKS...................................... 7,536,332,748 99.6% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 159,054 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.073%. 31,598,604 31,598,604 0.4% -------------- ------ SHARES/ FACE AMOUNT ------- (000) SECURITIES LENDING COLLATERAL -- (8.8%) (S)@ DFA Short Term Investment Fund..................... 63,360,287 $ 733,078,518 9.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $6,002,014,885)................................ $8,301,168,924 109.7% ============== ======
53 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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...... $1,096,759,629 -- -- $1,096,759,629 Consumer Staples............ 551,655,917 -- -- 551,655,917 Energy...................... 782,853,985 -- -- 782,853,985 Financials.................. 1,305,823,024 $ 1,800 -- 1,305,824,824 Health Care................. 845,796,644 16,023 -- 845,812,667 Industrials................. 997,677,317 16,800 -- 997,694,117 Information Technology...... 1,225,293,822 -- -- 1,225,293,822 Materials................... 354,429,733 -- -- 354,429,733 Other....................... -- -- -- -- Telecommunication Services.. 151,002,945 -- -- 151,002,945 Utilities................... 225,005,109 -- -- 225,005,109 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 159,054 -- 159,054 Temporary Cash Investments.... 31,598,604 -- -- 31,598,604 Securities Lending Collateral. -- 733,078,518 -- 733,078,518 -------------- ------------ -- -------------- TOTAL......................... $7,567,896,729 $733,272,195 -- $8,301,168,924 ============== ============ == ==============
See accompanying Notes to Financial Statements. 54 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.1%) Consumer Discretionary -- (12.8%) Comcast Corp. Class A.................. 1,101,420 $ 52,405,564 0.5% Time Warner, Inc....................... 517,336 35,561,677 0.4% Twenty-First Century Fox, Inc. Class A. 846,333 28,843,029 0.3% Walt Disney Co. (The).................. 830,524 56,965,641 0.6% Other Securities....................... 1,241,097,856 12.4% -------------- ------ Total Consumer Discretionary............... 1,414,873,767 14.2% -------------- ------ Consumer Staples -- (5.4%) CVS Caremark Corp...................... 672,828 41,890,271 0.4% Mondelez International, Inc. Class A... 920,693 30,972,113 0.3% Procter & Gamble Co. (The)............. 646,219 52,182,184 0.5% Wal-Mart Stores, Inc................... 387,774 29,761,655 0.3% Walgreen Co............................ 475,167 28,148,893 0.3% Other Securities....................... 420,011,991 4.3% -------------- ------ Total Consumer Staples..................... 602,967,107 6.1% -------------- ------ Energy -- (10.5%) Anadarko Petroleum Corp................ 289,878 27,622,475 0.3% Chevron Corp........................... 1,090,432 130,808,223 1.3% ConocoPhillips......................... 648,630 47,544,579 0.5% EOG Resources, Inc..................... 150,872 26,915,565 0.3% Exxon Mobil Corp....................... 2,490,947 223,238,670 2.2% Occidental Petroleum Corp.............. 454,609 43,678,833 0.4% Schlumberger, Ltd...................... 239,817 22,475,649 0.2% Other Securities....................... 634,771,552 6.4% -------------- ------ Total Energy............................... 1,157,055,546 11.6% -------------- ------ Financials -- (18.2%) American International Group, Inc...... 778,143 40,191,086 0.4% Ameriprise Financial, Inc.............. 219,392 22,057,672 0.2% Bank of America Corp................... 6,230,807 86,982,066 0.9% * Berkshire Hathaway, Inc. Class B....... 232,188 26,720,195 0.3% BlackRock, Inc......................... 73,022 21,965,748 0.2% Capital One Financial Corp............. 312,923 21,488,422 0.2% Citigroup, Inc......................... 1,762,407 85,970,213 0.9% Goldman Sachs Group, Inc. (The)........ 240,919 38,754,230 0.4% JPMorgan Chase & Co.................... 2,206,428 113,719,299 1.1% MetLife, Inc........................... 512,756 24,258,486 0.3% Morgan Stanley......................... 786,023 22,582,441 0.2% U.S. Bancorp........................... 991,278 37,034,146 0.4% Wells Fargo & Co....................... 2,946,563 125,788,774 1.3% Other Securities....................... 1,343,236,724 13.3% -------------- ------ Total Financials........................... 2,010,749,502 20.1% -------------- ------ Health Care -- (9.6%) Amgen, Inc............................. 259,507 30,102,812 0.3% * Express Scripts Holding Co............. 462,397 28,909,060 0.3% Johnson & Johnson...................... 409,001 37,877,583 0.4% Merck & Co., Inc....................... 1,401,705 63,202,878 0.6% Pfizer, Inc............................ 3,622,771 111,146,614 1.1% UnitedHealth Group, Inc................ 548,645 37,450,508 0.4% Zoetis, Inc............................ 936,170 29,639,142 0.3%
55 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Health Care -- (Continued) Other Securities................................... $ 728,069,628 7.3% -------------- ------ Total Health Care...................................... 1,066,398,225 10.7% -------------- ------ Industrials -- (12.4%) FedEx Corp......................................... 169,074 22,148,694 0.2% General Electric Co................................ 5,963,501 155,885,916 1.6% Union Pacific Corp................................. 261,311 39,562,485 0.4% Other Securities................................... 1,151,499,413 11.5% -------------- ------ Total Industrials...................................... 1,369,096,508 13.7% -------------- ------ Information Technology -- (12.6%) Apple, Inc......................................... 130,247 68,034,520 0.7% Cisco Systems, Inc................................. 3,077,086 69,234,435 0.7% EMC Corp........................................... 1,056,822 25,437,706 0.3% * Google, Inc. Class A............................... 30,564 31,498,647 0.3% Hewlett-Packard Co................................. 1,055,382 25,719,659 0.3% Intel Corp......................................... 2,859,210 69,850,500 0.7% Microsoft Corp..................................... 932,130 32,950,795 0.3% Visa, Inc. Class A................................. 196,429 38,631,691 0.4% Other Securities................................... 1,029,293,792 10.2% -------------- ------ Total Information Technology........................... 1,390,651,745 13.9% -------------- ------ Materials -- (4.4%) Dow Chemical Co. (The)............................. 627,320 24,760,320 0.3% Other Securities................................... 467,559,113 4.6% -------------- ------ Total Materials........................................ 492,319,433 4.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (2.3%) AT&T, Inc.......................................... 3,049,991 110,409,674 1.1% Verizon Communications, Inc........................ 1,449,236 73,200,910 0.7% Other Securities................................... 67,929,375 0.7% -------------- ------ Total Telecommunication Services....................... 251,539,959 2.5% -------------- ------ Utilities -- (1.9%) Other Securities................................... 210,671,606 2.1% -------------- ------ TOTAL COMMON STOCKS.................................... 9,966,323,398 99.8% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 358,381 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.073%. 33,428,910 33,428,910 0.3% -------------- ------
56 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (9.6%) (S)@ DFA Short Term Investment Fund.. 91,671,614 $ 1,060,640,572 10.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,891,276,455).............. $11,060,751,261 110.7% =============== ======
Summary of the Portfolio's investments as of October 31, 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...... $1,414,873,767 -- -- $ 1,414,873,767 Consumer Staples............ 602,967,107 -- -- 602,967,107 Energy...................... 1,157,055,546 -- -- 1,157,055,546 Financials.................. 2,010,745,188 $ 4,314 -- 2,010,749,502 Health Care................. 1,066,360,782 37,443 -- 1,066,398,225 Industrials................. 1,369,054,287 42,221 -- 1,369,096,508 Information Technology...... 1,390,651,745 -- -- 1,390,651,745 Materials................... 492,319,433 -- -- 492,319,433 Other....................... -- -- -- -- Telecommunication Services.. 251,539,959 -- -- 251,539,959 Utilities................... 210,671,606 -- -- 210,671,606 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 358,381 -- 358,381 Temporary Cash Investments.... 33,428,910 -- -- 33,428,910 Securities Lending Collateral. -- 1,060,640,572 -- 1,060,640,572 -------------- -------------- -- --------------- TOTAL......................... $9,999,668,330 $1,061,082,931 -- $11,060,751,261 ============== ============== == ===============
See accompanying Notes to Financial Statements. 57 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (88.1%) Consumer Discretionary -- (13.2%) CBS Corp. Class B....................... 99,468 $ 5,882,537 0.2% Comcast Corp. Class A................... 336,814 16,025,610 0.6% # GameStop Corp. Class A.................. 124,160 6,806,451 0.2% * Jarden Corp............................. 117,655 6,513,381 0.2% * Liberty Interactive Corp. Class A....... 268,740 7,245,230 0.3% Time Warner, Inc........................ 97,900 6,729,646 0.2% Walt Disney Co. (The)................... 118,253 8,110,973 0.3% Other Securities........................ 376,574,031 13.0% -------------- ------ Total Consumer Discretionary................ 433,887,859 15.0% -------------- ------ Consumer Staples -- (4.4%) Bunge, Ltd.............................. 80,340 6,598,324 0.2% CVS Caremark Corp....................... 113,204 7,048,081 0.3% Mondelez International, Inc. Class A.... 260,500 8,763,220 0.3% Procter & Gamble Co. (The).............. 105,525 8,521,144 0.3% Other Securities........................ 115,048,524 4.0% -------------- ------ Total Consumer Staples...................... 145,979,293 5.1% -------------- ------ Energy -- (10.2%) Anadarko Petroleum Corp................. 76,836 7,321,702 0.3% # Chesapeake Energy Corp.................. 371,242 10,379,926 0.4% Chevron Corp............................ 239,958 28,785,362 1.0% ConocoPhillips.......................... 188,785 13,837,941 0.5% Exxon Mobil Corp........................ 250,318 22,433,499 0.8% Murphy Oil Corp......................... 107,339 6,474,689 0.2% Occidental Petroleum Corp............... 111,234 10,687,363 0.4% Tesoro Corp............................. 131,157 6,412,266 0.2% * Weatherford International, Ltd.......... 429,641 7,063,298 0.3% Other Securities........................ 219,997,212 7.4% -------------- ------ Total Energy................................ 333,393,258 11.5% -------------- ------ Financials -- (21.6%) American Financial Group, Inc........... 125,705 7,072,163 0.3% American International Group, Inc....... 128,798 6,652,417 0.2% Ameriprise Financial, Inc............... 68,100 6,846,774 0.2% Bank of America Corp.................... 1,445,171 20,174,587 0.7% Citigroup, Inc.......................... 403,956 19,704,974 0.7% Goldman Sachs Group, Inc. (The)......... 47,945 7,712,433 0.3% Hartford Financial Services Group, Inc.. 219,658 7,402,475 0.3% Invesco, Ltd............................ 186,136 6,282,090 0.2% JPMorgan Chase & Co..................... 570,669 29,412,280 1.0% KeyCorp................................. 499,016 6,252,670 0.2% Lincoln National Corp................... 152,570 6,928,204 0.3% MetLife, Inc............................ 141,103 6,675,583 0.2% Principal Financial Group, Inc.......... 157,281 7,464,556 0.3% Regions Financial Corp.................. 681,506 6,562,903 0.2% Wells Fargo & Co........................ 634,567 27,089,665 0.9% Other Securities........................ 535,707,873 18.5% -------------- ------ Total Financials............................ 707,941,647 24.5% -------------- ------ Health Care -- (7.2%) * Boston Scientific Corp.................. 767,057 8,966,896 0.3% Merck & Co., Inc........................ 149,737 6,751,641 0.2%
58 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Health Care -- (Continued) Omnicare, Inc...................................... 109,511 $ 6,039,532 0.2% Pfizer, Inc........................................ 427,541 13,116,958 0.5% Other Securities................................... 201,362,265 7.0% -------------- ------ Total Health Care........................................ 236,237,292 8.2% -------------- ------ Industrials -- (12.2%) General Electric Co................................ 856,705 22,394,269 0.8% Southwest Airlines Co.............................. 417,610 7,191,244 0.3% Other Securities................................... 370,909,900 12.7% -------------- ------ Total Industrials........................................ 400,495,413 13.8% -------------- ------ Information Technology -- (11.2%) Fidelity National Information Services, Inc........ 150,228 7,323,615 0.3% IAC/InterActiveCorp................................ 115,491 6,166,065 0.2% Intel Corp......................................... 277,316 6,774,830 0.3% * Micron Technology, Inc............................. 569,578 10,070,139 0.4% Visa, Inc. Class A................................. 37,703 7,415,049 0.3% Western Digital Corp............................... 122,881 8,556,204 0.3% Xerox Corp......................................... 731,469 7,270,802 0.3% Other Securities................................... 313,334,785 10.6% -------------- ------ Total Information Technology............................. 366,911,489 12.7% -------------- ------ Materials -- (5.3%) Other Securities................................... 173,155,795 6.0% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (1.7%) AT&T, Inc.......................................... 570,322 20,645,656 0.7% Verizon Communications, Inc........................ 219,736 11,098,865 0.4% Other Securities................................... 23,940,444 0.8% -------------- ------ Total Telecommunication Services......................... 55,684,965 1.9% -------------- ------ Utilities -- (1.1%) Other Securities................................... 35,464,567 1.2% -------------- ------ TOTAL COMMON STOCKS...................................... 2,889,151,578 99.9% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 81,076 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.073%. 6,584,203 6,584,203 0.2% -------------- ------ SHARES/ FACE AMOUNT ------- (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund..................... 33,037,634 382,245,421 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,350,309,267)................................ $3,278,062,278 113.3% ============== ======
59 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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...... $ 433,887,859 -- -- $ 433,887,859 Consumer Staples............ 145,979,293 -- -- 145,979,293 Energy...................... 333,393,258 -- -- 333,393,258 Financials.................. 707,939,630 $ 2,017 -- 707,941,647 Health Care................. 236,209,992 27,300 -- 236,237,292 Industrials................. 400,463,577 31,836 -- 400,495,413 Information Technology...... 366,911,489 -- -- 366,911,489 Materials................... 173,155,795 -- -- 173,155,795 Other....................... -- -- -- -- Telecommunication Services.. 55,684,965 -- -- 55,684,965 Utilities................... 35,464,567 -- -- 35,464,567 Rights/Warrants............... -- 81,076 -- 81,076 Temporary Cash Investments.... 6,584,203 -- -- 6,584,203 Securities Lending Collateral. -- 382,245,421 -- 382,245,421 -------------- ------------ -- -------------- TOTAL......................... $2,895,674,628 $382,387,650 -- $3,278,062,278 ============== ============ == ==============
See accompanying Notes to Financial Statements. 60 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (80.9%) Consumer Discretionary -- (15.2%) #* Bally Technologies, Inc........................ 235,969 $ 17,258,773 0.2% #* Buffalo Wild Wings, Inc........................ 118,248 16,859,800 0.2% #* Cabela's, Inc.................................. 277,885 16,484,138 0.2% # Cheesecake Factory, Inc. (The)................. 366,132 17,299,737 0.2% # Cracker Barrel Old Country Store, Inc.......... 141,046 15,496,724 0.2% #* Lumber Liquidators Holdings, Inc............... 150,634 17,200,896 0.2% * Steven Madden, Ltd............................. 421,193 15,449,359 0.2% * Tenneco, Inc................................... 308,939 16,395,393 0.2% # Thor Industries, Inc........................... 274,686 15,934,535 0.2% Other Securities............................... 1,245,925,653 16.9% -------------- ------ Total Consumer Discretionary....................... 1,394,305,008 18.7% -------------- ------ Consumer Staples -- (3.6%) # Casey's General Stores, Inc.................... 217,078 15,820,645 0.2% #* Darling International, Inc..................... 756,402 17,601,474 0.2% * TreeHouse Foods, Inc........................... 217,722 15,950,314 0.2% Other Securities............................... 279,898,889 3.8% -------------- ------ Total Consumer Staples............................. 329,271,322 4.4% -------------- ------ Energy -- (4.2%) Bristow Group, Inc............................. 199,091 16,020,853 0.2% SemGroup Corp. Class A......................... 262,775 15,868,982 0.2% Other Securities............................... 355,886,047 4.8% -------------- ------ Total Energy....................................... 387,775,882 5.2% -------------- ------ Financials -- (13.6%) * Altisource Portfolio Solutions SA.............. 119,358 18,772,626 0.3% # Bank of Hawaii Corp............................ 279,070 16,180,479 0.2% CNO Financial Group, Inc....................... 978,475 15,244,640 0.2% # TCF Financial Corp............................. 1,012,331 15,367,185 0.2% Webster Financial Corp......................... 569,447 15,881,877 0.2% Other Securities............................... 1,163,975,751 15.6% -------------- ------ Total Financials................................... 1,245,422,558 16.7% -------------- ------ Health Care -- (7.8%) #* Align Technology, Inc.......................... 286,722 16,360,357 0.2% * Charles River Laboratories International, Inc.. 314,552 15,479,104 0.2% # Hill-Rom Holdings, Inc......................... 371,392 15,334,776 0.2% # Owens & Minor, Inc............................. 404,519 15,137,101 0.2% * Thoratec Corp.................................. 353,463 15,266,067 0.2% #* VCA Antech, Inc................................ 578,974 16,471,810 0.2% #* ViroPharma, Inc................................ 389,274 15,111,617 0.2% # West Pharmaceutical Services, Inc.............. 351,188 16,979,940 0.2% Other Securities............................... 586,139,980 8.0% -------------- ------ Total Health Care.................................. 712,280,752 9.6% -------------- ------ Industrials -- (14.7%) # Actuant Corp. Class A.......................... 410,545 15,420,070 0.2% Alliant Techsystems, Inc....................... 169,067 18,406,324 0.3% * Avis Budget Group, Inc......................... 493,987 15,476,613 0.2% Belden, Inc.................................... 250,180 16,827,107 0.2% #* Chart Industries, Inc.......................... 150,375 16,160,801 0.2% Con-way, Inc................................... 380,220 15,665,064 0.2% #* DigitalGlobe, Inc.............................. 493,255 15,695,374 0.2%
61 U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (Continued) EnerSys, Inc....................................... 269,950 $ 17,911,183 0.2% Huntington Ingalls Industries, Inc................. 227,971 16,311,325 0.2% #* MasTec, Inc........................................ 498,398 15,933,784 0.2% #* Middleby Corp...................................... 75,298 17,141,590 0.2% * Spirit Airlines, Inc............................... 478,914 20,665,139 0.3% Other Securities................................... 1,149,286,508 15.5% -------------- ------ Total Industrials...................................... 1,350,900,882 18.1% -------------- ------ Information Technology -- (14.5%) * Acxiom Corp........................................ 457,131 15,190,463 0.2% * Anixter International, Inc......................... 180,205 15,405,725 0.2% FEI Co............................................. 177,398 15,802,614 0.2% # j2 Global, Inc..................................... 290,465 15,969,766 0.2% # Lexmark International, Inc. Class A................ 428,784 15,243,271 0.2% * Tyler Technologies, Inc............................ 169,807 16,422,035 0.2% Other Securities................................... 1,240,890,031 16.7% -------------- ------ Total Information Technology........................... 1,334,923,905 17.9% -------------- ------ Materials -- (4.2%) KapStone Paper and Packaging Corp.................. 298,292 15,499,252 0.2% PolyOne Corp....................................... 529,913 16,056,364 0.2% Sensient Technologies Corp......................... 295,289 15,393,416 0.2% Worthington Industries, Inc........................ 429,704 17,420,200 0.2% Other Securities................................... 318,790,671 4.4% -------------- ------ Total Materials........................................ 383,159,903 5.2% -------------- ------ Other -- (0.0%) Other Securities................................... 7,948 0.0% -------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 12,527,068 0.2% -------------- ------ Telecommunication Services -- (0.5%) Other Securities................................... 41,745,835 0.6% -------------- ------ Utilities -- (2.5%) IDACORP, Inc....................................... 295,434 15,244,395 0.2% Other Securities................................... 218,894,473 2.9% -------------- ------ Total Utilities........................................ 234,138,868 3.1% -------------- ------ TOTAL COMMON STOCKS.................................... 7,426,459,931 99.7% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 135,084 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.073%. 36,842,908 36,842,908 0.5% -------------- ------ SHARES/ FACE AMOUNT ------- (000) SECURITIES LENDING COLLATERAL -- (18.7%) (S)@ DFA Short Term Investment Fund................ 148,525,546 1,718,440,570 23.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $6,979,243,022).............................. $9,181,878,493 123.3% ============== ======
62 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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........ $1,394,305,008 -- -- $1,394,305,008 Consumer Staples.............. 329,271,322 -- -- 329,271,322 Energy........................ 387,775,882 -- -- 387,775,882 Financials.................... 1,245,407,500 $ 15,058 -- 1,245,422,558 Health Care................... 712,185,705 95,047 -- 712,280,752 Industrials................... 1,350,590,743 310,139 -- 1,350,900,882 Information Technology........ 1,334,923,905 -- -- 1,334,923,905 Materials..................... 383,159,903 -- -- 383,159,903 Other......................... -- 7,948 -- 7,948 Real Estate Investment Trusts. 12,527,068 -- -- 12,527,068 Telecommunication Services.... 41,745,835 -- -- 41,745,835 Utilities..................... 234,138,868 -- -- 234,138,868 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 135,084 -- 135,084 Temporary Cash Investments...... 36,842,908 -- -- 36,842,908 Securities Lending Collateral... -- 1,718,440,570 -- 1,718,440,570 -------------- -------------- -- -------------- TOTAL........................... $7,462,874,647 $1,719,003,846 -- $9,181,878,493 ============== ============== == ==============
See accompanying Notes to Financial Statements. 63 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (84.7%) Consumer Discretionary -- (16.4%) * Asbury Automotive Group, Inc........... 297,023 $ 14,271,955 0.3% Belo Corp. Class A..................... 858,259 11,783,896 0.3% #* Conn's, Inc............................ 306,457 18,522,261 0.4% # Dorman Products, Inc................... 311,758 15,154,556 0.3% Finish Line, Inc. (The) Class A........ 451,112 11,295,844 0.2% #* Grand Canyon Education, Inc............ 367,324 17,363,405 0.4% #* Krispy Kreme Doughnuts, Inc............ 624,760 15,156,678 0.3% La-Z-Boy, Inc.......................... 533,688 12,317,519 0.3% Lithia Motors, Inc. Class A............ 188,702 11,859,921 0.3% #* Lumber Liquidators Holdings, Inc....... 109,921 12,551,879 0.3% # Papa John's International, Inc......... 207,021 15,665,279 0.3% #* Pinnacle Entertainment, Inc............ 540,950 12,658,230 0.3% #* Quiksilver, Inc........................ 1,457,888 12,129,628 0.3% #* Red Robin Gourmet Burgers, Inc......... 144,159 10,982,033 0.2% * Scientific Games Corp. Class A......... 650,894 11,898,342 0.3% # Sinclair Broadcast Group, Inc. Class A. 401,740 12,879,784 0.3% # Sturm Ruger & Co., Inc................. 185,803 12,153,374 0.3% Other Securities....................... 676,038,503 14.2% -------------- ----- Total Consumer Discretionary............... 904,683,087 19.3% -------------- ----- Consumer Staples -- (3.7%) Andersons, Inc. (The).................. 165,272 12,259,877 0.3% # J&J Snack Foods Corp................... 176,874 15,135,108 0.3% * Prestige Brands Holdings, Inc.......... 356,410 11,130,684 0.2% #* Susser Holdings Corp................... 220,255 12,078,784 0.3% Other Securities....................... 152,476,392 3.2% -------------- ----- Total Consumer Staples..................... 203,080,845 4.3% -------------- ----- Energy -- (4.4%) Crosstex Energy, Inc................... 478,837 14,695,508 0.3% #* Rex Energy Corp........................ 559,372 12,026,498 0.3% Other Securities....................... 215,434,478 4.6% -------------- ----- Total Energy............................... 242,156,484 5.2% -------------- ----- Financials -- (14.8%) #* Encore Capital Group, Inc.............. 260,253 12,713,359 0.3% FBL Financial Group, Inc. Class A...... 271,726 12,157,021 0.3% # Home BancShares, Inc................... 359,132 12,167,392 0.3% Horace Mann Educators Corp............. 423,287 11,725,050 0.3% * Western Alliance Bancorp............... 615,654 13,021,082 0.3% #* World Acceptance Corp.................. 153,471 15,979,401 0.3% Other Securities....................... 740,587,825 15.6% -------------- ----- Total Financials........................... 818,351,130 17.4% -------------- ----- Health Care -- (8.0%) * Amsurg Corp............................ 287,682 12,338,681 0.3% Analogic Corp.......................... 123,960 11,432,831 0.3% * Corvel Corp............................ 270,276 11,243,482 0.2% #* Hanger, Inc............................ 311,307 11,424,967 0.2% * Medidata Solutions, Inc................ 116,683 12,871,302 0.3% * NuVasive, Inc.......................... 346,328 11,006,304 0.2% Other Securities....................... 371,022,710 7.9% -------------- ----- Total Health Care.......................... 441,340,277 9.4% -------------- -----
64 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (15.0%) # AAON, Inc.......................................... 410,994 $ 11,100,948 0.2% #* EnPro Industries, Inc.............................. 198,137 11,822,835 0.3% Mueller Water Products, Inc. Class A............... 1,458,942 12,503,133 0.3% Other Securities................................... 796,876,867 16.9% -------------- ------ Total Industrials........................................ 832,303,783 17.7% -------------- ------ Information Technology -- (15.0%) * Electronics for Imaging, Inc....................... 383,228 13,148,553 0.3% # Heartland Payment Systems, Inc..................... 334,773 13,541,568 0.3% * iGATE Corp......................................... 533,687 16,992,594 0.4% * Integrated Device Technology, Inc.................. 1,226,260 13,047,406 0.3% * Manhattan Associates, Inc.......................... 199,341 21,231,810 0.5% NIC, Inc........................................... 456,902 11,248,927 0.2% #* SunEdison, Inc..................................... 1,431,312 13,311,202 0.3% #* Tyler Technologies, Inc............................ 216,321 20,920,404 0.5% #* Unisys Corp........................................ 418,812 11,035,696 0.2% Other Securities................................... 697,874,426 14.7% -------------- ------ Total Information Technology............................. 832,352,586 17.7% -------------- ------ Materials -- (5.1%) # Balchem Corp....................................... 210,062 12,028,150 0.3% KapStone Paper and Packaging Corp.................. 331,563 17,228,013 0.4% Other Securities................................... 251,104,753 5.3% -------------- ------ Total Materials.......................................... 280,360,916 6.0% -------------- ------ Other -- (0.0%) Other Securities................................... 58,742 0.0% -------------- ------ Telecommunication Services -- (0.9%) Other Securities................................... 51,451,236 1.1% -------------- ------ Utilities -- (1.4%) # MGE Energy, Inc.................................... 194,367 10,944,806 0.2% Other Securities................................... 66,128,649 1.4% -------------- ------ Total Utilities.......................................... 77,073,455 1.6% -------------- ------ TOTAL COMMON STOCKS...................................... 4,683,212,541 99.7% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 210,244 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.073%. 12,694,109 12,694,109 0.3% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (15.1%) (S)@ DFA Short Term Investment Fund..................... 72,160,431 834,896,185 17.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,910,422,847)................................ $5,531,013,079 117.8% ============== ======
65 U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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...... $ 904,683,087 -- -- $ 904,683,087 Consumer Staples............ 203,080,845 -- -- 203,080,845 Energy...................... 242,156,484 -- -- 242,156,484 Financials.................. 818,331,155 $ 19,975 -- 818,351,130 Health Care................. 441,203,823 136,454 -- 441,340,277 Industrials................. 832,031,098 272,685 -- 832,303,783 Information Technology...... 832,352,586 -- -- 832,352,586 Materials................... 280,360,916 -- -- 280,360,916 Other....................... -- 58,742 -- 58,742 Telecommunication Services.. 51,451,236 -- -- 51,451,236 Utilities................... 77,073,455 -- -- 77,073,455 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 210,244 -- 210,244 Temporary Cash Investments.... 12,694,109 -- -- 12,694,109 Securities Lending Collateral. -- 834,896,185 -- 834,896,185 -------------- ------------ -- -------------- TOTAL......................... $4,695,418,794 $835,594,285 -- $5,531,013,079 ============== ============ == ==============
See accompanying Notes to Financial Statements. 66 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.1%) Real Estate Investment Trusts -- (90.1%) Alexandria Real Estate Equities, Inc.......... 695,800 $ 45,769,724 1.0% American Campus Communities, Inc.............. 1,021,570 35,305,459 0.8% Apartment Investment & Management Co. Class A. 1,422,561 39,803,257 0.8% AvalonBay Communities, Inc.................... 1,187,772 148,530,889 3.2% BioMed Realty Trust, Inc...................... 1,873,201 37,314,164 0.8% # Boston Properties, Inc........................ 1,469,768 152,120,988 3.2% # BRE Properties, Inc........................... 748,334 40,866,520 0.9% # Camden Property Trust......................... 813,176 52,205,899 1.1% # CBL & Associates Properties, Inc.............. 1,573,700 31,174,997 0.7% DCT Industrial Trust, Inc..................... 3,084,629 23,905,875 0.5% # DDR Corp...................................... 2,687,030 45,545,158 1.0% # Digital Realty Trust, Inc..................... 1,252,136 59,676,802 1.3% Douglas Emmett, Inc........................... 1,306,857 32,579,945 0.7% # Duke Realty Corp.............................. 3,169,047 52,511,109 1.1% EPR Properties................................ 459,789 23,619,361 0.5% Equity Lifestyle Properties, Inc.............. 767,442 29,155,122 0.6% Equity Residential............................ 3,311,495 173,389,878 3.7% # Essex Property Trust, Inc..................... 361,408 58,186,688 1.2% Extra Space Storage, Inc...................... 1,019,883 46,904,419 1.0% Federal Realty Investment Trust............... 634,951 65,780,924 1.4% # General Growth Properties, Inc................ 4,695,708 99,689,881 2.1% HCP, Inc...................................... 4,408,569 182,955,613 3.9% # Health Care REIT, Inc......................... 2,764,928 179,305,581 3.8% # Highwoods Properties, Inc..................... 861,200 33,242,320 0.7% # Home Properties, Inc.......................... 540,171 32,577,713 0.7% Hospitality Properties Trust.................. 1,362,466 40,029,251 0.9% # Host Hotels & Resorts, Inc.................... 7,174,023 133,078,127 2.8% Kilroy Realty Corp............................ 737,362 39,198,164 0.8% Kimco Realty Corp............................. 3,993,958 85,790,218 1.8% LaSalle Hotel Properties...................... 914,451 28,393,703 0.6% Liberty Property Trust........................ 1,234,123 45,897,034 1.0% # Macerich Co. (The)............................ 1,365,999 80,880,801 1.7% # Mid-America Apartment Communities, Inc........ 673,731 44,735,738 1.0% # National Retail Properties, Inc............... 1,179,889 40,588,182 0.9% # Omega Healthcare Investors, Inc............... 1,113,809 37,023,011 0.8% Piedmont Office Realty Trust, Inc. Class A.... 1,593,397 29,445,977 0.6% Post Properties, Inc.......................... 526,602 24,086,775 0.5% Prologis, Inc................................. 4,760,982 190,201,231 4.1% Public Storage................................ 1,371,481 228,996,183 4.9% # Realty Income Corp............................ 1,888,595 78,659,982 1.7% # Regency Centers Corp.......................... 890,192 45,987,319 1.0% # Senior Housing Properties Trust............... 1,809,267 44,580,339 1.0% Simon Property Group, Inc..................... 2,902,908 448,644,431 9.6% # SL Green Realty Corp.......................... 882,170 83,426,817 1.8% # Tanger Factory Outlet Centers................. 896,460 31,241,631 0.7% Taubman Centers, Inc.......................... 606,482 39,900,451 0.9% # UDR, Inc...................................... 2,381,995 59,097,296 1.3% Ventas, Inc................................... 2,812,708 183,501,070 3.9% # Vornado Realty Trust.......................... 1,600,928 142,578,648 3.0%
67 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Real Estate Investment Trusts -- (Continued) # Weingarten Realty Investors........................ 1,100,402 $ 34,915,755 0.7% Other Securities................................... 687,421,830 14.7% -------------- ------ TOTAL COMMON STOCKS...................................... 4,650,418,250 99.4% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.073%. 14,133,145 $ 14,133,145 0.3% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (9.6%) (S)@ DFA Short Term Investment Fund..................... 43,040,993 497,984,294 10.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,829,858,283)................................ $5,162,535,689 110.4% ============== ======
Summary of the Portfolio's investments as of October 31, 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. $4,650,418,250 -- -- $4,650,418,250 Temporary Cash Investments...... 14,133,145 -- -- 14,133,145 Securities Lending Collateral... -- $497,984,294 -- 497,984,294 -------------- ------------ -- -------------- TOTAL........................... $4,664,551,395 $497,984,294 -- $5,162,535,689 ============== ============ == ==============
See accompanying Notes to Financial Statements. 68 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.6%) AUSTRALIA -- (6.7%) Australia & New Zealand Banking Group, Ltd.. 528,683 $ 16,918,041 0.6% BHP Billiton, Ltd........................... 460,036 16,263,826 0.6% Commonwealth Bank of Australia.............. 294,908 21,234,117 0.8% National Australia Bank, Ltd................ 468,608 15,661,273 0.6% Westpac Banking Corp........................ 511,050 16,592,333 0.6% Other Securities............................ 113,841,998 4.1% ------------ ---- TOTAL AUSTRALIA................................. 200,511,588 7.3% ------------ ---- AUSTRIA -- (0.2%) Other Securities............................ 7,474,217 0.3% ------------ ---- BELGIUM -- (1.0%) Anheuser-Busch InBev NV..................... 120,883 12,531,168 0.5% Other Securities............................ 16,642,740 0.6% ------------ ---- TOTAL BELGIUM................................... 29,173,908 1.1% ------------ ---- CANADA -- (8.7%) Bank of Nova Scotia......................... 196,436 11,942,721 0.4% # Royal Bank of Canada........................ 243,989 16,385,278 0.6% # Suncor Energy, Inc.......................... 279,079 10,141,757 0.4% # Toronto-Dominion Bank (The)................. 160,784 14,748,364 0.5% Other Securities............................ 206,333,950 7.5% ------------ ---- TOTAL CANADA.................................... 259,552,070 9.4% ------------ ---- DENMARK -- (1.1%) Other Securities............................ 31,731,194 1.2% ------------ ---- FINLAND -- (0.8%) Other Securities............................ 23,527,291 0.9% ------------ ---- FRANCE -- (8.2%) BNP Paribas SA.............................. 204,665 15,098,779 0.6% Sanofi...................................... 180,968 19,295,374 0.7% Total SA.................................... 261,686 16,055,204 0.6% # Total SA Sponsored ADR...................... 157,489 9,635,177 0.4% Other Securities............................ 185,367,852 6.6% ------------ ---- TOTAL FRANCE.................................... 245,452,386 8.9% ------------ ---- GERMANY -- (7.0%) Allianz SE.................................. 67,247 11,290,927 0.4% BASF SE..................................... 164,609 17,088,800 0.6% Bayer AG.................................... 118,085 14,648,707 0.5% Daimler AG.................................. 185,463 15,184,741 0.6% SAP AG...................................... 136,242 10,661,226 0.4% Siemens AG.................................. 87,275 11,153,059 0.4% Other Securities............................ 129,286,200 4.7% ------------ ---- TOTAL GERMANY................................... 209,313,660 7.6% ------------ ---- GREECE -- (0.0%) Other Securities............................ 793,969 0.0% ------------ ----
69 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.5%) AIA Group, Ltd........................... 2,150,000 $ 10,917,334 0.4% Other Securities......................... 63,345,322 2.3% ------------ ----- TOTAL HONG KONG.............................. 74,262,656 2.7% ------------ ----- IRELAND -- (0.3%) Other Securities......................... 8,690,808 0.3% ------------ ----- ISRAEL -- (0.4%) Other Securities......................... 11,269,348 0.4% ------------ ----- ITALY -- (1.8%) Other Securities......................... 55,229,204 2.0% ------------ ----- JAPAN -- (17.6%) # Mitsubishi UFJ Financial Group, Inc. ADR. 1,455,897 9,317,741 0.4% # Softbank Corp............................ 179,200 13,382,451 0.5% Sumitomo Mitsui Financial Group, Inc..... 261,540 12,641,764 0.5% Toyota Motor Corp........................ 324,100 21,014,052 0.8% # Toyota Motor Corp. Sponsored ADR......... 94,713 12,257,756 0.5% Other Securities......................... 458,623,170 16.4% ------------ ----- TOTAL JAPAN.................................. 527,236,934 19.1% ------------ ----- NETHERLANDS -- (2.1%) Unilever NV.............................. 242,733 9,623,254 0.3% Other Securities......................... 53,835,902 2.0% ------------ ----- TOTAL NETHERLANDS............................ 63,459,156 2.3% ------------ ----- NEW ZEALAND -- (0.1%) Other Securities......................... 2,790,304 0.1% ------------ ----- NORWAY -- (0.9%) Other Securities......................... 25,978,042 0.9% ------------ ----- PORTUGAL -- (0.1%) Other Securities......................... 4,158,396 0.2% ------------ ----- SINGAPORE -- (1.2%) Other Securities......................... 36,936,063 1.3% ------------ ----- SPAIN -- (2.8%) Banco Santander SA....................... 1,225,631 10,865,540 0.4% Other Securities......................... 72,329,930 2.6% ------------ ----- TOTAL SPAIN.................................. 83,195,470 3.0% ------------ ----- SWEDEN -- (2.6%) Other Securities......................... 77,665,677 2.8% ------------ ----- SWITZERLAND -- (7.5%) Cie Financiere Richemont SA.............. 97,651 9,984,783 0.4% Nestle SA................................ 605,460 43,704,470 1.6% Novartis AG.............................. 288,619 22,403,348 0.8% Novartis AG ADR.......................... 164,130 12,728,282 0.5% Roche Holding AG......................... 127,069 35,139,075 1.3% UBS AG................................... 640,816 12,394,061 0.5% Other Securities......................... 88,296,444 3.1% ------------ ----- TOTAL SWITZERLAND............................ 224,650,463 8.2% ------------ -----
70 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (18.0%) # Barclays P.L.C. Sponsored ADR.................................. 548,981 $ 9,228,371 0.3% BG Group P.L.C................................................. 604,431 12,330,190 0.5% BP P.L.C. Sponsored ADR........................................ 563,945 26,223,442 1.0% British American Tobacco P.L.C................................. 285,586 15,756,419 0.6% Diageo P.L.C. Sponsored ADR.................................... 78,259 9,985,066 0.4% GlaxoSmithKline P.L.C.......................................... 528,451 13,931,212 0.5% GlaxoSmithKline P.L.C. Sponsored ADR........................... 204,043 10,738,783 0.4% HSBC Holdings P.L.C............................................ 1,638,724 17,962,609 0.7% HSBC Holdings P.L.C. Sponsored ADR............................. 437,209 24,063,982 0.9% Reckitt Benckiser Group P.L.C.................................. 119,067 9,258,539 0.3% Royal Dutch Shell P.L.C. ADR................................... 392,289 27,271,931 1.0% SABMiller P.L.C................................................ 177,232 9,241,009 0.3% Standard Chartered P.L.C....................................... 439,931 10,562,736 0.4% Tesco P.L.C.................................................... 1,584,008 9,239,736 0.3% Vodafone Group P.L.C........................................... 3,370,096 12,343,843 0.5% Vodafone Group P.L.C. Sponsored ADR............................ 614,634 22,630,824 0.8% Other Securities............................................... 297,153,404 10.6% -------------- ------ TOTAL UNITED KINGDOM................................................. 537,922,096 19.5% -------------- ------ TOTAL COMMON STOCKS.................................................. 2,740,974,900 99.5% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities............................................... 1,799,085 0.1% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities............................................... 48,992 0.0% -------------- ------ TOTAL PREFERRED STOCKS............................................... 1,848,077 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities............................................... 9 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities............................................... -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................... 264,592 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................................ 264,601 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (8.3%)........................ (S)@ DFA Short Term Investment Fund................................. 21,521,175 249,000,000 9.0% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $382,392 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $345,804) to be repurchased at $339,025...................................................... $ 339 $ 339,024 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 249,339,024 9.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,354,552,422)............................................ $2,992,426,602 108.6% ============== ======
71 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................... $ 7,579,926 $ 192,931,662 -- $ 200,511,588 Austria..................... 39,912 7,434,305 -- 7,474,217 Belgium..................... 3,501,712 25,672,196 -- 29,173,908 Canada...................... 259,552,070 -- -- 259,552,070 Denmark..................... 3,885,244 27,845,950 -- 31,731,194 Finland..................... 1,725,032 21,802,259 -- 23,527,291 France...................... 20,822,557 224,629,829 -- 245,452,386 Germany..................... 31,001,562 178,312,098 -- 209,313,660 Greece...................... -- 793,969 -- 793,969 Hong Kong................... 1,002,081 73,260,575 -- 74,262,656 Ireland..................... 2,489,101 6,201,707 -- 8,690,808 Israel...................... 5,679,502 5,589,846 -- 11,269,348 Italy....................... 8,130,392 47,098,812 -- 55,229,204 Japan....................... 43,398,542 483,838,392 -- 527,236,934 Netherlands................. 9,144,980 54,314,176 -- 63,459,156 New Zealand................. -- 2,790,304 -- 2,790,304 Norway...................... 2,122,512 23,855,530 -- 25,978,042 Portugal.................... 91,147 4,067,249 -- 4,158,396 Singapore................... -- 36,936,063 -- 36,936,063 Spain....................... 23,202,999 59,992,471 -- 83,195,470 Sweden...................... 720,670 76,945,007 -- 77,665,677 Switzerland................. 24,836,474 199,813,989 -- 224,650,463 United Kingdom.............. 185,603,990 352,318,106 -- 537,922,096 Preferred Stocks Germany..................... -- 1,799,085 -- 1,799,085 United Kingdom.............. -- 48,992 -- 48,992 Rights/Warrants France...................... -- 9 -- 9 Hong Kong................... -- -- -- -- Spain....................... -- 264,592 -- 264,592 Securities Lending Collateral. -- 249,339,024 -- 249,339,024 ------------ -------------- -- -------------- TOTAL......................... $634,530,405 $2,357,896,197 -- $2,992,426,602 ============ ============== == ==============
See accompanying Notes to Financial Statements. 72 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (89.7%) AUSTRALIA -- (5.8%) Australia & New Zealand Banking Group, Ltd.. 1,021,663 $ 32,693,574 0.4% Commonwealth Bank of Australia.............. 291,226 20,969,002 0.2% National Australia Bank, Ltd................ 1,341,565 44,836,230 0.5% Wesfarmers, Ltd............................. 579,851 23,529,741 0.3% Westpac Banking Corp........................ 896,764 29,115,366 0.3% Other Securities............................ 462,209,534 4.8% ------------ ---- TOTAL AUSTRALIA................................. 613,353,447 6.5% ------------ ---- AUSTRIA -- (0.5%) Other Securities............................ 50,266,444 0.5% ------------ ---- BELGIUM -- (1.1%) Other Securities............................ 113,946,202 1.2% ------------ ---- CANADA -- (7.9%) # Royal Bank of Canada........................ 326,040 21,895,479 0.2% # Suncor Energy, Inc.......................... 654,429 23,782,011 0.3% # Toronto-Dominion Bank (The)................. 350,772 32,175,547 0.4% Other Securities............................ 747,748,586 7.8% ------------ ---- TOTAL CANADA.................................... 825,601,623 8.7% ------------ ---- CHINA -- (0.0%) Other Securities............................ 636,480 0.0% ------------ ---- COLOMBIA -- (0.0%) Other Securities............................ 5,577 0.0% ------------ ---- DENMARK -- (1.1%) Other Securities............................ 120,227,098 1.3% ------------ ---- FINLAND -- (1.5%) #* Nokia Oyj................................ 3,651,928 27,757,495 0.3% Other Securities............................ 131,584,399 1.4% ------------ ---- TOTAL FINLAND................................... 159,341,894 1.7% ------------ ---- FRANCE -- (7.1%) BNP Paribas SA.............................. 568,069 41,908,229 0.5% Cie de St-Gobain............................ 446,784 23,451,715 0.3% Sanofi...................................... 201,598 21,495,009 0.2% Sanofi ADR.................................. 562,231 30,068,114 0.3% Societe Generale SA......................... 443,771 25,068,404 0.3% Total SA.................................... 351,482 21,564,452 0.2% # Total SA Sponsored ADR.................... 595,142 36,410,788 0.4% Other Securities............................ 542,884,779 5.6% ------------ ---- TOTAL FRANCE.................................... 742,851,490 7.8% ------------ ---- GERMANY -- (5.9%) Allianz SE.................................. 171,092 28,726,742 0.3% Daimler AG.................................. 469,210 38,416,462 0.4% Deutsche Post AG............................ 639,180 21,585,987 0.2% Muenchener Rueckversicherungs AG............ 106,008 22,116,689 0.2% # Siemens AG Sponsored ADR.................. 200,444 25,658,836 0.3%
73 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) Other Securities...................... $ 483,963,547 5.1% -------------- ----- TOTAL GERMANY............................. 620,468,263 6.5% -------------- ----- GREECE -- (0.3%) Other Securities...................... 27,568,233 0.3% -------------- ----- HONG KONG -- (2.4%) Other Securities...................... 251,199,528 2.6% -------------- ----- IRELAND -- (0.5%) Other Securities...................... 47,557,895 0.5% -------------- ----- ISRAEL -- (0.5%) Other Securities...................... 57,292,967 0.6% -------------- ----- ITALY -- (2.2%) Other Securities...................... 234,965,473 2.5% -------------- ----- JAPAN -- (18.4%) Mitsubishi UFJ Financial Group, Inc... 5,724,200 36,453,212 0.4% Mizuho Financial Group, Inc........... 12,919,560 27,118,957 0.3% # Sumitomo Mitsui Financial Group, Inc.. 704,570 34,056,003 0.4% # Toyota Motor Corp. Sponsored ADR...... 360,892 46,706,643 0.5% Other Securities...................... 1,790,048,090 18.7% -------------- ----- TOTAL JAPAN............................... 1,934,382,905 20.3% -------------- ----- NETHERLANDS -- (2.5%) Other Securities...................... 268,159,365 2.8% -------------- ----- NEW ZEALAND -- (0.2%) Other Securities...................... 25,919,358 0.3% -------------- ----- NORWAY -- (0.9%) Other Securities...................... 99,167,065 1.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities...................... 29,533,212 0.3% -------------- ----- RUSSIA -- (0.0%) Other Securities...................... 289,979 0.0% -------------- ----- SINGAPORE -- (1.3%) Other Securities...................... 131,481,204 1.4% -------------- ----- SPAIN -- (2.3%) Banco Santander SA.................... 3,256,138 28,866,513 0.3% # Banco Santander SA Sponsored ADR...... 2,364,383 21,066,653 0.2% Other Securities...................... 190,898,283 2.0% -------------- ----- TOTAL SPAIN............................... 240,831,449 2.5% -------------- ----- SWEDEN -- (2.8%) Nordea Bank AB........................ 1,635,765 20,923,901 0.2% Other Securities...................... 273,453,290 2.9% -------------- ----- TOTAL SWEDEN.............................. 294,377,191 3.1% -------------- -----
74 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (6.4%) ABB, Ltd................................ 1,199,336 $ 30,556,144 0.3% Credit Suisse Group AG.................. 1,122,531 34,919,631 0.4% Nestle SA............................... 587,284 42,392,455 0.5% # Novartis AG ADR......................... 818,651 63,486,385 0.7% Roche Holding AG........................ 81,978 22,669,818 0.3% Swiss Re AG............................. 372,384 32,688,839 0.4% UBS AG.................................. 1,749,489 33,836,974 0.4% Zurich Insurance Group AG............... 160,459 44,338,545 0.5% Other Securities........................ 366,397,186 3.6% -------------- ----- TOTAL SWITZERLAND........................... 671,285,977 7.1% -------------- ----- UNITED KINGDOM -- (17.8%) Anglo American P.L.C.................... 1,131,410 26,901,050 0.3% AstraZeneca P.L.C. Sponsored ADR........ 424,722 22,450,805 0.2% Barclays P.L.C. Sponsored ADR........... 2,263,921 38,056,512 0.4% BG Group P.L.C.......................... 1,429,345 29,158,159 0.3% BP P.L.C. Sponsored ADR................. 1,845,938 85,836,114 0.9% # HSBC Holdings P.L.C. Sponsored ADR...... 1,877,265 103,324,666 1.1% * Lloyds Banking Group P.L.C.............. 23,313,762 28,834,377 0.3% Prudential P.L.C. ADR................... 651,676 26,692,649 0.3% # Rio Tinto P.L.C. Sponsored ADR.......... 458,818 23,262,073 0.3% Royal Dutch Shell P.L.C. ADR(780259107). 1,430,280 99,433,066 1.1% Royal Dutch Shell P.L.C. ADR(780259206). 364,923 24,325,767 0.3% Standard Chartered P.L.C................ 1,125,564 27,024,772 0.3% Tesco P.L.C............................. 5,453,611 31,811,663 0.3% Vodafone Group P.L.C. Sponsored ADR..... 2,394,771 88,175,468 0.9% Other Securities........................ 1,212,613,734 12.7% -------------- ----- TOTAL UNITED KINGDOM........................ 1,867,900,875 19.7% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 310,865 0.0% -------------- ----- TOTAL COMMON STOCKS......................... 9,428,922,059 99.2% -------------- ----- PREFERRED STOCKS -- (0.1%) FRANCE -- (0.0%) Other Securities........................ 5,197 0.0% -------------- ----- GERMANY -- (0.1%) Other Securities........................ 5,206,955 0.1% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 126,482 0.0% -------------- ----- TOTAL PREFERRED STOCKS...................... 5,338,634 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ----- AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities........................ 13 0.0% -------------- -----
75 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities............................................ $ -- 0.0% --------------- ------ ITALY -- (0.0%) Other Securities............................................ 11,809 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities............................................ 702,942 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS............................................. 714,764 0.0% --------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (10.2%) (S)@ DFA Short Term Investment Fund.............................. 92,912,705 1,075,000,000 11.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $5,584,879 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $5,050,512) to be repurchased at $4,951,499................................................. $ 4,951 4,951,482 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,079,951,482 11.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $9,059,936,275)......................................... $10,514,926,939 110.6% =============== ======
76 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................... $ 26,885,569 $ 586,467,878 -- $ 613,353,447 Austria..................... 69,846 50,196,598 -- 50,266,444 Belgium..................... 11,058,577 102,887,625 -- 113,946,202 Canada...................... 825,577,170 24,453 -- 825,601,623 China....................... 40,881 595,599 -- 636,480 Colombia.................... 5,577 -- -- 5,577 Denmark..................... 4,247,252 115,979,846 -- 120,227,098 Finland..................... 3,875,723 155,466,171 -- 159,341,894 France...................... 103,088,833 639,762,657 -- 742,851,490 Germany..................... 85,519,236 534,949,027 -- 620,468,263 Greece...................... 770,734 26,797,499 -- 27,568,233 Hong Kong................... 997,646 250,201,882 -- 251,199,528 Ireland..................... 14,908,209 32,649,686 -- 47,557,895 Israel...................... 13,909,511 43,383,456 -- 57,292,967 Italy....................... 22,099,821 212,865,652 -- 234,965,473 Japan....................... 121,410,252 1,812,972,653 -- 1,934,382,905 Netherlands................. 45,818,932 222,340,433 -- 268,159,365 New Zealand................. 113,994 25,805,364 -- 25,919,358 Norway...................... 10,556,193 88,610,872 -- 99,167,065 Portugal.................... 265,178 29,268,034 -- 29,533,212 Russia...................... -- 289,979 -- 289,979 Singapore................... 1,996 131,479,208 -- 131,481,204 Spain....................... 43,141,304 197,690,145 -- 240,831,449 Sweden...................... 8,713,099 285,664,092 -- 294,377,191 Switzerland................. 107,694,359 563,591,618 -- 671,285,977 United Kingdom.............. 646,060,323 1,221,840,552 -- 1,867,900,875 United States............... 310,865 -- -- 310,865 Preferred Stocks France...................... 5,197 -- -- 5,197 Germany..................... -- 5,206,955 -- 5,206,955 United Kingdom.............. -- 126,482 -- 126,482 Rights/Warrants Australia................... -- -- -- -- Austria..................... -- -- -- -- France...................... -- 13 -- 13 Hong Kong................... -- -- -- -- Italy....................... -- 11,809 -- 11,809 Spain....................... -- 702,942 -- 702,942 Securities Lending Collateral. -- 1,079,951,482 -- 1,079,951,482 -------------- -------------- -- --------------- TOTAL......................... $2,097,146,277 $8,417,780,662 -- $10,514,926,939 ============== ============== == ===============
See accompanying Notes to Financial Statements. 77 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
VALUE+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $3,041,110,694 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 1,939,554,064 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 1,867,328,817 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 934,206,430 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 727,206,971 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,870,589,846)............................... 8,509,406,976 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $6,870,589,846)............................... $8,509,406,976 ==============
Summary of the Portfolio's investments as of October 31, 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. $8,509,406,976 -- -- $8,509,406,976 -------------- -- -- -------------- TOTAL........................... $8,509,406,976 -- -- $8,509,406,976 ============== == == ==============
See accompanying Notes to Financial Statements. 78 SCHEDULES OF INVESTMENTS OCTOBER 31, 2013 JAPANESE SMALL COMPANY PORTFOLIO
VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company..................... $414,294,832 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $389,680,331)............................... $414,294,832 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $331,291,612 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $301,331,502)............................... $331,291,612 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 79 SCHEDULES OF INVESTMENTS OCTOBER 31, 2013 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....................... $37,113,753 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $22,831,439)........................................... $37,113,753 ===========
Summary of the Portfolio's Master Fund's investments as of October 31, 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.............................. $170,799,580 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $132,148,330).......................................... $170,799,580 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 80 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.5%) AUSTRALIA -- (22.0%) # CFS Retail Property Trust Group... 14,158,196 $ 27,708,920 1.3% # Commonwealth Property Office Fund. 14,987,556 16,956,375 0.8% # Dexus Property Group.............. 31,023,121 31,793,162 1.5% Federation Centres, Ltd........... 9,501,422 22,298,352 1.0% Goodman Group..................... 11,297,147 53,988,920 2.5% # GPT Group......................... 11,394,986 39,714,768 1.8% Investa Office Fund............... 3,957,702 11,618,583 0.5% # Stockland......................... 15,300,798 57,991,976 2.7% # Westfield Group................... 13,915,226 142,401,443 6.6% Westfield Retail Trust............ 19,622,341 57,248,805 2.7% Other Securities.................. 47,497,354 2.2% ------------ ------ TOTAL AUSTRALIA....................... 509,218,658 23.6% ------------ ------ BELGIUM -- (1.5%) Cofinimmo......................... 114,585 13,840,283 0.6% Other Securities.................. 20,133,082 1.0% ------------ ------ TOTAL BELGIUM......................... 33,973,365 1.6% ------------ ------ CANADA -- (5.9%) Canadian REIT..................... 240,202 9,784,088 0.5% # H&R REIT.......................... 921,949 19,099,509 0.9% # RioCan REIT....................... 1,063,614 25,961,709 1.2% Other Securities.................. 82,203,898 3.7% ------------ ------ TOTAL CANADA.......................... 137,049,204 6.3% ------------ ------ CHINA -- (0.2%) Other Securities.................. 4,864,256 0.2% ------------ ------ FRANCE -- (4.3%) Fonciere Des Regions.............. 190,204 16,289,188 0.8% Gecina SA......................... 156,246 20,850,380 1.0% ICADE............................. 237,301 21,826,829 1.0% Klepierre......................... 704,513 31,598,250 1.5% Other Securities.................. 10,065,785 0.4% ------------ ------ TOTAL FRANCE.......................... 100,630,432 4.7% ------------ ------ GERMANY -- (0.4%) Other Securities.................. 8,374,189 0.4% ------------ ------ GREECE -- (0.0%) Other Securities.................. 710,872 0.0% ------------ ------ HONG KONG -- (4.0%) # Link REIT (The)................... 15,583,305 78,594,514 3.7% Other Securities.................. 13,748,534 0.6% ------------ ------ TOTAL HONG KONG....................... 92,343,048 4.3% ------------ ------ ISRAEL -- (0.2%) Other Securities.................. 4,096,802 0.2% ------------ ------ ITALY -- (0.2%) Other Securities.................. 5,532,168 0.3% ------------ ------
81 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- JAPAN -- (16.6%) # Advance Residence Investment Corp..... 8,537 $ 19,327,474 0.9% Frontier Real Estate Investment Corp.. 1,623 16,216,774 0.7% # Japan Prime Realty Investment Corp.... 5,422 18,018,058 0.8% Japan Real Estate Investment Corp..... 4,121 47,081,579 2.2% # Japan Retail Fund Investment Corp..... 14,487 29,340,812 1.4% Mori Hills REIT Investment Corp....... 1,392 9,769,120 0.5% # Mori Trust Sogo Reit, Inc............. 1,265 11,250,428 0.5% Nippon Accommodations Fund, Inc....... 1,470 10,539,320 0.5% Nippon Building Fund, Inc............. 4,863 60,159,679 2.8% # Nomura Real Estate Office Fund, Inc... 2,509 12,394,468 0.6% # Orix JREIT, Inc....................... 10,968 13,677,853 0.6% # United Urban Investment Corp.......... 16,307 24,888,305 1.2% Other Securities...................... 112,354,555 5.1% ------------ ------ TOTAL JAPAN............................... 385,018,425 17.8% ------------ ------ MALAYSIA -- (0.6%) Other Securities...................... 13,489,527 0.6% ------------ ------ MEXICO -- (1.2%) Fibra Uno Administracion S.A. de C.V.. 8,782,987 27,195,974 1.3% ------------ ------ NETHERLANDS -- (9.3%) Corio NV.............................. 482,308 20,995,100 1.0% Eurocommercial Properties NV.......... 237,981 10,111,652 0.5% # Unibail-Rodamco SE.................... 633,736 165,575,512 7.7% Wereldhave NV......................... 147,230 11,439,812 0.5% Other Securities...................... 8,571,098 0.3% ------------ ------ TOTAL NETHERLANDS......................... 216,693,174 10.0% ------------ ------ NEW ZEALAND -- (0.7%) Other Securities...................... 15,591,258 0.7% ------------ ------ SINGAPORE -- (7.9%) Ascendas REIT......................... 13,941,000 26,506,474 1.2% # CapitaCommercial Trust................ 13,721,000 16,235,902 0.7% CapitaMall Trust...................... 16,554,300 26,887,384 1.2% # Suntec REIT........................... 14,521,000 19,986,435 0.9% Other Securities...................... 93,673,308 4.5% ------------ ------ TOTAL SINGAPORE........................... 183,289,503 8.5% ------------ ------ SOUTH AFRICA -- (2.1%) Capital Property Fund................. 9,423,574 10,037,894 0.5% Growthpoint Properties, Ltd........... 4,050,442 10,299,808 0.5% Other Securities...................... 29,205,583 1.3% ------------ ------ TOTAL SOUTH AFRICA........................ 49,543,285 2.3% ------------ ------ TAIWAN -- (0.6%) Other Securities...................... 13,745,219 0.6% ------------ ------ TURKEY -- (0.6%) Other Securities...................... 15,120,567 0.7% ------------ ------
82 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (14.2%) British Land Co. P.L.C........................................ 6,331,990 $ 63,151,477 2.9% Derwent London P.L.C.......................................... 601,385 24,139,933 1.1% Great Portland Estates P.L.C.................................. 2,280,278 20,924,819 1.0% Hammerson P.L.C............................................... 4,812,805 40,782,360 1.9% Intu Properties P.L.C......................................... 4,019,223 22,167,268 1.0% Land Securities Group P.L.C................................... 5,251,976 83,254,870 3.9% Segro P.L.C................................................... 4,883,720 25,578,649 1.2% Shaftesbury P.L.C............................................. 1,638,837 15,605,115 0.7% Other Securities.............................................. 32,668,779 1.5% -------------- ------ TOTAL UNITED KINGDOM................................................ 328,273,270 15.2% -------------- ------ TOTAL COMMON STOCKS................................................. 2,144,753,196 99.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SINGAPORE -- (0.0%) Other Securities.............................................. 14,606 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (7.5%) (S)@ DFA Short Term Investment Fund................................ 15,038,894 174,000,000 8.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $77,480 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $70,067) to be repurchased at $68,693.... $ 69 68,693 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................. 174,068,693 8.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,051,425,581)........................................... $2,318,836,495 107.4% ============== ======
83 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................... $ 1,073,311 $ 508,145,347 -- $ 509,218,658 Belgium..................... -- 33,973,365 -- 33,973,365 Canada...................... 137,049,204 -- -- 137,049,204 China....................... -- 4,864,256 -- 4,864,256 France...................... -- 100,630,432 -- 100,630,432 Germany..................... -- 8,374,189 -- 8,374,189 Greece...................... -- 710,872 -- 710,872 Hong Kong................... -- 92,343,048 -- 92,343,048 Israel...................... -- 4,096,802 -- 4,096,802 Italy....................... -- 5,532,168 -- 5,532,168 Japan....................... -- 385,018,425 -- 385,018,425 Malaysia.................... -- 13,489,527 -- 13,489,527 Mexico...................... 27,195,974 -- -- 27,195,974 Netherlands................. -- 216,693,174 -- 216,693,174 New Zealand................. -- 15,591,258 -- 15,591,258 Singapore................... -- 183,289,503 -- 183,289,503 South Africa................ -- 49,543,285 -- 49,543,285 Taiwan...................... -- 13,745,219 -- 13,745,219 Turkey...................... -- 15,120,567 -- 15,120,567 United Kingdom.............. -- 328,273,270 -- 328,273,270 Rights/Warrants Singapore................... -- 14,606 -- 14,606 Securities Lending Collateral. -- 174,068,693 -- 174,068,693 ------------ -------------- -- -------------- TOTAL......................... $165,318,489 $2,153,518,006 -- $2,318,836,495 ============ ============== == ==============
See accompanying Notes to Financial Statements. 84 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ ----------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.6%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 44,479,879 $1,235,206,238 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 153,767,083 842,643,614 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,711,546,104).......................................... 2,077,849,852 -------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.073% (Cost $8,697,235)................................................. 8,697,235 8,697,235 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,720,243,339).......................................... $2,086,547,087 ==============
Summary of the Portfolio's investments as of October 31, 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. $2,077,849,852 -- -- $2,077,849,852 Temporary Cash Investments...... 8,697,235 -- -- 8,697,235 -------------- -- -- -------------- TOTAL........................... $2,086,547,087 -- -- $2,086,547,087 ============== == == ==============
See accompanying Notes to Financial Statements. 85 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.3%) AUSTRALIA -- (5.0%) # Primary Health Care, Ltd..... 10,254,873 $ 47,843,315 0.4% Other Securities............. 563,553,242 5.1% ------------ ---- TOTAL AUSTRALIA.................. 611,396,557 5.5% ------------ ---- AUSTRIA -- (0.8%) # Wienerberger AG.............. 2,775,318 48,140,566 0.4% Other Securities............. 46,419,548 0.4% ------------ ---- TOTAL AUSTRIA.................... 94,560,114 0.8% ------------ ---- BELGIUM -- (0.7%) Other Securities............. 90,001,261 0.8% ------------ ---- CANADA -- (8.1%) * Canfor Corp.................. 2,000,533 41,463,116 0.4% * Celestica, Inc............... 4,266,945 46,858,025 0.4% West Fraser Timber Co., Ltd.. 640,761 58,732,584 0.5% Other Securities............. 834,777,825 7.5% ------------ ---- TOTAL CANADA..................... 981,831,550 8.8% ------------ ---- CHINA -- (0.0%) Other Securities............. 4,800,879 0.0% ------------ ---- COLOMBIA -- (0.0%) Other Securities............. 32,180 0.0% ------------ ---- DENMARK -- (1.4%) #* Vestas Wind Systems A.S...... 3,314,030 88,805,540 0.8% Other Securities............. 85,441,344 0.8% ------------ ---- TOTAL DENMARK.................... 174,246,884 1.6% ------------ ---- FINLAND -- (2.2%) Huhtamaki Oyj................ 1,837,503 44,168,925 0.4% Pohjola Bank P.L.C. Class A.. 2,317,182 42,197,505 0.4% Other Securities............. 181,698,788 1.6% ------------ ---- TOTAL FINLAND.................... 268,065,218 2.4% ------------ ---- FRANCE -- (3.4%) Havas SA..................... 5,005,668 41,624,191 0.4% Other Securities............. 370,033,186 3.3% ------------ ---- TOTAL FRANCE..................... 411,657,377 3.7% ------------ ---- GERMANY -- (4.9%) * Aareal Bank AG............... 1,133,243 43,463,385 0.4% Aurubis AG................... 1,045,010 65,840,809 0.6% Bilfinger SE................. 536,449 59,529,913 0.5% #* TUI AG....................... 3,423,151 45,350,838 0.4% Other Securities............. 386,223,402 3.5% ------------ ---- TOTAL GERMANY.................... 600,408,347 5.4% ------------ ---- GREECE -- (0.2%) Other Securities............. 19,237,021 0.2 ------------ ----
86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.1%) Other Securities............... $ 260,142,684 2.3% -------------- ----- IRELAND -- (0.4%) Smurfit Kappa Group P.L.C...... 2,066,589 50,024,929 0.5% Other Securities............... 4,130,638 0.0% -------------- ----- TOTAL IRELAND...................... 54,155,567 0.5% -------------- ----- ISRAEL -- (0.7%) Other Securities............... 89,813,252 0.8% -------------- ----- ITALY -- (2.9%) #* Banca Popolare di Milano Scarl. 77,876,899 52,021,908 0.5% * Banco Popolare................. 40,563,396 80,582,762 0.7% Other Securities............... 218,731,146 2.0% -------------- ----- TOTAL ITALY........................ 351,335,816 3.2% -------------- ----- JAPAN -- (21.2%) Fujikura, Ltd.................. 9,669,000 44,121,189 0.4% Other Securities............... 2,528,832,837 22.7% -------------- ----- TOTAL JAPAN........................ 2,572,954,026 23.1% -------------- ----- NETHERLANDS -- (1.8%) Delta Lloyd NV................. 2,392,235 50,719,278 0.5% Other Securities............... 165,018,056 1.4% -------------- ----- TOTAL NETHERLANDS.................. 215,737,334 1.9% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities............... 40,904,585 0.4% -------------- ----- NORWAY -- (1.0%) Other Securities............... 116,446,422 1.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities............... 40,895,443 0.4% -------------- ----- RUSSIA -- (0.1%) Other Securities............... 8,176,906 0.1% -------------- ----- SINGAPORE -- (1.6%) Other Securities............... 190,923,855 1.7% -------------- ----- SPAIN -- (2.4%) # Bankinter SA................... 11,466,414 69,912,115 0.6% * Gamesa Corp. Tecnologica SA.... 7,418,085 71,637,070 0.6% #* Sacyr SA....................... 7,674,657 41,304,181 0.4% Other Securities............... 111,875,412 1.0% -------------- ----- TOTAL SPAIN........................ 294,728,778 2.6% -------------- ----- SWEDEN -- (3.2%) # Holmen AB Class B.............. 1,385,639 46,026,833 0.4% # Trelleborg AB Class B.......... 6,024,942 113,688,584 1.0% Other Securities............... 227,930,699 2.1% -------------- ----- TOTAL SWEDEN....................... 387,646,116 3.5% -------------- -----
87 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (4.1%) Helvetia Holding AG.................. 121,594 $ 57,348,474 0.5% Swiss Life Holding AG................ 237,965 47,183,777 0.4% Other Securities..................... 396,461,344 3.6% --------------- ----- TOTAL SWITZERLAND........................ 500,993,595 4.5% --------------- ----- UNITED KINGDOM -- (22.5%) Amlin P.L.C.......................... 11,024,189 75,323,453 0.7% Ashtead Group P.L.C.................. 10,275,968 107,981,373 1.0% Barratt Developments P.L.C........... 23,445,340 125,727,208 1.1% Beazley P.L.C........................ 12,470,827 45,713,302 0.4% Bellway P.L.C........................ 3,448,205 83,054,770 0.8% Bodycote P.L.C....................... 5,021,077 52,927,267 0.5% Bovis Homes Group P.L.C.............. 3,855,116 48,499,105 0.4% Catlin Group, Ltd.................... 9,072,341 74,529,294 0.7% CSR P.L.C............................ 4,886,688 43,044,052 0.4% * Dixons Retail P.L.C.................. 78,168,061 61,244,756 0.6% DS Smith P.L.C....................... 15,213,647 73,739,578 0.7% easyJet P.L.C........................ 2,965,500 62,118,708 0.6% Greene King P.L.C.................... 4,908,532 64,953,578 0.6% Hiscox, Ltd.......................... 9,603,622 101,955,499 0.9% Home Retail Group P.L.C.............. 17,508,245 55,860,306 0.5% Inchcape P.L.C....................... 8,776,728 89,609,482 0.8% Meggitt P.L.C........................ 4,813,743 44,191,006 0.4% Millennium & Copthorne Hotels P.L.C.. 4,813,561 43,996,499 0.4% Mondi P.L.C.......................... 6,004,641 107,218,486 1.0% Persimmon P.L.C...................... 7,739,467 156,694,688 1.4% SIG P.L.C............................ 14,208,459 46,883,529 0.4% Taylor Wimpey P.L.C.................. 76,091,760 134,253,718 1.2% * Thomas Cook Group P.L.C.............. 27,405,032 63,074,658 0.6% Travis Perkins P.L.C................. 5,306,411 157,799,623 1.4% Vesuvius P.L.C....................... 5,951,466 46,267,961 0.4% Other Securities..................... 764,711,297 6.6% --------------- ----- TOTAL UNITED KINGDOM..................... 2,731,373,196 24.5% --------------- ----- TOTAL COMMON STOCKS...................... 11,112,464,963 99.7% --------------- ----- PREFERRED STOCKS -- (0.0%) FRANCE -- (0.0%) Other Securities..................... 7,401 0.0% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- ISRAEL -- (0.0%) Other Securities..................... 432 0.0% --------------- ----- ITALY -- (0.0%) Other Securities..................... 265 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................... 697 0.0% --------------- -----
88 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (8.7%) (S)@ DFA Short Term Investment Fund.................................. 91,011,236 $ 1,053,000,000 9.4% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $85,122 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $76,977) to be repurchased at $75,468...... $ 75 75,468 0.0% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................... 1,053,075,468 9.4% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,147,270,819)............................................ $12,165,548,529 109.1% =============== ======
Summary of the Portfolio's investments as of October 31, 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................... $ 88,431 $ 611,308,126 -- $ 611,396,557 Austria..................... -- 94,560,114 -- 94,560,114 Belgium..................... 1,510 89,999,751 -- 90,001,261 Canada...................... 981,346,259 485,291 -- 981,831,550 China....................... 678,336 4,122,543 -- 4,800,879 Colombia.................... 32,180 -- -- 32,180 Denmark..................... -- 174,246,884 -- 174,246,884 Finland..................... -- 268,065,218 -- 268,065,218 France...................... 2,223,624 409,433,753 -- 411,657,377 Germany..................... 4,965,979 595,442,368 -- 600,408,347 Greece...................... -- 19,237,021 -- 19,237,021 Hong Kong................... 14,741,037 245,401,647 -- 260,142,684 Ireland..................... -- 54,155,567 -- 54,155,567 Israel...................... -- 89,813,252 -- 89,813,252 Italy....................... -- 351,335,816 -- 351,335,816 Japan....................... 1,448,639 2,571,505,387 -- 2,572,954,026 Netherlands................. -- 215,737,334 -- 215,737,334 New Zealand................. -- 40,904,585 -- 40,904,585 Norway...................... 3,851,954 112,594,468 -- 116,446,422 Portugal.................... -- 40,895,443 -- 40,895,443 Russia...................... -- 8,176,906 -- 8,176,906 Singapore................... 5,123 190,918,732 -- 190,923,855 Spain....................... -- 294,728,778 -- 294,728,778 Sweden...................... 333,888 387,312,228 -- 387,646,116 Switzerland................. -- 500,993,595 -- 500,993,595 United Kingdom.............. 69,809 2,731,303,387 -- 2,731,373,196 Preferred Stocks France...................... 7,401 -- -- 7,401 Rights/Warrants Austria..................... -- -- -- -- Israel...................... -- 432 -- 432 Italy....................... -- 265 -- 265 Securities Lending Collateral. -- 1,053,075,468 -- 1,053,075,468 -------------- --------------- -- --------------- TOTAL......................... $1,009,794,170 $11,155,754,359 -- $12,165,548,529 ============== =============== == ===============
See accompanying Notes to Financial Statements. 89 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (90.1%) AUSTRALIA -- (6.2%) Lend Lease Group.............. 182,266 $ 1,965,533 0.2% National Australia Bank, Ltd.. 62,086 2,074,966 0.2% Origin Energy, Ltd............ 193,618 2,676,665 0.3% Santos, Ltd................... 170,274 2,436,964 0.2% Other Securities.............. 65,015,626 5.9% ----------- ------ TOTAL AUSTRALIA................... 74,169,754 6.8% ----------- ------ AUSTRIA -- (0.5%) Other Securities.............. 6,056,086 0.6% ----------- ------ BELGIUM -- (1.3%) Ageas......................... 45,850 1,948,353 0.2% KBC Groep NV.................. 37,239 2,028,835 0.2% Other Securities.............. 11,849,709 1.1% ----------- ------ TOTAL BELGIUM..................... 15,826,897 1.5% ----------- ------ CANADA -- (7.9%) Toronto-Dominion Bank (The)... 21,129 1,938,117 0.2% Other Securities.............. 92,905,836 8.5% ----------- ------ TOTAL CANADA...................... 94,843,953 8.7% ----------- ------ CHINA -- (0.0%) Other Securities.............. 51,642 0.0% ----------- ------ COLOMBIA -- (0.0%) Other Securities.............. 2,213 0.0% ----------- ------ DENMARK -- (1.3%) Other Securities.............. 15,730,926 1.4% ----------- ------ FINLAND -- (1.9%) #* Nokia Oyj..................... 440,404 3,347,413 0.3% UPM-Kymmene Oyj............... 178,005 2,826,228 0.3% Other Securities.............. 16,074,028 1.4% ----------- ------ TOTAL FINLAND..................... 22,247,669 2.0% ----------- ------ FRANCE -- (6.1%) * Alcatel-Lucent................ 863,979 3,309,951 0.3% BNP Paribas SA................ 36,071 2,661,070 0.3% Cie de St-Gobain.............. 45,709 2,399,268 0.2% Lafarge SA.................... 30,333 2,092,837 0.2% Renault SA.................... 28,018 2,444,577 0.2% Sanofi........................ 23,775 2,534,965 0.2% Societe Generale SA........... 59,410 3,356,041 0.3% Other Securities.............. 54,255,917 5.0% ----------- ------ TOTAL FRANCE...................... 73,054,626 6.7% ----------- ------ GERMANY -- (5.4%) Allianz SE.................... 20,504 3,442,669 0.3% * Commerzbank AG................ 151,865 1,942,295 0.2% Daimler AG.................... 25,279 2,069,712 0.2%
90 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) Deutsche Bank AG...................... 46,645 $ 2,253,886 0.2% RWE AG................................ 73,139 2,694,593 0.3% Other Securities...................... 52,453,443 4.7% ------------ ------ TOTAL GERMANY............................. 64,856,598 5.9% ------------ ------ GREECE -- (0.3%) Other Securities...................... 3,680,643 0.3% ------------ ------ HONG KONG -- (2.6%) Other Securities...................... 31,197,896 2.9% ------------ ------ IRELAND -- (0.5%) Other Securities...................... 6,326,288 0.6% ------------ ------ ISRAEL -- (0.6%) Other Securities...................... 7,219,308 0.7% ------------ ------ ITALY -- (2.2%) Unione di Banche Italiane SCPA........ 368,830 2,549,144 0.3% Other Securities...................... 24,399,697 2.2% ------------ ------ TOTAL ITALY............................... 26,948,841 2.5% ------------ ------ JAPAN -- (20.3%) Mitsubishi UFJ Financial Group, Inc... 543,100 3,458,604 0.3% Mizuho Financial Group, Inc........... 1,011,060 2,122,278 0.2% Sumitomo Mitsui Financial Group, Inc.. 55,941 2,703,957 0.3% Other Securities...................... 235,086,487 21.5% ------------ ------ TOTAL JAPAN............................... 243,371,326 22.3% ------------ ------ NETHERLANDS -- (2.5%) Aegon NV.............................. 279,663 2,225,243 0.2% Other Securities...................... 27,729,184 2.5% ------------ ------ TOTAL NETHERLANDS......................... 29,954,427 2.7% ------------ ------ NEW ZEALAND -- (0.4%) Other Securities...................... 4,583,440 0.4% ------------ ------ NORWAY -- (1.0%) Other Securities...................... 11,920,580 1.1% ------------ ------ PORTUGAL -- (0.4%) Other Securities...................... 4,751,005 0.4% ------------ ------ RUSSIA -- (0.0%) Other Securities...................... 64,369 0.0% ------------ ------ SINGAPORE -- (1.4%) Other Securities...................... 17,230,672 1.6% ------------ ------ SPAIN -- (2.2%) Banco de Sabadell SA.................. 872,241 2,234,946 0.2% * Banco Popular Espanol SA.............. 406,071 2,303,382 0.2% Banco Santander SA.................... 288,859 2,560,815 0.3% Other Securities...................... 18,653,430 1.7% ------------ ------ TOTAL SPAIN............................... 25,752,573 2.4% ------------ ------
91 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWEDEN -- (2.8%) Other Securities........................ $ 33,475,511 3.1% -------------- ------ SWITZERLAND -- (6.1%) Credit Suisse Group AG.................. 144,732 4,502,315 0.4% Holcim, Ltd............................. 29,383 2,185,491 0.2% Julius Baer Group, Ltd.................. 47,955 2,352,468 0.2% Lonza Group AG.......................... 23,146 2,066,079 0.2% Nestle SA............................... 61,616 4,447,684 0.4% Novartis AG ADR......................... 28,202 2,187,065 0.2% Swiss Re AG............................. 48,833 4,286,688 0.4% Zurich Insurance Group AG............... 17,448 4,821,287 0.5% Other Securities........................ 46,729,698 4.2% -------------- ------ TOTAL SWITZERLAND........................... 73,578,775 6.7% -------------- ------ UNITED KINGDOM -- (16.2%) Anglo American P.L.C.................... 146,774 3,489,782 0.3% Barratt Developments P.L.C.............. 423,037 2,268,564 0.2% BP P.L.C................................ 297,377 2,308,419 0.2% BP P.L.C. Sponsored ADR................. 103,538 4,814,517 0.5% # HSBC Holdings P.L.C. Sponsored ADR...... 175,852 9,678,894 0.9% Legal & General Group P.L.C............. 566,357 1,962,884 0.2% * Lloyds Banking Group P.L.C.............. 2,002,798 2,477,053 0.2% Old Mutual P.L.C........................ 627,407 2,044,744 0.2% Resolution, Ltd......................... 479,648 2,746,351 0.3% Royal Dutch Shell P.L.C. ADR(780259206). 60,794 4,052,528 0.4% Royal Dutch Shell P.L.C. ADR(780259107). 88,550 6,155,996 0.6% RSA Insurance Group P.L.C............... 981,571 2,021,573 0.2% Vodafone Group P.L.C. Sponsored ADR..... 165,738 6,102,473 0.6% Other Securities........................ 144,571,988 13.1% -------------- ------ TOTAL UNITED KINGDOM........................ 194,695,766 17.9% -------------- ------ UNITED STATES -- (0.0%) Other Securities........................ 50,776 0.0% -------------- ------ TOTAL COMMON STOCKS......................... 1,081,642,560 99.2% -------------- ------ PREFERRED STOCKS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 1 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities........................ 188,714 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 9,032 0.0% -------------- ------ TOTAL PREFERRED STOCKS...................... 197,747 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ------ AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ------ FRANCE -- (0.0%) Other Securities........................ 16 0.0% -------------- ------
92 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities................................................. $ -- 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................................................. 1,046 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................................................. 62,360 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................................................. 63,422 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (9.9%) (S)@ DFA Short Term Investment Fund................................... 10,285,220 119,000,000 10.9% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $169,878 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $153,624) to be repurchased at $150,613............... $ 151 150,612 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 119,150,612 10.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $978,641,888)................................................ $1,201,054,341 110.1% ============== ======
93 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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................... $ 1,168,941 $ 73,000,813 -- $ 74,169,754 Austria..................... -- 6,056,086 -- 6,056,086 Belgium..................... 875,336 14,951,561 -- 15,826,897 Canada...................... 94,837,465 6,488 -- 94,843,953 China....................... 5,467 46,175 -- 51,642 Colombia.................... 2,213 -- -- 2,213 Denmark..................... -- 15,730,926 -- 15,730,926 Finland..................... -- 22,247,669 -- 22,247,669 France...................... 2,155,798 70,898,828 -- 73,054,626 Germany..................... 4,279,468 60,577,130 -- 64,856,598 Greece...................... 4,844 3,675,799 -- 3,680,643 Hong Kong................... 279,902 30,917,994 -- 31,197,896 Ireland..................... 1,757,074 4,569,214 -- 6,326,288 Israel...................... 922,161 6,297,147 -- 7,219,308 Italy....................... 1,296,432 25,652,409 -- 26,948,841 Japan....................... 4,504,801 238,866,525 -- 243,371,326 Netherlands................. 5,157,662 24,796,765 -- 29,954,427 New Zealand................. 5,022 4,578,418 -- 4,583,440 Norway...................... 595,569 11,325,011 -- 11,920,580 Portugal.................... -- 4,751,005 -- 4,751,005 Russia...................... -- 64,369 -- 64,369 Singapore................... -- 17,230,672 -- 17,230,672 Spain....................... 1,257,668 24,494,905 -- 25,752,573 Sweden...................... 13,424 33,462,087 -- 33,475,511 Switzerland................. 5,618,343 67,960,432 -- 73,578,775 United Kingdom.............. 37,975,431 156,720,335 -- 194,695,766 United States............... 50,776 -- -- 50,776 Preferred Stocks France...................... 1 -- -- 1 Germany..................... -- 188,714 -- 188,714 United Kingdom.............. -- 9,032 -- 9,032 Rights/Warrants Australia................... -- -- -- -- Austria..................... -- -- -- -- France...................... -- 16 -- 16 Hong Kong................... -- -- -- -- Italy....................... -- 1,046 -- 1,046 Spain....................... -- 62,360 -- 62,360 Securities Lending Collateral. -- 119,150,612 -- 119,150,612 ------------ -------------- -- -------------- TOTAL......................... $162,763,798 $1,038,290,543 -- $1,201,054,341 ============ ============== == ==============
See accompanying Notes to Financial Statements. 94 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ ------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company........................... $ 82,013,299 Investment in Dimensional Emerging Markets Value Fund........ 24,814,665 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 526,844 10,626,448 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $102,161,430)..................................... 117,454,412 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $102,161,430)..................................... $117,454,412 ============
Summary of the Portfolio's investments as of October 31, 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. $117,454,412 -- -- $117,454,412 ------------ -- -- ------------ TOTAL........................... $117,454,412 -- -- $117,454,412 ============ == == ============
See accompanying Notes to Financial Statements. 95 WORLD EX U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 2,950,303 $59,507,603 Investment in Dimensional Emerging Markets Value Fund........ 22,063,755 Investment in International Vector Equity Portfolio of DFA Investment Dimensions Group Inc........................ 735,217 8,638,806 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................... 5,728,688 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $84,292,613)...................................... 95,938,852 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $84,292,613)...................................... $95,938,852 ===========
Summary of the Portfolio's investments as of October 31, 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. $95,938,852 -- -- $95,938,852 ----------- -- -- ----------- TOTAL........................... $95,938,852 -- -- $95,938,852 =========== == == ===========
See accompanying Notes to Financial Statements. 96 WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 7,934,151 $ 99,732,282 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 1,478,473 29,702,529 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $117,714,895)................................. 129,434,811 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $117,714,895)................................. $129,434,811 ============
Summary of the Portfolio's investments as of October 31, 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. $129,434,811 -- -- $129,434,811 ------------ -- -- ------------ TOTAL........................... $129,434,811 -- -- $129,434,811 ============ == == ============
See accompanying Notes to Financial Statements. 97 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 2,406,753 $37,593,478 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 2,772,248 34,847,158 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 755,956 15,187,160 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $72,257,364).................................. 87,627,796 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $72,257,364).................................. $87,627,796 ===========
Summary of the Portfolio's investments as of October 31, 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. $87,627,796 -- -- $87,627,796 Futures Contracts**............. 132,768 -- -- 132,768 Forward Currency Contracts**.... -- $28,113 -- 28,113 ----------- ------- -- ----------- TOTAL........................... $87,760,564 $28,113 -- $87,788,677 =========== ======= == ===========
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 98 SCHEDULES OF INVESTMENTS OCTOBER 31, 2013 EMERGING MARKETS PORTFOLIO
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company..................... $3,653,886,907 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,522,234,797)............................. $3,653,886,907 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $4,037,179,777 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $3,582,520,729)............................. $4,037,179,777 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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.. $19,256,425,152 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $18,840,666,697)............................ $19,256,425,152 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 99 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (88.4%) BRAZIL -- (9.1%) Banco Bradesco SA................................... 2,129,629 $ 34,299,515 0.3% # Banco Bradesco SA ADR............................... 5,097,969 73,512,708 0.6% Banco do Brasil SA.................................. 2,450,339 32,434,641 0.3% BM&FBovespa SA...................................... 7,415,089 41,792,285 0.3% Gerdau SA Sponsored ADR............................. 3,674,735 29,140,649 0.2% # Itau Unibanco Holding SA ADR........................ 5,554,966 85,602,024 0.7% Petroleo Brasileiro SA ADR.......................... 3,861,209 67,300,873 0.5% # Petroleo Brasileiro SA Sponsored ADR................ 5,128,535 93,134,196 0.7% # Vale SA Sponsored ADR(91912E105).................... 3,426,868 54,864,157 0.4% Vale SA Sponsored ADR(91912E204).................... 4,029,593 58,993,242 0.5% Other Securities.................................... 724,890,322 5.4% -------------- ----- TOTAL BRAZIL............................................ 1,295,964,612 9.9% -------------- ----- CHILE -- (1.4%) Other Securities.................................... 201,874,444 1.5% -------------- ----- CHINA -- (13.7%) Bank of China, Ltd. Class H......................... 145,776,702 68,633,093 0.5% China Construction Bank Corp. Class H............... 152,896,302 118,957,385 0.9% # China Mobile, Ltd. Sponsored ADR.................... 1,489,143 77,465,219 0.6% CNOOC, Ltd.......................................... 15,368,000 31,179,535 0.3% CNOOC, Ltd. ADR..................................... 175,892 35,584,711 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 143,278,725 100,257,149 0.8% Tencent Holdings, Ltd............................... 970,900 52,968,595 0.4% Other Securities.................................... 1,465,753,971 11.2% -------------- ----- TOTAL CHINA............................................. 1,950,799,658 15.0% -------------- ----- COLOMBIA -- (0.5%) Other Securities.................................... 72,542,345 0.6% -------------- ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 40,313,246 0.3% -------------- ----- EGYPT -- (0.0%) Other Securities.................................... 6,886,974 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 773,692 0.0% -------------- ----- HUNGARY -- (0.3%) Other Securities.................................... 39,695,409 0.3% -------------- ----- INDIA -- (6.1%) HDFC Bank, Ltd...................................... 2,994,559 33,307,680 0.3% # Infosys, Ltd. Sponsored ADR......................... 669,643 35,531,258 0.3% Reliance Industries, Ltd............................ 3,724,395 55,433,229 0.4% Other Securities.................................... 745,642,395 5.7% -------------- ----- TOTAL INDIA............................................. 869,914,562 6.7% -------------- ----- INDONESIA -- (2.3%) Other Securities.................................... 334,715,998 2.6% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 330,970 0.0% -------------- -----
100 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (4.1%) CIMB Group Holdings Bhd................... 14,070,063 $ 33,444,890 0.3% Malayan Banking Bhd....................... 12,903,788 39,996,828 0.3% Other Securities.......................... 509,663,424 3.9% -------------- ----- TOTAL MALAYSIA................................ 583,105,142 4.5% -------------- ----- MEXICO -- (4.8%) Alfa S.A.B. de C.V. Class A............... 12,826,789 35,116,435 0.3% # America Movil S.A.B. de C.V. Series L ADR. 2,589,383 55,438,689 0.4% #* Cemex S.A.B. de C.V. Sponsored ADR........ 6,149,067 65,057,129 0.5% # Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR............................ 555,503 51,828,430 0.4% Grupo Financiero Banorte S.A.B. de C.V.... 8,197,629 52,475,884 0.4% Grupo Mexico S.A.B. de C.V. Series B...... 12,013,141 38,072,650 0.3% # Grupo Televisa S.A.B. Sponsored ADR....... 1,810,392 55,108,332 0.4% Other Securities.......................... 332,326,572 2.6% -------------- ----- TOTAL MEXICO.................................. 685,424,121 5.3% -------------- ----- PERU -- (0.1%) Other Securities.......................... 18,921,333 0.1% -------------- ----- PHILIPPINES -- (1.3%) Other Securities.......................... 188,172,356 1.4% -------------- ----- POLAND -- (1.7%) Other Securities.......................... 244,111,479 1.9% -------------- ----- RUSSIA -- (3.8%) Gazprom OAO Sponsored ADR................. 19,360,421 180,969,619 1.4% # Lukoil OAO Sponsored ADR.................. 1,464,268 95,900,562 0.7% Sberbank of Russia Sponsored ADR.......... 5,532,517 70,552,743 0.6% Tatneft OAO Sponsored ADR................. 739,208 30,365,137 0.2% Other Securities.......................... 162,340,575 1.2% -------------- ----- TOTAL RUSSIA.................................. 540,128,636 4.1% -------------- ----- SOUTH AFRICA -- (6.7%) FirstRand, Ltd............................ 9,125,832 32,761,624 0.3% MTN Group, Ltd............................ 3,230,167 64,206,532 0.5% Naspers, Ltd. Class N..................... 631,382 59,099,733 0.5% Sanlam, Ltd............................... 7,258,066 38,943,664 0.3% Sasol, Ltd................................ 765,727 39,126,959 0.3% # Sasol, Ltd. Sponsored ADR................. 869,022 44,337,502 0.3% # Standard Bank Group, Ltd.................. 3,305,953 42,058,657 0.3% Other Securities.......................... 632,836,511 4.8% -------------- ----- TOTAL SOUTH AFRICA............................ 953,371,182 7.3% -------------- ----- SOUTH KOREA -- (13.6%) Hana Financial Group, Inc................. 1,071,129 41,187,342 0.3% Hyundai Mobis............................. 136,261 38,436,499 0.3% Hyundai Motor Co.......................... 344,450 82,063,088 0.6% # Kia Motors Corp........................... 584,259 33,946,142 0.3% # POSCO ADR................................. 473,943 35,289,796 0.3% Samsung Electronics Co., Ltd.............. 204,504 282,022,914 2.2% Other Securities.......................... 1,425,493,978 10.9% -------------- ----- TOTAL SOUTH KOREA............................. 1,938,439,759 14.9% -------------- -----
101 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (13.6%) CTBC Financial Holding Co., Ltd.............. 43,121,191 $ 29,250,510 0.2% Hon Hai Precision Industry Co., Ltd.......... 28,489,623 72,428,987 0.6% # Taiwan Semiconductor Manufacturing Co., Ltd.. 40,714,652 150,056,501 1.2% Other Securities............................. 1,695,589,463 13.0% --------------- ------ TOTAL TAIWAN..................................... 1,947,325,461 15.0% --------------- ------ THAILAND -- (2.9%) Other Securities............................. 415,125,485 3.2% --------------- ------ TURKEY -- (2.1%) Other Securities............................. 298,790,261 2.3% --------------- ------ UNITED STATES -- (0.0%) Other Securities............................. 126,755 0.0% --------------- ------ TOTAL COMMON STOCKS.............................. 12,626,853,880 97.0% --------------- ------ PREFERRED STOCKS -- (1.9%) BRAZIL -- (1.8%) Itau Unibanco Holding SA..................... 2,951,785 45,672,482 0.4% Other Securities............................. 209,006,990 1.5% --------------- ------ TOTAL BRAZIL..................................... 254,679,472 1.9% --------------- ------ CHILE -- (0.0%) Other Securities............................. 2,111,459 0.0% --------------- ------ COLOMBIA -- (0.1%) Other Securities............................. 8,313,715 0.1% --------------- ------ TOTAL PREFERRED STOCKS........................... 265,104,646 2.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................. 11,935 0.0% --------------- ------ CHILE -- (0.0%) Other Securities............................. 31 0.0% --------------- ------ MALAYSIA -- (0.0%) Other Securities............................. 174,504 0.0% --------------- ------ POLAND -- (0.0%) Other Securities............................. -- 0.0% --------------- ------ SOUTH KOREA -- (0.0%) Other Securities............................. 15,747 0.0% --------------- ------ THAILAND -- (0.0%) Other Securities............................. 36,842 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS............................ 239,059 0.0% --------------- ------
102 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (9.7%) (S)@ DFA Short Term Investment Fund.............................. 118,582,541 $ 1,372,000,000 10.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $12,370,390 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $11,186,777) to be repurchased at $10,967,465................................. $ 10,967 10,967,428 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,382,967,428 10.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $13,051,760,683)...................................... $14,275,165,013 109.6% =============== ======
103 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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...................... $ 673,687,040 $ 622,277,572 -- $ 1,295,964,612 Chile....................... 53,152,182 148,722,262 -- 201,874,444 China....................... 209,489,377 1,741,310,281 -- 1,950,799,658 Colombia.................... 72,542,345 -- -- 72,542,345 Czech Republic.............. -- 40,313,246 -- 40,313,246 Egypt....................... -- 6,886,974 -- 6,886,974 Hong Kong................... -- 773,692 -- 773,692 Hungary..................... 248,373 39,447,036 -- 39,695,409 India....................... 77,607,096 792,307,466 -- 869,914,562 Indonesia................... 13,389,435 321,326,563 -- 334,715,998 Israel...................... -- 330,970 -- 330,970 Malaysia.................... -- 583,105,142 -- 583,105,142 Mexico...................... 685,300,950 123,171 -- 685,424,121 Peru........................ 18,921,333 -- -- 18,921,333 Philippines................. 3,409,239 184,763,117 -- 188,172,356 Poland...................... 84,720 244,026,759 -- 244,111,479 Russia...................... 21,167,946 518,960,690 -- 540,128,636 South Africa................ 81,220,811 872,150,371 -- 953,371,182 South Korea................. 93,287,756 1,845,152,003 -- 1,938,439,759 Taiwan...................... 41,170,777 1,906,154,684 -- 1,947,325,461 Thailand.................... 415,119,288 6,197 -- 415,125,485 Turkey...................... 4,597,018 294,193,243 -- 298,790,261 United States............... -- 126,755 -- 126,755 Preferred Stocks Brazil...................... 4,574,692 250,104,780 -- 254,679,472 Chile....................... -- 2,111,459 -- 2,111,459 Colombia.................... 8,313,715 -- -- 8,313,715 Rights/Warrants Brazil...................... -- 11,935 -- 11,935 Chile....................... -- 31 -- 31 Malaysia.................... -- 174,504 -- 174,504 Poland...................... -- -- -- -- South Korea................. -- 15,747 -- 15,747 Thailand.................... -- 36,842 -- 36,842 Securities Lending Collateral. -- 1,382,967,428 -- 1,382,967,428 -------------- --------------- -- --------------- TOTAL......................... $2,477,284,093 $11,797,880,920 -- $14,275,165,013 ============== =============== == ===============
See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S. LARGE COMPANY U.S. LARGE CAP U.S. LARGE CAP PORTFOLIO EQUITY PORTFOLIO VALUE PORTFOLIO - ------------ ---------------- --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- -- $ 11,967,120 Investments at Value (including $0, $32,917, $0 and $603,977 of securities on loan, respectively).................................. $ 211,548 $ 134,084 -- Temporary Cash Investments at Value & Cost.......................... -- 2,237 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- 33,752 -- Foreign Currencies at Value......................................... 3,367 -- -- Cash................................................................ 679 -- -- Receivables: Investment Securities/Affiliated Investment Company Sold.......... 11,265 -- -- Dividends, Interest and Tax Reclaims.............................. 1,140 110 -- Securities Lending Income......................................... -- 4 -- Fund Shares Sold.................................................. 19 947 9,362 From Advisor...................................................... -- 1 -- Unrealized Gain on Forward Currency Contracts....................... 101 -- -- Unrealized Gain on Foreign Currency Contracts....................... 10 -- -- Deferred Offering Costs............................................. -- 28 -- Prepaid Expenses and Other Assets................................... 16 8 91 ------------ ------------ -------------- Total Assets.................................................... 228,145 171,171 11,976,573 ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- 33,752 -- Investment Securities/Affiliated Investment Company Purchased........................................................ 13,374 1,914 -- Fund Shares Redeemed.............................................. 433 77 11,554 Due to Advisor.................................................... 36 -- 1,477 Futures Margin Variation.......................................... 1,121 -- -- Unrealized Loss on Forward Currency Contracts....................... 318 -- -- Accrued Expenses and Other Liabilities.............................. 23 21 470 ------------ ------------ -------------- Total Liabilities............................................... 15,305 35,764 13,501 ------------ ------------ -------------- NET ASSETS.......................................................... $ 212,840 $ 135,407 $ 11,963,072 ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $9,470 and shares outstanding of 0; 0; 0 and 418,568, respectively........ N/A N/A N/A ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A ============ ============ ============== Class R2 Shares -- based on net assets of $0; $0; $0 and $23,305 and shares outstanding of 0; 0; 0 and 1,032,756, respectively....................................................... N/A N/A N/A ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A ============ ============ ============== Institutional Class Shares -- based on net assets of $212,840; $135,407; $11,963,072 and $4,180,974 and shares outstanding of 18,187,882; 12,227,071; 402,570,195 and 184,963,719, respectively....................................................... $ 11.70 $ 11.07 $ 29.72 ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000 ============ ============ ============== Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 7,741,067 ============ ============ ============== Investments at Cost................................................. $ 207,573 $ 123,524 $ -- ============ ============ ============== Foreign Currencies at Cost.......................................... $ 3,401 $ -- $ -- ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 209,974 $ 124,529 $ 8,221,868 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 200 281 28,203 Accumulated Net Realized Gain (Loss)................................ (8,972) 37 (513,052) Net Unrealized Foreign Exchange Gain (Loss)......................... (217) -- -- Net Unrealized Appreciation (Depreciation).......................... 11,855 10,560 4,226,053 ------------ ------------ -------------- NET ASSETS.......................................................... $ 212,840 $ 135,407 $ 11,963,072 ============ ============ ==============
U.S. TARGETED VALUE PORTFOLIO - --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- Investments at Value (including $0, $32,917, $0 and $603,977 of securities on loan, respectively).................................. $ 4,177,782 Temporary Cash Investments at Value & Cost.......................... 25,535 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 623,299 Foreign Currencies at Value......................................... -- Cash................................................................ 682 Receivables: Investment Securities/Affiliated Investment Company Sold.......... 7,259 Dividends, Interest and Tax Reclaims.............................. 1,194 Securities Lending Income......................................... 212 Fund Shares Sold.................................................. 11,574 From Advisor...................................................... -- Unrealized Gain on Forward Currency Contracts....................... -- Unrealized Gain on Foreign Currency Contracts....................... -- Deferred Offering Costs............................................. -- Prepaid Expenses and Other Assets................................... 52 ------------ Total Assets.................................................... 4,847,589 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 623,299 Investment Securities/Affiliated Investment Company Purchased........................................................ 6,934 Fund Shares Redeemed.............................................. 1,994 Due to Advisor.................................................... 1,255 Futures Margin Variation.......................................... -- Unrealized Loss on Forward Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 358 ------------ Total Liabilities............................................... 633,840 ------------ NET ASSETS.......................................................... $ 4,213,749 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $9,470 and shares outstanding of 0; 0; 0 and 418,568, respectively........ 22.63 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Class R2 Shares -- based on net assets of $0; $0; $0 and $23,305 and shares outstanding of 0; 0; 0 and 1,032,756, respectively....................................................... 22.57 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Institutional Class Shares -- based on net assets of $212,840; $135,407; $11,963,072 and $4,180,974 and shares outstanding of 18,187,882; 12,227,071; 402,570,195 and 184,963,719, respectively....................................................... $ 22.60 ============ NUMBER OF SHARES AUTHORIZED......................................... 700,000,000 ============ Investments in Affiliated Investment Company at Cost................ $ -- ============ Investments at Cost................................................. $ 2,844,192 ============ Foreign Currencies at Cost.......................................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 2,629,141 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 484 Accumulated Net Realized Gain (Loss)................................ 250,534 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... 1,333,590 ------------ NET ASSETS.......................................................... $ 4,213,749 ============
See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE U.S. VECTOR U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $1,459,443, $712,697, $1,030,739 and $369,531 of securities on loan, respectively).............................. $ 9,470,398 $ 7,536,491 $ 9,966,682 $ 2,889,233 Temporary Cash Investments at Value & Cost........... 58,724 31,599 33,429 6,584 Collateral from Securities on Loan Invested in Affiliate at Value & Cost........................... 1,508,504 733,079 1,060,641 382,245 Cash................................................. 1,910 116 249 159 Receivables: Investment Securities Sold......................... 10,101 10 12 22 Dividends and Interest............................. 3,208 5,183 6,608 1,491 Securities Lending Income.......................... 463 290 427 200 Fund Shares Sold................................... 8,354 12,580 16,856 3,954 Prepaid Expenses and Other Assets.................... 101 135 107 45 -------------- -------------- -------------- -------------- Total Assets.................................... 11,061,763 8,319,483 11,085,011 3,283,933 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 1,508,504 733,079 1,060,641 382,245 Investment Securities Purchased.................... 15,676 15,331 27,957 4,588 Fund Shares Redeemed............................... 5,851 3,238 4,430 2,304 Due to Advisor..................................... 3,973 1,061 1,654 722 Accrued Expenses and Other Liabilities............... 778 595 765 232 -------------- -------------- -------------- -------------- Total Liabilities............................... 1,534,782 753,304 1,095,447 390,091 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 9,526,981 $ 7,566,179 $ 9,989,564 $ 2,893,842 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $9,526,981; $7,566,179; $9,989,564 and $2,893,842 and shares outstanding of 276,282,421; 480,572,749; 639,564,977 and 185,306,591, respectively........................... $ 34.48 $ 15.74 $ 15.62 $ 15.62 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 6,597,207 $ 5,237,337 $ 6,797,207 $ 1,961,480 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 6,214,232 $ 5,218,221 $ 6,704,700 $ 1,923,097 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 1,366 14,478 14,555 3,096 Accumulated Net Realized Gain (Loss)................. 438,192 34,326 100,834 39,896 Net Unrealized Appreciation (Depreciation)........... 2,873,191 2,299,154 3,169,475 927,753 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 9,526,981 $ 7,566,179 $ 9,989,564 $ 2,893,842 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA REAL ESTATE LARGE CAP U.S. SMALL CAP U.S. MICRO CAP SECURITIES INTERNATIONAL PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO* -------------- -------------- ------------ ------------- ASSETS: Investments at Value (including $1,665,475, $805,423, $480,855 and $254,244 of securities on loan, respectively).............................................. $ 7,426,595 $ 4,683,423 $ 4,650,418 $ 2,743,088 Temporary Cash Investments at Value & Cost.................. 36,843 12,694 14,133 -- Collateral Received from Securities on Loan at Value & Cost....................................................... -- -- -- 339 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,718,441 834,896 497,984 249,000 Foreign Currencies at Value................................. -- -- -- 5,513 Cash........................................................ 763 1,180 -- 7,027 Receivables: Investment Securities Sold................................ 13,342 5,015 -- -- Dividends, Interest and Tax Reclaims...................... 2,095 1,445 6,298 6,568 Securities Lending Income................................. 765 647 72 177 Fund Shares Sold.......................................... 8,859 2,100 9,344 1,319 Prepaid Expenses and Other Assets........................... 55 47 53 21 -------------- -------------- ------------ ------------ Total Assets........................................... 9,207,758 5,541,447 5,178,302 3,013,052 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,718,441 834,896 497,984 249,339 Investment Securities Purchased........................... 34,151 6,291 -- 4,905 Fund Shares Redeemed...................................... 5,540 2,072 1,957 2,851 Due to Advisor............................................ 2,166 1,966 492 574 Unrealized Loss on Foreign Currency Contracts............... -- -- -- 13 Accrued Expenses and Other Liabilities...................... 633 391 451 256 -------------- -------------- ------------ ------------ Total Liabilities...................................... 1,760,931 845,616 500,884 257,938 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 7,446,827 $ 4,695,831 $ 4,677,418 $ 2,755,114 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $7,446,827; $4,695,831; $4,677,418 and $2,755,114 and shares outstanding of 248,001,921; 239,125,446; 168,423,065 and 124,102,982, respectively.................. $ 30.03 $ 19.64 $ 27.77 $ 22.20 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 5,223,959 $ 3,062,833 $ 3,317,741 $ 2,105,213 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 5,504 ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 5,020,485 $ 2,867,133 $ 3,572,655 $ 2,345,517 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 3,164 1,656 32,390 6,579 Accumulated Net Realized Gain (Loss)........................ 220,542 206,452 (260,304) (234,908) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- 42 Net Unrealized Appreciation (Depreciation).................. 2,202,636 1,620,590 1,332,677 637,884 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 7,446,827 $ 4,695,831 $ 4,677,418 $ 2,755,114 ============== ============== ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL JAPANESE ASIA PACIFIC INTERNATIONAL SMALL SMALL SMALL CORE EQUITY COMPANY COMPANY COMPANY PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value...................................................... -- $ 8,509,407 $ 414,295 $ 331,292 Investments at Value (including $1,069,370, $0, $0 and $0 of securities on loan, respectively)....................... $ 9,434,976 -- -- -- Temporary Cash.............................................. -- 12,173 -- -- Collateral Received from Securities on Loan at Value & Cost....................................................... 4,951 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,075,000 -- -- -- Foreign Currencies at Value................................. 2,087 -- -- -- Cash........................................................ 38,004 -- -- -- Receivables: Investment Securities Sold................................ 380 -- -- -- Dividends, Interest and Tax Reclaims...................... 21,328 -- -- -- Securities Lending Income................................. 771 -- -- -- Fund Shares Sold.......................................... 17,948 4,045 -- 15 Prepaid Expenses and Other Assets........................... 127 56 7 7 -------------- -------------- ------------ ------------ Total Assets........................................... 10,595,572 8,525,681 414,302 331,314 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,079,951 -- -- -- Investment Securities Purchased........................... 647 -- -- -- Fund Shares Redeemed...................................... 2,917 1,771 6 7 Due to Advisor............................................ 2,762 2,846 140 112 Accrued Expenses and Other Liabilities...................... 829 347 24 29 -------------- -------------- ------------ ------------ Total Liabilities...................................... 1,087,106 4,964 170 148 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,508,466 $ 8,520,717 $ 414,132 $ 331,166 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $9,508,466; $8,520,717; $414,132 and $331,166 and shares outstanding of 756,633,598; 439,239,988; 21,422,259 and 13,342,290, respectively.................... $ 12.57 $ 19.40 $ 19.33 $ 24.82 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 1,500,000,000 100,000,000 100,000,000 ============== ============== ============ ============ Investments in Affiliated Investment Companies at Cost...... $ -- $ 6,870,590 $ 389,680 $ 301,332 ============== ============== ============ ============ Investments at Cost......................................... $ 7,979,985 $ -- $ -- $ -- ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ 2,101 $ -- $ -- $ -- ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 8,141,579 $ 6,624,670 $ 452,510 $ 321,830 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 27,329 27,083 6,178 6,418 Accumulated Net Realized Gain (Loss)........................ (115,510) 230,130 (69,159) (27,045) Net Unrealized Foreign Exchange Gain (Loss)................. 91 17 (12) 3 Net Unrealized Appreciation (Depreciation).................. 1,454,977 1,638,817 24,615 29,960 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,508,466 $ 8,520,717 $ 414,132 $ 331,166 ============== ============== ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE COMPANY COMPANY SECURITIES SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO ------------- ------------ ------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value............... $ 37,114 $ 170,800 -- $ 2,077,850 Investments at Value (including $0, $0, $131,048 and $0 of securities on loan, respectively)............................................... -- -- $ 2,144,767 -- Temporary Cash Investments at Value & Cost............................ -- -- -- 8,697 Collateral Received from Securities on Loan at Value & Cost........... -- -- 69 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................................. -- -- 174,000 -- Foreign Currencies at Value........................................... -- -- 673 -- Cash.................................................................. -- -- 11,903 -- Receivables: Investment Securities/Affiliated Investment Company Sold............ -- -- 103 -- Dividends, Interest and Tax Reclaims................................ -- -- 6,543 2 Securities Lending Income........................................... -- -- 105 -- Fund Shares Sold.................................................... -- 97 3,134 4,833 Unrealized Gain on Foreign Currency Contracts......................... -- -- 3 -- Prepaid Expenses and Other Assets..................................... 7 7 20 55 ------------ ------------ ------------ ------------ Total Assets..................................................... 37,121 170,904 2,341,320 2,091,437 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................... -- -- 174,069 -- Investment Securities/Affiliated Investment Company Purchased....... -- -- 6,827 7,624 Fund Shares Redeemed................................................ -- 18 549 955 Due to Advisor...................................................... 12 57 626 2 Unrealized Loss on Foreign Currency Contracts......................... -- -- 28 -- Accrued Expenses and Other Liabilities................................ 13 23 244 149 ------------ ------------ ------------ ------------ Total Liabilities................................................ 25 98 182,343 8,730 ------------ ------------ ------------ ------------ NET ASSETS............................................................ $ 37,096 $ 170,806 $ 2,158,977 $ 2,082,707 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $37,096; $170,806; $2,158,977 and $2,082,707 and shares outstanding of 1,003,742; 8,428,839; 393,952,649 and 217,181,753, respectively......................................................... $ 36.96 $ 20.26 $ 5.48 $ 9.59 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED........................................... 100,000,000 100,000,000 700,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost................ $ 22,831 $ 132,148 $ -- $ 1,711,546 ============ ============ ============ ============ Investments at Cost................................................... $ -- $ -- $ 1,877,357 $ -- ============ ============ ============ ============ Foreign Currencies at Cost............................................ $ -- $ -- $ 675 $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital....................................................... $ 22,451 $ 158,589 $ 2,279,985 $ 1,738,841 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................... 129 92 (147,973) 11,624 Accumulated Net Realized Gain (Loss).................................. 229 (26,656) (240,429) (34,062) Net Unrealized Foreign Exchange Gain (Loss)........................... 4 129 (14) -- Net Unrealized Appreciation (Depreciation)............................ 14,283 38,652 267,408 366,304 ------------ ------------ ------------ ------------ NET ASSETS............................................................ $ 37,096 $ 170,806 $ 2,158,977 $ 2,082,707 ============ ============ ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA INTERNATIONAL INTERNATIONAL WORLD EX U.S. SMALL CAP VECTOR EQUITY WORLD EX U.S. TARGETED VALUE VALUE PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO PORTFOLIO ---------------- ------------- --------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value...................................................... -- -- $ 117,454 $ 95,939 Investments at Value (including $1,010,674, $116,713, $0, $0 and $0 of securities on loan, respectively)......... $ 11,112,474 $ 1,081,903 -- -- Collateral Received from Securities on Loan at Value & Cost....................................................... 75 151 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,053,000 119,000 -- -- Foreign Currencies at Value................................. 3,627 1,115 -- -- Cash........................................................ 8 9,288 49 225 Receivables: Investment Securities Sold................................ 4,725 74 -- -- Dividends, Interest and Tax Reclaims...................... 26,463 2,442 -- -- Securities Lending Income................................. 1,373 102 -- -- Fund Shares Sold.......................................... 16,462 568 152 21 From Advisor.............................................. -- -- -- -- Unrealized Gain on Foreign Currency Contracts............... 5 -- -- -- Deferred Offering Costs..................................... -- -- -- -- Prepaid Expenses and Other Assets........................... 77 22 14 25 -------------- ------------ ------------ ------------ Total Assets............................................ 12,218,289 1,214,665 117,669 96,210 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,053,075 119,151 -- -- Investment Securities Purchased........................... 2,598 3,507 -- 158 Fund Shares Redeemed...................................... 2,740 694 4 -- Due to Advisor............................................ 6,051 405 60 19 Loan Payable.............................................. 4,016 -- -- -- Unrealized Loss on Foreign Currency Contracts............... -- 6 -- -- Accrued Expenses and Other Liabilities...................... 910 128 18 23 -------------- ------------ ------------ ------------ Total Liabilities....................................... 1,069,390 123,891 82 200 -------------- ------------ ------------ ------------ NET ASSETS.................................................. $ 11,148,899 $ 1,090,774 $ 117,587 $ 96,010 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,148,899; $1,090,774; $117,587; $96,010 and $129,720 and shares outstanding of 552,640,203; 92,844,717; 9,853,403; 7,704,431 and 12,048,498, respectively............................................... $ 20.17 $ 11.75 $ 11.93 $ 12.46 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED................................. 2,300,000,000 500,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost....................................................... $ -- $ -- $ 102,161 $ 84,293 ============== ============ ============ ============ Investments at Cost......................................... $ 9,094,196 $ 859,491 $ -- $ -- ============== ============ ============ ============ Foreign Currencies at Cost.................................. $ 3,630 $ 1,125 $ -- $ -- ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 8,953,361 $ 858,839 $ 105,007 $ 83,251 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 15,456 2,486 187 15 Accumulated Net Realized Gain (Loss)........................ 161,681 7,027 (2,868) 1,098 Net Unrealized Foreign Exchange Gain (Loss)................. 126 20 (32) -- Net Unrealized Appreciation (Depreciation).................. 2,018,275 222,402 15,293 11,646 -------------- ------------ ------------ ------------ NET ASSETS.................................................. $ 11,148,899 $ 1,090,774 $ 117,587 $ 96,010 ============== ============ ============ ============
WORLD EX U.S. CORE EQUITY PORTFOLIO ------------- ASSETS: Investments in Affiliated Investment Companies at Value...................................................... $ 129,435 Investments at Value (including $1,010,674, $116,713, $0, $0 and $0 of securities on loan, respectively)......... -- Collateral Received from Securities on Loan at Value & Cost....................................................... -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... -- Foreign Currencies at Value................................. -- Cash........................................................ 230 Receivables: Investment Securities Sold................................ -- Dividends, Interest and Tax Reclaims...................... -- Securities Lending Income................................. -- Fund Shares Sold.......................................... 295 From Advisor.............................................. 13 Unrealized Gain on Foreign Currency Contracts............... -- Deferred Offering Costs..................................... 3 Prepaid Expenses and Other Assets........................... 2 ------------ Total Assets............................................ 129,978 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... -- Investment Securities Purchased........................... 165 Fund Shares Redeemed...................................... 68 Due to Advisor............................................ -- Loan Payable.............................................. -- Unrealized Loss on Foreign Currency Contracts............... -- Accrued Expenses and Other Liabilities...................... 25 ------------ Total Liabilities....................................... 258 ------------ NET ASSETS.................................................. $ 129,720 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,148,899; $1,090,774; $117,587; $96,010 and $129,720 and shares outstanding of 552,640,203; 92,844,717; 9,853,403; 7,704,431 and 12,048,498, respectively............................................... $ 10.77 ============ NUMBER OF SHARES AUTHORIZED................................. 100,000,000 ============ Investments in Affiliated Investment Companies at Cost....................................................... $ 117,715 ============ Investments at Cost......................................... $ -- ============ Foreign Currencies at Cost.................................. $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 118,032 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... (1) Accumulated Net Realized Gain (Loss)........................ (31) Net Unrealized Foreign Exchange Gain (Loss)................. -- Net Unrealized Appreciation (Depreciation).................. 11,720 ------------ NET ASSETS.................................................. $ 129,720 ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (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......... $ 87,628 $ 3,653,887 $ 4,037,180 $ 19,256,425 Investments at Value (including $0, $0, $0, $0 and $1,608,604 of securities on loan, respectively)........................... -- -- -- -- Temporary Cash.................................................. 1,210 -- -- -- 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........................... 160 -- -- -- Foreign Currencies at Value..................................... -- -- -- -- Cash............................................................ 2,466 -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... -- -- -- -- Dividends, Interest and Tax Reclaims.......................... -- -- -- -- Securities Lending Income..................................... -- -- -- -- Fund Shares Sold.............................................. 16 4,737 7,077 25,739 Unrealized Gain on Forward Currency Contracts................... 90 -- -- -- Unrealized Gain on Foreign Currency Contracts................... -- -- -- -- Prepaid Expenses and Other Assets............................... 14 34 38 113 ------------ ------------ ------------ -------------- Total Assets................................................ 91,584 3,658,658 4,044,295 19,282,277 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. -- -- -- -- Investment Securities/Affiliated Investment Companies Purchased.................................................... 130 -- -- -- Fund Shares Redeemed.......................................... -- 1,462 678 6,126 Due to Advisor................................................ 9 1,222 1,520 6,454 Futures Margin Variation...................................... 19 -- -- -- Unrealized Loss on Forward Currency Contracts................... 62 -- -- -- Unrealized Loss on Foreign Currency Contracts................... -- -- -- -- Accrued Expenses and Other Liabilities.......................... 16 234 234 790 ------------ ------------ ------------ -------------- Total Liabilities........................................... 236 2,918 2,432 13,370 ------------ ------------ ------------ -------------- NET ASSETS...................................................... $ 91,348 $ 3,655,740 $ 4,041,863 $ 19,268,907 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $106,070 and $0 and shares outstanding of 0; 0; 0; 3,624,435 and 0, respectively................................................... N/A N/A N/A $ 29.27 ============ ============ ============ ============== Institutional Class Shares -- based on net assets of $91,348; $3,655,740; $4,041,863; $19,162,837 and $13,020,962 and shares outstanding of 6,704,078; 135,555,592; 191,570,612; 654,558,013 and 648,059,947, respectively...................... $ 13.63 $ 26.97 $ 21.10 $ 29.28 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED..................................... 100,000,000 500,000,000 500,000,000 1,500,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost.......... $ 72,257 $ 2,522,235 $ 3,582,521 $ 18,840,667 ============ ============ ============ ============== Investments at Cost............................................. $ -- $ -- $ -- $ -- ============ ============ ============ ============== Foreign Currencies at Cost...................................... $ -- $ -- $ -- $ -- ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................................. $ 74,110 $ 2,497,624 $ 3,528,355 $ 18,578,622 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 1,390 6,855 8,340 14,817 Accumulated Net Realized Gain (Loss)............................ 316 19,648 50,600 259,622 Net Unrealized Foreign Exchange Gain (Loss)..................... 28 (39) (91) 88 Net Unrealized Appreciation (Depreciation)...................... 15,504 1,131,652 454,659 415,758 ------------ ------------ ------------ -------------- NET ASSETS...................................................... $ 91,348 $ 3,655,740 $ 4,041,863 $ 19,268,907 ============ ============ ============ ==============
EMERGING MARKETS CORE EQUITY PORTFOLIO* -------------- ASSETS: Investments in Affiliated Investment Companies at Value......... -- Investments at Value (including $0, $0, $0, $0 and $1,608,604 of securities on loan, respectively)........................... $ 12,892,198 Temporary Cash.................................................. -- Collateral Received from Securities on Loan at Value & Cost..... 10,967 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................... 1,372,000 Segregated Cash for Futures Contracts........................... -- Foreign Currencies at Value..................................... 17,201 Cash............................................................ 136,988 Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... 315 Dividends, Interest and Tax Reclaims.......................... 13,712 Securities Lending Income..................................... 2,510 Fund Shares Sold.............................................. 14,939 Unrealized Gain on Forward Currency Contracts................... -- Unrealized Gain on Foreign Currency Contracts................... 1 Prepaid Expenses and Other Assets............................... 118 -------------- Total Assets................................................ 14,460,949 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. 1,382,967 Investment Securities/Affiliated Investment Companies Purchased.................................................... 46,763 Fund Shares Redeemed.......................................... 2,574 Due to Advisor................................................ 5,969 Futures Margin Variation...................................... -- Unrealized Loss on Forward Currency Contracts................... -- Unrealized Loss on Foreign Currency Contracts................... 84 Accrued Expenses and Other Liabilities.......................... 1,630 -------------- Total Liabilities........................................... 1,439,987 -------------- NET ASSETS...................................................... $ 13,020,962 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $106,070 and $0 and shares outstanding of 0; 0; 0; 3,624,435 and 0, respectively................................................... N/A ============== Institutional Class Shares -- based on net assets of $91,348; $3,655,740; $4,041,863; $19,162,837 and $13,020,962 and shares outstanding of 6,704,078; 135,555,592; 191,570,612; 654,558,013 and 648,059,947, respectively...................... $ 20.09 ============== NUMBER OF SHARES AUTHORIZED..................................... 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost.......... $ -- ============== Investments at Cost............................................. $ 11,668,794 ============== Foreign Currencies at Cost...................................... $ 17,301 ============== NET ASSETS CONSIST OF: Paid-In Capital................................................. $ 11,819,210 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 31,355 Accumulated Net Realized Gain (Loss)............................ (52,859) Net Unrealized Foreign Exchange Gain (Loss)..................... (48) Net Unrealized Appreciation (Depreciation)...................... 1,223,304 -------------- NET ASSETS...................................................... $ 13,020,962 ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE U.S. LARGE U.S. TARGETED COMPANY CAP EQUITY CAP VALUE VALUE PORTFOLIO PORTFOLIO(A) PORTFOLIO* PORTFOLIO ---------- ------------ ---------- ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Company: Dividends.................................................................... -- -- $ 209,457 -- Interest..................................................................... -- -- 42 -- Income from Securities Lending............................................... -- -- 1,778 -- Expenses Allocated from Affiliated Investment Company........................ -- -- (11,525) -- ------- ------- ---------- ---------- Total Net Investment Income Received from Affiliated Investment Company.... -- -- 199,752 -- ------- ------- ---------- ---------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $7, respectively). $ 149 $ 648 -- $ 56,850 Interest..................................................................... 1,614 1 -- 33 Income from Securities Lending............................................... -- 12 -- 2,392 ------- ------- ---------- ---------- Total Investment Income.................................................... 1,763 661 -- 59,275 ------- ------- ---------- ---------- FUND EXPENSES Investment Advisory Services Fees............................................ 101 56 -- 3,667 Administrative Services Fees................................................. 303 -- 15,211 9,173 Accounting & Transfer Agent Fees............................................. 27 1 95 284 S&P 500(R) Fees.............................................................. 9 -- -- -- Shareholder Servicing Fees -- Class R1 Shares............................................................. -- -- -- 41 Class R2 Shares............................................................. -- -- -- 43 Custodian Fees............................................................... 10 3 -- 56 Filing Fees.................................................................. 25 16 173 107 Shareholders' Reports........................................................ 5 1 220 105 Directors'/Trustees' Fees & Expenses......................................... 2 -- 104 38 Professional Fees............................................................ 6 2 36 104 Organizational & Offering Costs.............................................. -- 15 -- -- Other........................................................................ 5 -- 133 68 ------- ------- ---------- ---------- Total Expenses............................................................. 493 94 15,972 13,686 ------- ------- ---------- ---------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................................... -- (24) -- -- Fees Paid Indirectly......................................................... (4) -- -- -- ------- ------- ---------- ---------- Net Expenses................................................................. 489 70 15,972 13,686 ------- ------- ---------- ---------- NET INVESTMENT INCOME (LOSS)................................................. 1,274 591 183,780 45,589 ------- ------- ---------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................................. (238) 37 819,592 274,964 Futures..................................................................... 40,444 -- -- 4,864 Foreign Currency Transactions............................................... (934) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 1,803 10,560 2,030,120 903,746 Futures..................................................................... 5,088 -- -- -- Translation of Foreign Currency Denominated Amounts......................... 946 -- -- -- ------- ------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 47,109 10,597 2,849,712 1,183,574 ------- ------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ $48,383 $11,188 $3,033,492 $1,229,163 ======= ======= ========== ==========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). (a)The Portfolio commenced operations on June 25, 2013. See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
U.S. SMALL U.S. CORE U.S. CORE U.S. VECTOR CAP VALUE EQUITY 1 EQUITY 2 EQUITY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- ----------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $14, $118, $71 and $18, respectively)............................................. $ 142,119 $ 117,896 $ 159,821 $ 42,692 Interest........................................................ 57 53 50 17 Income from Securities Lending.................................. 4,865 3,281 5,088 2,129 ---------- ---------- ---------- -------- Total Investment Income...................................... 147,041 121,230 164,959 44,838 ---------- ---------- ---------- -------- EXPENSES Investment Advisory Services Fees............................... 16,390 10,454 16,869 7,397 Administrative Services Fees.................................... 24,594 -- -- -- Accounting & Transfer Agent Fees................................ 620 463 636 192 Custodian Fees.................................................. 106 91 102 39 Filing Fees..................................................... 123 215 183 67 Shareholders' Reports........................................... 162 83 125 59 Directors'/Trustees' Fees & Expenses............................ 85 63 87 25 Professional Fees............................................... 224 177 243 71 Other........................................................... 143 107 151 53 ---------- ---------- ---------- -------- Total Expenses............................................... 42,447 11,653 18,396 7,903 ---------- ---------- ---------- -------- NET INVESTMENT INCOME (LOSS).................................... 104,594 109,577 146,563 36,935 ---------- ---------- ---------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................... 467,388 48,730 106,205 42,264 Futures....................................................... 4,175 -- -- (48) Change in Unrealized Appreciation (Depreciation) of: Investment Securities......................................... 2,087,253 1,549,261 2,176,008 684,534 ---------- ---------- ---------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 2,558,816 1,597,991 2,282,213 726,750 ---------- ---------- ---------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................................................... $2,663,410 $1,707,568 $2,428,776 $763,685 ========== ========== ========== ========
See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
DFA REAL ESTATE LARGE CAP U.S. SMALL U.S. MICRO SECURITIES INTERNATIONAL CAP PORTFOLIO CAP PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ---------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $33, $21, $0 and $5,868, respectively)......................................... $ 86,192 $ 60,045 $110,387 $ 71,899 Interest....................................................... 48 19 37 3 Income from Securities Lending................................. 11,185 7,558 650 3,593 ---------- ---------- -------- -------- Total Investment Income..................................... 97,425 67,622 111,074 75,495 ---------- ---------- -------- -------- EXPENSES Investment Advisory Services Fees.............................. 1,722 4,027 7,278 5,952 Administrative Services Fees................................... 18,376 16,113 -- -- Accounting & Transfer Agent Fees............................... 426 310 335 196 Custodian Fees................................................. 95 66 46 317 Filing Fees.................................................... 204 70 145 73 Shareholders' Reports.......................................... 120 88 142 92 Directors'/Trustees' Fees & Expenses........................... 58 42 45 25 Professional Fees.............................................. 150 111 133 78 Other.......................................................... 95 73 75 65 ---------- ---------- -------- -------- Total Expenses.............................................. 21,246 20,900 8,199 6,798 ---------- ---------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................ -- -- (521) -- Fees Paid Indirectly........................................... -- -- -- (9) ---------- ---------- -------- -------- Net Expenses................................................ 21,246 20,900 7,678 6,789 ---------- ---------- -------- -------- NET INVESTMENT INCOME (LOSS)..................................... 76,179 46,722 103,396 68,706 ---------- ---------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities. -- -- 15,455 -- Net Realized Gain (Loss) on: Investment Securities Sold................................... 252,589 227,715 15,023 (15,210) Futures...................................................... (331) (423) -- -- Foreign Currency Transactions*............................... 1 -- -- (394) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... 1,551,354 1,117,408 254,603 476,010 Translation of Foreign Currency Denominated Amounts.......... -- -- -- 154 ---------- ---------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................ 1,803,613 1,344,700 285,081 460,560 ---------- ---------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $1,879,792 $1,391,422 $388,477 $529,266 ========== ========== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE ASIA PACIFIC INTERNATIONAL SMALL SMALL SMALL CORE EQUITY COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO * PORTFOLIO * PORTFOLIO * ------------- ------------- ----------- ------------ INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $15,423, $653 and $371, respectively).............................. -- $ 200,898 $ 7,733 $12,023 Interest.................................................... -- 59 -- -- Income from Securities Lending.............................. -- 19,252 622 1,038 Expenses Allocated from Affiliated Investment Companies................................................. -- (9,826) (577) (391) ---------- ---------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies.................................. -- 210,383 7,778 12,670 ---------- ---------- -------- ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $18,128, $0, $0 and $0, respectively).................................. $ 233,217 -- -- -- Interest.................................................... 4 21 -- -- Income from Securities Lending.............................. 14,944 -- -- -- ---------- ---------- -------- ------- Total Investment Income................................. 248,165 21 -- -- ---------- ---------- -------- ------- FUND EXPENSES Investment Advisory Services Fees........................... 27,343 -- -- -- Administrative Services Fees................................ -- 29,296 1,621 1,087 Accounting & Transfer Agent Fees............................ 593 84 22 21 Custodian Fees.............................................. 1,233 1 -- -- Filing Fees................................................. 300 129 17 24 Shareholders' Reports....................................... 163 194 4 4 Directors'/Trustees' Fees & Expenses........................ 81 77 4 3 Professional Fees........................................... 272 40 4 3 Other....................................................... 181 102 5 3 ---------- ---------- -------- ------- Total Expenses.......................................... 30,166 29,923 1,677 1,145 ---------- ---------- -------- ------- Fees Paid Indirectly........................................ (31) -- -- -- ---------- ---------- -------- ------- Net Expenses................................................ 30,135 29,923 1,677 1,145 ---------- ---------- -------- ------- NET INVESTMENT INCOME (LOSS)................................ 218,030 180,481 6,101 11,525 ---------- ---------- -------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold................................ (10,392) 262,518 5,783 (255) Futures................................................... -- (29) -- -- Foreign Currency Transactions**........................... (2,185) (2,035) (468) 9 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 1,736,462 1,540,906 94,197 17,462 Futures................................................... -- 30 -- -- Translation of Foreign Currency Denominated Amounts................................................. 312 438 26 (1) ---------- ---------- -------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 1,724,197 1,801,828 99,538 17,215 ---------- ---------- -------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $1,942,227 $1,982,309 $105,639 $28,740 ========== ========== ======== =======
---------- * 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 $14, $27, $0 and $0, respectively. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
UNITED DFA KINGDOM CONTINENTAL INTERNATIONAL DFA GLOBAL SMALL SMALL REAL ESTATE REAL ESTATE COMPANY COMPANY SECURITIES SECURITIES PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO ---------- ----------- ------------- ----------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $2, $409, $0 and $0, respectively)......................................................... $ 1,124 $ 2,859 -- -- Income Distributions Received from Affiliated Investment Companies..... -- -- -- $ 85,254 Interest............................................................... -- 3 -- -- Income from Securities Lending......................................... 7 477 -- -- Expenses Allocated from Affiliated Investment Company.................. (41) (167) -- -- ------- ------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company............................................................ 1,090 3,172 -- 85,254 ------- ------- -------- -------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $8,213 and $0, respectively)......................................................... -- -- $ 77,512 -- Interest............................................................... -- -- -- 6 Income from Securities Lending......................................... -- -- 2,538 -- ------- ------- -------- -------- Total Fund Investment Income........................................ -- -- 80,050 6 ------- ------- -------- -------- FUND EXPENSES Investment Advisory Services Fees...................................... -- -- 6,295 4,409 Administrative Services Fees........................................... 134 490 -- -- Accounting & Transfer Agent Fees....................................... 16 20 152 40 Custodian Fees......................................................... -- -- 311 -- Filing Fees............................................................ 15 18 118 130 Shareholders' Reports.................................................. 1 3 71 50 Directors'/Trustees' Fees & Expenses................................... -- 1 19 17 Professional Fees...................................................... 2 2 67 14 Other.................................................................. 1 3 41 19 ------- ------- -------- -------- Total Expenses...................................................... 169 537 7,074 4,679 ------- ------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... (12) -- -- (3,761) Fees Paid Indirectly................................................... -- -- (18) -- ------- ------- -------- -------- Net Expenses........................................................... 157 537 7,056 918 ------- ------- -------- -------- NET INVESTMENT INCOME (LOSS)........................................... 933 2,635 72,994 84,342 ------- ------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold........................................... 2,545 2,298 (19,009) (3,169) Futures.............................................................. -- 29 888 -- Foreign Currency Transactions**...................................... -- (3) (860) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 7,107 41,299 105,321 60,459 Futures.............................................................. -- (29) -- -- Translation of Foreign Currency Denominated Amounts.................. -- 7 18 -- ------- ------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 9,652 43,601 86,358 57,290 ------- ------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $10,585 $46,236 $159,352 $141,632 ======= ======= ======== ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $1, $7 and $0, respectively. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL WORLD EX U.S. SMALL CAP INTERNATIONAL WORLD EX U.S. TARGETED VALUE VECTOR EQUITY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO*(A) ------------- ------------- ------------- ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $226, $68 and $0, respectively).......................... -- -- $ 2,376 $ 409 Income Distributions Received from Affiliated Investment Companies................................................ -- -- 139 753 Income from Securities Lending............................ -- -- 125 32 Expenses Allocated from Affiliated Investment Companies................................................ -- -- (157) (27) ---------- -------- ------- ------- Total Net Investment Income Received from Affiliated Investment Companies....................... -- -- 2,483 1,167 ---------- -------- ------- ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $17,253, $1,602, $0, $0 and $0, respectively)..................... $ 251,726 $ 21,173 -- -- Interest.................................................. 36 -- -- -- Income from Securities Lending............................ 23,155 1,491 -- -- ---------- -------- ------- ------- Total Investment Income................................ 274,917 22,664 -- -- ---------- -------- ------- ------- FUND EXPENSES Investment Advisory Services Fees......................... 63,069 3,382 394 330 Accounting & Transfer Agent Fees.......................... 737 70 17 17 Custodian Fees............................................ 1,495 268 1 2 Filing Fees............................................... 143 66 12 17 Shareholders' Reports..................................... 223 15 1 1 Directors'/Trustees' Fees & Expenses...................... 102 7 1 -- Professional Fees......................................... 325 22 5 5 Organizational & Offering Costs........................... -- -- -- 53 Other..................................................... 254 23 2 3 ---------- -------- ------- ------- Total Expenses......................................... 66,348 3,853 433 428 ---------- -------- ------- ------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................ -- -- (136) (270) Fees Paid Indirectly...................................... (23) (5) -- -- ---------- -------- ------- ------- Net Expenses.............................................. 66,325 3,848 297 158 ---------- -------- ------- ------- NET INVESTMENT INCOME (LOSS).............................. 208,592 18,816 2,186 1,009 ---------- -------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities............................................... -- -- 64 191 Net Realized Gain (Loss) on: Investment Securities Sold............................... 179,935 8,277 3,077 947 Futures.................................................. -- -- (12) 1 Foreign Currency Transactions**.......................... (2,311) (71) (14) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 2,722,774 172,846 13,382 11,646 Futures.................................................. -- -- (1) -- Translation of Foreign Currency Denominated Amounts................................................. 666 46 (15) -- ---------- -------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)................... 2,901,064 181,098 16,481 12,782 ---------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $3,109,656 $199,914 $18,667 $13,791 ========== ======== ======= =======
WORLD EX U.S. CORE EQUITY PORTFOLIO(B) ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $226, $68 and $0, respectively).......................... -- Income Distributions Received from Affiliated Investment Companies................................................ $ 1,175 Income from Securities Lending............................ -- Expenses Allocated from Affiliated Investment Companies................................................ -- ------- Total Net Investment Income Received from Affiliated Investment Companies....................... 1,175 ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $17,253, $1,602, $0, $0 and $0, respectively)..................... -- Interest.................................................. -- Income from Securities Lending............................ -- ------- Total Investment Income................................ -- ------- FUND EXPENSES Investment Advisory Services Fees......................... 149 Accounting & Transfer Agent Fees.......................... 9 Custodian Fees............................................ 1 Filing Fees............................................... 15 Shareholders' Reports..................................... -- Directors'/Trustees' Fees & Expenses...................... -- Professional Fees......................................... 5 Organizational & Offering Costs........................... 21 Other..................................................... 1 ------- Total Expenses......................................... 201 ------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................ (186) Fees Paid Indirectly...................................... -- ------- Net Expenses.............................................. 15 ------- NET INVESTMENT INCOME (LOSS).............................. 1,160 ------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities............................................... -- Net Realized Gain (Loss) on: Investment Securities Sold............................... (30) Futures.................................................. -- Foreign Currency Transactions**.......................... -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 11,720 Futures.................................................. -- Translation of Foreign Currency Denominated Amounts................................................. -- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)................... 11,690 ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $12,850 =======
---------- * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Funds (Affiliated Investment Companies). **Net of foreign capital gain taxes withheld of $6, $0, $0, $0 and $0, respectively. (a)The Portfolio commenced operations on November 1, 2012. (b)The Portfolio commenced operations on April 9, 2013. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
SELECTIVELY EMERGING EMERGING EMERGING HEDGED EMERGING MARKETS MARKETS MARKETS CORE GLOBAL EQUITY MARKETS SMALL CAP VALUE EQUITY PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO ------------- ---------- ---------- ---------- ------------ INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $11,156, $9,714, $65,223 and $0, respectively).................................... -- $ 75,716 $ 80,545 $ 418,282 -- Income Distributions Received from Affiliated Investment Companies........................................................ $ 1,351 -- -- -- -- Interest.......................................................... -- 1 -- 15 -- Income from Securities Lending.................................... -- 3,790 16,568 25,373 -- Expenses Allocated from Affiliated Investment Company............. -- (4,877) (10,518) (27,921) -- ------- -------- -------- ---------- -------- Total Net Investment Income Received from Affiliated Investment Companies.......................................... 1,351 74,630 86,595 415,749 -- ------- -------- -------- ---------- -------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $34,892, respectively)........................................... -- -- -- -- $254,568 Interest.......................................................... 4 -- -- -- 5 Income from Securities Lending.................................... -- -- -- -- 24,569 ------- -------- -------- ---------- -------- Total Fund Investment Income................................... 4 -- -- -- 279,142 ------- -------- -------- ---------- -------- FUND EXPENSES Investment Advisory Services Fees................................. 206 -- -- -- 59,368 Administrative Services Fees...................................... -- 12,576 16,494 71,800 -- Accounting & Transfer Agent Fees.................................. 15 44 47 162 811 Shareholder Servicing Fees -- Class R2 Shares..................... -- -- -- 263 -- Custodian Fees.................................................... -- -- -- -- 5,473 Filing Fees....................................................... 24 154 198 378 644 Shareholders' Reports............................................. 1 118 63 251 231 Directors'/Trustees' Fees & Expenses.............................. 1 34 39 196 112 Professional Fees................................................. 5 14 17 68 449 Organizational & Offering Costs................................... 2 -- -- -- -- Other............................................................. 1 45 53 259 229 ------- -------- -------- ---------- -------- Total Expenses................................................. 255 12,985 16,911 73,377 67,317 ------- -------- -------- ---------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................... (217) -- -- -- -- Fees Paid Indirectly.............................................. -- -- -- -- (167) ------- -------- -------- ---------- -------- Net Expenses...................................................... 38 12,985 16,911 73,377 67,150 ------- -------- -------- ---------- -------- NET INVESTMENT INCOME (LOSS)...................................... 1,317 61,645 69,684 342,372 211,992 ------- -------- -------- ---------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies........................................................ 115 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold....................................... (81) 22,235 64,325 296,735 (9,977) Futures.......................................................... 545 -- 452 -- -- Foreign Currency Transactions**.................................. 237 (124) (1,227) (2,807) (2,207) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................... 12,814 143,306 146,169 717,140 581,086 Futures.......................................................... 150 -- 4 -- -- Translation of Foreign Currency Denominated Amounts.............. 121 (6) (42) 7 (79) ------- -------- -------- ---------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 13,901 165,411 209,681 1,011,075 568,823 ------- -------- -------- ---------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......................................................... $15,218 $227,056 $279,365 $1,353,447 $780,815 ======= ======== ======== ========== ========
---------- * 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. 118 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP U.S. LARGE CAP VALUE COMPANY PORTFOLIO EQUITY PORTFOLIO PORTFOLIO ------------------ ---------------- ------------------------ PERIOD YEAR YEAR JUNE 25, YEAR YEAR ENDED ENDED 2013(A) TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2013 2012 -------- -------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 1,274 $ 1,469 $ 591 $ 183,780 $ 154,843 Net Realized Gain (Loss) on: Investment Securities Sold.......................... (238) 245 37 819,592 318,427 Futures............................................. 40,444 30,568 -- -- -- Foreign Currency Transactions....................... (934) 1,331 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 1,803 594 10,560 2,030,120 824,744 Futures............................................. 5,088 (6,586) -- -- -- Translation of Foreign Currency Denominated Amounts............................................ 946 (857) -- -- -- -------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 48,383 26,764 11,188 3,033,492 1,298,014 -------- -------- -------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares............................ (1,597) (2,785) (321) (180,943) (150,153) -------- -------- -------- ----------- ----------- Total Distributions................................ (1,597) (2,785) (321) (180,943) (150,153) -------- -------- -------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 49,190 26,869 127,286 2,669,600 1,501,347 Shares Issued in Lieu of Cash Distributions........... 1,381 2,573 321 165,830 139,904 Shares Redeemed....................................... (74,528) (34,538) (3,067) (2,059,492) (1,794,871) -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... (23,957) (5,096) 124,540 775,938 (153,620) -------- -------- -------- ----------- ----------- Total Increase (Decrease) in Net Assets............ 22,829 18,883 135,407 3,628,487 994,241 NET ASSETS Beginning of Period................................... 190,011 171,128 -- 8,334,585 7,340,344 -------- -------- -------- ----------- ----------- End of Period......................................... $212,840 $190,011 $135,407 $11,963,072 $ 8,334,585 ======== ======== ======== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 4,732 3,051 12,483 102,131 72,600 Shares Issued in Lieu of Cash Distributions........... 142 314 30 6,512 6,979 Shares Redeemed....................................... (7,146) (3,906) (286) (79,135) (86,993) -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... (2,272) (541) 12,227 29,508 (7,414) ======== ======== ======== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 200 $ 2,005 $ 281 $ 28,203 $ 25,366
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO ----------------------- ------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 ----------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 45,589 $ 29,117 $ 104,594 $ 53,970 Capital Gain Distributions Received from Investment Securities........................................... -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold........................... 274,964 181,414 467,388 430,201 Futures.............................................. 4,864 3,336 4,175 954 Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................ 903,746 176,832 2,087,253 522,870 Futures.............................................. -- -- -- (536) ----------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 1,229,163 390,699 2,663,410 1,007,459 ----------- ---------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares...................................... (604) (374) -- -- Class R2 Shares...................................... (171) (76) -- -- Institutional Class Shares........................... (44,723) (24,124) (97,302) (50,536) Net Short-Term Gains: Class R1 Shares...................................... (162) -- -- -- Class R2 Shares...................................... (43) -- -- -- Institutional Class Shares........................... (9,669) -- (15,668) -- Net Long-Term Gains: Class R1 Shares...................................... (2,657) (356) -- -- Class R2 Shares...................................... (709) (86) -- -- Institutional Class Shares........................... (158,843) (19,426) (380,218) (89,379) ----------- ---------- ----------- ----------- Total Distributions................................ (217,581) (44,442) (493,188) (139,915) ----------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 1,069,213 782,957 1,700,691 1,130,039 Shares Issued in Lieu of Cash Distributions........... 193,793 40,767 448,519 131,338 Shares Redeemed....................................... (1,112,648) (662,151) (1,880,921) (1,581,314) ----------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... 150,358 161,573 268,289 (319,937) ----------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets............ 1,161,940 507,830 2,438,511 547,607 NET ASSETS Beginning of Year..................................... 3,051,809 2,543,979 7,088,470 6,540,863 ----------- ---------- ----------- ----------- End of Year........................................... $ 4,213,749 $3,051,809 $ 9,526,981 $ 7,088,470 =========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 54,473 48,542 56,681 45,152 Shares Issued in Lieu of Cash Distributions........... 11,549 2,677 17,521 5,754 Shares Redeemed....................................... (56,250) (40,606) (64,686) (62,499) ----------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 9,772 10,613 9,516 (11,593) =========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 484 $ 3,945 $ 1,373 $ 94
U.S. CORE EQUITY 1 PORTFOLIO ----------------------- YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ----------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 109,577 $ 78,378 Capital Gain Distributions Received from Investment Securities........................................... -- 36 Net Realized Gain (Loss) on: Investment Securities Sold........................... 48,730 35,359 Futures.............................................. -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................ 1,549,261 455,880 Futures.............................................. -- -- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 1,707,568 569,653 ----------- ---------- Distributions From: Net Investment Income: Class R1 Shares...................................... -- -- Class R2 Shares...................................... -- -- Institutional Class Shares........................... (105,633) (73,066) Net Short-Term Gains: Class R1 Shares...................................... -- -- Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- Net Long-Term Gains: Class R1 Shares...................................... -- -- Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- ----------- ---------- Total Distributions................................ (105,633) (73,066) ----------- ---------- Capital Share Transactions (1): Shares Issued......................................... 2,012,312 1,316,460 Shares Issued in Lieu of Cash Distributions........... 95,895 66,157 Shares Redeemed....................................... (1,020,936) (733,642) ----------- ---------- Net Increase (Decrease) from Capital Share Transactions...................................... 1,087,271 648,975 ----------- ---------- Total Increase (Decrease) in Net Assets............ 2,689,206 1,145,562 NET ASSETS Beginning of Year..................................... 4,876,973 3,731,411 ----------- ---------- End of Year........................................... $ 7,566,179 $4,876,973 =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 144,586 114,530 Shares Issued in Lieu of Cash Distributions........... 7,046 5,842 Shares Redeemed....................................... (73,616) (63,857) ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 78,016 56,515 =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 14,478 $ 10,461
See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 U.S. VECTOR EQUITY U.S. SMALL CAP PORTFOLIO PORTFOLIO PORTFOLIO ------------------------ ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 146,563 $ 111,804 $ 36,935 $ 28,165 $ 76,179 $ 47,882 Capital Gain Distributions Received from Investment Securities....................... -- 105 -- 18 -- -- Net Realized Gain (Loss) on: Investment Securities Sold................. 106,205 73,466 42,264 41,027 252,589 254,365 Futures.................................... -- -- (48) (850) (331) -- Foreign Currency Transactions.............. -- -- -- -- 1 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities...................... 2,176,008 694,545 684,534 196,524 1,551,354 230,453 ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 2,428,776 879,920 763,685 264,884 1,879,792 532,700 ----------- ----------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................ (143,640) (99,623) (34,959) (26,665) (74,990) (41,256) Net Short-Term Gains: Institutional Class Shares................ -- -- -- -- (8,279) -- Net Long-Term Gains: Instituional Class Shares................. (55,772) -- (3,507) -- (228,672) -- ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions....................... (199,412) (99,623) (38,466) (26,665) (311,941) (41,256) ----------- ----------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................ 1,993,887 1,284,909 590,251 363,121 2,025,365 1,000,664 Shares Issued in Lieu of Cash Distributions............................... 194,014 96,744 37,851 26,213 287,893 38,143 Shares Redeemed.............................. (1,351,685) (1,057,872) (468,656) (470,271) (997,627) (737,229) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 836,216 323,781 159,446 (80,937) 1,315,631 301,578 ----------- ----------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 3,065,580 1,104,078 884,665 157,282 2,883,482 793,022 NET ASSETS Beginning of Year............................ 6,923,984 5,819,906 2,009,177 1,851,895 4,563,345 3,770,323 ----------- ----------- ---------- ---------- ---------- ---------- End of Year.................................. $ 9,989,564 $ 6,923,984 $2,893,842 $2,009,177 $7,446,827 $4,563,345 =========== =========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................ 145,060 113,356 43,824 33,038 76,522 45,541 Shares Issued in Lieu of Cash Distributions............................... 14,935 8,679 2,932 2,473 12,811 1,786 Shares Redeemed.............................. (98,040) (93,203) (34,484) (42,602) (38,832) (33,325) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 61,955 28,832 12,272 (7,091) 50,501 14,002 =========== =========== ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................ $ 14,563 $ 15,899 $ 3,099 $ 2,490 $ 3,169 $ 5,302
See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA REAL ESTATESECURITIES LARGE CAP INTERNATIONAL U.S. MICRO CAP PORTFOLIO PORTFOLIO PORTFOLIO ---------------------- ------------------------ ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)...................... $ 46,722 $ 33,720 $ 103,396 $ 78,788 $ 68,706 $ 63,623 Capital Gain Distributions Received from Investment Securities............................ -- -- 15,455 16,390 -- -- Net Realized Gain (Loss) on: Investment Securities Sold....................... 227,715 220,675 15,023 (1,763) (15,210) (18,104) Futures.......................................... (423) 385 -- (46) -- -- Foreign Currency Transactions*................... -- -- -- -- (394) (353) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................................ 1,117,408 166,031 254,603 355,961 476,010 69,627 Translation of Foreign Currency Denominated Amounts......................................... -- -- -- -- 154 (82) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 1,391,422 420,811 388,477 449,330 529,266 114,711 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares....................... (46,915) (30,423) (102,731) (99,783) (70,787) (60,808) Net Long-Term Gains: Institutional Class Shares....................... (176,365) -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (223,280) (30,423) (102,731) (99,783) (70,787) (60,808) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued..................................... 605,885 389,014 1,428,666 826,214 631,372 634,549 Shares Issued in Lieu of Cash Distributions....... 207,612 28,484 99,760 96,714 66,684 57,573 Shares Redeemed................................... (723,766) (627,647) (853,143) (654,733) (457,180) (394,415) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.................................. 89,731 (210,149) 675,283 268,195 240,876 297,707 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets........ 1,257,873 180,239 961,029 617,742 699,355 351,610 NET ASSETS Beginning of Year................................. 3,437,958 3,257,719 3,716,389 3,098,647 2,055,759 1,704,149 ---------- ---------- ---------- ---------- ---------- ---------- End of Year....................................... $4,695,831 $3,437,958 $4,677,418 $3,716,389 $2,755,114 $2,055,759 ========== ========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued..................................... 36,865 27,509 51,717 32,929 31,421 36,185 Shares Issued in Lieu of Cash Distributions....... 14,570 2,109 3,726 3,972 3,350 3,432 Shares Redeemed................................... (43,945) (44,113) (30,873) (26,322) (22,837) (22,604) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 7,490 (14,495) 24,570 10,579 11,934 17,013 ========== ========== ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................................ $ 1,665 $ 3,910 $ 31,615 $ 23,599 $ 6,579 $ 8,708
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $1, respectively. See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
INTERNATIONAL CORE EQUITY INTERNATIONAL SMALL JAPANESE SMALL PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO ------------------------ ------------------------ ------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ----------- --------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)...................... $ 218,030 $ 181,573 $ 180,481 $ 152,324 $ 6,101 $ 5,072 Net Realized Gain (Loss) on: Investment Securities Sold....................... (10,392) (40,937) 262,518 53,955 5,783 (5,341) Futures.......................................... -- -- (29) 9 -- (75) Foreign Currency Transactions**.................. (2,185) 114 (2,035) 401 (468) 120 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................................ 1,736,462 185,568 1,540,906 133,610 94,197 (6,790) Futures.......................................... -- -- 30 (1) -- 1 Translation of Foreign Currency Denominated Amounts......................................... 312 (120) 438 (530) 26 (23) ----------- ----------- ----------- ----------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 1,942,227 326,198 1,982,309 339,768 105,639 (7,036) ----------- ----------- ----------- ----------- --------- -------- Distributions From: Net Investment Income: Institutional Class Shares....................... (214,687) (176,198) (159,066) (163,885) (2,836) (4,541) Net Long-Term Gains: Institutional Class Shares....................... -- -- (39,012) (108,621) -- -- ----------- ----------- ----------- ----------- --------- -------- Total Distributions............................ (214,687) (176,198) (198,078) (272,506) (2,836) (4,541) ----------- ----------- ----------- ----------- --------- -------- Capital Share Transactions (1): Shares Issued..................................... 2,415,089 1,839,473 1,229,487 1,391,405 142,226 198,642 Shares Issued in Lieu of Cash Distributions....... 206,673 169,856 188,769 262,078 2,638 4,202 Shares Redeemed................................... (1,323,574) (1,072,475) (1,104,930) (1,131,600) (127,503) (60,419) ----------- ----------- ----------- ----------- --------- -------- Net Increase (Decrease) from Capital Share Transactions.................................. 1,298,188 936,854 313,326 521,883 17,361 142,425 ----------- ----------- ----------- ----------- --------- -------- Total Increase (Decrease) in Net Assets........ 3,025,728 1,086,854 2,097,557 589,145 120,164 130,848 NET ASSETS Beginning of Year................................. 6,482,738 5,395,884 6,423,160 5,834,015 293,968 163,120 ----------- ----------- ----------- ----------- --------- -------- End of Year....................................... $ 9,508,466 $ 6,482,738 $ 8,520,717 $ 6,423,160 $ 414,132 $293,968 =========== =========== =========== =========== ========= ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued..................................... 213,883 190,598 72,452 95,525 8,814 12,557 Shares Issued in Lieu of Cash Distributions....... 18,646 18,393 11,691 19,065 173 282 Shares Redeemed................................... (117,963) (112,419) (65,368) (77,790) (7,179) (3,928) ----------- ----------- ----------- ----------- --------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 114,566 96,572 18,775 36,800 1,808 8,911 =========== =========== =========== =========== ========= ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................................ $ 27,329 $ 25,255 $ 27,396 $ 3,290 $ 6,178 $ 1,728
---------- **Net of foreign capital gain taxes withheld of $14, $0, $27, $4, $0 and $0, respectively. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ASIA PACIFIC SMALL UNITED KINGDOM SMALL CONTINENTAL SMALL COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO ------------------ ------------------- ------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 -------- -------- -------- -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 11,525 $ 7,452 $ 933 $ 856 $ 2,635 $ 3,068 Net Realized Gain (Loss) on: Investment Securities Sold.......................... (255) 4,091 2,545 (281) 2,298 (2,677) Futures............................................. -- (33) -- 6 29 (25) Foreign Currency Transactions*...................... 9 (56) -- 6 (3) (25) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 17,462 6,664 7,107 5,744 41,299 585 Futures............................................. -- 1 -- -- (29) -- Translation of Foreign Currency Denominated Amounts................................ (1) (12) -- (2) 7 72 -------- -------- ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 28,740 18,107 10,585 6,329 46,236 998 -------- -------- ------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares............................ (7,603) (9,333) (953) (992) (2,834) (2,958) -------- -------- ------- -------- -------- -------- Total Distributions................................ (7,603) (9,333) (953) (992) (2,834) (2,958) -------- -------- ------- -------- -------- -------- Capital Share Transactions (1): Shares Issued......................................... 96,294 110,755 2,464 1,858 32,191 11,823 Shares Issued in Lieu of Cash Distributions........... 7,183 8,531 729 752 2,141 2,148 Shares Redeemed....................................... (31,639) (29,131) (7,045) (10,500) (13,244) (23,147) -------- -------- ------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions...................................... 71,838 90,155 (3,852) (7,890) 21,088 (9,176) -------- -------- ------- -------- -------- -------- Total Increase (Decrease) in Net Assets............ 92,975 98,929 5,780 (2,553) 64,490 (11,136) NET ASSETS Beginning of Year..................................... 238,191 139,262 31,316 33,869 106,316 117,452 -------- -------- ------- -------- -------- -------- End of Year........................................... $331,166 $238,191 $37,096 $ 31,316 $170,806 $106,316 ======== ======== ======= ======== ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 4,135 5,147 78 76 1,806 842 Shares Issued in Lieu of Cash Distributions........... 309 410 24 34 128 166 Shares Redeemed....................................... (1,362) (1,342) (224) (429) (834) (1,693) -------- -------- ------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 3,082 4,215 (122) (319) 1,100 (685) ======== ======== ======= ======== ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 6,418 $ 779 $ 129 $ 149 $ 92 $ 280
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0, respectively. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL REAL ESTATE SECURITIES DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL PORTFOLIO SECURITIES PORTFOLIO CAP VALUE PORTFOLIO ---------------------- ---------------------- ------------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................. $ 72,994 $ 66,041 $ 84,342 $ 36,495 $ 208,592 $ 176,655 Net Realized Gain (Loss) on: Investment Securities Sold................... (19,009) (33,417) (3,169) (2,760) 179,935 130,909 Futures...................................... 888 -- -- -- -- -- Foreign Currency Transactions*............... (860) 34 -- 138,125 (2,311) 1,183 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... 105,321 228,123 60,459 -- 2,722,774 203,828 Translation of Foreign Currency Denominated Amounts...................................... 18 (24) -- -- 666 (393) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 159,352 260,757 141,632 171,860 3,109,656 512,182 ---------- ---------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................... (181,848) (54,030) (84,341) (25,716) (198,381) (187,200) Net Short-Term Gains: Institutional Class Shares................... -- -- -- -- -- (11,429) Net Long-Term Gains: Institutional Class Shares................... -- -- -- -- (117,102) (126,221) ---------- ---------- ---------- ---------- ----------- ----------- Total Distributions........................ (181,848) (54,030) (84,341) (25,716) (315,483) (324,850) ---------- ---------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................. 842,458 416,378 932,289 445,794 1,644,691 1,698,080 Shares Issued in Lieu of Cash Distributions... 180,122 53,300 82,056 25,115 292,218 304,574 Shares Redeemed............................... (372,815) (204,853) (304,476) (170,854) (1,848,793) (1,382,520) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions........................ 649,765 264,825 709,869 300,055 88,116 620,134 ---------- ---------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets.... 627,269 471,552 767,160 446,199 2,882,289 807,466 NET ASSETS Beginning of Year............................. 1,531,708 1,060,156 1,315,547 869,348 8,266,610 7,459,144 ---------- ---------- ---------- ---------- ----------- ----------- End of Year................................... $2,158,977 $1,531,708 $2,082,707 $1,315,547 $11,148,899 $ 8,266,610 ========== ========== ========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................. 159,658 84,674 99,632 51,866 96,297 117,598 Shares Issued in Lieu of Cash Distributions... 35,387 12,309 9,335 3,385 18,141 22,510 Shares Redeemed............................... (71,419) (42,864) (32,860) (20,069) (106,982) (97,364) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 123,626 54,119 76,107 35,182 7,456 42,744 ========== ========== ========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................. $ (147,973) $ (46,274) $ 11,624 $ 11,623 $ 14,704 $ 14,647
---------- * Net of foreign capital gain taxes withheld of $7, $0, $0, $0, $6 and $13, respectively. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
WORLD EX U.S. INTERNATIONAL VECTOR WORLD EX U.S. VALUE TARGETED VALUE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO --------------------- ----------------- -------------- PERIOD YEAR YEAR YEAR YEAR NOV. 1, ENDED ENDED ENDED ENDED 2012(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 ---------- --------- -------- -------- -------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................... $ 18,816 $ 14,617 $ 2,186 $ 1,596 $ 1,009 Capital Gain Distributions Received from Affiliated Investment Companies...................................................... -- -- 64 79 191 Net Realized Gain (Loss) on: Investment Securities Sold..................................... 8,277 2,944 3,077 61 947 Futures........................................................ -- -- (12) (1) 1 Foreign Currency Transactions*................................. (71) (98) (14) (10) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 172,846 13,867 13,382 430 11,646 Futures........................................................ -- -- (1) -- -- Translation of Foreign Currency Denominated Amounts............ 46 (30) (15) (1) -- ---------- --------- -------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................. 199,914 31,300 18,667 2,154 13,791 ---------- --------- -------- ------- ------- Distributions From: Net Investment Income: Institutional Class Shares..................................... (17,456) (14,204) (2,334) (1,432) (993) Net Short-Term Gains: Institutional Class Shares..................................... -- -- -- (6) -- Net Long-Term Gains: Institutional Class Shares..................................... (2,044) (6,473) -- -- -- ---------- --------- -------- ------- ------- Total Distributions.......................................... (19,500) (20,677) (2,334) (1,438) (993) ---------- --------- -------- ------- ------- Capital Share Transactions (1): Shares Issued................................................... 419,905 241,502 53,066 15,365 87,917 Shares Issued in Lieu of Cash Distributions..................... 18,898 19,813 2,232 1,370 993 Shares Redeemed................................................. (89,842) (121,119) (11,241) (7,419) (5,698) ---------- --------- -------- ------- ------- Net Increase (Decrease) from Capital Share Transactions...... 348,961 140,196 44,057 9,316 83,212 ---------- --------- -------- ------- ------- Total Increase (Decrease) in Net Assets...................... 529,375 150,819 60,390 10,032 96,010 NET ASSETS Beginning of Period............................................. 561,399 410,580 57,197 47,165 -- ---------- --------- -------- ------- ------- End of Period................................................... $1,090,774 $ 561,399 $117,587 $57,197 $96,010 ========== ========= ======== ======= ======= (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................... 39,490 27,490 4,923 1,625 8,136 Shares Issued in Lieu of Cash Distributions..................... 1,856 2,341 209 152 90 Shares Redeemed................................................. (8,665) (13,627) (1,036) (756) (522) ---------- --------- -------- ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed...... 32,681 16,204 4,096 1,021 7,704 ========== ========= ======== ======= ======= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................... $ 2,486 $ 1,456 $ 187 $ 330 $ 15
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $1, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY SELECTIVELY HEDGED PORTFOLIO GLOBAL EQUITY PORTFOLIO ------------------ ---------------------- PERIOD PERIOD APRIL 9, APRIL 9, PERIOD 2013(A) 2013(A) YEAR NOV. 14, TO TO ENDED 2011(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 -------- -------- -------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................... $ 1,160 $ -- $ 1,317 $ 536 Capital Gain Distributions Received from Affiliated Investment Companies...................................................... -- -- 115 -- Net Realized Gain (Loss) on: Investment Securities Sold..................................... (30) -- (81) (275) Futures........................................................ -- -- 545 110 Foreign Currency Transactions*................................. -- -- 237 163 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 11,720 -- 12,814 2,557 Futures........................................................ -- -- 150 (17) Translation of Foreign Currency Denominated Amounts............ -- -- 121 (93) -------- ---- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... 12,850 -- 15,218 2,981 -------- ---- ------- ------- Distributions From: Net Investment Income: Institutional Class Shares..................................... (1,171) -- (330) (534) Net Short-Term Gains: Institutional Class Shares..................................... -- -- (43) -- Net Long-Term Gains: Institutional Class Shares..................................... -- -- (56) -- -------- ---- ------- ------- Total Distributions........................................... (1,171) -- (429) (534) -------- ---- ------- ------- Capital Share Transactions (1): Shares Issued................................................... 125,005 -- 43,832 32,522 Shares Issued in Lieu of Cash Distributions..................... 1,169 -- 429 533 Shares Redeemed................................................. (8,133) -- (2,652) (552) -------- ---- ------- ------- Net Increase (Decrease) from Capital Share Transactions....... 118,041 -- 41,609 32,503 -------- ---- ------- ------- Total Increase (Decrease) in Net Assets....................... 129,720 -- 56,398 34,950 NET ASSETS Beginning of Period............................................. -- -- 34,950 -- -------- ---- ------- ------- End of Period................................................... $129,720 $ -- $91,348 $34,950 ======== ==== ======= ======= (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................... 12,721 -- 3,666 3,216 Shares Issued in Lieu of Cash Distributions..................... 117 -- 39 53 Shares Redeemed................................................. (790) -- (217) (53) -------- ---- ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed..................................................... 12,048 -- 3,488 3,216 ======== ==== ======= ======= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................ $ (1) $ -- $ 1,390 $ 166
EMERGING MARKETS PORTFOLIO ---------------------- YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................... $ 61,645 $ 54,306 Capital Gain Distributions Received from Affiliated Investment Companies...................................................... -- -- Net Realized Gain (Loss) on: Investment Securities Sold..................................... 22,235 31,303 Futures........................................................ -- -- Foreign Currency Transactions*................................. (124) (543) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 143,306 25,377 Futures........................................................ -- -- Translation of Foreign Currency Denominated Amounts............ (6) 18 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... 227,056 110,461 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares..................................... (59,866) (49,445) Net Short-Term Gains: Institutional Class Shares..................................... -- -- Net Long-Term Gains: Institutional Class Shares..................................... (30,527) (90,351) ---------- ---------- Total Distributions........................................... (90,393) (139,796) ---------- ---------- Capital Share Transactions (1): Shares Issued................................................... 1,304,374 860,651 Shares Issued in Lieu of Cash Distributions..................... 84,860 130,084 Shares Redeemed................................................. (667,334) (477,258) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....... 721,900 513,477 ---------- ---------- Total Increase (Decrease) in Net Assets....................... 858,563 484,142 NET ASSETS Beginning of Period............................................. 2,797,177 2,313,035 ---------- ---------- End of Period................................................... $3,655,740 $2,797,177 ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................... 50,466 34,114 Shares Issued in Lieu of Cash Distributions..................... 3,233 5,452 Shares Redeemed................................................. (25,465) (18,952) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................................................... 28,234 20,614 ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................ $ 6,864 $ 8,306
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $13, respectively. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
EMERGING MARKETS SMALL EMERGING MARKETS VALUE CAP PORTFOLIO PORTFOLIO ---------------------- ------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 ---------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 69,684 $ 46,726 $ 342,372 $ 308,227 Net Realized Gain (Loss) on: Investment Securities Sold........................... 64,325 101,576 296,735 362,676 Futures.............................................. 452 (812) -- (1,255) Foreign Currency Transactions*....................... (1,227) (1,523) (2,807) (4,701) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................................ 146,169 9,556 717,140 (535,878) Futures.............................................. 4 -- -- -- Translation of Foreign Currency Denominated Amounts............................................. (42) (21) 7 (113) ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 279,365 155,502 1,353,447 128,956 ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares...................................... -- -- (1,837) (1,576) Institutional Class Shares........................... (67,721) (40,500) (355,664) (285,978) Net Short-Term Gains: Institutional Class Shares........................... (3,428) -- -- -- Net Long-Term Gains: Class R2 Shares...................................... -- -- (2,090) (1,207) Institutional Class Shares........................... (92,100) (37,112) (342,441) (187,999) ---------- ---------- ----------- ----------- Total Distributions................................ (163,249) (77,612) (702,032) (476,760) ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 1,458,450 1,164,899 4,240,153 5,108,640 Shares Issued in Lieu of Cash Distributions........... 142,712 68,580 656,583 439,131 Shares Redeemed....................................... (583,088) (236,441) (2,967,974) (2,319,607) ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... 1,018,074 997,038 1,928,762 3,228,164 ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets............ 1,134,190 1,074,928 2,580,177 2,880,360 NET ASSETS Beginning of Year..................................... 2,907,673 1,832,745 16,688,730 13,808,370 ---------- ---------- ----------- ----------- End of Year........................................... $4,041,863 $2,907,673 $19,268,907 $16,688,730 ========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 69,669 59,256 148,957 181,833 Shares Issued in Lieu of Cash Distributions........... 6,956 3,782 22,991 16,750 Shares Redeemed....................................... (28,076) (12,340) (105,179) (82,979) ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................... 48,549 50,698 66,769 115,604 ========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 8,340 $ 6,451 $ 14,739 $ 40,292
EMERGING MARKETS CORE EQUITY PORTFOLIO ------------------------ YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 211,992 $ 155,928 Net Realized Gain (Loss) on: Investment Securities Sold........................... (9,977) (8,860) Futures.............................................. -- 1,190 Foreign Currency Transactions*....................... (2,207) (1,300) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................................ 581,086 122,105 Futures.............................................. -- -- Translation of Foreign Currency Denominated Amounts............................................. (79) (51) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 780,815 269,012 ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares...................................... -- -- Institutional Class Shares........................... (205,400) (139,837) Net Short-Term Gains: Institutional Class Shares........................... -- -- Net Long-Term Gains: Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- ----------- ----------- Total Distributions................................ (205,400) (139,837) ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 5,406,041 4,068,293 Shares Issued in Lieu of Cash Distributions........... 187,871 126,291 Shares Redeemed....................................... (1,743,072) (1,096,525) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... 3,850,840 3,098,059 ----------- ----------- Total Increase (Decrease) in Net Assets............ 4,426,255 3,227,234 NET ASSETS Beginning of Year..................................... 8,594,707 5,367,473 ----------- ----------- End of Year........................................... $13,020,962 $ 8,594,707 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 276,461 218,730 Shares Issued in Lieu of Cash Distributions........... 9,689 7,108 Shares Redeemed....................................... (90,412) (60,020) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................... 195,738 165,818 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 31,355 $ 26,576
---------- * Net of foreign capital gain taxes withheld of $1, $86, $0, $310, $0 and $541, respectively. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP EQUITY ENHANCED U.S. LARGE COMPANY PORTFOLIO PORTFOLIO ------------------------------------------------ ---------- PERIOD YEAR YEAR YEAR YEAR YEAR JUNE 25, ENDED ENDED ENDED ENDED ENDED 2013(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 2013 --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.00 -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.07 0.07 0.07 0.07 0.05 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 2.42 1.20 0.56 1.05 0.61 1.04 -------- -------- -------- -------- -------- -------- Total from Investment Operations......................... 2.49 1.27 0.63 1.12 0.66 1.10 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.08) (0.13) (0.01) (0.07) (0.59) (0.03) Net Realized Gains......................................... -- -- -- -- (0.06) -- -------- -------- -------- -------- -------- -------- Total Distributions...................................... (0.08) (0.13) (0.01) (0.07) (0.65) (0.03) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 11.07 =========================================================== ======== ======== ======== ======== ======== ========== Total Return................................................ 26.99% 15.84% 8.41% 17.40% 12.23% 11.01%(D) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $212,840 $190,011 $171,128 $157,730 $165,231 $135,407 Ratio of Expenses to Average Net Assets..................... 0.24% 0.25% 0.26% 0.26% 0.29%** 0.19%(C)(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)...................... 0.24% 0.25% 0.26% 0.26% 0.29%** 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 0.63% 0.80% 0.86% 0.98% 0.86% 1.58%(C)(E) Portfolio Turnover Rate..................................... 139% 76% 140% 78% 46%* 0%(D) ---------------------------------------------------------------------------------------------------------------------------------
See page 1 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. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 22.34 $ 19.29 $ 18.58 $ 15.81 ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.47 0.41 0.33 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 7.38 3.04 0.70 2.76 ----------- ---------- ---------- ---------- Total from Investment Operations......................... 7.85 3.45 1.03 3.09 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.47) (0.40) (0.32) (0.32) Net Realized Gains......................................... -- -- -- -- ----------- ---------- ---------- ---------- Total Distributions...................................... (0.47) (0.40) (0.32) (0.32) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 29.72 $ 22.34 $ 19.29 $ 18.58 =========================================================== =========== ========== ========== ========== Total Return................................................ 35.52% 18.14% 5.53% 19.72% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $11,963,072 $8,334,585 $7,340,344 $6,921,036 Ratio of Expenses to Average Net Assets..................... 0.27%(B) 0.27%(B) 0.28%(B) 0.28%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.27%(B) 0.27%(B) 0.28%(B) 0.28%(B) Ratio of Net Investment Income to Average Net Assets........ 1.82% 1.99% 1.63% 1.86% Portfolio Turnover Rate..................................... N/A N/A N/A N/A --------------------------------------------------------------------------------------------------------------------------
----------- YEAR ENDED OCT. 31, 2009 --------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 14.58 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 Net Gains (Losses) on Securities (Realized and Unrealized). 1.28 ---------- Total from Investment Operations......................... 1.59 --------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.34) Net Realized Gains......................................... (0.02) ---------- Total Distributions...................................... (0.36) --------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 15.81 =========================================================== ========== Total Return................................................ 11.76% --------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $5,863,652 Ratio of Expenses to Average Net Assets..................... 0.30%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.30%(B) Ratio of Net Investment Income to Average Net Assets........ 2.26% Portfolio Turnover Rate..................................... N/A ---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, U.S. Large 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. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+ ------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 ------ ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.27 0.15 0.10 0.07 0.12 Net Gains (Losses) on Securities (Realized and Unrealized). 6.28 2.06 0.60 3.07 0.87 ------ ------- ------- ------- ------- Total from Investment Operations.......................... 6.55 2.21 0.70 3.14 0.99 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.22) (0.13) (0.10) (0.12) (0.18) Net Realized Gains......................................... (0.98) (0.12) (0.03) -- -- ------ ------- ------- ------- ------- Total Distributions....................................... (1.20) (0.25) (0.13) (0.12) (0.18) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $22.63 $ 17.28 $ 15.32 $ 14.75 $ 11.73 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 40.39% 14.67% 4.69% 26.93% 9.36% ------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,470 $49,423 $45,132 $41,316 $31,393 Ratio of Expenses to Average Net Assets...................... 0.47% 0.48% 0.48% 0.49% 0.52% Ratio of Net Investment Income to Average Net Assets......... 1.42% 0.93% 0.61% 0.59% 1.12% Portfolio Turnover Rate...................................... 16% 20% 23% 20% 17% -------------------------------------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+ ------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91 ------- ------- ------- ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.19 0.13 0.07 0.05 0.10 Net Gains (Losses) on Securities (Realized and Unrealized). 6.31 2.05 0.60 3.07 0.88 ------- ------- ------- ------ ------ Total from Investment Operations.......................... 6.50 2.18 0.67 3.12 0.98 ------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.21) (0.11) (0.09) (0.10) (0.15) Net Realized Gains......................................... (0.98) (0.12) (0.03) -- -- ------- ------- ------- ------ ------ Total Distributions....................................... (1.19) (0.23) (0.12) (0.10) (0.15) ------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 22.57 $ 17.26 $ 15.31 $14.76 $11.74 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 40.10% 14.46% 4.50% 26.66% 9.23% ------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $23,305 $12,754 $10,918 $5,967 $2,930 Ratio of Expenses to Average Net Assets...................... 0.62% 0.63% 0.63% 0.64% 0.67% Ratio of Net Investment Income to Average Net Assets......... 0.95% 0.78% 0.42% 0.44% 0.91% Portfolio Turnover Rate...................................... 16% 20% 23% 20% 17% ------------------------------------------------------------------------------------------------------------
See page 1 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. 131 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ---------------------------------------------------------- ----------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 2013 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 26.57 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.24 0.17 0.12 0.09 0.12 0.39 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 6.31 2.06 0.59 3.06 0.88 9.41 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 6.55 2.23 0.71 3.15 1.00 9.80 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income.............................. (0.25) (0.15) (0.12) (0.09) (0.14) (0.37) Net Realized Gains................................. (0.98) (0.12) (0.03) -- -- (1.52) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................... (1.23) (0.27) (0.15) (0.09) (0.14) (1.89) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year......................... $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 34.48 ===================================================== ========== ========== ========== ========== ========== ========== Total Return......................................... 40.40% 14.78% 4.76% 27.02% 9.47% 39.35% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).................. $4,180,974 $2,989,632 $2,487,929 $2,223,982 $1,449,437 $9,526,981 Ratio of Expenses to Average Net Assets.............. 0.37% 0.38% 0.38% 0.38% 0.41% 0.52% Ratio of Net Investment Income to Average Net Assets. 1.25% 1.03% 0.71% 0.69% 1.19% 1.28% Portfolio Turnover Rate.............................. 16% 20% 23% 20% 17% 14% ------------------------------------------------------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 23.50 $ 22.49 $ 17.69 $ 16.32 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.20 0.16 0.09 0.04 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 3.38 1.00 4.79 1.54 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 3.58 1.16 4.88 1.58 ------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.18) (0.15) (0.08) (0.21) Net Realized Gains................................. (0.33) -- -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (0.51) (0.15) (0.08) (0.21) ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 26.57 $ 23.50 $ 22.49 $ 17.69 ===================================================== ========== ========== ========== ========== Total Return......................................... 15.60% 5.13% 27.69% 9.97% ------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $7,088,470 $6,540,863 $6,555,277 $5,669,659 Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.54%++ Ratio of Net Investment Income to Average Net Assets. 0.78% 0.62% 0.43% 0.27% Portfolio Turnover Rate.............................. 15% 14% 19% 21%+ -------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + 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. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.25 0.21 0.17 0.15 0.15 Net Gains (Losses) on Securities (Realized and Unrealized). 3.62 1.32 0.59 1.61 0.73 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 3.87 1.53 0.76 1.76 0.88 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.20) (0.16) (0.12) (0.15) Net Realized Gains......................................... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.24) (0.20) (0.16) (0.12) (0.15) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 32.32% 14.29% 7.47% 20.80% 11.64% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $7,566,179 $4,876,973 $3,731,411 $2,897,409 $1,989,583 Ratio of Expenses to Average Net Assets...................... 0.19% 0.19% 0.20% 0.20% 0.22% Ratio of Net Investment Income to Average Net Assets......... 1.79% 1.79% 1.49% 1.53% 2.02% Portfolio Turnover Rate...................................... 1% 3% 5% 4% 7% --------------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.24 0.20 0.16 0.14 0.14 Net Gains (Losses) on Securities (Realized and Unrealized). 3.73 1.36 0.54 1.64 0.66 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 3.97 1.56 0.70 1.78 0.80 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.18) (0.15) (0.11) (0.14) Net Realized Gains......................................... (0.10) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.34) (0.18) (0.15) (0.11) (0.14) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 15.62 $ 11.99 $ 10.61 $ 10.06 $ 8.39 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 33.66% 14.81% 6.98% 21.41% 10.66% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,989,564 $6,923,984 $5,819,906 $4,990,367 $3,804,325 Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.23% 0.24% Ratio of Net Investment Income to Average Net Assets......... 1.74% 1.74% 1.42% 1.47% 1.89% Portfolio Turnover Rate...................................... 3% 5% 9% 7% 4% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO 170 ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year.......................... $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.20 0.16 0.12 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized). 4.03 1.32 0.46 1.79 0.57 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 4.23 1.48 0.58 1.89 0.68 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.15) (0.12) (0.10) (0.13) Net Realized Gains......................................... (0.02) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.22) (0.15) (0.12) (0.10) (0.13) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................ $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 36.80% 14.55% 5.86% 23.65% 9.47% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)......................... $2,893,842 $2,009,177 $1,851,895 $1,558,423 $1,178,114 Ratio of Expenses to Average Net Assets..................... 0.32% 0.32% 0.33% 0.33% 0.35% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................................... 0.32% 0.32% 0.33% 0.33% 0.35% Ratio of Net Investment Income to Average Net Assets........ 1.50% 1.45% 1.11% 1.13% 1.60% Portfolio Turnover Rate..................................... 3% 9% 10% 11% 11% ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 134 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO ---------------------------------------------------------- ----------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 2013 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 14.84 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.35 0.25 0.18 0.13 0.06 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 8.13 2.53 1.49 4.17 1.65 5.57 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 8.48 2.78 1.67 4.30 1.71 5.76 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.36) (0.22) (0.18) (0.13) (0.17) (0.20) Net Realized Gains................................. (1.20) -- -- -- -- (0.76) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................... (1.56) (0.22) (0.18) (0.13) (0.17) (0.96) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 19.64 ===================================================== ========== ========== ========== ========== ========== ========== Total Return......................................... 39.03% 13.61% 8.76% 28.99% 13.08% 41.34% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $7,446,827 $4,563,345 $3,770,323 $3,391,457 $2,522,001 $4,695,831 Ratio of Expenses to Average Net Assets.............. 0.37% 0.37% 0.37% 0.37% 0.40%** 0.52% Ratio of Net Investment Income to Average Net Assets. 1.33% 1.14% 0.84% 0.76% 0.50% 1.16% Portfolio Turnover Rate.............................. 10% 16% 23% 19% 17%* 11% --------------------------------------------------------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 13.24 $ 12.25 $ 9.57 $ 9.19 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.14 0.09 0.06 0.03 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 1.59 0.99 2.68 0.54 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 1.73 1.08 2.74 0.57 ------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.13) (0.09) (0.06) (0.19) Net Realized Gains................................. -- -- -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (0.13) (0.09) (0.06) (0.19) ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 14.84 $ 13.24 $ 12.25 $ 9.57 ===================================================== ========== ========== ========== ========== Total Return......................................... 13.13% 8.85% 28.77% 6.61% ------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $3,437,958 $3,257,719 $3,178,286 $2,818,365 Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.54%** Ratio of Net Investment Income to Average Net Assets. 0.99% 0.69% 0.58% 0.38% Portfolio Turnover Rate.............................. 15% 14% 9% 12%* -------------------------------------------------------------------------------------------------------
See page 1 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. 135 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.67 0.57 0.40 0.58 0.58 Net Gains (Losses) on Securities (Realized and Unrealized)... 1.95 2.74 1.93 5.92 (0.62) ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 2.62 3.31 2.33 6.50 (0.04) ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.68) (0.73) (0.32) (0.55) (0.83) ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.68) (0.73) (0.32) (0.55) (0.83) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 =============================================================== ========== ========== ========== ========== ========== Total Return................................................... 10.28% 14.45% 11.09% 43.21% 0.98% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $4,677,418 $3,716,389 $3,098,647 $2,689,552 $2,018,559 Ratio of Expenses to Average Net Assets........................ 0.18% 0.22% 0.32% 0.33% 0.36% 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% 0.23% 0.32% 0.33% 0.36% Ratio of Net Investment Income to Average Net Assets........... 2.42% 2.29% 1.76% 3.13% 4.54% Portfolio Turnover Rate........................................ 1% 0% 3% 2% 2% ----------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.58 0.60 0.63 0.48 0.48 Net Gains (Losses) on Securities (Realized and Unrealized)... 3.90 0.40 (1.53) 1.43 3.16 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 4.48 1.00 (0.90) 1.91 3.64 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.61) (0.58) (0.61) (0.51) (0.43) ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.61) (0.58) (0.61) (0.51) (0.43) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 22.20 $ 18.33 $ 17.91 $ 19.42 $ 18.02 =============================================================== ========== ========== ========== ========== ========== Total Return................................................... 24.85% 5.89% (4.86)% 10.99% 25.20% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $2,755,114 $2,055,759 $1,704,149 $1,616,686 $1,364,351 Ratio of Expenses to Average Net Assets........................ 0.29% 0.30% 0.30% 0.30% 0.32% 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% 0.30% 0.30% 0.30% 0.32% Ratio of Net Investment Income to Average Net Assets........... 2.90% 3.38% 3.19% 2.65% 3.14% Portfolio Turnover Rate........................................ 5% 4% 3% 7% 12% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 136 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 0.31 0.33 0.23 0.23 Net Gains (Losses) on Securities (Realized and Unrealized). 2.47 0.20 (0.89) 0.96 2.32 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 2.78 0.51 (0.56) 1.19 2.55 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.31) (0.30) (0.33) (0.20) (0.22) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.31) (0.30) (0.33) (0.20) (0.22) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 27.98% 5.49% (5.49)% 12.48% 34.81% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $9,508,466 $6,482,738 $5,395,884 $4,866,989 $3,699,842 Ratio of Expenses to Average Net Assets..................... 0.39% 0.40% 0.40% 0.40% 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% 0.40% 0.40% 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets........ 2.80% 3.18% 2.96% 2.31% 2.84% Portfolio Turnover Rate..................................... 3% 5% 3% 2% 5% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 137 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.42 0.38 0.40 0.28 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)... 4.16 0.39 (0.83) 2.13 3.91 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 4.58 0.77 (0.43) 2.41 4.19 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.37) (0.42) (0.50) (0.26) (0.27) Net Realized Gains........................................... (0.09) (0.28) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.46) (0.70) (0.50) (0.26) (0.27) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 =============================================================== ========== ========== ========== ========== ========== Total Return................................................ 30.66% 5.63% (2.92)% 17.61% 42.34% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $8,520,717 $6,423,160 $5,834,015 $5,511,594 $4,269,864 Ratio of Expenses to Average Net Assets (B).................... 0.54% 0.56% 0.55% 0.56% 0.57% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)..................................................... 0.54% 0.56% 0.55% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets........... 2.47% 2.58% 2.37% 1.94% 2.48% -----------------------------------------------------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO ------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.26 0.29 0.27 0.22 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)... 4.21 (0.26) 1.08 (0.18) 2.39 -------- -------- -------- -------- -------- Total from Investment Operations............................ 4.47 0.03 1.35 0.04 2.61 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.13) (0.28) (0.24) (0.23) (0.26) Net Realized Gains........................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions......................................... (0.13) (0.28) (0.24) (0.23) (0.26) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 19.33 $ 14.99 $ 15.24 $ 14.13 $ 14.32 =============================================================== ======== ======== ======== ======== ======== Total Return................................................ 30.06% 0.20% 9.57% 0.33% 22.08% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $414,132 $293,968 $163,120 $114,933 $114,058 Ratio of Expenses to Average Net Assets (B).................... 0.56% 0.57% 0.56% 0.57% 0.59% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)..................................................... 0.56% 0.57% 0.56% 0.57% 0.59% Ratio of Net Investment Income to Average Net Assets........... 1.51% 1.88% 1.74% 1.52% 1.68% -----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 138 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO ------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................................ $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................................ 1.01 0.87 0.85 0.69 0.50 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.37 0.58 (2.16) 4.99 8.95 -------- -------- -------- -------- -------- Total from Investment Operations........................................... 2.38 1.45 (1.31) 5.68 9.45 ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................................................... (0.78) (1.27) (1.29) (0.63) (0.53) -------- -------- -------- -------- -------- Total Distributions........................................................ (0.78) (1.27) (1.29) (0.63) (0.53) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................................................. $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 ============================================================================== ======== ======== ======== ======== ======== Total Return............................................................... 10.46% 7.09% (5.59)% 28.36% 84.11% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................................... $331,166 $238,191 $139,262 $131,511 $101,853 Ratio of Expenses to Average Net Assets (B)................................... 0.57% 0.59% 0.60% 0.63% 0.65% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.57% 0.59% 0.60% 0.61% 0.65% Ratio of Net Investment Income to Average Net Assets.......................... 4.26% 3.91% 3.34% 3.14% 3.53% ----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO -------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................................ $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................................ 0.88 0.69 0.82 0.50 0.55 Net Gains (Losses) on Securities (Realized and Unrealized).................. 9.17 4.47 (0.85) 4.41 5.44 ------- ------- ------- ------- ------- Total from Investment Operations........................................... 10.05 5.16 (0.03) 4.91 5.99 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................................................... (0.90) (0.79) (0.77) (0.50) (0.43) ------- ------- ------- ------- ------- Total Distributions........................................................ (0.90) (0.79) (0.77) (0.50) (0.43) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................................................. $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 ============================================================================== ======== ======== ======== ======== ======== Total Return............................................................... 36.81% 22.82% (0.28)% 25.37% 42.81% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................................... $37,096 $31,316 $33,869 $33,751 $27,863 Ratio of Expenses to Average Net Assets (B)................................... 0.59% 0.60% 0.60% 0.60% 0.61% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.63% 0.63% 0.62% 0.64% 0.70% Ratio of Net Investment Income to Average Net Assets.......................... 2.79% 2.83% 3.26% 2.39% 3.62% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 139 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.37 0.39 0.39 0.27 0.28 Net Gains (Losses) on Securities (Realized and Unrealized). 5.78 (0.17) (2.20) 1.89 4.29 -------- -------- -------- -------- -------- Total from Investment Operations.......................... 6.15 0.22 (1.81) 2.16 4.57 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.40) (0.37) (0.46) (0.25) (0.28) -------- -------- -------- -------- -------- Total Distributions....................................... (0.40) (0.37) (0.46) (0.25) (0.28) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 ============================================================= ======== ======== ======== ======== ======== Total Return.............................................. 42.99% 1.85% (11.09)% 14.85% 43.12% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $170,806 $106,316 $117,452 $128,106 $110,926 Ratio of Expenses to Average Net Assets...................... 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.62%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)....................... 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.61%(B) Ratio of Net Investment Income to Average Net Assets......... 2.16% 2.78% 2.25% 1.78% 2.39% ------------------------------------------------------------------------------------------------------------------------------- Portfolio Turnover Rate...................................... N/A N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO ------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.22 0.27 0.30 0.31 0.26 Net Gains (Losses) on Securities (Realized and Unrealized). 0.25 0.75 (0.33) 0.58 0.91 ---------- ---------- ---------- -------- -------- Total from Investment Operations.......................... 0.47 1.02 (0.03) 0.89 1.17 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.66) (0.25) (0.65) (0.55) (0.11) ---------- ---------- ---------- -------- -------- Total Distributions....................................... (0.66) (0.25) (0.65) (0.55) (0.11) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 ============================================================= ========== ========== ========== ======== ======== Total Return.............................................. 9.24% 22.34% (0.43)% 18.96% 29.25% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,158,977 $1,531,708 $1,060,156 $958,554 $742,329 Ratio of Expenses to Average Net Assets...................... 0.39% 0.41% 0.42% 0.41% 0.43% 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% 0.41% 0.42% 0.41% 0.43% Ratio of Net Investment Income to Average Net Assets......... 4.07% 5.45% 5.73% 6.42% 6.40% ---------------------------------------------------------------------------------------------------------------------- Portfolio Turnover Rate...................................... 5% 3% 7% 6% 5% ----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 140 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO ---------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 ---------- ---------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.49 0.29 0.41 0.40 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.37 1.07 0.06 1.60 0.62 ---------- ---------- -------- -------- -------- Total from Investment Operations.................. 0.86 1.36 0.47 2.00 0.81 --------------------------------------------------------------------------------------------------------------------------- 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 Year......................... $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 ===================================================== ========== ========== ======== ======== ======== Total Return......................................... 9.74% 17.33% 6.17% 31.38% 13.81% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $2,082,707 $1,315,547 $869,348 $695,461 $432,502 Ratio of Expenses to Average Net Assets.............. 0.32%(B) 0.34%(B) 0.41%(B) 0.41%(B) 0.47%(B) 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) 0.60%(B) 0.73%(B) 0.73%(B) 0.79%(B) Ratio of Net Investment Income to Average Net Assets. 5.18% 3.38% 5.01% 5.59% 3.40% Portfolio Turnover Rate.............................. N/A N/A N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.37 0.34 0.34 0.24 0.26 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 5.21 0.61 (0.98) 1.22 4.14 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 5.58 0.95 (0.64) 1.46 4.40 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.36) (0.36) (0.38) (0.22) (0.24) Net Realized Gains................................. (0.21) (0.28) (0.29) -- (0.06) ----------- ---------- ---------- ---------- ---------- Total Distributions............................... (0.57) (0.64) (0.67) (0.22) (0.30) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 ===================================================== =========== ========== ========== ========== ========== Total Return......................................... 37.79% 6.92% (4.39)% 10.01% 41.42% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $11,148,899 $8,266,610 $7,459,144 $7,655,318 $6,859,957 Ratio of Expenses to Average Net Assets.............. 0.69% 0.71% 0.70% 0.70% 0.71% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly). 0.69% 0.71% 0.70% 0.70% 0.71% Ratio of Net Investment Income to Average Net Assets. 2.16% 2.30% 2.05% 1.57% 2.19% Portfolio Turnover Rate.............................. 9% 18% 16% 18% 22% -------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 141 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO --------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------------- 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)........................................ 0.26 0.27 0.29 0.18 0.17 Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.44 0.14 (0.87) 1.05 2.46 ---------- -------- -------- -------- -------- Total from Investment Operations....................................... 2.70 0.41 (0.58) 1.23 2.63 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................... (0.25) (0.27) (0.29) (0.17) (0.15) Net Realized Gains...................................................... (0.03) (0.15) (0.07) -- -- ---------- -------- -------- -------- -------- Total Distributions.................................................... (0.28) (0.42) (0.36) (0.17) (0.15) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................................ $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 ========================================================================== ========== ======== ======== ======== ======== Total Return.............................................................. 29.52% 4.90% (5.99)% 13.62% 39.52% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................................... $1,090,774 $561,399 $410,580 $363,123 $262,544 Ratio of Expenses to Average Net Assets................................... 0.51% 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).............................................................. 0.51% 0.54% 0.54% 0.53% 0.59% Ratio of Net Investment Income to Average Net Assets...................... 2.51% 2.94% 2.73% 1.91% 2.31% Portfolio Turnover Rate................................................... 2% 5% 10% 5% 8% --------------------------------------------------------------------------------------------------------------------------------
------------ YEAR ENDED OCT. 31, 2013 ---------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...................................... $ 9.94 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................................ 0.29 Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.02 -------- Total from Investment Operations....................................... 2.31 ---------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................... (0.32) Net Realized Gains...................................................... -- -------- Total Distributions.................................................... (0.32) ---------------------------------------------------------------------------------------- Net Asset Value, End of Period............................................ $ 11.93 ========================================================================== ======== Total Return.............................................................. 23.61% ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................................... $117,587 Ratio of Expenses to Average Net Assets................................... 0.60%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).............................................................. 0.76%(B) Ratio of Net Investment Income to Average Net Assets...................... 2.61% Portfolio Turnover Rate................................................... N/A ----------------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO ------------------------------------ YEAR YEAR ENDED ENDED PERIOD OCT. 31, OCT. 31, AUG. 23, 2010(A) 2012 2011 TO OCT. 31, 2010 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period...................................... $ 9.96 $ 11.35 $ 10.00 ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................................ 0.29 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.05) (1.35) 1.33 ------- ------- ------- Total from Investment Operations....................................... 0.24 (1.05) 1.35 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income................................................... (0.26) (0.26) -- Net Realized Gains...................................................... -- (0.08) -- ------- ------- ------- Total Distributions.................................................... (0.26) (0.34) -- ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................................ $ 9.94 $ 9.96 $ 11.35 ========================================================================== ======== ======== ================ Total Return.............................................................. 2.70% (9.59)% 13.50%(D) ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)..................................... $57,197 $47,165 $29,616 Ratio of Expenses to Average Net Assets................................... 0.60%(B) 0.60%(B) 0.90%(B)(C)(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).............................................................. 0.84%(B) 0.91%(B) 1.37%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets...................... 2.97% 2.64% 0.76%(C)(E) Portfolio Turnover Rate................................................... N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 142 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX WORLD EX U.S.TARGETED U.S.CORE SELECTIVELY HEDGED VALUE PORTFOLIO EQUITY PORTFOLIO GLOBAL EQUITY PORTFOLIO --------------- ---------------- -------------------- PERIOD PERIOD YEAR PERIOD NOV. 1, 2012(A) APRIL 9, 2013(A) ENDED NOV. 14,2011(A) TO OCT. 31, TO OCT. 31, OCT. 31, TO OCT. 31, 2013 2013 2013 2012 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 10.00 $ 10.00 $ 10.87 $ 10.00 ------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.20 0.18 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized). 2.46 0.77 2.65 0.87 ------- -------- ------- ------- Total from Investment Operations......................... 2.66 0.95 2.89 1.09 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.18) (0.10) (0.22) Net Realized Gains......................................... -- -- (0.03) -- ------- -------- ------- ------- Total Distributions...................................... (0.20) (0.18) (0.13) (0.22) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.46 $ 10.77 $ 13.63 $ 10.87 =========================================================== =============== ================ ======== =============== Total Return................................................ 26.90%(D) 9.62%(D) 26.86% 11.11%(D) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $96,010 $129,720 $91,348 $34,950 Ratio of Expenses to Average Net Assets (B)................. 0.79%(C)(E) 0.47%(C)(E) 0.40% 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (B)........................................... 1.27%(C)(E) 0.97%(C)(E) 0.72% 1.00%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.78%(C)(E) 3.12%(C)(E) 1.93% 2.13%(C)(E) Portfolio Turnover Rate..................................... N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 143 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.52 0.55 0.61 0.48 0.42 Net Gains (Losses) on Securities (Realized and Unrealized). 1.17 0.37 (2.53) 6.07 8.42 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.69 0.92 (1.92) 6.55 8.84 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.50) (0.50) (0.53) (0.46) (0.41) Net Realized Gains......................................... (0.28) (1.04) (1.77) (0.42) (0.25) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.78) (1.54) (2.30) (0.88) (0.66) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 6.58% 4.08% (6.82)% 26.53% 53.39% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,655,740 $2,797,177 $2,313,035 $2,372,498 $1,966,288 Ratio of Expenses to Average Net Assets (B).................. 0.57% 0.61% 0.61% 0.60% 0.62% Ratio of Net Investment Income to Average Net Assets......... 1.97% 2.14% 2.07% 1.76% 2.15% ---------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.40 0.40 0.42 0.34 0.26 Net Gains (Losses) on Securities (Realized and Unrealized). 1.37 0.83 (3.67) 6.79 8.14 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.77 1.23 (3.25) 7.13 8.40 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.39) (0.35) (0.40) (0.32) (0.28) Net Realized Gains......................................... (0.61) (0.40) (0.76) -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.00) (0.75) (1.16) (0.32) (0.28) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 21.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 8.92% 6.71% (14.03)% 41.33% 91.35% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,041,863 $2,907,673 $1,832,745 $1,833,038 $1,133,958 Ratio of Expenses to Average Net Assets (B).................. 0.75% 0.82% 0.79% 0.78% 0.80% Ratio of Net Investment Income to Average Net Assets......... 1.91% 2.01% 1.86% 1.70% 2.05% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 144 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES+ --------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43 -------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.47 0.50 0.20 0.56 0.56 Net Gains (Losses) on Securities (Realized and Unrealized). 1.68 (0.45) (5.45) 9.18 21.36 -------- ------- ------- ------- ------- Total from Investment Operations.......................... 2.15 0.05 (5.25) 9.74 21.92 ---------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.50) (0.47) (0.45) (7.12) (6.00) Net Realized Gains......................................... (0.59) (0.39) (1.63) (13.11) (54.52) -------- ------- ------- ------- ------- Total Distributions....................................... (1.09) (0.86) (2.08) (20.23) (60.52) ---------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.83 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 7.75% 0.43% (15.24)% 29.71% 78.29% ---------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $106,070 $99,111 $78,157 $39,668 $ 5,082 Ratio of Expenses to Average Net Assets (B).................. 0.82% 0.86% 0.86% 0.86% 0.90% Ratio of Net Investment Income to Average Net Assets......... 1.65% 1.78% 1.56% 1.39% 1.39% ----------------------------------------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES --------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36 ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.55 0.57 0.64 0.45 0.38 Net Gains (Losses) on Securities (Realized and Unrealized). 1.67 (0.44) (5.72) 8.01 12.41 ----------- ----------- ----------- ----------- ---------- Total from Investment Operations.......................... 2.22 0.13 (5.08) 8.46 12.79 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.57) (0.54) (0.54) (0.39) (0.34) Net Realized Gains......................................... (0.59) (0.39) (1.63) (0.70) (2.91) ----------- ----------- ----------- ----------- ---------- Total Distributions....................................... (1.16) (0.93) (2.17) (1.09) (3.25) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 ============================================================= =========== =========== =========== =========== ========== Total Return................................................. 8.01% 0.70% (14.84)% 30.04% 78.59% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $19,162,837 $16,589,619 $13,730,213 $11,542,870 $7,401,266 Ratio of Expenses to Average Net Assets (B).................. 0.57% 0.61% 0.61% 0.60% 0.62% Ratio of Net Investment Income to Average Net Assets......... 1.91% 2.03% 1.88% 1.40% 1.76% ------------------------------------------------------------------------------------------------------------------------------
See page 1 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. 145 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.39 0.41 0.43 0.30 0.25 Net Gains (Losses) on Securities (Realized and Unrealized). 1.07 0.23 (2.65) 4.81 6.56 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.46 0.64 (2.22) 5.11 6.81 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.37) (0.37) (0.36) (0.29) (0.20) ----------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.37) (0.37) (0.36) (0.29) (0.20) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49 =========================================================== =========== ========== ========== ========== ========== Total Return................................................ 7.75% 3.55% (10.59)% 31.30% 69.47% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $13,020,962 $8,594,707 $5,367,473 $4,179,882 $2,455,035 Ratio of Expenses to Average Net Assets..................... 0.63% 0.68% 0.67% 0.65% 0.67% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.63% 0.68% 0.68% 0.65% 0.67% Ratio of Net Investment Income to Average Net Assets........ 1.97% 2.18% 2.04% 1.63% 2.03% Portfolio Turnover Rate..................................... 1% 1% 1% 4% 6% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 146 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-six operational portfolios, of which thirty (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 ("DEM"). 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 three portfolios within the Fund, DFAITC, and DEM. World ex U.S. Targeted Value Portfolio invests in four portfolios within the Fund, DFAITC, and DEM. 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 10/31/13 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 80% Japanese Small Company Portfolio The Japanese Small Company Series 18% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 26% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 5% Emerging Markets Portfolio The Emerging Markets Series 98% 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 95% The Japanese Small Company Series 82% The United Kingdom Small Company Series 98% The Asia Pacific Small Company Series 74% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 26% DFA International Real Estate Securities Portfolio 39% 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 1% 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 1% 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%. 147 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. 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. 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) Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity 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 148 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, 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 categorized 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. Shares held by the DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio (except The DFA International Value Series), World ex U.S. Targeted Value Portfolio (except The Emerging Markets Small Cap Series), World ex U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio of the Master Funds, which are treated as regulated investment companies, and the shares held by the Portfolios in other investment companies, are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds, International Small Company Portfolio, World ex U.S. Value Portfolio and World ex U.S. Targeted Value 149 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. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolios recognize transfers between the levels as of the end of the period. As of October 31, 2013, the Emerging Markets Core Equity Portfolio had significant transfers of securities with a total value of $925,099 (in thousands) that transferred from Level 1 to Level 2. At October 31, 2013, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 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 fluctuations 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 any foreign withholding taxes recorded on the books of the International Equity Portfolios and Enhanced U.S. Large Company Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first 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 150 selecting a different distribution date). As of October 31, 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 and foreign currency 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% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. INVESTMENT ADVISOR AND ADMINISTRATOR: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. For the year ended October 31, 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. Large Cap Equity Portfolio........ 0.15% 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%
151 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 year ended October 31, 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%
* 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, 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 (except for the U.S. Large Cap Equity Portfolio which will remain in effect through February 28, 2015), and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 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. 152
PREVIOUSLY RECOVERY WAIVED FEES/ EXPENSE OF PREVIOUSLY EXPENSES ASSUMED LIMITATION WAIVED FEES/ SUBJECT TO FUTURE INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY -------------------------- ---------- ---------------- ----------------- U.S. Large Cap Equity Portfolio (1).................... 0.19% -- $ 24 U.S. Targeted Value Portfolio (2)...................... 0.50% -- -- U.S. Core Equity 1 Portfolio (3)....................... 0.23% -- -- U.S. Core Equity 2 Portfolio (3)....................... 0.26% -- -- U.S. Vector Equity Portfolio (3)....................... 0.36% -- -- DFA Real Estate Securities Portfolio (3)............... 0.18% -- 842 International Core Equity Portfolio (3)................ 0.49% -- -- International Small Company Portfolio (4).............. 0.45% -- -- Japanese Small Company Portfolio (5)................... 0.47% -- -- Asia Pacific Small Company Portfolio (5)............... 0.47% -- -- United Kingdom Small Company Portfolio (5)............. 0.47% -- 32 Continental Small Company Portfolio (5)................ 0.47% -- -- DFA International Real Estate Securities Portfolio (3). 0.65% -- -- DFA Global Real Estate Securities Portfolio (6)........ 0.32% -- 9,145 International Vector Equity Portfolio (3).............. 0.60% -- -- World ex U.S. Value Portfolio (7)...................... 0.60% $ 8 411 World ex U.S. Targeted Value Portfolio (8)............. 0.80% -- 270 World ex U.S. Core Equity Portfolio (9)................ 0.47% -- 170 Selectively Hedged Global Equity Portfolio (10)........ 0.40% 1 367 Emerging Markets Core Equity Portfolio (3)............. 0.85% -- -- CLASS R1 SHARES --------------- U.S. Targeted Value Portfolio (2)...................... 0.62% -- -- CLASS R2 SHARES --------------- U.S. Targeted Value Portfolio (2)...................... 0.77% -- -- Emerging Markets Value Portfolio (11).................. 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of the Portfolio (excluding the expenses that the Portfolio incurs indirectly 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 a class of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. At any time that the Portfolio's annualized Portfolio Expenses are less than the Portfolio's Expense Limitation Amount, described 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 of a class of the Portfolio to exceed the Expense Limitation Amount, as listed above. (2) 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. 153 (3) 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 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. (4) 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. (5) 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. (6) 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. (7) 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 154 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 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. (8) 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. (9) 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. (10) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver and Expense Assumption Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for 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. (11) 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 155 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 the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- Enhanced U.S. Large Company Portfolio.............. $ 4 Large Cap International Portfolio.................. 9 International Core Equity Portfolio................ 31 International Small Company Portfolio.............. -- DFA International Real Estate Securities Portfolio. 18 DFA International Small Cap Value Portfolio........ 23 International Vector Equity Portfolio.............. 5 World ex U.S. Value Portfolio...................... -- World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ -- Selectively Hedged Global Equity Portfolio......... -- Emerging Markets Core Equity Portfolio............. 167
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2013, the total related amounts paid by the Fund to the CCO were $250 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 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. $ 7 U.S. Large Cap Equity Portfolio....... -- U.S. Large Cap Value Portfolio........ 263 U.S. Targeted Value Portfolio......... 74 U.S. Small Cap Value Portfolio........ 248 U.S. Core Equity 1 Portfolio.......... 108 U.S. Core Equity 2 Portfolio.......... 178 U.S. Vector Equity Portfolio.......... 55 U.S. Small Cap Portfolio.............. 123 U.S. Micro Cap Portfolio.............. 125 DFA Real Estate Securities Portfolio.. 94 Large Cap International Portfolio..... 61 International Core Equity Portfolio... 165 International Small Company Portfolio. 184 Japanese Small Company Portfolio...... 7 Asia Pacific Small Company Portfolio.. 5
156 United Kingdom Small Company Portfolio............. $ 1 Continental Small Company Portfolio................ 4 DFA International Real Estate Securities Portfolio. 33 DFA Global Real Estate Securities Portfolio........ 22 DFA International Small Cap Value Portfolio........ 276 International Vector Equity Portfolio.............. 13 World ex U.S. Value Portfolio...................... 1 World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ -- Selectively Hedged Global Equity Portfolio......... -- Emerging Markets Portfolio......................... 84 Emerging Markets Small Cap Portfolio............... 58 Emerging Markets Value Portfolio................... 353 Emerging Markets Core Equity Portfolio............. 153
E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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.............. $151,334 $44,551 $ 153,335 $ 208,659 U.S. Large Cap Equity Portfolio.................... -- -- 123,827 341 U.S. Targeted Value Portfolio...................... -- -- 673,167 582,344 U.S. Small Cap Value Portfolio..................... -- -- 1,129,770 1,149,875 U.S. Core Equity 1 Portfolio....................... -- -- 1,216,828 65,417 U.S. Core Equity 2 Portfolio....................... -- -- 1,058,546 208,354 U.S. Vector Equity Portfolio....................... -- -- 277,739 84,963 U.S. Small Cap Portfolio........................... -- -- 1,734,923 561,016 U.S. Micro Cap Portfolio........................... -- -- 496,354 457,111 DFA Real Estate Securities Portfolio............... -- -- 767,339 51,303 Large Cap International Portfolio.................. -- -- 365,229 125,888 International Core Equity Portfolio................ -- -- 1,508,927 246,598 DFA International Real Estate Securities Portfolio. -- -- 615,805 83,893 DFA International Small Cap Value Portfolio........ -- -- 926,091 901,431 International Vector Equity Portfolio.............. -- -- 371,084 14,367 Emerging Markets Core Equity Portfolio............. -- -- 3,914,246 113,118
For the year ended October 31, 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 AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio....................... $777,963 $1,235,206 $419,586 $21,153 $22,778 -- DFA International Real Estate Securities Portfolio............ 531,474 842,644 341,749 27,985 62,476 -- WORLD EX U.S. VALUE PORTFOLIO ----------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio....................... $ 4,703 $ 10,626 $ 4,213 $ 453 $ 139 $64
157
WORLD EX U.S. TARGETED VALUE PORTFOLIO (A) ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- DFA International Small Cap Value Portfolio........................... -- $59,508 $49,813 $ 971 $635 $184 International Vector Equity Portfolio. -- 8,639 7,534 108 118 7 WORLD EX U.S. CORE EQUITY PORTFOLIO (B) ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- International Core Equity Portfolio... -- $99,732 $93,693 $3,599 $918 $ -- Emerging Markets Core Equity Portfolio........................... -- 29,703 29,851 2,199 257 -- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- U.S. Core Equity 2 Portfolio.......... $14,297 $37,594 $17,321 $1,223 $429 $115 International Core Equity Portfolio... 12,942 34,847 17,035 385 694 -- Emerging Markets Core Equity Portfolio........................... 6,554 15,187 9,122 771 228 --
(a)The Portfolio commenced operations on November 1, 2012. (b)The Portfolio commenced operations on April 9, 2013. F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, realized foreign capital gains tax, tax-equalization, non-deductible 90 day stock issuance cost, 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. $(41) $(1,482) $1,523 U.S. Large Cap Equity Portfolio....... (11) 11 -- U.S. Large Cap Value Portfolio........ -- -- --
158
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS (LOSSES) --------------- -------------- -------------- U.S. Targeted Value Portfolio...................... $32,363 $ (3,552) $(28,811) U.S. Small Cap Value Portfolio..................... 30,865 (6,020) (24,845) U.S. Core Equity 1 Portfolio....................... -- 73 (73) U.S. Core Equity 2 Portfolio....................... 7,427 (4,267) (3,160) U.S. Vector Equity Portfolio....................... 3,066 (1,370) (1,696) U.S. Small Cap Portfolio........................... 14,889 (3,327) (11,562) U.S. Micro Cap Portfolio........................... 13,457 (2,061) (11,396) DFA Real Estate Securities Portfolio............... 92 8,126 (8,218) Large Cap International Portfolio.................. -- (48) 48 International Core Equity Portfolio................ -- (1,269) 1,269 International Small Company Portfolio.............. 19,041 2,378 (21,419) Japanese Small Company Portfolio................... (3,055) 1,185 1,870 Asia Pacific Small Company Portfolio............... -- 1,717 (1,717) United Kingdom Small Company Portfolio............. -- -- -- Continental Small Company Portfolio................ -- 11 (11) DFA International Real Estate Securities Portfolio. -- 7,155 (7,155) DFA Global Real Estate Securities Portfolio........ -- -- -- DFA International Small Cap Value Portfolio........ 20,991 (9,402) (11,589) International Vector Equity Portfolio.............. 640 (330) (310) World ex U.S. Value Portfolio...................... -- 5 (5) World ex U.S. Targeted Value Portfolio............. 39 (1) (38) World ex U.S. Core Equity Portfolio................ (9) 10 (1) Selectively Hedged Global Equity Portfolio......... -- 237 (237) Emerging Markets Portfolio......................... 4,120 (3,230) (890) Emerging Markets Small Cap Portfolio............... -- (74) 74 Emerging Markets Value Portfolio................... 30,746 (10,346) (20,400) Emerging Markets Core Equity Portfolio............. -- (1,813) 1,813
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 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 2012.................................. $ 2,785 $ 2,785 2013.................................. 1,597 -- 1,597 U.S. Large Cap Equity Portfolio 2013.................................. 321 -- 321 U.S. Large Cap Value Portfolio 2012.................................. 150,153 150,153 2013.................................. 180,943 -- 180,943 U.S. Targeted Value Portfolio 2012.................................. 27,304 $ 31,976 59,280 2013.................................. 55,372 162,209 217,581 U.S. Small Cap Value Portfolio 2012.................................. 56,139 122,752 178,891 2013.................................. 112,970 380,218 493,188
159
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- U.S. Core Equity 1 Portfolio 2012............................................... $ 76,278 $ 76,278 2013............................................... 105,633 -- 105,633 U.S. Core Equity 2 Portfolio 2012............................................... 103,512 $ 2,008 105,520 2013............................................... 143,640 55,772 199,412 U.S. Vector Equity Portfolio 2012............................................... 29,237 337 29,574 2013............................................... 34,959 3,507 38,466 U.S. Small Cap Portfolio 2012............................................... 44,580 14,276 58,856 2013............................................... 83,270 228,671 311,941 U.S. Micro Cap Portfolio 2012............................................... 33,018 14,720 47,738 2013............................................... 46,915 176,365 223,280 DFA Real Estate Securities Portfolio 2012............................................... 103,653 103,653 2013............................................... 102,731 -- 102,731 Large Cap International Portfolio 2012............................................... 60,808 60,808 2013............................................... 70,787 -- 70,787 International Core Equity Portfolio 2012............................................... 179,492 179,492 2013............................................... 214,687 -- 214,687 International Small Company Portfolio 2012............................................... 169,495 110,049 279,544 2013............................................... 159,066 39,012 198,078 Japanese Small Company Portfolio 2012............................................... 4,541 4,541 2013............................................... 2,836 -- 2,836 Asia Pacific Small Company Portfolio 2012............................................... 9,333 9,333 2013............................................... 7,603 -- 7,603 United Kingdom Small Company Portfolio 2012............................................... 992 992 2013............................................... 953 -- 953 Continental Small Company Portfolio 2012............................................... 2,958 2,958 2013............................................... 2,834 -- 2,834 DFA International Real Estate Securities Portfolio 2012............................................... 60,194 60,194 2013............................................... 181,848 -- 181,848 DFA Global Real Estate Securities Portfolio 2012............................................... 26,050 26,050 2013............................................... 84,341 -- 84,341 DFA International Small Cap Value Portfolio 2012............................................... 206,370 131,063 337,433 2013............................................... 198,381 117,102 315,483
160
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- International Vector Equity Portfolio 2012....................................... $ 14,733 $ 6,546 $ 21,279 2013....................................... 17,456 2,044 19,500 World ex U.S. Value Portfolio 2012....................................... 1,438 1,438 2013....................................... 2,334 -- 2,334 World ex U.S. Targeted Value Portfolio 2013....................................... 993 -- 993 World ex U.S. Core Equity Portfolio 2013....................................... 1,171 -- 1,171 Selectively Hedged Global Equity Portfolio 2012....................................... 534 534 2013....................................... 373 56 429 Emerging Markets Portfolio 2012....................................... 51,664 91,664 143,328 2013....................................... 59,866 30,527 90,393 Emerging Markets Small Cap Portfolio 2012....................................... 42,163 40,014 82,177 2013....................................... 71,149 92,100 163,249 Emerging Markets Value Portfolio 2012....................................... 300,146 202,987 503,133 2013....................................... 357,501 344,531 702,032 Emerging Markets Core Equity Portfolio 2012....................................... 143,349 143,349 2013....................................... 205,400 -- 205,400
U.S. Large Cap Equity Portfolio commenced operations on June 25, 2013 and did not pay any distributions for the year ended October 31, 2012. World ex U.S. Targeted Value Portfolio commenced operations on November 1, 2012 and did not pay any distributions for the year ended October 31, 2012. World ex U.S. Core Equity Portfolio commenced operations on April 9, 2013 and did not pay any distributions for the year ended October 31, 2012. At October 31, 2013, 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 -------------- ------------- ------- Enhanced U.S. Large Company Portfolio....... -- -- -- U.S. Large Cap Equity Portfolio............. -- -- -- U.S. Large Cap Value Portfolio.............. -- -- -- U.S. Targeted Value Portfolio............... $ 6,274 $26,089 $32,363 U.S. Small Cap Value Portfolio.............. 6,218 24,617 30,865 U.S. Core Equity 1 Portfolio................ -- -- -- U.S. Core Equity 2 Portfolio................ 4,443 2,984 7,427 U.S. Vector Equity Portfolio................ 1,506 1,560 3,066 U.S. Small Cap Portfolio.................... 4,483 10,405 14,888 U.S. Micro Cap Portfolio.................... 3,060 10,398 13,458 International Small Company Portfolio....... 10,055 8,986 19,041 DFA International Small Cap Value Portfolio. 14,657 6,334 20,991
161
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ------- International Vector Equity Portfolio.. $ 473 $ 167 $ 640 World ex U.S. Targeted Value Portfolio. 26 26 52 Emerging Markets Portfolio............. 3,106 1,014 4,120 Emerging Markets Value Portfolio....... 18,634 12,112 30,746
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFOWARD (DEPRECIATION) LOSSES) -------------- ------------- ------------ -------------- ------------- Enhanced U.S. Large Company Portfolio....... -- -- $ (1,059) $ 3,933 $ 2,874 U.S. Large Cap Equity Portfolio............. $ 317 -- -- 10,560 10,877 U.S. Large Cap Value Portfolio.............. 28,647 -- (512,898) 4,225,900 3,741,649 U.S. Targeted Value Portfolio............... 17,027 $237,247 -- 1,330,412 1,584,686 U.S. Small Cap Value Portfolio.............. 18,970 443,687 -- 2,850,347 3,313,004 U.S. Core Equity 1 Portfolio................ 15,136 34,837 -- 2,298,101 2,348,074 U.S. Core Equity 2 Portfolio................ 19,964 98,716 -- 3,166,130 3,284,810 U.S. Vector Equity Portfolio................ 5,402 38,796 -- 926,605 970,803 U.S. Small Cap Portfolio.................... 25,516 218,763 -- 2,182,172 2,426,451 U.S. Micro Cap Portfolio.................... 17,211 200,725 -- 1,610,873 1,828,809 DFA Real Estate Securities Portfolio........ 32,487 -- (179,405) 1,274,703 1,127,785 Large Cap International Portfolio........... 9,261 -- (212,195) 612,594 409,660 International Core Equity Portfolio......... 41,670 -- (113,295) 1,437,552 1,367,061 International Small Company Portfolio....... 118,814 211,281 -- 1,566,261 1,896,356 Japanese Small Company Portfolio............ 11,490 -- (66,522) 16,667 (38,365) Asia Pacific Small Company Portfolio........ 11,406 -- (26,597) 24,537 9,346 United Kingdom Small Company Portfolio...... 447 406 -- 13,794 14,647 Continental Small Company Portfolio......... 319 -- (26,529) 38,434 12,224 DFA International Real Estate Securities Portfolio................................. 91,532 -- (206,697) (5,808) (120,973) DFA Global Real Estate Securities Portfolio. 11,647 -- (808) 333,050 343,889 DFA International Small Cap Value Portfolio................................. 145,446 127,002 -- 1,923,377 2,195,825 International Vector Equity Portfolio....... 5,884 7,263 -- 218,801 231,948 World ex U.S. Value Portfolio............... 353 -- (2,715) 14,956 12,594 World ex U.S. Targeted Value Portfolio...... 144 1,141 -- 11,475 12,760 World ex U.S. Core Equity Portfolio......... 62 -- -- 11,626 11,688 Selectively Hedged Global Equity Portfolio.. 1,700 537 -- 15,002 17,239 Emerging Markets Portfolio.................. 13,976 21,322 -- 1,122,953 1,158,251 Emerging Markets Small Cap Portfolio........ 27,935 63,092 -- 422,604 513,631 Emerging Markets Value Portfolio............ 128,578 263,757 -- 298,709 691,044 Emerging Markets Core Equity Portfolio...... 55,409 -- (51,641) 1,198,159 1,201,927
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 162 enactment. As of October 31, 2013, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31, ----------------------------------------------------------------- 2014 2015 2016 2017 2018 2019 UNLIMITED TOTAL ------ ------ ------- -------- ------- ------- --------- -------- Enhanced U.S. Large Company Portfolio....... -- $1,059 -- -- -- -- -- $ 1,059 U.S. Large Cap Equity Portfolio............. -- -- -- -- -- -- -- -- U.S. Large Cap Value Portfolio.............. -- -- -- $512,898 -- -- -- 512,898 U.S. Targeted Value Portfolio............... -- -- -- -- -- -- -- -- U.S. Small Cap Value Portfolio.............. -- -- -- -- -- -- -- -- U.S. Core Equity 1 Portfolio................ -- -- -- -- -- -- -- -- U.S. Core Equity 2 Portfolio................ -- -- -- -- -- -- -- -- U.S. Vector Equity Portfolio................ -- -- -- -- -- -- -- -- U.S. Small Cap Portfolio.................... -- -- -- -- -- -- -- -- U.S. Micro Cap Portfolio.................... -- -- -- -- -- -- -- -- DFA Real Estate Securities Portfolio........ -- -- $45,525 62,969 $44,388 $26,523 -- 179,405 Large Cap International Portfolio........... -- -- 19,004 135,392 14,311 12,549 $30,938 212,194 International Core Equity Portfolio......... -- -- -- 53,176 -- -- 60,119 113,295 International Small Company Portfolio....... -- -- -- -- -- -- -- -- Japanese Small Company Portfolio............ $2,451 8,003 23,057 13,952 12,208 5,543 1,308 66,522 Asia Pacific Small Company Portfolio........ -- -- 16,317 8,261 -- -- 2,019 26,597 United Kingdom Small Company Portfolio...... -- -- -- -- -- -- -- -- Continental Small Company Portfolio......... -- -- 13,544 7,224 5,252 -- 509 26,529 DFA International Real Estate Securities Portfolio.................................. -- 46 13,446 34,576 38,689 69,466 50,474 206,697 DFA Global Real Estate Securities Portfolio. -- -- -- -- 808 -- -- 808 DFA International Small Cap Value Portfolio. -- -- -- -- -- -- -- -- International Vector Equity Portfolio....... -- -- -- -- -- -- -- -- World ex U.S. Value Portfolio............... -- -- -- -- -- 2,715 -- 2,715 World ex U.S. Targeted Value Portfolio...... -- -- -- -- -- -- -- -- World ex U.S. Core Equity Portfolio......... -- -- -- -- -- -- -- -- Selectively Hedged Global Equity Portfolio.. -- -- -- -- -- -- -- -- Emerging Markets Portfolio.................. -- -- -- -- -- -- -- -- Emerging Markets Small Cap Portfolio........ -- -- -- -- -- -- -- -- Emerging Markets Value Portfolio............ -- -- -- -- -- -- -- -- Emerging Markets Core Equity Portfolio...... -- -- 7,080 26,444 -- -- 18,117 51,641
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands): Enhanced U.S. Large Company Portfolio....... $ 45,882 U.S. Large Cap Value Portfolio.............. 819,591 U.S. Core Equity 1 Portfolio................ 13,834 DFA Real Estate Securities Portfolio........ 27,388 Japanese Small Company Portfolio............ 4,124 United Kingdom Small Company Portfolio...... 2,141 Continental Small Company Portfolio......... 2,316 DFA Global Real Estate Securities Portfolio. 308 World ex U.S. Value Portfolio............... 3,127
163 At October 31, 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.... $ 207,573 $ 4,057 $ (82) $ 3,975 U.S. Large Cap Equity Portfolio.......... 159,514 11,436 (877) 10,560 U.S. Large Cap Value Portfolio........... 7,741,219 4,225,900 -- 4,225,900 U.S. Targeted Value Portfolio............ 3,496,204 1,435,154 (104,742) 1,330,412 U.S. Small Cap Value Portfolio........... 8,187,279 3,454,059 (603,712) 2,850,347 U.S. Core Equity 1 Portfolio............. 6,003,068 2,442,119 (144,018) 2,298,101 U.S. Core Equity 2 Portfolio............. 7,894,380 3,482,335 (315,964) 3,166,371 U.S. Vector Equity Portfolio............. 2,351,458 1,047,537 (120,932) 926,605 U.S. Small Cap Portfolio................. 6,999,688 2,475,586 (293,395) 2,182,190 U.S. Micro Cap Portfolio................. 3,920,122 1,980,490 (369,598) 1,610,891 DFA Real Estate Securities Portfolio..... 3,910,757 1,317,277 (65,498) 1,251,778 Large Cap International Portfolio........ 2,379,895 784,229 (171,697) 612,532 International Core Equity Portfolio...... 9,076,319 2,173,008 (734,399) 1,437,474 International Small Company Portfolio.... 6,943,164 1,566,243 -- 1,566,243 Japanese Small Company Portfolio......... 397,615 16,680 -- 16,680 Asia Pacific Small Company Portfolio..... 306,757 24,534 -- 24,534 United Kingdom Small Company Portfolio... 23,323 13,791 -- 13,791 Continental Small Company Portfolio...... 132,494 38,306 -- 38,306 DFA International Real Estate Securities Portfolio.............................. 2,324,655 56,716 (62,535) (5,719) DFA Global Real Estate Securities Portfolio.............................. 1,753,497 333,050 -- 333,050 DFA International Small Cap Value Portfolio.............................. 10,242,293 3,483,706 -- 1,923,255 International Vector Equity Portfolio.... 982,267 260,467 (41,679) 218,775 World ex U.S. Value Portfolio............ 102,466 14,988 -- 14,988 World ex U.S. Targeted Value Portfolio... 84,463 11,475 (327) 11,475 World ex U.S. Core Equity Portfolio...... 117,808 11,626 -- 11,626 Selectively Hedged Global Equity Portfolio.............................. 72,621 15,168 -- 15,168 Emerging Markets Portfolio............... 2,530,894,936 1,122,991,971 -- 1,122,991,971 Emerging Markets Small Cap Portfolio..... 3,614,485 422,694 -- 422,694 Emerging Markets Value Portfolio......... 18,957,804 298,621 -- 298,621 Emerging Markets Core Equity Portfolio... 13,076,862 2,341,323 (1,143,120) 1,198,303
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 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 Portfolio's financial statements. No Portfolio is aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each of the Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 164 G. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (amounts in thousands):
YEAR ENDED YEAR ENDED OCT. 31, 2013 OCT. 31, 2012 --------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- -------- ----------- ------- U.S. TARGETED VALUE PORTFOLIO Class R1 Shares Shares Issued........................................ $ 9,003 477 $ 5,787 353 Shares Issued in Lieu of Cash Distributions.......... 3,423 205 730 48 Shares Redeemed...................................... (61,998) (3,124) (7,953) (486) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ (49,572) (2,442) $ (1,436) (85) =========== ======== =========== ======= Class R2 Shares Shares Issued........................................ $ 10,505 520 $ 4,727 288 Shares Issued in Lieu of Cash Distributions.......... 923 55 162 11 Shares Redeemed...................................... (5,597) (281) (4,413) (273) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 5,831 294 $ 476 26 =========== ======== =========== ======= Institutional Class Shares Shares Issued........................................ $ 1,049,705 53,476 $ 772,443 47,901 Shares Issued in Lieu of Cash Distributions.......... 189,447 11,289 39,875 2,618 Shares Redeemed...................................... (1,045,053) (52,845) (649,785) (39,847) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 194,099 11,920 $ 162,533 10,672 =========== ======== =========== ======= EMERGING MARKETS VALUE PORTFOLIO Class R2 Shares Shares Issued........................................ $ 27,484 947 $ 61,477 2,199 Shares Issued in Lieu of Cash Distributions.......... 3,927 137 2,784 106 Shares Redeemed...................................... (27,940) (973) (40,795) (1,486) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 3,471 111 $ 23,466 819 =========== ======== =========== ======= Institutional Class Shares Shares Issued........................................ $ 4,212,669 148,010 $ 5,047,163 179,634 Shares Issued in Lieu of Cash Distributions.......... 652,656 22,854 436,347 16,644 Shares Redeemed...................................... (2,940,034) (104,206) (2,278,812) (81,493) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 1,925,291 66,658 $ 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 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 165 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 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 Portfolios may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Portfolios. 3. FORWARD CURRENCY CONTRACTS: Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio may enter into forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2013, 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 OCTOBER 31, 2013 GAIN (LOSS) ---------- -------- -------- -------- ---------------- ----------- 11/13/13 8,387 Euro $ 11,342 $ 11,387 $ 45 11/13/13 8,294 Euro 11,270 11,260 (10) 11/13/13 (2,071) Euro (2,799) (2,811) (12)
166
UNREALIZED FOREIGN SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS) ---------- -------- ------------------ -------- ---------------- ----------- 11/13/13 (2,124) Euro $ (2,893) $ (2,884) $ 9 11/13/13 (4,078) Euro (5,518) (5,537) (19) 11/13/13 (8,408) Euro (11,145) (11,416) (271) 11/04/13 6,278 New Zealand Dollar 5,183 5,185 2 11/04/13 (4,082) New Zealand Dollar (3,367) (3,371) (4) 11/04/13 (6,273) New Zealand Dollar (5,211) (5,181) 30 12/05/13 (6,287) New Zealand Dollar (5,180) (5,182) (2) 11/12/13 (3,096) UK Pound Sterling (4,979) (4,964) 15 -------- -------- ----- $(13,297) $(13,514) $(217) ======== ======== =====
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*
UNREALIZED FOREIGN SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS) ---------- -------- ---------------- -------- ---------------- ----------- 11/19/13 (1,991) Denmark Krone $ (359) $ (364) $ (5) 12/09/13 (5,621) Euro (7,646) (7,632) 14 11/15/13 (19,866) Hong Kong Dollar (2,562) (2,562) -- 12/30/13 (586,231) Japanese Yen (6,040) (5,964) 76 12/13/13 (1,885) Swiss Franc (2,021) (2,078) (57) -------- -------- ---- $(18,628) $(18,600) $ 28 ======== ======== ====
* During the year ended October 31, 2013, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average contract amount of forward currency contracts was $70,028 and $14,609 (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 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. 167 At October 31, 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) 12/20/13 467 $204,429 $7,914 -- Selectively Hedged Global Equity Portfolio........ S&P 500 Index(R) Emini 12/20/13 39 3,414 133 $160
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 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 $187,291 and $2,501 (in thousands), respectively. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 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 October 31, 2013 (amounts in thousands):
ASSET DERIVATIVES VALUE ----------------------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCTOBER 31, 2013 CONTRACTS CONTRACTS - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $8,015 $ 101 $7,914* Selectively Hedged Global Equity Portfolio. 223 90 133* LIABILITY DERIVATIVES VALUE ----------------------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCTOBER 31, 2013 CONTRACTS CONTRACTS - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ (318) $(318) -- Selectively Hedged Global Equity Portfolio. (62) (62) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings through the year ended October 31, 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
168 The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2013 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio............... $39,706 $(738) $40,444 U.S. Targeted Value Portfolio*...................... 4,864 -- 4,864 U.S. Small Cap Value Portfolio*..................... 4,175 -- 4,175 U.S. Vector Equity Portfolio*....................... (48) -- (48) U.S. Small Cap Portfolio*........................... (331) -- (331) U.S. Micro Cap Portfolio*........................... (423) -- (423) International Small Company Portfolio*.............. (29) -- (29) Continental Small Company Portfolio*................ 29 -- 29 DFA International Real Estate Securities Portfolio*. 888 -- 888 Selectively Hedged Global Equity Portfolio.......... 813 268 545 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............... $ 6,052 $ 964 $ 5,088 Selectively Hedged Global Equity Portfolio.......... 272 122 150
* As of October 31, 2013, there were no futures contracts outstanding. During the year ended October 31, 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. 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. 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 169 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 year ended October 31, 2013, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Targeted Value Portfolio............... 0.91% $ 4,884 14 $ 2 $10,912 U.S. Small Cap Value Portfolio.............. 0.87% 3,717 17 2 10,728 U.S. Core Equity 1 Portfolio................ 0.86% 5,556 13 2 12,118 U.S. Core Equity 2 Portfolio................ 0.85% 11,512 12 3 26,857 U.S. Small Cap Portfolio.................... 0.91% 4,540 1 -- 4,540 U.S. Micro Cap Portfolio.................... 0.85% 3,328 23 2 7,874 DFA Real Estate Securities Portfolio........ 0.89% 3,978 11 1 7,104 Large Cap International Portfolio........... 0.88% 24,396 15 9 37,795 International Core Equity Portfolio......... 0.87% 17,268 21 9 45,610 International Small Company Portfolio....... 0.83% 4,193 1 -- 4,193 DFA International Real Estate Securities Portfolio................................. 0.83% 358 1 -- 358 DFA Global Real Estate Securities Portfolio. 0.83% 1,195 3 -- 1,573 DFA International Small Cap Value Portfolio. 0.85% 18,409 90 39 58,797 International Vector Equity Portfolio....... 0.85% 1,225 8 -- 2,787 World ex U.S. Value Portfolio............... 0.87% 834 22 -- 5,473 World ex U.S. Targeted Value Portfolio...... 0.84% 426 9 -- 1,067 World ex U.S. Core Equity Portfolio......... 0.84% 312 20 -- 1,484
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that each Portfolio's available line of credit was utilized. At October 31, 2013 only the DFA International Small Cap Value Portfolio had outstanding borrowings under the lines of credit of $4,016 (in thousands). J. SECURITIES LENDING: As of October 31, 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 -------- Large Cap International Portfolio.................. $ 19,115 International Core Equity Portfolio................ 54,401 DFA International Real Estate Securities Portfolio. 1,189 DFA International Small Cap Value Portfolio........ 42,290 International Vector Equity Portfolio.............. 5,783 Emerging Markets Core Equity Portfolio............. 374,335
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 170 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. L. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. N. OTHER: At October 31, 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. 171
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares............................................................ 5 85% U.S. Large Cap Equity Portfolio -- Institutional Class Shares....... 3 99% U.S. Large Cap Value Portfolio -- Institutional Class Shares........ 3 73% U.S. Targeted Value Portfolio -- Class R1 Shares.................... 4 95% U.S. Targeted Value Portfolio -- Class R2 Shares.................... 6 81% U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 62% U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 60% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 4 74% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 81% U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 95% U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 48% U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 4 70% DFA Real Estate Securities Portfolio -- Institutional Class Shares............................................................ 4 85% Large Cap International Portfolio -- Institutional Class Shares..... 3 69% International Core Equity Portfolio -- Institutional Class Shares... 4 75% International Small Company Portfolio -- Institutional Class Shares............................................................ 4 57% Japanese Small Company Portfolio -- Institutional Class Shares...... 4 82% Asia Pacific Small Company Portfolio -- Institutional Class Shares............................................................ 3 87% United Kingdom Small Company Portfolio -- Institutional Class Shares............................................................ 3 94% Continental Small Company Portfolio -- Institutional Class Shares............................................................ 5 95% DFA International Real Estate Securities Portfolio -- Institutional Class Shares...................................................... 4 93% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares............................................................ 3 82% DFA International Small Cap Value Portfolio -- Institutional Class Shares............................................................ 3 57% International Vector Equity Portfolio -- Institutional Class Shares............................................................ 4 87% World ex U.S. Value Portfolio -- Institutional Class Shares......... 5 84% World ex U.S. Targeted Value Portfolio -- Institutional Class Shares............................................................ 3 100% World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 2 97% Selectively Hedged Global Equity Portfolio.......................... 3 96% Emerging Markets Portfolio -- Institutional Class Shares............ 4 68% Emerging Markets Small Cap Portfolio -- Institutional Class Shares............................................................ 4 51% Emerging Markets Value Portfolio -- Class R2 Shares................. 5 85% Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 28% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............................................................ 3 59%
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 buyout 172 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. The U.S. Large Cap Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including the U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought by a court-appointed trustee on behalf of the committee of unsecured creditors of Tribune (the "Committee Action," and with the Individual Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers and recover the stock repurchase proceeds paid to the Tribune shareholders who participated in the LBO. On September 23, 2013, the Court entered an order dismissing the Individual Creditor Actions in their entirety on the grounds that the individual creditor plaintiffs lack standing to pursue their claims. The Court's dismissal order is on appeal to the Second Circuit. The Committee Action remains pending, and the Court currently is coordinating with the parties to establish a schedule for motions to dismiss in the Committee Action. 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 the plaintiffs 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 investors 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 the 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: On December 13, 2013, the Board of DFAIDG voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Current Agreements") into a bundled Investment Management Agreement for each of the following five Portfolios: U.S. Small Cap Portfolio, U.S. Small Cap Value Portfolio, U.S. Micro Cap Portfolio, Enhanced U.S. Large Company Portfolio, and U.S. Targeted Value Portfolio. It is expected that each Investment Management Agreement will become effective on February 28, 2014. The nature and level of services to the Portfolios under the Investment Management Agreements will be the same as under the Current Agreements. When the Investment Management Agreements become effective, each Portfolio will pay the Advisor an investment management fee that is equal to the sum of the current investment advisory fee and current administration fee that is paid by the Portfolio to the Advisor under the Current Agreements. Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 173 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Core Equity Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, and Emerging Markets Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at October 31, 2013, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2013 by correspondence with the custodians, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 174 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA COMMODITY STRATEGY PORTFOLIO VS. DOW JONES-UBS COMMODITY INDEX TOTAL RETURN NOVEMBER 9, 2010-OCTOBER 31, 2013 [CHART] DFA Commodity Dow Jones-UBS Commodity Strategy Portfolio Index Total Return ------------------------- ---------------------------- 11/9/2010 $10,000 $10,000 11/30/2010 9,480 9,414 12/31/2010 10,464 10,420 1/31/2011 10,584 10,525 2/28/2011 10,804 10,664 3/31/2011 11,010 10,884 4/30/2011 11,440 11,261 5/31/2011 10,889 10,691 6/30/2011 10,337 10,152 7/31/2011 10,678 10,452 8/31/2011 10,788 10,557 9/30/2011 9,187 9,001 10/31/2011 9,798 9,597 11/30/2011 9,538 9,384 12/31/2011 9,199 9,032 1/31/2012 9,480 9,256 2/29/2012 9,752 9,506 3/31/2012 9,360 9,112 4/30/2012 9,299 9,074 5/31/2012 8,494 8,245 6/30/2012 8,889 8,698 7/31/2012 9,494 9,261 8/31/2012 9,676 9,381 9/30/2012 9,840 9,541 10/31/2012 9,497 9,171 11/30/2012 9,547 9,176 12/31/2012 9,321 8,937 1/31/2013 9,544 9,151 2/28/2013 9,169 8,777 3/31/2013 9,229 8,836 4/30/2013 8,996 8,590 5/31/2013 8,763 8,397 6/30/2013 8,304 8,001 7/31/2013 8,436 8,110 8/31/2013 8,730 8,386 9/30/2013 8,529 8,172 10/31/2013 8,438 7,963 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FROM redemption of fund shares. TOTAL RETURN YEAR 11/09/2010 ----------------------------------------------------- Dow Jones-UBS data provided by S&P -11.15% -5.55% Dow Jones Indices, LLC and UBS AG.
-------------------------------------------------------------------------------- 175 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 During the fiscal year ended, October 31, 2013, commodities produced mostly negative returns. Stepping outside this trend were the petroleum based commodities which may have benefited from renewed Middle East concerns and continuing pipeline and refinery hurdles. Natural gas prices experienced a substantial decline in part likely due to lower demand and increased supply in a market less restrained by delivery and refinery bottlenecks. Corn and wheat prices experienced significant declines in 2013 as the U.S. emerged from the 2012 drought with early signs of bumper corn crop followed by a much improved summer wheat harvest. As equity markets surged and evidence of lower inflation expectations emerged, silver and gold erased nearly half the value created in a ten year rally that ended at the beginning of the period. Industrial metals saw modest drops on increased supply. DFA COMMODITY STRATEGY PORTFOLIO The DFA Commodity Strategy Portfolio seeks total return consisting of capital appreciation and current income. The Portfolio generally invests in commodity-linked derivative instruments and fixed income investments. The Portfolio gains exposure to commodities markets by investing in derivative instruments, swap agreements, and other commodity-linked instruments. The Portfolio pursues commodity exposure based on sector weights of the Dow Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the fixed income portion of the Portfolio's investment strategy, Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") identifies a broadly-diversified universe of eligible U.S. and foreign fixed income securities with precisely defined maturity ranges and credit quality characteristics and then seeks to purchase a broad and diverse portfolio of securities meeting these credit quality standards. In making these purchase decisions, if the anticipated maturity risk premium is greater for longer-term securities in the eligible maturity range, Dimensional will generally focus investment in that longer-term area; otherwise, the Portfolio will generally focus investment in the short-term range of the eligible maturity range. For the 12 months ended October 31, 2013, the total return was -11.15% for the Portfolio and -12.21% for the Dow Jones-UBS Commodity Index Total Return. The Portfolio's outperformance came from a combination of both the flexibility the Portfolio maintains relative to the benchmark in regards to its management of futures contract expirations and the Portfolio's investment in fixed income securities. The Portfolio gained exposure to commodities primarily through the use of commodity swap contracts. To a lesser extent, the Portfolio gained exposure to commodities through the use of commodity futures. The Portfolio's commodity swaps provided exposure to the 22 commodities found in the Dow Jones-UBS Commodity Index Total Return whose returns for the period ranged from +10.19% (WTI crude oil) to -38.88% (coffee). While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component duration decreased slightly from 1.85 to 1.82 years during the period. The Portfolio benefited from the exposure to longer duration relative to its short-term obligations on its derivatives. It also benefited from its credit exposure during a period where credit spreads narrowed. The time of valuation of currency can create differences between the performance of the Portfolio and the Index. 176 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 six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- DFA COMMODITY STRATEGY PORTFOLIO -------------------------------- Actual Fund Return............... $1,000.00 $ 937.90 0.34% $1.66 Hypothetical 5% Annual Return.... $1,000.00 $1,023.49 0.34% $1.73
---------- * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 177 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 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.................................... 46.6% Foreign Corporate............................ 22.5% Foreign Government........................... 3.1% Government................................... 26.3% Supranational................................ 1.5% ----- 100.0%
178 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
FACE AMOUNT^ VALUE+ ------- ------ (000) BONDS -- (73.7%) AUSTRALIA -- (3.3%) BHP Billiton Finance USA, Ltd. 5.500%, 04/01/14............................. $ 960 $ 980,442 Commonwealth Bank of Australia 1.250%, 09/18/15............................. 4,780 4,836,132 National Australia Bank, Ltd. 5.500%, 05/20/15............................. EUR 6,500 9,487,697 Westpac Banking Corp. 4.200%, 02/27/15............................. 9,500 9,966,782 ----------- TOTAL AUSTRALIA.................................. 25,271,053 ----------- CANADA -- (6.1%) Bank of Nova Scotia 1.850%, 01/12/15............................. 6,400 6,503,782 3.400%, 01/22/15............................. 1,800 1,863,149 2.050%, 10/07/15............................. 2,500 2,567,370 Barrick Gold Finance Co. 4.875%, 11/15/14............................. 2,200 2,284,333 Enbridge, Inc. 5.800%, 06/15/14............................. 1,900 1,954,481 4.900%, 03/01/15............................. 1,500 1,579,136 Husky Energy, Inc. 5.900%, 06/15/14............................. 2,500 2,579,240 Ontario, Province of Canada 2.300%, 05/10/16............................. 5,000 5,196,160 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 1,830 1,926,485 Royal Bank of Canada 0.800%, 10/30/15............................. 2,500 2,511,975 2.625%, 12/15/15............................. 2,500 2,600,817 Thomson Reuters Corp. 5.700%, 10/01/14............................. 800 837,010 Toronto-Dominion Bank (The) 5.375%, 05/14/15............................. EUR 4,000 5,833,228 2.500%, 07/14/16............................. 2,500 2,603,477 TransAlta Corp. 4.750%, 01/15/15............................. 2,508 2,612,709 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 3,106 3,242,518 ----------- TOTAL CANADA..................................... 46,695,870 ----------- FRANCE -- (1.4%) Agence Francaise de Developpement 2.500%, 07/15/15............................. 3,000 3,098,520 BNP Paribas SA 3.250%, 03/11/15............................. 4,035 4,171,484 Orange SA 4.375%, 07/08/14............................. 3,231 3,307,549 2.125%, 09/16/15............................. 500 508,988 ----------- TOTAL FRANCE..................................... 11,086,541 -----------
FACE AMOUNT^ VALUE+ ------- ------ (000) GERMANY -- (0.4%) Deutsche Bank AG 3.875%, 08/18/14............................. $ 1,750 $ 1,796,307 3.250%, 01/11/16............................. 1,000 1,050,266 ----------- TOTAL GERMANY.................................... 2,846,573 ----------- JAPAN -- (1.6%) Japan Bank for International Cooperation 2.250%, 07/13/16............................. 8,000 8,303,824 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 3,500 3,670,349 ----------- TOTAL JAPAN...................................... 11,974,173 ----------- NETHERLANDS -- (5.1%) Aegon NV 4.625%, 12/01/15............................. 3,489 3,736,754 Bank Nederlandse Gemeenten 2.750%, 07/01/15............................. 9,500 9,856,060 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 3.125%, 02/05/15............................. CAD 7,000 6,823,162 2.125%, 10/13/15............................. 7,000 7,186,669 Deutsche Telekom International Finance BV 4.875%, 07/08/14............................. 1,900 1,955,066 Nederlandse Waterschapsbank NV 2.000%, 09/09/15............................. 9,000 9,244,674 ----------- TOTAL NETHERLANDS................................ 38,802,385 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.5%) European Investment Bank 6.500%, 09/10/14............................. NZD 2,531 2,145,833 Nordic Investment Bank 7.500%, 04/15/15............................. NZD 11,000 9,607,162 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 11,752,995 ----------- SWEDEN -- (3.8%) Nordea Bank AB 2.750%, 08/11/15............................. EUR 5,000 7,048,063 Svensk Exportkredit AB 2.125%, 07/13/16............................. 7,000 7,260,589 Svenska Handelsbanken AB 1.500%, 07/06/15............................. EUR 7,000 9,654,792 3.125%, 07/12/16............................. 5,000 5,256,480 ----------- TOTAL SWEDEN..................................... 29,219,924 -----------
179 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) SWITZERLAND -- (0.3%) Credit Suisse New York 5.500%, 05/01/14............................. $ 250 $ 256,292 3.500%, 03/23/15............................. 1,000 1,039,644 UBS AG 3.875%, 01/15/15............................. 1,163 1,207,444 ----------- TOTAL SWITZERLAND................................ 2,503,380 ----------- UNITED KINGDOM -- (3.6%) Barclays Bank P.L.C. 5.200%, 07/10/14............................. 1,500 1,548,627 BP Capital Markets P.L.C. 5.250%, 11/07/13............................. 3,500 3,501,015 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 3,100 3,157,737 Lloyds Bank P.L.C. 4.875%, 01/21/16............................. 5,000 5,396,695 Rio Tinto Finance USA P.L.C. 1.125%, 03/20/15............................. 3,850 3,872,496 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 6,300 6,452,334 Vodafone Group P.L.C. 4.150%, 06/10/14............................. 1,825 1,864,155 3.375%, 11/24/15............................. 2,000 2,098,058 ----------- TOTAL UNITED KINGDOM............................. 27,891,117 ----------- UNITED STATES -- (46.6%) AbbVie, Inc. 1.200%, 11/06/15............................. 4,000 4,027,968 ACE INA Holdings, Inc. 5.875%, 06/15/14............................. 1,250 1,291,344 2.600%, 11/23/15............................. 3,295 3,416,226 Aetna, Inc. 6.000%, 06/15/16............................. 1,496 1,687,507 Aflac, Inc. 3.450%, 08/15/15............................. 3,800 3,985,166 Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. 3,615 3,712,612 Allstate Corp. (The) 5.000%, 08/15/14............................. 2,130 2,205,334 Altria Group, Inc. 4.125%, 09/11/15............................. 2,170 2,299,033 American Express Credit Corp. 5.125%, 08/25/14............................. 1,700 1,764,231 1.750%, 06/12/15............................. 1,200 1,221,452 2.750%, 09/15/15............................. 2,250 2,333,975 American International Group, Inc. 3.000%, 03/20/15............................. 6,000 6,172,836 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 1,625 1,781,575 Amgen, Inc. 1.875%, 11/15/14............................. 1,825 1,850,368 4.850%, 11/18/14............................. 1,000 1,044,713
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Anheuser-Busch InBev Worldwide, Inc. 0.800%, 07/15/15............................. $ 2,000 $2,009,190 Apple, Inc. 0.450%, 05/03/16............................. 10,000 9,955,790 Assurant, Inc. 5.625%, 02/15/14............................. 2,000 2,027,674 AT&T, Inc. 2.500%, 08/15/15............................. 4,600 4,732,190 AutoZone, Inc. 6.950%, 06/15/16............................. 3,000 3,423,804 Bank of America Corp. 1.500%, 10/09/15............................. 5,000 5,043,090 3.750%, 07/12/16............................. 1,500 1,595,907 BB&T Corp. 5.700%, 04/30/14............................. 3,087 3,165,691 Berkshire Hathaway Finance Corp. 4.850%, 01/15/15............................. 5,000 5,262,540 BlackRock, Inc. 3.500%, 12/10/14............................. 2,000 2,067,870 Burlington Northern Santa Fe LLC 4.875%, 01/15/15............................. 200 210,117 Capital One Financial Corp. 6.250%, 11/15/13............................. 150 150,245 7.375%, 05/23/14............................. 1,189 1,232,737 2.150%, 03/23/15............................. 4,700 4,778,795 Cardinal Health, Inc. 4.000%, 06/15/15............................. 3,000 3,153,489 Caterpillar Financial Services Corp. 2.650%, 04/01/16............................. 5,000 5,213,965 CenterPoint Energy Resources Corp. 6.150%, 05/01/16............................. 5,000 5,589,525 Charles Schwab Corp. (The) 0.850%, 12/04/15............................. 3,000 3,003,879 Cisco Systems, Inc. 1.625%, 03/14/14............................. 1,550 1,557,810 Citigroup, Inc. 6.375%, 08/12/14............................. 636 663,907 5.300%, 01/07/16............................. 2,716 2,946,129 CNA Financial Corp. 5.850%, 12/15/14............................. 3,277 3,453,752 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13............................. 1,607 1,607,227 Comcast Corp. 4.950%, 06/15/16............................. 3,500 3,861,242 Comerica, Inc. 3.000%, 09/16/15............................. 2,277 2,371,762 Computer Sciences Corp. 2.500%, 09/15/15............................. 3,558 3,643,705
180 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Consolidated Edison Co. of New York, Inc. 4.700%, 02/01/14............................. $ 400 $ 404,035 CVS Caremark Corp. 3.250%, 05/18/15............................. 1,000 1,039,406 Daimler Finance North America LLC 6.500%, 11/15/13............................. 2,100 2,103,564 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 4.750%, 10/01/14............................. 1,500 1,555,052 3.500%, 03/01/16............................. 5,000 5,236,805 Dominion Resources, Inc. 5.150%, 07/15/15............................. 1,400 1,500,374 2.250%, 09/01/15............................. 5,000 5,132,045 Dow Chemical Co. (The) 2.500%, 02/15/16............................. 1,000 1,035,552 Eastman Chemical Co. 3.000%, 12/15/15............................. 1,000 1,040,022 Ecolab, Inc. 1.000%, 08/09/15............................. 2,000 2,005,328 Emerson Electric Co. 5.625%, 11/15/13............................. 1,200 1,201,766 Enbridge Energy Partners L.P. 5.350%, 12/15/14............................. 1,475 1,548,818 Energy Transfer Partners L.P. 5.950%, 02/01/15............................. 1,200 1,272,361 Enterprise Products Operating LLC 5.600%, 10/15/14............................. 2,666 2,790,894 EOG Resources, Inc. 2.950%, 06/01/15............................. 2,440 2,531,261 2.500%, 02/01/16............................. 1,325 1,374,307 Exelon Corp. 4.900%, 06/15/15............................. 500 529,780 Exelon Generation Co. LLC 5.350%, 01/15/14............................. 1,100 1,110,129 Express Scripts Holding Co. 2.100%, 02/12/15............................. 4,000 4,063,120 3.125%, 05/15/16............................. 1,975 2,072,462 Fifth Third Bancorp 3.625%, 01/25/16............................. 1,000 1,055,520 Fifth Third Bank 0.900%, 02/26/16............................. 2,000 1,992,132 Ford Motor Credit Co. LLC 12.000%, 05/15/15............................ 3,500 4,072,435 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15............................. 3,996 4,016,284 General Electric Capital Corp. 2.150%, 01/09/15............................. 6,000 6,119,154 1.625%, 07/02/15............................. 2,000 2,032,202 Gilead Sciences, Inc. 2.400%, 12/01/14............................. 3,000 3,056,091
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Goldman Sachs Group, Inc. (The) 3.300%, 05/03/15............................. $ 3,500 $3,622,444 Google, Inc. 2.125%, 05/19/16............................. 6,000 6,224,196 Hartford Financial Services Group, Inc. 4.000%, 03/30/15............................. 1,400 1,460,812 Hess Corp. 7.000%, 02/15/14............................. 175 177,965 Hewlett-Packard Co. 2.625%, 12/09/14............................. 1,300 1,323,257 HSBC USA, Inc. 2.375%, 02/13/15............................. 2,000 2,046,018 Humana, Inc. 6.450%, 06/01/16............................. 4,500 5,043,060 Johnson Controls, Inc. 5.500%, 01/15/16............................. 1,282 1,402,513 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 2,800 2,900,626 3.400%, 06/24/15............................. 1,000 1,041,719 KeyCorp 3.750%, 08/13/15............................. 3,000 3,150,111 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 4,000 4,220,124 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 1,050 1,137,528 Marathon Oil Corp. 0.900%, 11/01/15............................. 1,140 1,140,961 Marsh & McLennan Cos., Inc. 5.750%, 09/15/15............................. 1,916 2,082,361 Medtronic, Inc. 4.750%, 09/15/15............................. 1,087 1,170,416 MetLife, Inc. 2.375%, 02/06/14............................. 420 422,145 5.500%, 06/15/14............................. 1,250 1,288,560 5.000%, 06/15/15............................. 500 533,653 6.750%, 06/01/16............................. 3,000 3,437,859 Mondelez International, Inc. 4.125%, 02/09/16............................. 3,716 3,963,813 Morgan Stanley 3.800%, 04/29/16............................. 6,000 6,339,840 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15............................. 2,800 2,896,152 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13............................. 750 750,400 Occidental Petroleum Corp. 1.450%, 12/13/13............................. 1,000 1,001,215 Omnicom Group, Inc. 5.900%, 04/15/16............................. 1,750 1,948,935 ONEOK, Inc. 5.200%, 06/15/15............................. 1,000 1,061,186 PACCAR Financial Corp. 0.750%, 08/14/15............................. 2,000 2,008,570
181 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) PepsiCo, Inc. 0.700%, 08/13/15............................. $ 5,595 $5,607,096 Plains All American Pipeline L.P. / PAA Finance Corp. 3.950%, 09/15/15............................. 2,830 2,991,780 PNC Funding Corp. 5.400%, 06/10/14............................. 2,075 2,136,161 4.250%, 09/21/15............................. 600 638,531 PPG Industries, Inc. 1.900%, 01/15/16............................. 2,050 2,084,602 Procter & Gamble Co. (The) 4.500%, 05/12/14............................. EUR 4,000 5,547,927 Progress Energy, Inc. 5.625%, 01/15/16............................. 2,000 2,198,458 Prudential Financial, Inc. 3.875%, 01/14/15............................. 1,000 1,037,274 6.200%, 01/15/15............................. 2,448 2,604,883 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 4,000 4,325,932 Qwest Corp. 7.500%, 10/01/14............................. 2,300 2,430,401 Reynolds American, Inc. 1.050%, 10/30/15............................. 4,000 4,006,504 Safeway, Inc. 5.625%, 08/15/14............................. 4,500 4,626,990 Sempra Energy 2.000%, 03/15/14............................. 416 418,176 Sherwin-Williams Co. (The) 3.125%, 12/15/14............................. 1,048 1,077,526 Southern Power Co. 4.875%, 07/15/15............................. 3,660 3,904,235 Spectra Energy Capital LLC 5.500%, 03/01/14............................. 1,500 1,522,094 5.668%, 08/15/14............................. 955 991,163 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 4,000 4,242,620 Target Corp. 5.875%, 07/15/16............................. 325 369,446 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 2,350 2,438,064 Textron, Inc. 6.200%, 03/15/15............................. 1,500 1,602,257 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 2,250 2,320,697 2.250%, 08/15/16............................. 2,953 3,019,587 Time Warner Cable, Inc. 3.500%, 02/01/15............................. 4,000 4,114,304 Toyota Motor Credit Corp. 1.000%, 02/17/15............................. 3,000 3,024,282 0.875%, 07/17/15............................. 2,000 2,014,134 Union Bank NA 2.125%, 12/16/13............................. 1,400 1,403,023 3.000%, 06/06/16............................. 1,000 1,053,850
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) UnitedHealth Group, Inc. 5.000%, 08/15/14............................. $ 1,170 $ 1,212,522 Valero Energy Corp. 4.750%, 04/01/14............................. 1,125 1,144,494 4.500%, 02/01/15............................. 900 940,535 Verizon Communications, Inc. 0.700%, 11/02/15............................. 3,000 2,990,118 5.550%, 02/15/16............................. 2,400 2,637,326 Viacom, Inc. 4.375%, 09/15/14............................. 1,229 1,268,054 Walgreen Co. 1.000%, 03/13/15............................. 3,720 3,734,162 Walt Disney Co. (The) 0.875%, 12/01/14............................. 1,500 1,509,917 WellPoint, Inc. 5.000%, 12/15/14............................. 2,500 2,619,695 5.250%, 01/15/16............................. 3,000 3,271,287 Wells Fargo & Co. 3.750%, 10/01/14............................. 2,300 2,369,591 1.250%, 02/13/15............................. 1,000 1,008,132 1.500%, 07/01/15............................. 2,500 2,534,633 Williams Partners L.P. 3.800%, 02/15/15............................. 2,300 2,383,414 Xerox Corp. 4.250%, 02/15/15............................. 3,500 3,645,974 Yum! Brands, Inc. 4.250%, 09/15/15............................. 2,485 2,636,985 Zimmer Holdings, Inc. 1.400%, 11/30/14............................. 1,000 1,005,338 ------------ TOTAL UNITED STATES................................ 357,867,884 ------------ TOTAL BONDS........................................ 565,911,895 ------------ AGENCY OBLIGATIONS -- (15.7%) Federal Home Loan Bank 0.375%, 06/24/16............................. 15,000 14,977,785 Federal Home Loan Mortgage Corporation 5.250%, 04/18/16............................. 30,000 33,478,110 Federal National Mortgage Association 0.500%, 03/30/16............................. 72,000 72,011,016 ------------ TOTAL AGENCY OBLIGATIONS........................... 120,466,911 ------------ U.S. TREASURY OBLIGATIONS -- (10.6%) U.S. Treasury Notes ++^^ 0.375%, 11/15/15............................. 53,000 53,049,714 1.000%, 10/31/16............................. 28,000 28,330,316 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................... 81,380,030 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $764,976,576)................................ $767,758,836 ============
182 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 25,271,053 -- $ 25,271,053 Canada................................. -- 46,695,870 -- 46,695,870 France................................. -- 11,086,541 -- 11,086,541 Germany................................ -- 2,846,573 -- 2,846,573 Japan.................................. -- 11,974,173 -- 11,974,173 Netherlands............................ -- 38,802,385 -- 38,802,385 Supranational Organization Obligations. -- 11,752,995 -- 11,752,995 Sweden................................. -- 29,219,924 -- 29,219,924 Switzerland............................ -- 2,503,380 -- 2,503,380 United Kingdom......................... -- 27,891,117 -- 27,891,117 United States.......................... -- 357,867,884 -- 357,867,884 Agency Obligations....................... -- 120,466,911 -- 120,466,911 U.S. Treasury Obligations................ -- 81,380,030 -- 81,380,030 Swap Agreements**........................ -- (5,585,539) -- (5,585,539) Futures Contracts**...................... $(567,936) -- -- (567,936) Forward Currency Contracts**............. -- (785,037) -- (785,037) --------- ------------ -- ------------ TOTAL.................................... $(567,936) $761,388,260 -- $760,820,324 ========= ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 183 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments at Value................................................................... $ 767,759 Temporary Cash......................................................................... 10,380 Segregated Cash for Swap Contracts..................................................... 1,665 Cash................................................................................... 6,395 Receivables: Interest............................................................................. 5,481 Fund Shares Sold..................................................................... 1,649 Unrealized Gain on Swap Contracts...................................................... 7,681 Unrealized Gain on Forward Currency Contracts.......................................... 171 Prepaid Expenses and Other Assets...................................................... 36 ------------ Total Assets...................................................................... 801,217 ------------ LIABILITIES: Payables: Due to Custodian..................................................................... 3 Fund Shares Redeemed................................................................. 279 Due to Advisor....................................................................... 198 Futures Margin Variation............................................................. 109 Unrealized Loss on Swap Contracts...................................................... 13,267 Unrealized Loss on Forward Currency Contracts.......................................... 956 Accrued Expenses and Other Liabilities................................................. 91 ------------ Total Liabilities................................................................. 14,903 ------------ NET ASSETS............................................................................. $ 786,314 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 94,697,328 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.30 ============ Investments at Cost.................................................................... $ 764,977 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 788,190 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 1,500 Accumulated Net Realized Gain (Loss)................................................... 770 Net Unrealized Foreign Exchange Gain (Loss)............................................ (774) Net Unrealized Appreciation (Depreciation)............................................. (3,372) ------------ NET ASSETS............................................................................. $ 786,314 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000 ============
See accompanying Notes to Financial Statements. 184 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Interest........................................................................................ $ 6,268 -------- Total Investment Income...................................................................... 6,268 -------- EXPENSES Investment Advisory Services Fees............................................................... 2,227 Accounting & Transfer Agent Fees................................................................ 58 Custodian Fees.................................................................................. 25 Filing Fees..................................................................................... 87 Shareholders' Reports........................................................................... 41 Directors'/Trustees' Fees & Expenses............................................................ 6 Professional Fees............................................................................... 49 Other........................................................................................... 16 -------- Total Expenses............................................................................... 2,509 -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (345) Fees Paid Indirectly............................................................................ (24) -------- Net Expenses.................................................................................... 2,140 -------- NET INVESTMENT INCOME (LOSS).................................................................... 4,128 -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................................................... 952 Futures....................................................................................... (1,683) Swap Contracts................................................................................ (68,369) Foreign Currency Transactions................................................................. (1,229) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................................... 75 Futures....................................................................................... (717) Swap Contracts................................................................................ (6,861) Translation of Foreign Currency Denominated Amounts........................................... 715 -------- NET REALIZED AND UNREALIZED GAIN (LOSS)......................................................... (77,117) -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................... $(72,989) ========
See accompanying Notes to Financial Statements. 185 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......................................................... $ 4,128 $ 2,616 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 952 1,207 Futures............................................................................ (1,683) (2,170) Swap Contracts..................................................................... (68,369) (17,151) Foreign Currency Transactions...................................................... (1,229) 1,374 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... 75 1,848 Futures............................................................................ (717) 112 Swap Contracts..................................................................... (6,861) 3,344 Translation of Foreign Currency Denominated Amounts................................ 715 (1,489) --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (72,989) (10,309) --------- --------- Distributions From: Net Investment Income: Institutional Class Shares......................................................... (2,493) (2,038) Net Short-Term Gains: Institutional Class Shares......................................................... (472) (151) Net Long-Term Gains: Institutional Class Shares......................................................... (472) -- --------- --------- Total Distributions............................................................... (3,437) (2,189) --------- --------- Capital Share Transactions (1): Shares Issued........................................................................ 552,864 371,713 Shares Issued in Lieu of Cash Distributions.......................................... 3,267 2,084 Shares Redeemed...................................................................... (151,470) (134,001) --------- --------- Net Increase (Decrease) from Capital Share Transactions........................... 404,661 239,796 --------- --------- Total Increase (Decrease) in Net Assets........................................... 328,235 227,298 NET ASSETS Beginning of Year.................................................................... 458,079 230,781 --------- --------- End of Year.......................................................................... $ 786,314 $ 458,079 ========= ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued........................................................................ 63,019 39,879 Shares Issued in Lieu of Cash Distributions.......................................... 366 232 Shares Redeemed...................................................................... (17,417) (14,994) --------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 45,968 25,117 ========= ========= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 1,500 $ 1,816
See accompanying Notes to Financial Statements. 186 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period..................................................................... $ 9.40 $ 9.77 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....................................................................... 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)............................................. (1.10) (0.37) -------- -------- Total from Investment Operations...................................................................... (1.04) (0.30) -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................................................................................. (0.04) (0.06) Net Realized Gains..................................................................................... (0.02) (0.01) -------- -------- Total Distributions................................................................................... (0.06) (0.07) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................................... $ 8.30 $ 9.40 ========================================================================================================= ======== ======== Total Return............................................................................................. (11.15)% (3.08)% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................................................................... $786,314 $458,079 Ratio of Expenses to Average Net Assets.................................................................. 0.34% 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)........................................................ 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets..................................................... 0.66% 0.79% Portfolio Turnover Rate.................................................................................. 64% 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)%(D) ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................................................................... $230,781 Ratio of Expenses to Average Net Assets.................................................................. 0.47%(C)(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%(C)(E) Ratio of Net Investment Income to Average Net Assets..................................................... 0.64%(C)(E) Portfolio Turnover Rate.................................................................................. 50%(D) ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 187 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, 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-six 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 generally categorized 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. 188 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 year ended October 31, 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 October 31, 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 and foreign currency 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 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. 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. 189 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 October 31, 2013, the Portfolio held $140,511,030 in the Subsidiary, representing 17.54% of the Portfolio's total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses of the Portfolio and its wholly-owned Subsidiary. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolio. For the year ended October 31, 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 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 October 31, 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 year ended October 31, 2013, approximately $345 (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 year ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- DFA Commodity Strategy Portfolio. $24
190 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2013, the total related amounts paid by the Fund to the CCO were $250 (amount in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. E. DEFERRED COMPENSATION: At October 31, 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 (amount in thousands): DFA Commodity Strategy Portfolio. $5
F. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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. $264,251 $162,427 $455,344 $222,937
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 or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, 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, reversal of bank income/loss from controlled foreign corporation 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. $(69,244) $(1,951) $71,195
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ------ DFA Commodity Strategy Portfolio 2012............................. $2,410 $ 37 $2,447 2013............................. 2,965 472 3,437
191 At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS SHORT-TERM LONG-TERM APPRECIATION (ACCUMULATED CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES) -------------- ------------- -------------- ------------- DFA Commodity Strategy Portfolio. $1,150 $451 $(3,362) $(1,761)
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, 2013, the Portfolio did not have any capital loss carryforwards. At October 31, 2013, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------- ------------ ------------ -------------- DFA Commodity Strategy Portfolio. $764,977 $3,782 $(1,000) $2,782
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 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 Portfolio may be inhibited. 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. 192 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 October 31, 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 OCTOBER 31, EXCHANGE DATE AMOUNT** CURRENCY AMOUNT 2013 GAIN (LOSS) ---------- -------- ------------------ -------- ----------- ----------- 11/19/13 (7,176) Canadian Dollar $ (6,965) $ (6,879) $ 86 11/18/13 5,416 Euro 7,409 7,353 (56) 11/18/13 (33,550) Euro (44,654) (45,554) (900) 11/18/13 (14,349) New Zealand Dollar (11,926) (11,841) 85 -------- -------- ----- $(56,136) $(56,921) $(785) ======== ======== =====
* During the year ended October 31, 2013, the Portfolio's average contract amount of forward currency contracts was $109,168 (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. A swap agreement may be negotiated bilaterally and traded over-the-counter between the two parties (for an uncleared swap) or, in some instances, must be transacted through an futures commission merchant ("FCM") and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). Swap agreements are 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 193 factor. In an uncleared swap, the swap counterparty is typically a brokerage firm, bank or other financial institution. In a cleared swap, the Portfolio's ultimate counterparty is a central clearinghouse rather than a brokerage firm, bank or other financial institution. An investment in a commodity swap agreement 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 uncleared swaps are two-party contracts and may have terms of greater than seven days, these swap agreements may be considered to be illiquid. In addition, because uncleared swaps are not traded on exchanges, 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 or receive. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to uncleared swaps because central clearing interposes the central clearinghouse as the counterparty to each participant's swap, but it does not eliminate those risks completely. Among other risks, there is a risk of loss by the Portfolio of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Portfolio has an open position in a swap contract. 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. Payments, known as "variation margin," to and from the broker, will be made daily as the currency, financial instrument or index underlying the futures contract fluctuates, making the long and short positions in the futures 194 contract more or less valuable, a process known as "marking-to-market." As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses. At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio's existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price potentially subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio's performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio's investments in the contracts to greater volatility than investments in traditional securities. 6. Options on Futures Contracts: The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer's futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change would be reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. At October 31, 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. 02/13/14 12 $1,292 $ -- CBT Corn Futures........ 03/14/14 48 1,054 (11) CBT Soybean Futures..... 01/14/14 29 1,836 (31)
195
EXPIRATION NUMBER OF CONTRACT UNREALIZED DESCRIPTION DATE CONTRACTS* AMOUNT GAIN (LOSS) ----------- ---------- ---------- -------- ----------- CBT Wheat Futures............. 03/14/14 21 $ 713 $ (11) Coffee 'C' Futures............ 03/19/14 10 407 (6) Copper Futures................ 03/27/14 18 1,489 (7) Cotton No.2 Futures........... 03/07/14 11 436 (4) Gasoline RBOB Futures......... 12/31/13 7 762 (5) Gold 100 oz Futures........... 02/26/14 15 1,987 (41) KCB Wheat Futures............. 03/14/14 21 779 (11) LME Nickel Futures............ 01/13/14 5 438 2 LME Prime Aluminum Futures.... 01/13/14 22 1,019 (4) LME Zinc Futures.............. 01/13/14 12 585 1 Lean Hogs Futures............. 02/14/14 13 479 (11) Light Sweet Crude Oil Futures. 12/19/13 27 2,609 (102) Live Cattle Futures........... 02/28/14 14 752 (4) Natural Gas Futures........... 12/27/13 92 3,369 (248) NY Harbor ULSD Futures........ 12/31/13 6 745 (6) Silver Futures................ 03/27/14 6 658 (30) Soybean Meal Futures.......... 01/14/14 15 595 (13) Soybean Oil Futures........... 01/14/14 21 525 1 Sugar #11 Futures............. 02/28/14 42 862 (27) ------- ----- $23,391 $(568) ======= =====
The Subsidiary's securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2013 the Subsidiary's average notional contract amount of outstanding futures contracts was $22,232 (in thousands). At October 31, 2013, the Subsidiary had the following outstanding commodity total return swaps (dollar amounts in thousands):
UNREALIZED COMMODITY EXPIRATION NOTIONAL APPRECIATION COUNTERPARTY EXPOSURE DATE AMOUNT* (DEPRECIATION) ------------ ------------- ---------- --------- -------------- Citibank, N.A................... Index** 12/31/2013 USD $(243,297) $(2,417) Citibank, N.A................... Natural Gas 01/31/2014 USD 64,518 4,079 Citibank, N.A................... Natural Gas 04/30/2014 USD (63,429) (3,452) Credit Suisse................... Index** 11/22/2013 USD (48,661) (485) Credit Suisse................... Index** 11/22/2013 USD (59,241) (590) Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD 18,060 333 Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD 9,713 216 Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD (9,452) (163) Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD (17,577) (237) Deutsche Bank AG, London Branch. Index** 11/22/2013 USD (201,585) (2,010) Deutsche Bank AG, London Branch. WTI Crude Oil 12/18/2013 USD 56,210 3,053 Deutsche Bank AG, London Branch. WTI Crude Oil 03/19/2014 USD (54,698) (1,843) UBS AG.......................... Index** 01/29/2014 USD (215,652) (2,070) --------- ------- $(765,091) $(5,586) ========= =======
* During the year ended October 31, 2013 the Subsidiary's average notional value of outstanding swap contracts was $620,010 (amount in thousands). **Swap is exposed to the 22 commodities in the Dow Jones-UBS Commodity Index. 196 The following is a summary of the location of derivatives on the Portfolio's Statements of Assets and Liabilities as of October 31, 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 The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2013 (amounts in thousands):
ASSET DERIVATIVES VALUE ---------------------- TOTAL VALUE FOREIGN AT EXCHANGE OTHER OCTOBER 31, 2013 CONTRACTS CONTRACTS - ---------------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $7,852 $171 $7,681 LIABILITY DERIVATIVES VALUE -------------------------------- TOTAL VALUE FOREIGN AT COMMODITY EXCHANGE OTHER OCTOBER 31, 2013 CONTRACTS CONTRACTS CONTRACTS - ---------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(14,791) $(568)* $(956) $(13,267)
* 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 for the year ended October 31, 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 Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Other Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts
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 year ended October 31, 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. $(71,257) $(1,683) $(1,205) $(68,369)
197
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------------- FOREIGN COMMODITY EXCHANGE OTHER TOTAL CONTRACTS CONTRACTS CONTRACTS ------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(6,865) $(717) $713 $(6,861)
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. 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. 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 the lines of credit during the year ended October 31, 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. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other 198 requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. OTHER: At October 31, 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. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolio and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 199 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF DFA COMMODITY STRATEGY PORTFOLIO AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of DFA Commodity Strategy Portfolio and its subsidiary (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolio") at October 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2013 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 200 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) APRIL 30, 2008-OCTOBER 31, 2013 [CHART] DFA International Value MSCI World ex Portfolio-Class R2 USA Index (net dividends) ----------------------- ------------------------- 4/30/2008 $10,000 $10,000 5/31/2008 10,000 10,152 6/30/2008 9,006 9,362 7/31/2008 8,752 9,029 8/31/2008 8,381 8,680 9/30/2008 7,404 7,427 10/31/2008 5,537 5,882 11/30/2008 5,194 5,563 12/31/2008 5,594 5,856 1/31/2009 4,819 5,310 2/28/2009 4,220 4,772 3/31/2009 4,686 5,087 4/30/2009 5,539 5,743 5/31/2009 6,361 6,469 6/30/2009 6,268 6,402 7/31/2009 7,007 7,003 8/31/2009 7,404 7,339 9/30/2009 7,789 7,641 10/31/2009 7,467 7,519 11/30/2009 7,685 7,705 12/31/2009 7,769 7,828 1/31/2010 7,316 7,461 2/28/2010 7,340 7,453 3/31/2010 7,920 7,933 4/30/2010 7,781 7,815 5/31/2010 6,874 6,952 6/30/2010 6,751 6,852 7/31/2010 7,584 7,485 8/31/2010 7,209 7,261 9/30/2010 7,990 7,958 10/31/2010 8,259 8,241 11/30/2010 7,836 7,892 12/31/2010 8,567 8,528 1/31/2011 8,931 8,712 2/28/2011 9,224 9,035 3/31/2011 8,966 8,854 4/30/2011 9,443 9,336 5/31/2011 9,097 9,059 6/30/2011 8,968 8,930 7/31/2011 8,679 8,783 8/31/2011 7,744 8,040 9/30/2011 6,896 7,233 10/31/2011 7,555 7,936 11/30/2011 7,306 7,569 12/31/2011 7,106 7,487 1/31/2012 7,579 7,891 2/29/2012 7,974 8,325 3/31/2012 7,907 8,263 4/30/2012 7,622 8,123 5/31/2012 6,676 7,197 6/30/2012 7,146 7,669 7/31/2012 7,112 7,764 8/31/2012 7,407 7,986 9/30/2012 7,665 8,228 10/31/2012 7,759 8,286 11/30/2012 7,877 8,460 12/31/2012 8,263 8,716 1/31/2013 8,646 9,144 2/28/2013 8,382 9,053 3/31/2013 8,408 9,125 4/30/2013 8,817 9,541 5/31/2013 8,707 9,327 6/30/2013 8,400 8,978 7/31/2013 8,968 9,455 Past performance is not predictive of 8/31/2013 8,902 9,333 future performance. 9/30/2013 9,570 9,993 10/31/2013 9,901 10,328 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 04/30/2008 ----------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.61% 12.33% -0.18% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] DFA International Value MSCI World ex USA Portfolio-Institutional Class Index (net dividends) ----------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,209 10,227 12/31/2003 10,972 11,011 1/31/2004 11,250 11,164 2/29/2004 11,587 11,421 3/31/2004 11,767 11,478 4/30/2004 11,413 11,178 5/31/2004 11,523 11,230 6/30/2004 11,999 11,489 7/31/2004 11,557 11,139 8/31/2004 11,701 11,185 9/30/2004 12,075 11,511 10/31/2004 12,537 11,925 11/30/2004 13,462 12,718 12/31/2004 14,132 13,255 1/31/2005 13,985 12,994 2/28/2005 14,537 13,572 3/31/2005 14,174 13,264 4/30/2005 13,742 12,926 5/31/2005 13,759 12,950 6/30/2005 13,976 13,161 7/31/2005 14,597 13,586 8/31/2005 15,079 13,961 9/30/2005 15,500 14,599 10/31/2005 15,262 14,127 11/30/2005 15,535 14,501 12/31/2005 16,290 15,173 1/31/2006 17,400 16,133 2/28/2006 17,562 16,079 3/31/2006 18,302 16,589 4/30/2006 19,223 17,382 5/31/2006 18,447 16,722 6/30/2006 18,320 16,700 7/31/2006 18,604 16,857 8/31/2006 19,236 17,336 9/30/2006 19,505 17,322 10/31/2006 20,366 18,006 11/30/2006 21,033 18,543 12/31/2006 21,852 19,074 1/31/2007 22,258 19,191 2/28/2007 22,239 19,344 3/31/2007 22,952 19,840 4/30/2007 24,105 20,742 5/31/2007 24,928 21,203 6/30/2007 24,746 21,224 7/31/2007 24,054 20,931 8/31/2007 23,776 20,628 9/30/2007 25,013 21,800 10/31/2007 26,220 22,748 11/30/2007 24,627 21,858 12/31/2007 24,090 21,447 1/31/2008 22,139 19,513 2/29/2008 21,852 19,867 3/31/2008 22,115 19,583 4/30/2008 23,096 20,672 5/31/2008 23,106 20,986 6/30/2008 20,812 19,354 7/31/2008 20,223 18,665 8/31/2008 19,370 17,943 9/30/2008 17,109 15,353 10/31/2008 12,817 12,159 11/30/2008 12,030 11,500 12/31/2008 12,929 12,106 1/31/2009 11,148 10,976 2/28/2009 9,779 9,865 3/31/2009 10,841 10,515 4/30/2009 12,832 11,871 5/31/2009 14,740 13,373 6/30/2009 14,519 13,234 7/31/2009 16,237 14,477 8/31/2009 17,159 15,170 9/30/2009 18,042 15,796 10/31/2009 17,316 15,543 11/30/2009 17,821 15,927 12/31/2009 18,030 16,181 1/31/2010 16,983 15,423 2/28/2010 17,036 15,407 3/31/2010 18,394 16,399 4/30/2010 18,076 16,155 5/31/2010 15,949 14,372 6/30/2010 15,672 14,164 7/31/2010 17,627 15,473 8/31/2010 16,757 15,011 9/30/2010 18,552 16,451 10/31/2010 19,209 17,037 11/30/2010 18,228 16,315 12/31/2010 19,936 17,629 1/31/2011 20,782 18,009 2/28/2011 21,465 18,676 3/31/2011 20,873 18,302 4/30/2011 21,983 19,299 5/31/2011 21,189 18,727 6/30/2011 20,893 18,460 7/31/2011 20,218 18,156 8/31/2011 18,050 16,621 9/30/2011 16,075 14,952 10/31/2011 17,600 16,406 11/30/2011 17,032 15,648 12/31/2011 16,577 15,477 1/31/2012 17,690 16,312 2/29/2012 18,601 17,209 3/31/2012 18,456 17,082 4/30/2012 17,791 16,792 5/31/2012 15,594 14,878 6/30/2012 16,692 15,852 7/31/2012 16,623 16,050 8/31/2012 17,301 16,508 9/30/2012 17,916 17,009 10/31/2012 18,147 17,128 11/30/2012 18,424 17,488 12/31/2012 19,330 18,017 1/31/2013 20,227 18,903 2/28/2013 19,622 18,715 3/31/2013 19,679 18,863 4/30/2013 20,647 19,722 5/31/2013 20,391 19,281 6/30/2013 19,672 18,558 7/31/2013 21,015 19,546 Past performance is not predictive of 8/31/2013 20,860 19,294 future performance. 9/30/2013 22,434 20,657 10/31/2013 23,209 21,350 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.90% 12.61% 8.78% rights reserved.
-------------------------------------------------------------------------------- 201 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Large Company Portfolio S&P 500/R/Index ---------------------------- --------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,084 10,088 12/31/2003 10,603 10,617 1/31/2004 10,798 10,811 2/29/2004 10,944 10,962 3/31/2004 10,786 10,796 4/30/2004 10,615 10,627 5/31/2004 10,761 10,773 6/30/2004 10,972 10,982 7/31/2004 10,605 10,619 8/31/2004 10,641 10,661 9/30/2004 10,758 10,777 10/31/2004 10,918 10,941 11/30/2004 11,361 11,384 12/31/2004 11,745 11,772 1/31/2005 11,460 11,485 2/28/2005 11,708 11,726 3/31/2005 11,497 11,519 4/30/2005 11,285 11,300 5/31/2005 11,634 11,660 6/30/2005 11,655 11,676 7/31/2005 12,092 12,111 8/31/2005 11,979 12,000 9/30/2005 12,076 12,097 10/31/2005 11,875 11,896 11/30/2005 12,327 12,346 12/31/2005 12,330 12,350 1/31/2006 12,658 12,677 2/28/2006 12,683 12,711 3/31/2006 12,843 12,870 4/30/2006 13,020 13,042 5/31/2006 12,640 12,667 6/30/2006 12,665 12,684 7/31/2006 12,742 12,763 8/31/2006 13,047 13,066 9/30/2006 13,376 13,403 10/31/2006 13,811 13,840 11/30/2006 14,066 14,103 12/31/2006 14,268 14,301 1/31/2007 14,487 14,517 2/28/2007 14,204 14,233 3/31/2007 14,354 14,392 4/30/2007 14,999 15,030 5/31/2007 15,516 15,554 6/30/2007 15,265 15,296 7/31/2007 14,785 14,822 8/31/2007 15,006 15,044 9/30/2007 15,568 15,607 10/31/2007 15,816 15,855 11/30/2007 15,151 15,192 12/31/2007 15,056 15,086 1/31/2008 14,151 14,181 2/29/2008 13,692 13,721 3/31/2008 13,640 13,661 4/30/2008 14,299 14,327 5/31/2008 14,483 14,513 6/30/2008 13,268 13,289 7/31/2008 13,162 13,178 8/31/2008 13,347 13,368 9/30/2008 12,172 12,177 10/31/2008 10,137 10,132 11/30/2008 9,418 9,405 12/31/2008 9,521 9,505 1/31/2009 8,728 8,704 2/28/2009 7,800 7,777 3/31/2009 8,484 8,458 4/30/2009 9,296 9,268 5/31/2009 9,824 9,786 6/30/2009 9,836 9,805 7/31/2009 10,584 10,547 8/31/2009 10,965 10,928 9/30/2009 11,376 11,336 10/31/2009 11,157 11,125 11/30/2009 11,827 11,792 12/31/2009 12,056 12,020 1/31/2010 11,629 11,588 2/28/2010 11,987 11,947 3/31/2010 12,713 12,668 4/30/2010 12,907 12,868 5/31/2010 11,871 11,840 6/30/2010 11,251 11,220 7/31/2010 12,039 12,007 8/31/2010 11,500 11,464 9/30/2010 12,522 12,488 10/31/2010 12,995 12,963 11/30/2010 12,995 12,964 12/31/2010 13,864 13,831 1/31/2011 14,200 14,159 2/28/2011 14,676 14,644 3/31/2011 14,693 14,650 4/30/2011 15,115 15,084 5/31/2011 14,946 14,913 6/30/2011 14,693 14,664 7/31/2011 14,396 14,366 8/31/2011 13,620 13,586 9/30/2011 12,656 12,631 10/31/2011 14,046 14,011 11/30/2011 14,003 13,980 12/31/2011 14,155 14,123 1/31/2012 14,784 14,756 2/29/2012 15,414 15,394 3/31/2012 15,930 15,901 4/30/2012 15,829 15,801 5/31/2012 14,869 14,851 6/30/2012 15,483 15,463 7/31/2012 15,700 15,678 8/31/2012 16,046 16,031 9/30/2012 16,460 16,445 10/31/2012 16,156 16,142 11/30/2012 16,257 16,235 12/31/2012 16,395 16,383 1/31/2013 17,242 17,232 2/28/2013 17,476 17,466 3/31/2013 18,133 18,121 4/30/2013 18,485 18,470 5/31/2013 18,910 18,902 6/30/2013 18,663 18,648 7/31/2013 19,606 19,597 8/31/2013 19,031 19,030 Past performance is not predictive of 9/30/2013 19,631 19,626 future performance. 10/31/2013 20,534 20,529 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------- The S&P data are provided by Standard 27.10% 15.16% 7.46% & Poor's Index Services Group.
-------------------------------------------------------------------------------- 202 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity markets with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large caps while value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. Gains in emerging markets were lower on average than in developed markets although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2013, returns in US dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets. 203
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. MASTER-FEEDER STRUCTURE Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW DFA INTERNATIONAL VALUE PORTFOLIO The DFA International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of The DFA International Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 520 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ending October 31, 2013, total returns were 27.61% for the Portfolio's Class R2 shares, 27.90% for the Portfolio's Institutional Class shares, and 24.65% for the MSCI World ex USA Index (net dividends). The Master Fund focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. As large cap value stocks generally outperformed large cap growth stocks during the period, the Master Fund's significantly greater exposure than the Index to these securities contributed to the Portfolio's outperformance relative to the Index. In particular, the Master Fund's greater exposure to value stocks in the financial sector was beneficial as these names generally outperformed the Index. The Master Fund's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's performance relative to the Index as REITs underperformed during the period. Differences in the valuation timing and methodology between the Master Fund and the Index generally detracted from the Portfolio's performance relative to the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers. 204
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value, small cap, and/or micro cap companies relative to widely used benchmarks. U.S. LARGE COMPANY PORTFOLIO The U.S. Large Company Portfolio seeks to approximate the returns of the S&P 500(R) Index by investing in S&P 500(R) Index securities in approximately the same proportions as they are represented in the Index. In addition to individual stocks, the Portfolio uses futures to gain market exposure for uninvested cash. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, the total return was 27.10% for the Portfolio and 27.18% for the S&P 500(R) Index. The Portfolio's return is net of fees and expenses. The impact of fees and expenses was primarily responsible for the performance difference. 205 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- DFA INTERNATIONAL VALUE PORTFOLIO** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $1,123.00 0.67% $3.59 Institutional Class Shares......... $1,000.00 $1,124.10 0.43% $2.30 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.83 0.67% $3.41 Institutional Class Shares......... $1,000.00 $1,023.04 0.43% $2.19
206 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE COMPANY PORTFOLIO ---------------------------- Actual Fund Return............ $1,000.00 $1,110.90 0.09% $0.48 Hypothetical 5% Annual Return. $1,000.00 $1,024.75 0.09% $0.46
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. **The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 207 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 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 Affiliated Investment Company'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....................... 12.5% Consumer Staples............................. 10.2% Energy....................................... 10.5% Financials................................... 14.1% Health Care.................................. 13.0% Industrials.................................. 10.8% Information Technology....................... 17.8% Materials.................................... 3.5% Real Estate Investment Trusts................ 2.0% Telecommunication Services................... 2.5% Utilities.................................... 3.1% ----- 100.0%
208 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company..................... $6,528,252,884 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,271,384,583)............................. $6,528,252,884 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 209 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (95.8%) Consumer Discretionary -- (12.0%) * Amazon.com, Inc.................... 114,712 $ 41,758,609 0.9% Comcast Corp. Class A.............. 810,716 38,573,867 0.8% Home Depot, Inc. (The)............. 444,014 34,584,250 0.7% McDonald's Corp.................... 309,860 29,907,687 0.6% Walt Disney Co. (The).............. 514,981 35,322,547 0.7% Other Securities................... 424,800,285 8.6% ------------ ------ Total Consumer Discretionary........... 604,947,245 12.3% ------------ ------ Consumer Staples -- (9.8%) Altria Group, Inc.................. 621,306 23,131,222 0.5% Coca-Cola Co. (The)................ 1,181,763 46,762,362 0.9% CVS Caremark Corp.................. 380,757 23,705,931 0.5% PepsiCo, Inc....................... 478,040 40,198,384 0.8% Philip Morris International, Inc... 501,701 44,711,593 0.9% Procter & Gamble Co. (The)......... 848,933 68,551,340 1.4% Wal-Mart Stores, Inc............... 504,546 38,723,905 0.8% Other Securities................... 208,289,380 4.2% ------------ ------ Total Consumer Staples................. 494,074,117 10.0% ------------ ------ Energy -- (10.1%) Chevron Corp....................... 598,869 71,840,325 1.5% ConocoPhillips..................... 379,095 27,787,664 0.6% Exxon Mobil Corp................... 1,364,373 122,275,108 2.5% Occidental Petroleum Corp.......... 249,762 23,997,133 0.5% Schlumberger, Ltd.................. 410,147 38,438,977 0.8% Other Securities................... 225,470,233 4.5% ------------ ------ Total Energy........................... 509,809,440 10.4% ------------ ------ Financials -- (13.5%) American Express Co................ 287,597 23,525,435 0.5% American International Group, Inc.. 457,622 23,636,176 0.5% Bank of America Corp............... 3,330,044 46,487,414 0.9% * Berkshire Hathaway, Inc. Class B... 557,922 64,205,664 1.3% Citigroup, Inc..................... 942,626 45,981,296 0.9% JPMorgan Chase & Co................ 1,166,787 60,136,202 1.2% Wells Fargo & Co................... 1,497,743 63,938,649 1.3% Other Securities................... 355,099,998 7.3% ------------ ------ Total Financials....................... 683,010,834 13.9% ------------ ------ Health Care -- (12.5%) AbbVie, Inc........................ 491,435 23,810,026 0.5% Amgen, Inc......................... 233,518 27,088,088 0.6% Bristol-Myers Squibb Co............ 510,311 26,801,534 0.5% #* Gilead Sciences, Inc............... 474,448 33,681,064 0.7% Johnson & Johnson.................. 873,518 80,896,502 1.6% Merck & Co., Inc................... 907,088 40,900,598 0.8% Pfizer, Inc........................ 2,052,092 62,958,183 1.3% UnitedHealth Group, Inc............ 315,146 21,511,866 0.4% Other Securities................... 312,439,051 6.4% ------------ ------ Total Health Care...................... 630,086,912 12.8% ------------ ------
210 U.S. LARGE COMPANY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (10.3%) 3M Co.............................................. 201,262 $ 25,328,823 0.5% Boeing Co. (The)................................... 215,146 28,076,553 0.6% General Electric Co................................ 3,156,664 82,515,197 1.7% Union Pacific Corp................................. 143,778 21,767,989 0.4% United Parcel Service, Inc. Class B................ 223,945 22,000,357 0.4% United Technologies Corp........................... 261,648 27,800,100 0.6% Other Securities................................... 314,852,424 6.4% -------------- ------ Total Industrials........................................ 522,341,443 10.6% -------------- ------ Information Technology -- (17.0%) ^^ Apple, Inc......................................... 281,607 147,097,416 3.0% Cisco Systems, Inc................................. 1,661,918 37,393,155 0.7% * Google, Inc. Class A............................... 86,710 89,361,592 1.8% Intel Corp......................................... 1,544,269 37,726,492 0.8% International Business Machines Corp............... 319,176 57,199,531 1.2% Mastercard, Inc. Class A........................... 32,155 23,058,350 0.5% Microsoft Corp..................................... 2,349,651 83,060,163 1.7% Oracle Corp........................................ 1,105,266 37,026,411 0.7% QUALCOMM, Inc...................................... 531,730 36,939,283 0.7% Visa, Inc. Class A................................. 160,005 31,468,183 0.6% Other Securities................................... 280,366,312 5.8% -------------- ------ Total Information Technology............................. 860,696,888 17.5% -------------- ------ Materials -- (3.3%) Other Securities................................... 169,897,794 3.5% -------------- ------ Real Estate Investment Trusts -- (1.9%) Other Securities................................... 94,307,577 1.9% -------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 1,646,249 59,594,214 1.2% Verizon Communications, Inc........................ 887,024 44,803,582 0.9% Other Securities................................... 16,150,126 0.3% -------------- ------ Total Telecommunication Services......................... 120,547,922 2.4% -------------- ------ Utilities -- (3.0%) Other Securities................................... 151,721,926 3.1% -------------- ------ TOTAL COMMON STOCKS...................................... 4,841,442,098 98.4% -------------- ------ TEMPORARY CASH INVESTMENTS -- (1.4%) ^^ State Street Institutional Liquid Reserves, 0.073%. 68,839,949 68,839,949 1.4% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (2.8%) (S)@ DFA Short Term Investment Fund..................... 12,245,750 $ 141,683,331 2.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,728,012,931)................................ $5,051,965,378 102.7% ============== ======
211 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 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........ $ 604,947,245 -- -- $ 604,947,245 Consumer Staples.............. 494,074,117 -- -- 494,074,117 Energy........................ 509,809,440 -- -- 509,809,440 Financials.................... 683,010,834 -- -- 683,010,834 Health Care................... 630,086,912 -- -- 630,086,912 Industrials................... 522,341,443 -- -- 522,341,443 Information Technology........ 860,696,888 -- -- 860,696,888 Materials..................... 169,897,794 -- -- 169,897,794 Real Estate Investment Trusts. 94,307,577 -- -- 94,307,577 Telecommunication Services.... 120,547,922 -- -- 120,547,922 Utilities..................... 151,721,926 -- -- 151,721,926 Temporary Cash Investments...... 68,839,949 -- -- 68,839,949 Securities Lending Collateral... -- $141,683,331 -- 141,683,331 Futures Contracts**............. 2,265,842 -- -- 2,265,842 -------------- ------------ -- -------------- TOTAL........................... $4,912,547,889 $141,683,331 -- $5,054,231,220 ============== ============ == ==============
**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. 212 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (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................................ $ 6,528,253 $ -- Investments at Value (including $0 and $138,383 of securities on loan, respectively). $ -- $ 4,841,442 Temporary Cash Investments at Value & Cost........................................... -- 68,840 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............. -- 141,683 Segregated Cash for Futures Contracts................................................ -- 3,440 Receivables: Dividends, Interest and Tax Reclaims............................................... -- 4,961 Securities Lending Income.......................................................... -- 19 Fund Shares Sold................................................................... 5,719 2,753 From Advisor....................................................................... -- 66 Prepaid Expenses and Other Assets.................................................... 78 65 -------------- ------------ Total Assets.................................................................... 6,534,050 5,063,269 -------------- ------------ LIABILITIES: Payables: Due to Custodian................................................................... -- 315 Upon Return of Securities Loaned................................................... -- 141,683 Fund Shares Redeemed............................................................... 4,792 2,790 Due to Advisor..................................................................... 1,092 -- Futures Margin Variation........................................................... -- 405 Accrued Expenses and Other Liabilities............................................... 294 740 -------------- ------------ Total Liabilities............................................................... 6,178 145,933 -------------- ------------ NET ASSETS........................................................................... $ 6,527,872 $ 4,917,336 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $5,517 and $0 and shares outstanding of 283,528 and 0, respectively......................................................... $ 19.46 $ N/A ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $6,522,355 and $4,917,336 and shares outstanding of 335,372,731 and 354,537,647, respectively..................... $ 19.45 $ 13.87 ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost............................... $ 5,271,385 $ -- ============== ============ Investments at Cost.................................................................. $ -- $ 2,517,490 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital...................................................................... $ 5,868,866 $ 2,977,770 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................................................. 14,422 12,679 Accumulated Net Realized Gain (Loss)................................................. (612,632) (399,331) Net Unrealized Foreign Exchange Gain (Loss).......................................... 348 -- Net Unrealized Appreciation (Depreciation)........................................... 1,256,868 2,326,218 -------------- ------------ NET ASSETS........................................................................... $ 6,527,872 $ 4,917,336 ============== ============
See accompanying Notes to Financial Statements. 213 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE VALUE COMPANY PORTFOLIO* PORTFOLIO ------------- ---------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $14,975 and $0, respectively)............... $ 193,378 $ -- Interest................................................................................ 5 -- Income from Securities Lending.......................................................... 9,968 -- Expenses Allocated from Affiliated Investment Company................................... (13,256) -- ---------- ---------- Total Net Investment Income Received from Affiliated Investment Companies............ 190,095 -- ---------- ---------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0 and $55, respectively)................... $ -- $ 99,082 Interest................................................................................ -- 81 Income from Securities Lending.......................................................... -- 334 ---------- ---------- Total Investment Income.............................................................. -- 99,497 ---------- ---------- EXPENSES Investment Advisory Services Fees....................................................... -- 1,120 Administrative Services Fees............................................................ 11,871 2,066 Accounting & Transfer Agent Fees........................................................ 67 348 S&P 500(R) Fees......................................................................... -- 98 Shareholder Servicing Fees -- Class R2 Shares........................................... 18 -- Custodian Fees.......................................................................... -- 54 Filing Fees............................................................................. 92 67 Shareholders' Reports................................................................... 159 122 Directors'/Trustees' Fees & Expenses.................................................... 64 48 Professional Fees....................................................................... 77 445 Other................................................................................... 87 88 ---------- ---------- Total Expenses....................................................................... 12,435 4,456 ---------- ---------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................................................................... -- (229) ---------- ---------- Net Expenses............................................................................ 12,435 4,227 ---------- ---------- NET INVESTMENT INCOME (LOSS)............................................................ 177,660 95,270 ---------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities -- 409 Net Realized Gain (Loss) on: Investment Securities Sold............................................................ 296,792 180,412 Futures............................................................................... (1,213) 8,021 Foreign Currency Transactions**....................................................... (1,636) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................................ 993,902 780,086 Futures............................................................................... 27 2,321 Translation of Foreign Currency Denominated Amounts................................... 396 -- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................................. 1,288,268 971,249 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................... $1,465,928 $1,066,519 ========== ==========
---------- * 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. 214 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY PORTFOLIO PORTFOLIO ------------------------ ---------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 ----------- ----------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................. $ 177,660 $ 186,021 $ 95,270 $ 83,523 Capital Gain Distributions Received from Investment Securities................................................... -- -- 409 543 Net Realized Gain (Loss) on: Investment Securities Sold.................................. 296,792 74,190 180,412 68,937 Futures..................................................... (1,213) -- 8,021 12,993 Foreign Currency Transactions*.............................. (1,636) (951) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 993,902 (96,127) 780,086 393,550 Futures..................................................... 27 -- 2,321 (3,799) Translation of Foreign Currency Denominated Amounts......... 396 (209) -- -- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ 1,465,928 162,924 1,066,519 555,747 ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................................. (218) (205) -- -- Institutional Class Shares.................................. (189,040) (180,761) (94,840) (81,785) ----------- ----------- ---------- ---------- Total Distributions........................................ (189,258) (180,966) (94,840) (81,785) ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................................. 1,466,636 1,339,320 774,924 610,737 Shares Issued in Lieu of Cash Distributions................... 178,512 168,269 82,335 70,255 Shares Redeemed............................................... (1,881,241) (1,295,677) (948,938) (879,631) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.... (236,093) 211,912 (91,679) (198,639) ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets.................... 1,040,577 193,870 880,000 275,323 NET ASSETS Beginning of Year............................................. 5,487,295 5,293,425 4,037,336 3,762,013 ----------- ----------- ---------- ---------- End of Year................................................... $ 6,527,872 $ 5,487,295 $4,917,336 $4,037,336 =========== =========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................. 83,922 89,258 62,326 57,663 Shares Issued in Lieu of Cash Distributions................... 10,436 11,721 6,727 6,768 Shares Redeemed............................................... (107,838) (86,334) (76,529) (82,571) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................................................. (13,480) 14,645 (7,476) (18,140) =========== =========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)...................................... $ 14,422 $ 27,224 $ 12,679 $ 12,249
---------- * Net of foreign capital gain taxes withheld of $2, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 215 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES+ ------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $15.72 $15.83 $17.82 $17.13 $13.58 ------ ------ ------ ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.49 0.51 0.53 0.37 0.42 Net Gains (Losses) on Securities (Realized and Unrealized). 3.77 (0.13) (2.00) 1.29 4.10 ------ ------ ------ ------ ------ Total from Investment Operations.......................... 4.26 0.38 (1.47) 1.66 4.52 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.52) (0.49) (0.52) (0.97) (0.97) ------ ------ ------ ------ ------ Total Distributions....................................... (0.52) (0.49) (0.52) (0.97) (0.97) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $19.46 $15.72 $15.83 $17.82 $17.13 ============================================================= ========= ========= ========= ========= ========= Total Return................................................. 27.61% 2.70% (8.53)% 10.60% 34.86% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $5,517 $6,407 $6,102 $4,952 $3,443 Ratio of Expenses to Average Net Assets (B).................. 0.69% 0.71% 0.71% 0.72% 0.74% Ratio of Net Investment Income to Average Net Assets......... 2.84% 3.33% 2.97% 2.11% 2.96% -----------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.52 0.54 0.58 0.39 0.40 Net Gains (Losses) on Securities (Realized and Unrealized). 3.78 (0.12) (1.99) 1.34 3.92 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 4.30 0.42 (1.41) 1.73 4.32 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.57) (0.53) (0.57) (0.38) (0.40) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.57) (0.53) (0.57) (0.38) (0.40) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 27.90% 2.98% (8.26)% 10.94% 35.11% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $6,522,355 $5,480,888 $5,287,323 $5,157,857 $4,437,846 Ratio of Expenses to Average Net Assets (B).................. 0.43% 0.45% 0.45% 0.45% 0.46% Ratio of Net Investment Income to Average Net Assets......... 3.00% 3.54% 3.26% 2.34% 3.00% --------------------------------------------------------------------------------------------------------------------------
See page 1 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. 216 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO ------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.................................... $ 11.15 $ 9.90 $ 9.34 $ 8.16 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)..................................... 0.27 0.22 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)........... 2.71 1.25 0.56 1.15 ---------- ---------- ---------- ---------- Total from Investment Operations................................... 2.98 1.47 0.75 1.33 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................ (0.26) (0.22) (0.19) (0.15) ---------- ---------- ---------- ---------- Total Distributions................................................ (0.26) (0.22) (0.19) (0.15) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.......................................... $ 13.87 $ 11.15 $ 9.90 $ 9.34 ===================================================================== ========== ========== ========== ========== Total Return.......................................................... 27.10% 15.02% 8.09% 16.47% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................... $4,917,336 $4,037,336 $3,762,013 $3,712,973 Ratio of Expenses to Average Net Assets............................... 0.09% 0.10% 0.10% 0.10%** Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.10% 0.10% 0.10% 0.11%** Ratio of Net Investment Income to Average Net Assets.................. 2.13% 2.10% 1.95% 1.99% Portfolio Turnover Rate............................................... 3% 4% 4% 1%* -------------------------------------------------------------------------------------------------------------------------
--------- YEAR ENDED OCT. 31, 2009 ----------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.................................... $ 7.62 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)..................................... 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.55 -------- Total from Investment Operations................................... 0.73 ----------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................ (0.19) -------- Total Distributions................................................ (0.19) ----------------------------------------------------------------------------------- Net Asset Value, End of Year.......................................... $ 8.16 ===================================================================== ======== Total Return.......................................................... 10.07% ----------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................... $785,689 Ratio of Expenses to Average Net Assets............................... 0.10%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.13%(B) Ratio of Net Investment Income to Average Net Assets.................. 2.53% Portfolio Turnover Rate............................................... N/A -----------------------------------------------------------------------------------
See page 1 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. 217 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Investment Group, Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, two of which, DFA International Value Portfolio and U.S. Large Company Portfolio (the "Portfolios"), are presented in this section of the report. The remaining operational portfolios are presented in separate reports. DFA International Value Portfolio (the "Feeder Fund") primarily invests its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At October 31, 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 Feeder Fund. 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
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. 218 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. 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. This valuation is 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, 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 219 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 year ended October 31, 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 October 31, 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 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. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. Class 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 year ended October 31, 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%
* The administrative services fee has been adjusted to reflect the actual fee paid by the Portfolio for the year ended October 31, 2013 as a result of a decrease in the administrative services fee from 0.05% to 0.035% effective August 1, 2013. 220 For the year ended October 31, 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 Agreements for the DFA International Value Portfolio and the U.S. Large Company Portfolio will remain in effect through February 28, 2014 and February 28, 2015, respectively, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 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/ OF PREVIOUSLY EXPENSES WAIVED FEES/ ASSUMED EXPENSE EXPENSES SUBJECT TO FUTURE LIMITATION AMOUNT ASSUMED RECOVERY ----------------- ------------- ----------------- DFA International Value Portfolio -- Class R2 Shares (1). 0.79% -- -- U.S. Large Company Portfolio (2)......................... 0.08% $123 $519
(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) Effective August 1, 2013, 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") of the Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed the rate listed above as a percentage of the Portfolio's average net assets (the "Expense Limitation Amount"). At any time that the annualized 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 the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount, as listed above. Prior to August 1, 2013, the Advisor 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") of the Portfolio so that such Portfolio Expenses did not exceed 0.10% of the Portfolio's average net assets on an annualized basis (the "Previous Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio were less than the Previous Expense Limitation Amount, 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 Previous Expense Limitation Amount. 221 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2013, the total related amounts paid by the Fund to the CCO were $30 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 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. $180 U.S. Large Company Portfolio...... 240
E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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. $133,472 $289,064
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 losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, primarily attributable to net foreign currency gains/losses, foreign capital gains tax reclass 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) UNDISTRIBUTED ACCUMULATED NET INVESTMENT NET REALIZED INCOME GAINS (LOSSES) -------------- -------------- DFA International Value Portfolio. $(1,204) $1,204 U.S. Large Company Portfolio...... -- --
222 The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM CAPITAL GAINS TOTAL -------------- -------- DFA International Value Portfolio 2012.............................. $180,966 $180,966 2013.............................. 189,258 189,258 U.S. Large Company Portfolio 2012.............................. 81,785 81,785 2013.............................. 94,840 94,840
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND CAPITAL OTHER UNREALIZED EARNINGS SHORT-TERM LOSS TEMPORARY APPRECIATION (ACCUMULATED CAPITAL GAINS CARRYFOWARD DIFFERENCES (DEPRECIATION) LOSSES) -------------- ----------- ----------- -------------- ------------- DFA International Value Portfolio. $19,332 $(611,811) -- $1,251,780 $ 659,301 U.S. Large Company Portfolio...... 12,923 (180,406) $46,568 2,060,725 1,939,810
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, 2013, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31, ------------------------ 2016 2017 2018 TOTAL -------- ------- ------- -------- DFA International Value Portfolio. $611,811 -- -- $611,811 U.S. Large Company Portfolio...... 55,911 $80,822 $43,673 180,406
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands): DFA International Value Portfolio. $295,092 U.S. Large Company Portfolio...... 166,609
At October 31, 2013, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) ---------- ------------ -------------- DFA International Value Portfolio. $5,276,821 $1,251,432 $1,251,432 U.S. Large Company Portfolio...... 2,991,240 2,062,991 2,062,991
223 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):
YEAR ENDED YEAR ENDED OCT. 31, 2013 OCT. 31, 2012 --------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- -------- ----------- ------- DFA INTERNATIONAL VALUE PORTFOLIO Class R2 Shares Shares Issued........................................ $ 1,969 112 $ 2,362 154 Shares Issued in Lieu of Cash Distributions.......... 218 13 204 14 Shares Redeemed...................................... (4,454) (249) (2,235) (146) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ (2,267) (124) $ 331 22 =========== ======== =========== ======= Institutional Class Shares Shares Issued........................................ $ 1,464,667 83,810 $ 1,336,958 89,104 Shares Issued in Lieu of Cash Distributions.......... 178,294 10,423 168,065 11,707 Shares Redeemed...................................... (1,876,787) (107,589) (1,293,442) (86,188) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ (233,826) (13,356) $ 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. 224 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. 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 October 31, 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 12/20/13 839 $73,454 $2,266 $3,440
* During the year ended October 31, 2013, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $56,242 (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 year ended October 31, 2013 (amounts in thousands): ASSET DERIVATIVES VALUE ------------------------ LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES EQUITY CONTRACTS ------------------------ ------------------------ U.S. Large Company Payables: Futures Margin $2,266* 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 for the year ended October 31, 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
225 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 through the year ended October 31, 2013 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $8,021 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $2,321
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. 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. 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 year ended October 31, 2013, borrowings by the Portfolios under the lines 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. 0.91% $13,024 8 $3 $28,962
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that the Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under the lines of credit as of October 31, 2013. 226 J. SECURITIES LENDING: As of October 31, 2013, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. 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. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 227 N. OTHER: At October 31, 2013, the following number of shareholders held the following approximate percentages of the stated portfolios' 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............ 5 93% DFA International Value Portfolio -- Institutional Class Shares. 3 64% U.S. Large Company Portfolio.................................... 3 75%
O. SUBSEQUENT EVENT EVALUATIONS: On December 13, 2013, the Board of DIG voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Current Agreements") into a bundled Investment Management Agreement for the U.S. Large Company Portfolio. It is expected that the Investment Management Agreement will become effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement will be the same as under the Current Agreements. When the Investment Management Agreement becomes effective, the Portfolio will pay the Advisor an investment management fee that is equal to the sum of the current investment advisory fee and current administration fee that is paid by the Portfolio to the Advisor under the Current Agreements. Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 228 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.: In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments/summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio and U.S. Large Company Portfolio (constituting portfolios within Dimensional Investment Group Inc., hereafter referred to as the "Portfolios") at October 31, 2013, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2013 by correspondence with the custodians, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 229 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The U.S. Large Cap Value Series Russell 1000/R/ Value Index ------------------ ---------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,224 10,136 12/31/2003 10,926 10,760 1/31/2004 11,113 10,950 2/29/2004 11,399 11,184 3/31/2004 11,353 11,086 4/30/2004 11,166 10,815 5/31/2004 11,226 10,925 6/30/2004 11,565 11,183 7/31/2004 11,191 11,026 8/31/2004 11,191 11,182 9/30/2004 11,535 11,356 10/31/2004 11,675 11,544 11/30/2004 12,440 12,128 12/31/2004 12,939 12,534 1/31/2005 12,615 12,311 2/28/2005 12,999 12,719 3/31/2005 12,964 12,545 4/30/2005 12,525 12,320 5/31/2005 13,059 12,617 6/30/2005 13,328 12,755 7/31/2005 13,992 13,124 8/31/2005 13,877 13,067 9/30/2005 14,091 13,250 10/31/2005 13,717 12,914 11/30/2005 14,265 13,336 12/31/2005 14,284 13,416 1/31/2006 14,965 13,937 2/28/2006 14,915 14,022 3/31/2006 15,180 14,212 4/30/2006 15,606 14,573 5/31/2006 15,322 14,205 6/30/2006 15,453 14,295 7/31/2006 15,232 14,643 8/31/2006 15,481 14,888 9/30/2006 15,910 15,185 10/31/2006 16,541 15,682 11/30/2006 16,855 16,040 12/31/2006 17,193 16,400 1/31/2007 17,695 16,610 2/28/2007 17,429 16,351 3/31/2007 17,550 16,603 4/30/2007 18,297 17,217 5/31/2007 19,051 17,838 6/30/2007 18,745 17,421 7/31/2007 17,583 16,616 8/31/2007 17,247 16,802 9/30/2007 17,697 17,379 10/31/2007 17,796 17,381 11/30/2007 16,802 16,531 12/31/2007 16,746 16,371 1/31/2008 16,106 15,716 2/29/2008 15,612 15,057 3/31/2008 15,466 14,944 4/30/2008 16,441 15,673 5/31/2008 16,836 15,648 6/30/2008 14,991 14,150 7/31/2008 14,827 14,099 8/31/2008 15,115 14,339 9/30/2008 13,757 13,285 10/31/2008 10,664 10,985 11/30/2008 9,618 10,198 12/31/2008 9,931 10,339 1/31/2009 8,752 9,150 2/28/2009 7,526 7,928 3/31/2009 8,269 8,606 4/30/2009 9,607 9,528 5/31/2009 10,343 10,117 6/30/2009 10,216 10,042 7/31/2009 11,189 10,864 8/31/2009 11,949 11,433 9/30/2009 12,471 11,874 10/31/2009 11,933 11,511 11/30/2009 12,606 12,160 12/31/2009 12,954 12,375 1/31/2010 12,653 12,027 2/28/2010 13,199 12,407 3/31/2010 14,228 13,214 4/30/2010 14,679 13,556 5/31/2010 13,421 12,442 6/30/2010 12,408 11,742 7/31/2010 13,381 12,536 8/31/2010 12,574 12,000 9/30/2010 13,801 12,931 10/31/2010 14,315 13,319 11/30/2010 14,204 13,248 12/31/2010 15,589 14,294 1/31/2011 16,088 14,617 2/28/2011 16,958 15,156 3/31/2011 17,037 15,217 4/30/2011 17,473 15,622 5/31/2011 17,219 15,457 6/30/2011 16,919 15,140 7/31/2011 16,143 14,638 8/31/2011 14,782 13,724 9/30/2011 13,286 12,687 10/31/2011 15,130 14,139 11/30/2011 15,004 14,066 12/31/2011 15,122 14,350 1/31/2012 15,874 14,893 2/29/2012 16,792 15,486 3/31/2012 17,101 15,945 4/30/2012 16,752 15,783 5/31/2012 15,565 14,857 6/30/2012 16,404 15,595 7/31/2012 16,563 15,756 8/31/2012 17,219 16,098 9/30/2012 17,852 16,609 10/31/2012 17,900 16,528 11/30/2012 17,939 16,521 12/31/2012 18,485 16,862 1/31/2013 19,775 17,958 2/28/2013 20,029 18,216 3/31/2013 20,986 18,937 4/30/2013 21,208 19,224 5/31/2013 22,078 19,717 Past performance is not predictive of 6/30/2013 21,833 19,543 future performance. 7/31/2013 23,139 20,599 8/31/2013 22,458 19,817 The returns shown do not reflect the 9/30/2013 23,115 20,314 deduction of taxes that a shareholder 10/31/2013 24,286 21,203 would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell ---------------------------------------------------------- Investment Group 1995-2013, all rights 35.68% 17.89% 9.28% reserved.
-------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The DFA International MSCI World ex USA Index Value Series (net dividends) --------------------- ----------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,214 10,227 12/31/2003 10,981 11,011 1/31/2004 11,262 11,164 2/29/2004 11,601 11,421 3/31/2004 11,782 11,478 4/30/2004 11,426 11,178 5/31/2004 11,542 11,230 6/30/2004 12,019 11,489 7/31/2004 11,575 11,139 8/31/2004 11,726 11,185 9/30/2004 12,101 11,511 10/31/2004 12,564 11,925 11/30/2004 13,498 12,718 12/31/2004 14,170 13,255 1/31/2005 14,029 12,994 2/28/2005 14,584 13,572 3/31/2005 14,224 13,264 4/30/2005 13,792 12,926 5/31/2005 13,810 12,950 6/30/2005 14,031 13,161 7/31/2005 14,657 13,586 8/31/2005 15,140 13,961 9/30/2005 15,566 14,599 10/31/2005 15,332 14,127 11/30/2005 15,605 14,501 12/31/2005 16,369 15,173 1/31/2006 17,487 16,133 2/28/2006 17,655 16,079 3/31/2006 18,400 16,589 4/30/2006 19,332 17,382 5/31/2006 18,549 16,722 6/30/2006 18,432 16,700 7/31/2006 18,716 16,857 8/31/2006 19,360 17,336 9/30/2006 19,628 17,322 10/31/2006 20,499 18,006 11/30/2006 21,181 18,543 12/31/2006 22,007 19,074 1/31/2007 22,422 19,191 2/28/2007 22,402 19,344 3/31/2007 23,126 19,840 4/30/2007 24,293 20,742 5/31/2007 25,124 21,203 6/30/2007 24,941 21,224 7/31/2007 24,247 20,931 8/31/2007 23,975 20,628 9/30/2007 25,227 21,800 10/31/2007 26,451 22,748 11/30/2007 24,848 21,858 12/31/2007 24,313 21,447 1/31/2008 22,343 19,513 2/29/2008 22,059 19,867 3/31/2008 22,323 19,583 4/30/2008 23,321 20,672 5/31/2008 23,332 20,986 6/30/2008 21,024 19,354 7/31/2008 20,429 18,665 8/31/2008 19,576 17,943 9/30/2008 17,289 15,353 10/31/2008 12,954 12,159 11/30/2008 12,159 11,500 12/31/2008 13,079 12,106 1/31/2009 11,273 10,976 2/28/2009 9,888 9,865 3/31/2009 10,967 10,515 4/30/2009 12,988 11,871 5/31/2009 14,918 13,373 6/30/2009 14,691 13,234 7/31/2009 16,439 14,477 8/31/2009 17,381 15,170 9/30/2009 18,267 15,796 10/31/2009 17,540 15,543 11/30/2009 18,063 15,927 12/31/2009 18,267 16,181 1/31/2010 17,211 15,423 2/28/2010 17,279 15,407 3/31/2010 18,642 16,399 4/30/2010 18,324 16,155 5/31/2010 16,178 14,372 6/30/2010 15,894 14,164 7/31/2010 17,881 15,473 8/31/2010 17,007 15,011 9/30/2010 18,835 16,451 10/31/2010 19,493 17,037 11/30/2010 18,517 16,315 12/31/2010 20,242 17,629 1/31/2011 21,105 18,009 2/28/2011 21,809 18,676 3/31/2011 21,207 18,302 4/30/2011 22,343 19,299 5/31/2011 21,537 18,727 6/30/2011 21,241 18,460 7/31/2011 20,560 18,156 8/31/2011 18,358 16,621 9/30/2011 16,348 14,952 10/31/2011 17,926 16,406 11/30/2011 17,336 15,648 12/31/2011 16,870 15,477 1/31/2012 18,006 16,312 2/29/2012 18,948 17,209 3/31/2012 18,789 17,082 4/30/2012 18,119 16,792 5/31/2012 15,883 14,878 6/30/2012 17,007 15,852 7/31/2012 16,939 16,050 8/31/2012 17,642 16,508 9/30/2012 18,267 17,009 10/31/2012 18,494 17,128 11/30/2012 18,789 17,488 12/31/2012 19,709 18,017 1/31/2013 20,640 18,903 2/28/2013 20,015 18,715 3/31/2013 20,083 18,863 4/30/2013 21,071 19,722 5/31/2013 20,821 19,281 6/30/2013 20,083 18,558 7/31/2013 21,457 19,546 Past performance is not predictive of 8/31/2013 21,309 19,294 future performance. 9/30/2013 22,910 20,657 10/31/2013 23,705 21,350 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------- MSCI data copyright MSCI 2013, all 28.18% 12.85% 9.01% rights reserved.
-------------------------------------------------------------------------------- 230 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] MSCI Japan Small Cap The Japanese Small Company Series Index (net dividends) --------------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,376 9,313 12/31/2003 9,933 9,979 1/31/2004 10,422 10,342 2/29/2004 10,489 10,315 3/31/2004 12,631 12,206 4/30/2004 12,209 11,818 5/31/2004 11,619 11,231 6/30/2004 12,749 12,412 7/31/2004 11,939 11,395 8/31/2004 12,125 11,514 9/30/2004 11,838 11,167 10/31/2004 12,074 11,373 11/30/2004 12,445 11,868 12/31/2004 13,052 12,443 1/31/2005 13,592 12,866 2/28/2005 14,098 13,112 3/31/2005 14,182 13,081 4/30/2005 13,794 12,975 5/31/2005 13,558 12,736 6/30/2005 13,811 12,908 7/31/2005 14,098 13,274 8/31/2005 14,890 13,729 9/30/2005 15,497 14,587 10/31/2005 15,987 14,879 11/30/2005 16,307 15,515 12/31/2005 18,145 17,613 1/31/2006 18,921 18,174 2/28/2006 17,791 16,991 3/31/2006 18,583 17,753 4/30/2006 18,954 17,841 5/31/2006 17,622 16,410 6/30/2006 16,948 15,896 7/31/2006 16,138 14,845 8/31/2006 16,408 15,240 9/30/2006 16,155 14,906 10/31/2006 16,037 14,811 11/30/2006 15,936 14,686 12/31/2006 16,071 14,772 1/31/2007 16,408 15,059 2/28/2007 17,066 15,653 3/31/2007 16,948 15,509 4/30/2007 16,712 15,243 5/31/2007 16,374 14,880 6/30/2007 16,644 14,978 7/31/2007 16,745 14,974 8/31/2007 16,037 14,062 9/30/2007 16,020 13,976 10/31/2007 16,121 14,482 11/30/2007 15,750 13,873 12/31/2007 14,772 13,043 1/31/2008 14,351 12,402 2/29/2008 14,250 12,538 3/31/2008 14,536 12,542 4/30/2008 14,637 12,698 5/31/2008 15,177 13,089 6/30/2008 14,469 12,286 7/31/2008 14,064 11,883 8/31/2008 13,288 11,358 9/30/2008 12,428 10,249 10/31/2008 11,518 9,167 11/30/2008 11,821 9,542 12/31/2008 13,035 10,285 1/31/2009 12,142 9,746 2/28/2009 10,573 8,465 3/31/2009 11,046 8,763 4/30/2009 11,501 9,212 5/31/2009 12,917 10,339 6/30/2009 13,777 10,997 7/31/2009 14,064 11,272 8/31/2009 14,806 11,904 9/30/2009 14,654 11,857 10/31/2009 14,132 11,423 11/30/2009 13,558 11,014 12/31/2009 13,508 10,809 1/31/2010 13,693 11,042 2/28/2010 13,963 11,252 3/31/2010 14,671 11,764 4/30/2010 15,110 12,082 5/31/2010 13,845 11,244 6/30/2010 14,064 11,294 7/31/2010 14,317 11,431 8/31/2010 13,929 11,189 9/30/2010 14,536 11,646 10/31/2010 14,233 11,550 11/30/2010 14,587 11,775 12/31/2010 15,936 12,964 1/31/2011 16,307 13,118 2/28/2011 17,066 13,645 3/31/2011 16,003 12,803 4/30/2011 15,919 12,815 5/31/2011 15,649 12,625 6/30/2011 16,442 13,095 7/31/2011 17,049 13,639 8/31/2011 16,594 13,081 9/30/2011 16,509 13,093 10/31/2011 15,666 12,610 11/30/2011 15,919 12,269 12/31/2011 15,835 12,460 1/31/2012 16,847 12,971 2/29/2012 16,863 13,112 3/31/2012 17,352 13,462 4/30/2012 16,998 13,267 5/31/2012 15,582 12,166 6/30/2012 16,408 12,685 7/31/2012 15,852 12,486 8/31/2012 15,868 12,415 9/30/2012 16,088 12,758 10/31/2012 15,750 12,482 11/30/2012 15,987 12,568 12/31/2012 16,577 12,960 1/31/2013 17,099 13,445 2/28/2013 17,521 13,900 3/31/2013 18,870 15,023 4/30/2013 19,865 16,011 5/31/2013 18,246 14,743 6/30/2013 18,415 14,702 7/31/2013 18,853 14,942 Past performance is not predictive of 8/31/2013 18,432 14,740 future performance. 9/30/2013 20,523 16,418 10/31/2013 20,573 16,351 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 30.62% 12.30% 7.48% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE ASIA PACIFIC SMALL COMPANY SERIES VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Asia Pacific Small MSCI Pacific ex Japan Small Company Series Cap Index (net dividends) ---------------------- --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,076 9,956 12/31/2003 10,525 10,608 1/31/2004 11,185 11,042 2/29/2004 11,533 11,376 3/31/2004 11,169 11,398 4/30/2004 10,356 10,754 5/31/2004 10,279 10,705 6/30/2004 10,322 10,718 7/31/2004 10,508 11,122 8/31/2004 10,762 11,489 9/30/2004 11,423 12,174 10/31/2004 11,964 12,954 11/30/2004 12,837 13,951 12/31/2004 13,133 14,540 1/31/2005 13,429 14,667 2/28/2005 13,819 15,134 3/31/2005 13,353 14,704 4/30/2005 12,904 14,465 5/31/2005 12,616 14,651 6/30/2005 13,184 15,452 7/31/2005 13,633 16,095 8/31/2005 13,988 16,082 9/30/2005 14,505 16,893 10/31/2005 13,692 15,901 11/30/2005 14,030 16,504 12/31/2005 14,251 16,828 1/31/2006 15,216 17,791 2/28/2006 15,436 17,969 3/31/2006 16,224 18,730 4/30/2006 17,155 19,938 5/31/2006 16,181 18,920 6/30/2006 16,080 18,690 7/31/2006 16,393 18,882 8/31/2006 16,799 19,498 9/30/2006 16,977 19,820 10/31/2006 18,374 21,202 11/30/2006 19,399 22,491 12/31/2006 19,958 23,330 1/31/2007 20,474 23,923 2/28/2007 21,025 24,379 3/31/2007 22,125 25,637 4/30/2007 23,675 27,414 5/31/2007 25,707 28,491 6/30/2007 26,765 29,231 7/31/2007 27,189 29,224 8/31/2007 25,165 27,343 9/30/2007 28,112 29,769 10/31/2007 30,576 31,804 11/30/2007 28,561 29,249 12/31/2007 28,078 28,847 1/31/2008 25,258 24,981 2/29/2008 26,037 26,465 3/31/2008 24,776 24,796 4/30/2008 26,511 26,455 5/31/2008 27,671 26,740 6/30/2008 24,953 23,749 7/31/2008 23,489 22,656 8/31/2008 21,846 20,816 9/30/2008 18,095 16,752 10/31/2008 12,083 10,835 11/30/2008 10,923 9,653 12/31/2008 12,117 10,774 1/31/2009 10,627 9,588 2/28/2009 10,042 8,993 3/31/2009 11,600 10,281 4/30/2009 13,336 12,122 5/31/2009 16,782 15,028 6/30/2009 16,918 15,451 7/31/2009 19,365 17,683 8/31/2009 20,246 18,591 9/30/2009 21,829 20,149 10/31/2009 22,320 20,632 11/30/2009 23,362 21,225 12/31/2009 23,980 22,073 1/31/2010 22,684 20,661 2/28/2010 23,091 20,920 3/31/2010 24,996 22,645 4/30/2010 25,343 23,278 5/31/2010 21,837 19,763 6/30/2010 21,575 19,650 7/31/2010 23,971 21,650 8/31/2010 23,946 21,602 9/30/2010 27,578 24,845 10/31/2010 28,772 25,948 11/30/2010 28,391 25,601 12/31/2010 31,177 28,185 1/31/2011 30,517 27,365 2/28/2011 30,711 27,515 3/31/2011 31,363 28,360 4/30/2011 32,701 29,507 5/31/2011 31,736 28,831 6/30/2011 30,669 27,806 7/31/2011 31,177 28,216 8/31/2011 29,009 26,254 9/30/2011 23,599 21,480 10/31/2011 27,290 25,000 11/30/2011 26,562 23,295 12/31/2011 25,013 22,548 1/31/2012 27,604 24,889 2/29/2012 29,687 26,824 3/31/2012 29,263 25,984 4/30/2012 29,145 26,125 5/31/2012 25,512 22,734 6/30/2012 26,054 23,052 7/31/2012 26,444 23,810 8/31/2012 27,333 24,191 9/30/2012 28,688 25,477 10/31/2012 29,331 26,003 11/30/2012 29,754 26,259 12/31/2012 31,152 26,918 1/31/2013 32,718 28,345 2/28/2013 32,862 28,681 3/31/2013 33,006 28,754 4/30/2013 32,464 28,526 5/31/2013 30,059 26,426 6/30/2013 27,934 24,166 7/31/2013 29,314 25,132 Past performance is not predictive of 8/31/2013 29,551 25,350 future performance. 9/30/2013 31,626 27,300 10/31/2013 32,549 27,778 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS --------------------------------------------------------- MSCI data copyright MSCI 2013, all 10.97% 21.92% 12.53% rights reserved.
-------------------------------------------------------------------------------- 231 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The United Kingdom Small MSCI UK Small Cap Company Series Index (net dividends) ------------------------ --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,051 10,083 12/31/2003 10,613 10,649 1/31/2004 11,401 11,551 2/29/2004 12,065 12,334 3/31/2004 11,900 12,287 4/30/2004 11,475 11,859 5/31/2004 11,492 11,852 6/30/2004 11,883 12,264 7/31/2004 11,446 11,709 8/31/2004 11,367 11,548 9/30/2004 11,690 11,928 10/31/2004 12,059 12,382 11/30/2004 13,035 13,383 12/31/2004 13,573 14,155 1/31/2005 13,959 14,473 2/28/2005 14,436 14,815 3/31/2005 14,112 14,630 4/30/2005 13,636 13,969 5/31/2005 13,369 13,845 6/30/2005 13,625 14,058 7/31/2005 13,891 14,476 8/31/2005 14,674 15,176 9/30/2005 14,509 15,203 10/31/2005 14,101 14,740 11/30/2005 14,714 15,475 12/31/2005 15,360 16,144 1/31/2006 16,563 17,459 2/28/2006 16,790 17,732 3/31/2006 17,067 18,091 4/30/2006 17,930 19,049 5/31/2006 17,567 18,626 6/30/2006 17,561 18,468 7/31/2006 17,686 18,324 8/31/2006 18,429 18,983 9/30/2006 18,968 19,540 10/31/2006 20,045 20,659 11/30/2006 21,305 21,998 12/31/2006 22,467 23,030 1/31/2007 22,626 22,976 2/28/2007 22,621 23,048 3/31/2007 23,687 24,001 4/30/2007 24,504 25,193 5/31/2007 24,833 25,355 6/30/2007 23,925 24,617 7/31/2007 23,800 24,478 8/31/2007 23,664 23,581 9/30/2007 22,847 22,245 10/31/2007 24,674 24,689 11/30/2007 21,821 21,832 12/31/2007 20,669 20,736 1/31/2008 19,280 19,068 2/29/2008 19,563 19,714 3/31/2008 19,490 19,466 4/30/2008 19,818 19,828 5/31/2008 19,875 19,922 6/30/2008 18,293 18,560 7/31/2008 17,652 17,819 8/31/2008 17,368 17,353 9/30/2008 14,685 14,162 10/31/2008 10,743 10,232 11/30/2008 9,983 9,283 12/31/2008 9,762 9,048 1/31/2009 9,524 8,998 2/28/2009 9,132 8,700 3/31/2009 9,529 9,205 4/30/2009 11,526 11,319 5/31/2009 12,706 12,515 6/30/2009 12,768 12,603 7/31/2009 13,874 13,763 8/31/2009 14,957 15,090 9/30/2009 15,394 15,438 10/31/2009 15,417 15,460 11/30/2009 15,372 15,299 12/31/2009 15,695 15,677 1/31/2010 15,542 15,604 2/28/2010 15,009 14,905 3/31/2010 16,268 16,219 4/30/2010 16,869 16,866 5/31/2010 14,963 14,839 6/30/2010 15,247 14,903 7/31/2010 17,306 16,696 8/31/2010 16,670 16,242 9/30/2010 18,452 18,032 10/31/2010 19,416 18,801 11/30/2010 18,463 18,018 12/31/2010 20,352 19,903 1/31/2011 20,647 20,095 2/28/2011 21,271 20,625 3/31/2011 20,879 20,269 4/30/2011 22,728 22,127 5/31/2011 22,592 21,847 6/30/2011 21,872 21,111 7/31/2011 21,730 21,053 8/31/2011 19,563 18,905 9/30/2011 17,589 16,912 10/31/2011 19,455 18,760 11/30/2011 18,866 18,032 12/31/2011 18,281 17,430 1/31/2012 19,898 19,198 2/29/2012 21,520 20,981 3/31/2012 21,991 21,050 4/30/2012 22,371 21,408 5/31/2012 19,853 18,756 6/30/2012 20,828 19,649 7/31/2012 21,180 20,007 8/31/2012 22,343 21,066 9/30/2012 23,494 22,190 10/31/2012 24,010 22,649 11/30/2012 24,163 22,657 12/31/2012 25,496 23,700 1/31/2013 25,950 24,323 2/28/2013 26,188 24,460 3/31/2013 26,971 25,119 4/30/2013 27,657 25,747 5/31/2013 27,918 26,095 6/30/2013 27,306 25,154 7/31/2013 29,620 27,249 Past performance is not predictive of 8/31/2013 29,836 27,622 future performance. 9/30/2013 31,855 29,695 10/31/2013 32,995 30,741 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------- MSCI data copyright MSCI 2013, all 37.42% 25.16% 12.68% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Continental Small MSCI Europe ex UK Small Company Series Cap Index (net dividends) --------------------- ------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,524 10,532 12/31/2003 11,180 11,083 1/31/2004 11,720 11,641 2/29/2004 12,113 12,033 3/31/2004 11,867 11,618 4/30/2004 11,725 11,435 5/31/2004 11,856 11,471 6/30/2004 12,213 11,881 7/31/2004 11,820 11,403 8/31/2004 11,893 11,439 9/30/2004 12,512 12,077 10/31/2004 12,984 12,589 11/30/2004 14,373 13,986 12/31/2004 15,118 14,686 1/31/2005 15,333 14,850 2/28/2005 16,319 15,891 3/31/2005 15,873 15,485 4/30/2005 15,454 15,029 5/31/2005 15,496 15,243 6/30/2005 15,915 15,731 7/31/2005 16,906 16,810 8/31/2005 17,478 17,288 9/30/2005 17,923 17,878 10/31/2005 17,037 16,644 11/30/2005 17,100 16,856 12/31/2005 17,986 17,833 1/31/2006 19,712 19,823 2/28/2006 20,283 20,383 3/31/2006 21,594 21,700 4/30/2006 23,083 23,237 5/31/2006 21,977 22,043 6/30/2006 21,568 21,541 7/31/2006 21,521 21,305 8/31/2006 22,092 21,806 9/30/2006 22,391 22,035 10/31/2006 23,519 23,213 11/30/2006 25,155 24,837 12/31/2006 26,356 26,009 1/31/2007 27,577 26,842 2/28/2007 27,625 26,957 3/31/2007 29,240 28,390 4/30/2007 30,781 30,108 5/31/2007 31,379 30,633 6/30/2007 31,038 30,340 7/31/2007 30,870 30,118 8/31/2007 29,775 28,755 9/30/2007 30,440 29,327 10/31/2007 31,909 31,082 11/30/2007 29,554 28,858 12/31/2007 28,988 28,274 1/31/2008 26,230 24,869 2/29/2008 27,357 26,374 3/31/2008 28,228 26,910 4/30/2008 28,568 27,370 5/31/2008 29,119 27,796 6/30/2008 26,665 25,227 7/31/2008 25,254 23,795 8/31/2008 24,567 23,145 9/30/2008 20,294 18,353 10/31/2008 14,877 13,189 11/30/2008 13,718 12,096 12/31/2008 15,149 13,213 1/31/2009 13,429 12,027 2/28/2009 12,271 10,968 3/31/2009 13,162 11,816 4/30/2009 15,317 14,275 5/31/2009 17,535 16,407 6/30/2009 17,320 16,196 7/31/2009 18,700 17,650 8/31/2009 20,267 19,462 9/30/2009 22,003 21,327 10/31/2009 21,390 20,745 11/30/2009 22,040 21,171 12/31/2009 21,972 21,267 1/31/2010 21,610 20,983 2/28/2010 21,154 20,386 3/31/2010 22,727 22,039 4/30/2010 22,512 21,900 5/31/2010 19,313 18,512 6/30/2010 19,192 18,236 7/31/2010 21,489 20,420 8/31/2010 20,509 19,450 9/30/2010 23,330 22,451 10/31/2010 24,678 23,891 11/30/2010 22,764 22,081 12/31/2010 25,716 25,173 1/31/2011 26,450 25,742 2/28/2011 26,906 26,179 3/31/2011 27,813 27,062 4/30/2011 29,696 28,952 5/31/2011 28,694 27,848 6/30/2011 27,771 26,949 7/31/2011 26,203 25,313 8/31/2011 23,513 22,669 9/30/2011 19,974 19,263 10/31/2011 22,024 21,374 11/30/2011 20,572 19,704 12/31/2011 19,764 19,034 1/31/2012 21,647 20,922 2/29/2012 23,036 22,528 3/31/2012 23,078 22,345 4/30/2012 22,543 21,973 5/31/2012 19,465 18,960 6/30/2012 20,320 19,894 7/31/2012 20,115 19,823 8/31/2012 21,033 20,687 9/30/2012 22,145 21,801 10/31/2012 22,528 22,177 11/30/2012 22,832 22,516 12/31/2012 24,211 23,731 1/31/2013 26,046 25,663 2/28/2013 25,789 25,584 3/31/2013 25,212 24,927 4/30/2013 26,251 25,895 5/31/2013 26,738 26,483 6/30/2013 25,857 25,304 7/31/2013 28,112 27,605 Past performance is not predictive of 8/31/2013 28,149 27,554 future performance. 9/30/2013 30,614 29,910 10/31/2013 32,365 31,711 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------- MSCI data copyright MSCI 2013, all 43.67% 16.82% 12.46% rights reserved.
-------------------------------------------------------------------------------- 232 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE CANADIAN SMALL COMPANY SERIES VS. MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS) APRIL 2, 2007-OCTOBER 31, 2013 [CHART] The Canadian Small MSCI Canada Small Company Series Cap Index (net dividends) ----------------------- -------------------------- 4/2/2007 $10,000 $10,000 4/30/2007 10,710 10,487 5/31/2007 11,420 11,331 6/30/2007 11,370 11,306 7/31/2007 11,300 11,024 8/31/2007 10,560 10,340 9/30/2007 11,730 11,600 10/31/2007 13,000 12,852 11/30/2007 11,020 10,809 12/31/2007 11,430 11,109 1/31/2008 10,350 10,107 2/29/2008 11,160 11,071 3/31/2008 10,290 10,199 4/30/2008 10,540 10,555 5/31/2008 11,140 11,104 6/30/2008 10,620 10,725 7/31/2008 9,710 9,775 8/31/2008 9,310 9,530 9/30/2008 7,190 7,506 10/31/2008 4,800 5,011 11/30/2008 4,180 4,560 12/31/2008 4,500 4,785 1/31/2009 4,530 4,833 2/28/2009 4,120 4,454 3/31/2009 4,380 4,708 4/30/2009 5,300 5,466 5/31/2009 6,340 6,622 6/30/2009 5,950 6,220 7/31/2009 6,700 6,996 8/31/2009 6,920 7,260 9/30/2009 7,910 8,157 10/31/2009 7,760 8,211 11/30/2009 8,420 8,900 12/31/2009 8,960 9,423 1/31/2010 8,540 9,031 2/28/2010 9,050 9,632 3/31/2010 9,770 10,454 4/30/2010 10,120 10,890 5/31/2010 9,150 9,929 6/30/2010 8,730 9,464 7/31/2010 9,440 10,234 8/31/2010 9,330 10,202 9/30/2010 10,430 11,319 10/31/2010 11,110 12,004 11/30/2010 11,650 12,509 12/31/2010 12,840 13,660 1/31/2011 12,780 13,500 2/28/2011 13,660 14,392 3/31/2011 13,680 14,396 4/30/2011 13,940 14,833 5/31/2011 13,360 14,236 6/30/2011 12,620 13,510 7/31/2011 12,810 13,868 8/31/2011 11,840 13,043 9/30/2011 9,600 10,655 10/31/2011 11,140 12,174 11/30/2011 10,750 11,857 12/31/2011 10,580 11,613 1/31/2012 11,490 12,564 2/29/2012 11,930 13,014 3/31/2012 11,400 12,326 4/30/2012 11,140 12,227 5/31/2012 9,840 10,801 6/30/2012 9,860 10,768 7/31/2012 10,130 11,140 8/31/2012 10,560 11,603 9/30/2012 11,010 12,189 10/31/2012 10,860 11,971 11/30/2012 10,680 11,703 12/31/2012 10,930 11,894 1/31/2013 11,250 12,137 2/28/2013 10,700 11,549 3/31/2013 11,010 11,822 4/30/2013 10,650 11,555 5/31/2013 10,480 11,271 6/30/2013 10,050 10,576 7/31/2013 10,790 11,389 Past performance is not predictive of 8/31/2013 10,690 11,262 future performance. 9/30/2013 11,170 11,696 10/31/2013 11,480 11,959 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 04/02/2007 ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 5.71% 19.05% 2.12% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Emerging Markets Series MSCI Emerging Markets Index (net dividends) ----------------------------- --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,905 10,122 12/31/2003 10,948 10,855 1/31/2004 11,159 11,234 2/29/2004 11,655 11,749 3/31/2004 11,735 11,896 4/30/2004 10,991 10,922 5/31/2004 10,867 10,704 6/30/2004 11,064 10,749 7/31/2004 11,057 10,552 8/31/2004 11,363 10,990 9/30/2004 12,004 11,624 10/31/2004 12,340 11,902 11/30/2004 13,418 13,004 12/31/2004 14,293 13,628 1/31/2005 14,410 13,663 2/28/2005 15,481 14,855 3/31/2005 14,424 13,873 4/30/2005 14,082 13,501 5/31/2005 14,504 13,971 6/30/2005 14,942 14,445 7/31/2005 15,904 15,455 8/31/2005 16,006 15,587 9/30/2005 17,281 17,039 10/31/2005 16,421 15,925 11/30/2005 17,609 17,243 12/31/2005 18,630 18,262 1/31/2006 20,415 20,301 2/28/2006 20,357 20,277 3/31/2006 20,634 20,456 4/30/2006 21,873 21,913 5/31/2006 19,351 19,617 6/30/2006 19,329 19,569 7/31/2006 19,687 19,849 8/31/2006 20,306 20,355 9/30/2006 20,590 20,524 10/31/2006 21,822 21,499 11/30/2006 23,222 23,097 12/31/2006 24,162 24,137 1/31/2007 24,519 23,877 2/28/2007 24,147 23,735 3/31/2007 25,248 24,680 4/30/2007 26,866 25,823 5/31/2007 28,666 27,102 6/30/2007 29,140 28,372 7/31/2007 29,847 29,869 8/31/2007 29,337 29,235 9/30/2007 31,924 32,463 10/31/2007 35,430 36,084 11/30/2007 33,120 33,526 12/31/2007 33,003 33,643 1/31/2008 30,131 29,445 2/29/2008 31,093 31,618 3/31/2008 30,131 29,945 4/30/2008 32,289 32,375 5/31/2008 32,478 32,976 6/30/2008 29,147 29,687 7/31/2008 28,768 28,567 8/31/2008 27,063 26,285 9/30/2008 23,302 21,685 10/31/2008 17,165 15,750 11/30/2008 15,612 14,565 12/31/2008 16,837 15,701 1/31/2009 15,547 14,687 2/28/2009 14,541 13,858 3/31/2009 16,640 15,850 4/30/2009 19,111 18,487 5/31/2009 22,369 21,646 6/30/2009 22,179 21,355 7/31/2009 24,723 23,756 8/31/2009 24,810 23,671 9/30/2009 27,004 25,820 10/31/2009 26,443 25,852 11/30/2009 28,025 26,962 12/31/2009 29,038 28,027 1/31/2010 27,456 26,464 2/28/2010 27,792 26,557 3/31/2010 30,124 28,701 4/30/2010 30,306 29,049 5/31/2010 27,493 26,494 6/30/2010 27,536 26,299 7/31/2010 29,964 28,489 8/31/2010 29,271 27,936 9/30/2010 32,602 31,040 10/31/2010 33,593 31,941 11/30/2010 32,843 31,098 12/31/2010 35,517 33,317 1/31/2011 34,599 32,413 2/28/2011 34,359 32,111 3/31/2011 36,276 33,999 4/30/2011 37,544 35,054 5/31/2011 36,509 34,134 6/30/2011 36,079 33,609 7/31/2011 35,802 33,460 8/31/2011 32,908 30,470 9/30/2011 27,930 26,027 10/31/2011 31,429 29,475 11/30/2011 30,343 27,511 12/31/2011 29,461 27,179 1/31/2012 32,617 30,262 2/29/2012 34,388 32,074 3/31/2012 33,499 31,004 4/30/2012 32,901 30,633 5/31/2012 29,359 27,198 6/30/2012 30,816 28,248 7/31/2012 31,064 28,799 8/31/2012 31,276 28,703 9/30/2012 33,025 30,435 10/31/2012 32,857 30,250 11/30/2012 33,287 30,634 12/31/2012 35,241 32,132 1/31/2013 35,423 32,575 2/28/2013 35,015 32,166 3/31/2013 34,519 31,612 4/30/2013 34,913 31,850 5/31/2013 33,783 31,033 6/30/2013 31,662 29,057 Past performance is not predictive of 7/31/2013 32,128 29,361 future performance. 8/31/2013 31,378 28,856 9/30/2013 33,615 30,733 The returns shown do not reflect the 10/31/2013 35,153 32,226 deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 6.99% 15.42% 13.40% rights reserved.
-------------------------------------------------------------------------------- 233 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Emerging Markets MSCI Emerging Small Cap Series Markets Index (net dividends) --------------------- --------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,203 10,122 12/31/2003 11,223 10,855 1/31/2004 11,560 11,234 2/29/2004 12,048 11,749 3/31/2004 12,251 11,896 4/30/2004 11,575 10,922 5/31/2004 11,095 10,704 6/30/2004 11,185 10,749 7/31/2004 11,268 10,552 8/31/2004 11,643 10,990 9/30/2004 12,288 11,624 10/31/2004 12,603 11,902 11/30/2004 13,796 13,004 12/31/2004 14,531 13,628 1/31/2005 14,944 13,663 2/28/2005 15,889 14,855 3/31/2005 14,801 13,873 4/30/2005 14,261 13,501 5/31/2005 14,539 13,971 6/30/2005 14,906 14,445 7/31/2005 15,739 15,455 8/31/2005 15,844 15,587 9/30/2005 16,894 17,039 10/31/2005 16,077 15,925 11/30/2005 17,224 17,243 12/31/2005 18,357 18,262 1/31/2006 20,143 20,301 2/28/2006 20,368 20,277 3/31/2006 20,735 20,456 4/30/2006 22,438 21,913 5/31/2006 20,083 19,617 6/30/2006 19,205 19,569 7/31/2006 19,647 19,849 8/31/2006 20,338 20,355 9/30/2006 20,915 20,524 10/31/2006 22,498 21,499 11/30/2006 24,209 23,097 12/31/2006 25,326 24,137 1/31/2007 25,829 23,877 2/28/2007 26,047 23,735 3/31/2007 27,224 24,680 4/30/2007 29,310 25,823 5/31/2007 31,650 27,102 6/30/2007 32,603 28,372 7/31/2007 34,201 29,869 8/31/2007 32,791 29,235 9/30/2007 35,049 32,463 10/31/2007 37,704 36,084 11/30/2007 34,696 33,526 12/31/2007 35,101 33,643 1/31/2008 30,893 29,445 2/29/2008 31,785 31,618 3/31/2008 30,308 29,945 4/30/2008 32,153 32,375 5/31/2008 31,973 32,976 6/30/2008 28,290 29,687 7/31/2008 27,862 28,567 8/31/2008 26,182 26,285 9/30/2008 21,470 21,685 10/31/2008 14,966 15,750 11/30/2008 14,059 14,565 12/31/2008 16,054 15,701 1/31/2009 14,831 14,687 2/28/2009 13,923 13,858 3/31/2009 15,844 15,850 4/30/2009 19,055 18,487 5/31/2009 23,383 21,646 6/30/2009 23,271 21,355 7/31/2009 26,249 23,756 8/31/2009 26,564 23,671 9/30/2009 28,785 25,820 10/31/2009 28,762 25,852 11/30/2009 30,473 26,962 12/31/2009 32,153 28,027 1/31/2010 30,743 26,464 2/28/2010 31,275 26,557 3/31/2010 33,953 28,701 4/30/2010 34,516 29,049 5/31/2010 31,058 26,494 6/30/2010 31,890 26,299 7/31/2010 34,831 28,489 8/31/2010 35,004 27,936 9/30/2010 39,265 31,040 10/31/2010 40,833 31,941 11/30/2010 39,745 31,098 12/31/2010 42,033 33,317 1/31/2011 40,270 32,413 2/28/2011 39,100 32,111 3/31/2011 41,283 33,999 4/30/2011 43,466 35,054 5/31/2011 42,498 34,134 6/30/2011 42,491 33,609 7/31/2011 42,978 33,460 8/31/2011 38,912 30,470 9/30/2011 32,003 26,027 10/31/2011 35,551 29,475 11/30/2011 33,833 27,511 12/31/2011 32,933 27,179 1/31/2012 36,662 30,262 2/29/2012 39,670 32,074 3/31/2012 38,665 31,004 4/30/2012 37,742 30,633 5/31/2012 34,306 27,198 6/30/2012 35,619 28,248 7/31/2012 35,199 28,799 8/31/2012 36,122 28,703 9/30/2012 38,237 30,435 10/31/2012 38,110 30,250 11/30/2012 38,785 30,634 12/31/2012 41,185 32,132 1/31/2013 41,958 32,575 2/28/2013 42,401 32,166 3/31/2013 42,221 31,612 4/30/2013 43,083 31,850 5/31/2013 42,491 31,033 6/30/2013 38,815 29,057 7/31/2013 39,010 29,361 8/31/2013 37,397 28,856 Past performance is not predictive of 9/30/2013 40,143 30,733 future performance. 10/31/2013 41,695 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 9.41% 22.74% 15.35% rights reserved.
-------------------------------------------------------------------------------- 234 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value, small cap and/or micro cap companies relative to widely used benchmarks. DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW THE U.S. LARGE CAP VALUE SERIES The U.S. Large Cap Value Series seeks to capture the returns of U.S. large company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 220 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 35.68% for the Series and 28.29% for the Russell 1000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Series had significantly greater exposure than the Index to deeper value stocks, measured by book-to-market ratios. These stocks generally outperformed relative to the Index, and the Series' higher weight contributed to the Series' outperformance relative to the Index. The Series' exclusion of real estate investment trusts ("REITs") and highly regulated utilities also contributed to the Series' outperformance relative to the Index as both sectors underperformed the overall Index during the period. 235 INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity market with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large cap stocks while value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. Gains in emerging markets were lower on average than in developed markets although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large caps while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets. 236
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW THE DFA INTERNATIONAL VALUE SERIES The DFA International Value Series seeks to capture the returns of international large company value stocks. Value stocks are typically characterized by low relative price, as measured by their book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 520 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ending October 31, 2013, total returns were 28.18% for the Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. As large cap value stocks generally outperformed large cap growth stocks during the period, the Series' significantly greater exposure than the Index to these securities contributed to the Series' outperformance relative to the Index. In particular, the Series' greater exposure to value stocks in the financial sector was beneficial as these names outperformed. The Series' exclusion of real estate investment trusts ("REITs") also benefited the Series' relative performance as REITs underperformed during the period. Differences in the valuation timing and methodology between the Series and the Index generally detracted from relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. THE JAPANESE SMALL COMPANY SERIES The Japanese Small Company Series seeks to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 1,400 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 30.62% for the Series and 30.99% for the MSCI Japan Small Cap Index (net dividends). The Series' lesser exposure than the Index to GungHo Online Entertainment, Inc., an online gaming company that significantly outperformed, was primarily responsible for the Series' relative underperformance. To a lesser extent, the Series' exclusion of real estate investment trusts ("REITs") contributed positively to the Series' relative performance as REITs underperformed during the period. THE ASIA PACIFIC SMALL COMPANY SERIES The Asia Pacific Small Company Series seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad 237 diversification. As of October 31, 2013, the Series held approximately 940 securities across the eligible countries. Country allocations generally reflect the approximate weights of individual securities within a universe of these countries' stocks constructed by the Advisor. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 10.97% for the Series and 6.83% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. The Series' greater weight in the consumer discretionary sector and lesser weight in the materials sector contributed to the Series' outperformance relative to the Index as consumer discretionary outperformed and materials underperformed. The Series' exclusion of real estate investment trusts ("REITs") also had a small positive impact on the Series' relative performance as REITs underperformed during the period. THE UNITED KINGDOM SMALL COMPANY SERIES The United Kingdom Small Company Series seeks to capture the returns of U.K. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 350 securities. In general, cash exposure was low throughout the year, with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 37.42% for the Series and 35.72% for the MSCI UK Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Series had a lesser allocation to the energy sector, which contributed to the Series' outperformance relative to the Index as energy significantly underperformed. The Series' exclusion of real estate investment trusts ("REITs") also contributed to the Series' outperformance relative to the Index as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Series and the Index generally detracted from the Series' relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. THE CONTINENTAL SMALL COMPANY SERIES The Continental Small Company Series seeks to capture the returns of small company stocks in the developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 1,200 securities in 14 eligible developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 43.67% for the Series and 42.99% for the MSCI Europe ex UK Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. The Series' exclusion of real estate investment trusts ("REITs") contributed to the Series' outperformance relative to the Index, as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Series and the Index generally detracted from the Series' relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 238 THE CANADIAN SMALL COMPANY SERIES The Canadian Small Company Series seeks to capture the returns of Canadian small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 390 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 5.71% for the Series and -0.09% for the MSCI Canada Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Canadian equity market. The Series' holdings in the materials sector significantly outperformed those of the Index and contributed to the Series' outperformance relative to the Index. The Series' exclusion of real estate investment trusts ("REITs") also contributed to the Series' outperformance relative to the Index as REITs underperformed during the period. THE EMERGING MARKETS SERIES The Emerging Markets Series seeks to capture the returns of large cap stocks in selected emerging markets countries. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 1,000 securities across 21 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 6.99% for the Series and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. Differences in country weights between the Series and the Index contributed to relative performance differences. In addition, differences in holdings within the financial sector contributed to the Series' relative outperformance. THE EMERGING MARKETS SMALL CAP SERIES The Emerging Markets Small Cap Series seeks to capture the returns of small company stocks in selected emerging markets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Series held approximately 3,100 securities across 17 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 9.41% for the Series and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Series focuses on small cap stocks while the Index primarily holds large cap and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large caps over the period. The Series' significantly greater exposure to small cap stocks was primarily responsible for the Series' outperformance relative to the Index. 239 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. ACTUAL FUND RETURN This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. SIX MONTHS ENDED OCTOBER 31, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES - Actual Fund Return............ $1,000.00 $1,145.10 0.11% $0.59 Hypothetical 5% Annual Return. $1,000.00 $1,024.65 0.11% $0.56 THE DFA INTERNATIONAL VALUE SERIES - Actual Fund Return............ $1,000.00 $1,125.00 0.22% $1.18 Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12
240 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- THE JAPANESE SMALL COMPANY SERIES --------------------------------- Actual Fund Return...................... $1,000.00 $1,035.70 0.13% $0.67 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE ASIA PACIFIC SMALL COMPANY SERIES ------------------------------------- Actual Fund Return...................... $1,000.00 $1,002.60 0.13% $0.66 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE UNITED KINGDOM SMALL COMPANY SERIES --------------------------------------- Actual Fund Return...................... $1,000.00 $1,193.00 0.12% $0.66 Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61 THE CONTINENTAL SMALL COMPANY SERIES ------------------------------------ Actual Fund Return...................... $1,000.00 $1,232.90 0.13% $0.73 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE CANADIAN SMALL COMPANY SERIES --------------------------------- Actual Fund Return...................... $1,000.00 $1,077.90 0.11% $0.58 Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56 THE EMERGING MARKETS SERIES --------------------------- Actual Fund Return...................... $1,000.00 $1,006.90 0.14% $0.71 Hypothetical 5% Annual Return........... $1,000.00 $1,024.50 0.14% $0.71 THE EMERGING MARKETS SMALL CAP SERIES ------------------------------------- Actual Fund Return...................... $1,000.00 $ 967.80 0.25% $1.24 Hypothetical 5% Annual Return........... $1,000.00 $1,023.95 0.25% $1.28
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 241 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 September 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....................... 12.6% Consumer Staples............................. 7.5% Energy....................................... 20.7% Financials................................... 24.9% Health Care.................................. 8.0% Industrials.................................. 12.2% Information Technology....................... 5.9% Materials.................................... 3.3% Telecommunication Services................... 4.6% Utilities.................................... 0.3% ----- 100.0%
THE DFA INTERNATIONAL VALUE SERIES Consumer Discretionary....................... 9.4% Consumer Staples............................. 4.9% Energy....................................... 12.7% Financials................................... 36.7% Health Care.................................. 1.3% Industrials.................................. 10.4% Information Technology....................... 3.7% Materials.................................... 10.9% Other........................................ -- Telecommunication Services................... 7.1% Utilities.................................... 2.9% ----- 100.0%
THE JAPANESE SMALL COMPANY SERIES Consumer Discretionary....................... 21.4% Consumer Staples............................. 9.3% Energy....................................... 0.9% Financials................................... 11.0% Health Care.................................. 4.7% Industrials.................................. 29.9% Information Technology....................... 10.4% Materials.................................... 11.9% Telecommunication Services................... -- Utilities.................................... 0.5% ----- 100.0%
242 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED THE ASIA PACIFIC SMALL COMPANY SERIES Consumer Discretionary....................... 29.3% Consumer Staples............................. 4.2% Energy....................................... 6.4% Financials................................... 13.5% Health Care.................................. 5.0% Industrials.................................. 20.2% Information Technology....................... 4.8% Materials.................................... 10.7% Other........................................ -- Telecommunication Services................... 3.5% Utilities.................................... 2.4% ----- 100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES Consumer Discretionary....................... 26.9% Consumer Staples............................. 3.8% Energy....................................... 5.4% Financials................................... 14.4% Health Care.................................. 2.6% Industrials.................................. 26.7% Information Technology....................... 7.8% Materials.................................... 7.6% Telecommunication Services................... 2.4% Utilities.................................... 2.4% ----- 100.0%
THE CONTINENTAL SMALL COMPANY SERIES Consumer Discretionary....................... 14.9% Consumer Staples............................. 5.7% Energy....................................... 4.4% Financials................................... 18.6% Health Care.................................. 9.2% Industrials.................................. 24.4% Information Technology....................... 10.0% Materials.................................... 8.0% Other........................................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.3% ----- 100.0%
THE CANADIAN SMALL COMPANY SERIES Consumer Discretionary....................... 10.2% Consumer Staples............................. 4.3% Energy....................................... 26.9% Financials................................... 8.1% Health Care.................................. 2.0% Industrials.................................. 14.6% Information Technology....................... 5.8% Materials.................................... 22.5% Telecommunication Services................... 0.4% Utilities.................................... 5.2% ----- 100.0%
THE EMERGING MARKETS SERIES Consumer Discretionary....................... 9.0% Consumer Staples............................. 8.6% Energy....................................... 12.0% Financials................................... 25.9% Health Care.................................. 1.5% Industrials.................................. 7.3% Information Technology....................... 15.2% Materials.................................... 10.4% Other........................................ -- Telecommunication Services................... 6.9% Utilities.................................... 3.2% ----- 100.0%
THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary....................... 18.1% Consumer Staples............................. 8.9% Energy....................................... 2.3% Financials................................... 16.5% Health Care.................................. 6.3% Industrials.................................. 17.8% Information Technology....................... 13.1% Materials.................................... 12.6% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.7% Utilities.................................... 3.6% ----- 100.0%
243 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (95.9%) Consumer Discretionary -- (12.1%) Comcast Corp. Class A................ 10,008,890 $ 476,222,986 3.2% Comcast Corp. Special Class A........ 3,819,364 176,836,553 1.2% * General Motors Co.................... 3,555,515 131,376,279 0.9% Time Warner Cable, Inc............... 1,876,119 225,415,698 1.5% Time Warner, Inc..................... 4,974,348 341,936,681 2.3% Other Securities..................... 515,830,578 3.5% -------------- ----- Total Consumer Discretionary............. 1,867,618,775 12.6% -------------- ----- Consumer Staples -- (7.2%) Archer-Daniels-Midland Co............ 3,189,248 130,440,243 0.9% CVS Caremark Corp.................... 7,147,441 444,999,677 3.0% Mondelez International, Inc. Class A. 9,025,752 303,626,297 2.0% Other Securities..................... 227,833,106 1.5% -------------- ----- Total Consumer Staples................... 1,106,899,323 7.4% -------------- ----- Energy -- (19.9%) Anadarko Petroleum Corp.............. 2,511,077 239,280,527 1.6% Apache Corp.......................... 1,526,796 135,579,485 0.9% Baker Hughes, Inc.................... 1,673,042 97,187,010 0.6% Chevron Corp......................... 4,348,879 521,691,525 3.5% ConocoPhillips....................... 6,993,622 512,632,493 3.4% Devon Energy Corp.................... 1,479,247 93,517,995 0.6% Hess Corp............................ 1,606,476 130,445,851 0.9% Marathon Oil Corp.................... 3,640,872 128,377,147 0.9% Marathon Petroleum Corp.............. 1,791,952 128,411,280 0.9% National Oilwell Varco, Inc.......... 1,816,355 147,451,699 1.0% Occidental Petroleum Corp............ 1,521,584 146,193,791 1.0% Phillips 66.......................... 2,926,797 188,573,531 1.3% Valero Energy Corp................... 2,806,975 115,563,161 0.8% Other Securities..................... 484,245,131 3.3% -------------- ----- Total Energy............................. 3,069,150,626 20.7% -------------- ----- Financials -- (23.9%) American International Group, Inc.... 8,251,823 426,206,658 2.9% Bank of America Corp................. 39,239,978 547,790,093 3.7% Bank of New York Mellon Corp. (The).. 3,633,937 115,559,197 0.8% Capital One Financial Corp........... 1,875,702 128,804,456 0.9% Citigroup, Inc....................... 10,998,186 536,491,513 3.6% CME Group, Inc....................... 1,618,207 120,087,142 0.8% JPMorgan Chase & Co.................. 5,379,341 277,251,235 1.9% Loews Corp........................... 2,050,343 99,052,070 0.7% MetLife, Inc......................... 5,110,004 241,754,289 1.6% Morgan Stanley....................... 7,883,626 226,496,575 1.5% Prudential Financial, Inc............ 2,327,738 189,454,596 1.3% Other Securities..................... 785,679,755 5.2% -------------- ----- Total Financials......................... 3,694,627,579 24.9% -------------- ----- Health Care -- (7.7%) Aetna, Inc........................... 2,027,401 127,118,043 0.9% * Express Scripts Holding Co........... 2,283,090 142,738,787 1.0% Pfizer, Inc.......................... 7,744,869 237,612,581 1.6% Thermo Fisher Scientific, Inc........ 1,932,026 188,913,502 1.3% WellPoint, Inc....................... 1,824,634 154,728,963 1.1%
244 THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Health Care -- (Continued) Other Securities................................... $ 330,262,151 2.1% --------------- ------ Total Health Care........................................ 1,181,374,027 8.0% --------------- ------ Industrials -- (11.7%) CSX Corp........................................... 5,687,103 148,205,904 1.0% Eaton Corp. P.L.C.................................. 1,993,999 140,696,569 1.0% FedEx Corp......................................... 759,707 99,521,617 0.7% General Electric Co................................ 17,056,602 445,859,576 3.0% Norfolk Southern Corp.............................. 1,681,939 144,680,393 1.0% Northrop Grumman Corp.............................. 1,364,645 146,712,984 1.0% Union Pacific Corp................................. 1,891,022 286,300,731 1.9% Other Securities................................... 389,576,498 2.5% --------------- ------ Total Industrials........................................ 1,801,554,272 12.1% --------------- ------ Information Technology -- (5.6%) Corning, Inc....................................... 5,599,861 95,701,624 0.7% Hewlett-Packard Co................................. 9,295,748 226,537,379 1.5% * Yahoo!, Inc........................................ 3,936,872 129,641,195 0.9% Other Securities................................... 418,199,608 2.8% --------------- ------ Total Information Technology............................. 870,079,806 5.9% --------------- ------ Materials -- (3.1%) Freeport-McMoRan Copper & Gold, Inc................ 3,340,516 122,797,368 0.8% International Paper Co............................. 2,043,676 91,168,386 0.6% Other Securities................................... 270,895,902 1.9% --------------- ------ Total Materials.......................................... 484,861,656 3.3% --------------- ------ Telecommunication Services -- (4.4%) AT&T, Inc.......................................... 14,518,387 525,565,609 3.5% Other Securities................................... 152,680,539 1.1% --------------- ------ Total Telecommunication Services......................... 678,246,148 4.6% --------------- ------ Utilities -- (0.3%) Other Securities................................... 47,551,285 0.3% --------------- ------ TOTAL COMMON STOCKS...................................... 14,801,963,497 99.8% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.7%) State Street Institutional Liquid Reserves, 0.073%. 110,063,812 110,063,812 0.7% --------------- ------ SHARES/ FACE AMOUNT ----------- (000) SECURITIES LENDING COLLATERAL -- (3.4%) (S)@ DFA Short Term Investment Fund..................... 45,096,723 521,769,090 3.5% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,087,346,593)............................... $15,433,796,399 104.0% =============== ======
245 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 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...... $ 1,867,618,775 -- -- $ 1,867,618,775 Consumer Staples............ 1,106,899,323 -- -- 1,106,899,323 Energy...................... 3,069,150,626 -- -- 3,069,150,626 Financials.................. 3,694,627,579 -- -- 3,694,627,579 Health Care................. 1,181,374,027 -- -- 1,181,374,027 Industrials................. 1,801,554,272 -- -- 1,801,554,272 Information Technology...... 870,079,806 -- -- 870,079,806 Materials................... 484,861,656 -- -- 484,861,656 Telecommunication Services.. 678,246,148 -- -- 678,246,148 Utilities................... 47,551,285 -- -- 47,551,285 Temporary Cash Investments.... 110,063,812 -- -- 110,063,812 Securities Lending Collateral. -- $521,769,090 -- 521,769,090 --------------- ------------ -- --------------- TOTAL......................... $14,912,027,309 $521,769,090 -- $15,433,796,399 =============== ============ == ===============
See accompanying Notes to Financial Statements. 246 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.1%) AUSTRALIA -- (4.6%) Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5% Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3% Other Securities.................. 279,564,385 3.2% ------------ ----- TOTAL AUSTRALIA....................... 438,493,483 5.0% ------------ ----- AUSTRIA -- (0.2%) Other Securities.................. 16,529,353 0.2% ------------ ----- BELGIUM -- (1.2%) Other Securities.................. 112,978,600 1.3% ------------ ----- CANADA -- (8.8%) # Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7% # Magna International, Inc.......... 583,936 49,458,004 0.6% # Manulife Financial Corp........... 4,587,163 81,259,196 0.9% # Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6% Suncor Energy, Inc................ 3,750,370 136,288,802 1.6% # Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7% Other Securities.................. 400,896,217 4.4% ------------ ----- TOTAL CANADA.......................... 833,850,853 9.5% ------------ ----- DENMARK -- (1.5%) Other Securities.................. 137,640,320 1.6% ------------ ----- FINLAND -- (0.9%) Other Securities.................. 82,560,530 0.9% ------------ ----- FRANCE -- (9.7%) AXA SA............................ 4,004,754 99,780,178 1.1% BNP Paribas SA.................... 1,975,744 145,756,834 1.7% Cie de St-Gobain.................. 1,078,023 56,585,484 0.7% GDF Suez.......................... 3,247,971 80,496,939 0.9% Orange............................ 3,875,091 53,267,297 0.6% Societe Generale SA............... 1,823,515 103,009,458 1.2% Vivendi SA........................ 3,686,124 93,331,608 1.1% Other Securities.................. 290,292,116 3.2% ------------ ----- TOTAL FRANCE.......................... 922,519,914 10.5% ------------ ----- GERMANY -- (8.4%) Allianz SE........................ 518,031 86,978,602 1.0% Allianz SE ADR.................... 2,811,910 47,324,445 0.5% Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9% Daimler AG........................ 2,088,586 171,002,503 1.9% Deutsche Bank AG.................. 1,538,807 74,369,159 0.8% # Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6% E.ON SE........................... 3,638,090 66,316,888 0.8% Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9% Other Securities.................. 143,842,565 1.6% ------------ ----- TOTAL GERMANY......................... 795,910,489 9.0% ------------ ----- GREECE -- (0.0%) Other Securities.................. 4,734,900 0.1% ------------ -----
247 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.1%) Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8% Other Securities........................ 125,762,689 1.4% -------------- ----- TOTAL HONG KONG............................. 198,221,313 2.2% -------------- ----- IRELAND -- (0.1%) Other Securities........................ 13,557,887 0.1% -------------- ----- ISRAEL -- (0.3%) Other Securities........................ 28,069,013 0.3% -------------- ----- ITALY -- (1.5%) UniCredit SpA........................... 8,189,815 61,477,549 0.7% Other Securities........................ 78,424,839 0.9% -------------- ----- TOTAL ITALY................................. 139,902,388 1.6% -------------- ----- JAPAN -- (17.7%) Mitsubishi Corp......................... 3,482,500 70,454,645 0.8% Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8% Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7% Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7% NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6% Other Securities........................ 1,282,749,967 14.5% -------------- ----- TOTAL JAPAN................................. 1,680,734,643 19.1% -------------- ----- NETHERLANDS -- (3.1%) * ING Groep NV............................ 6,479,202 82,335,806 0.9% Other Securities........................ 207,395,423 2.4% -------------- ----- TOTAL NETHERLANDS........................... 289,731,229 3.3% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities........................ 6,293,702 0.1% -------------- ----- NORWAY -- (0.7%) Other Securities........................ 67,730,341 0.8% -------------- ----- PORTUGAL -- (0.1%) Other Securities........................ 6,386,228 0.1% -------------- ----- SINGAPORE -- (1.2%) Other Securities........................ 109,323,500 1.2% -------------- ----- SPAIN -- (2.3%) Banco Santander SA...................... 8,832,930 78,306,244 0.9% Iberdrola SA............................ 7,444,256 46,726,442 0.5% Other Securities........................ 94,892,837 1.1% -------------- ----- TOTAL SPAIN................................. 219,925,523 2.5% -------------- ----- SWEDEN -- (2.8%) Nordea Bank AB.......................... 5,366,449 68,644,974 0.8% Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7% Other Securities........................ 138,816,259 1.5% -------------- ----- TOTAL SWEDEN................................ 263,835,402 3.0% -------------- -----
248 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (6.9%) Credit Suisse Group AG...................................... 1,928,358 $ 59,987,253 0.7% Holcim, Ltd................................................. 887,877 66,039,798 0.8% Swiss Re AG................................................. 1,117,582 98,104,262 1.1% UBS AG...................................................... 6,496,062 125,640,734 1.4% Zurich Insurance Group AG................................... 269,917 74,584,331 0.9% Other Securities............................................ 232,054,236 2.6% -------------- ------ TOTAL SWITZERLAND................................................. 656,410,614 7.5% -------------- ------ UNITED KINGDOM -- (17.9%) Barclays P.L.C.............................................. 14,540,536 61,178,709 0.7% # Barclays P.L.C. Sponsored ADR............................... 5,739,573 96,482,222 1.1% BP P.L.C. Sponsored ADR..................................... 5,793,659 269,405,143 3.1% Glencore Xstrata P.L.C...................................... 15,896,454 86,511,958 1.0% # HSBC Holdings P.L.C. Sponsored ADR.......................... 1,694,884 93,286,415 1.1% Kingfisher P.L.C............................................ 8,609,963 52,085,475 0.6% * Lloyds Banking Group P.L.C.................................. 82,680,839 102,259,365 1.2% # Royal Dutch Shell P.L.C. ADR................................ 3,323,210 231,029,559 2.6% Vodafone Group P.L.C........................................ 34,976,333 128,109,810 1.5% Vodafone Group P.L.C. Sponsored ADR......................... 3,949,158 145,407,998 1.6% Other Securities............................................ 428,839,157 4.8% -------------- ------ TOTAL UNITED KINGDOM.............................................. 1,694,595,811 19.3% -------------- ------ TOTAL COMMON STOCKS............................................... 8,719,936,036 99.2% -------------- ------ PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities............................................ 23,753,308 0.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities............................................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................ 1,906,872 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS............................................. 1,906,872 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (7.7%) (S)@ DFA Short Term Investment Fund.............................. 62,748,487 726,000,000 8.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $796,375 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $720,177) to be repurchased at $706,058................................................... $ 706 706,056 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 726,706,056 8.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,742,743,361)......................................... $9,472,302,272 107.7% ============== ======
249 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 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................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483 Austria..................... -- 16,529,353 -- 16,529,353 Belgium..................... 3,382,426 109,596,174 -- 112,978,600 Canada...................... 833,850,853 -- -- 833,850,853 Denmark..................... -- 137,640,320 -- 137,640,320 Finland..................... 1,950,990 80,609,540 -- 82,560,530 France...................... 6,675,118 915,844,796 -- 922,519,914 Germany..................... 120,607,084 675,303,405 -- 795,910,489 Greece...................... -- 4,734,900 -- 4,734,900 Hong Kong................... -- 198,221,313 -- 198,221,313 Ireland..................... 5,268,488 8,289,399 -- 13,557,887 Israel...................... -- 28,069,013 -- 28,069,013 Italy....................... 18,295,120 121,607,268 -- 139,902,388 Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643 Netherlands................. 16,499,964 273,231,265 -- 289,731,229 New Zealand................. -- 6,293,702 -- 6,293,702 Norway...................... 265,956 67,464,385 -- 67,730,341 Portugal.................... -- 6,386,228 -- 6,386,228 Singapore................... -- 109,323,500 -- 109,323,500 Spain....................... 13,099,036 206,826,487 -- 219,925,523 Sweden...................... 11,416,422 252,418,980 -- 263,835,402 Switzerland................. 90,293,410 566,117,204 -- 656,410,614 United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811 Preferred Stocks Germany..................... -- 23,753,308 -- 23,753,308 Rights/Warrants Hong Kong................... -- -- -- -- Spain....................... -- 1,906,872 -- 1,906,872 Securities Lending Collateral. -- 726,706,056 -- 726,706,056 -------------- -------------- -- -------------- TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272 ============== ============== == ==============
See accompanying Notes to Financial Statements. 250 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (88.3%) Consumer Discretionary -- (18.9%) Accordia Golf Co., Ltd...................... 575,900 $ 6,320,624 0.3% Aoyama Trading Co., Ltd..................... 315,900 8,054,712 0.4% #* Arnest One Corp............................. 238,800 6,557,104 0.3% * Haseko Corp................................. 1,339,000 9,924,834 0.4% # Nifco, Inc.................................. 277,500 7,395,022 0.3% Resorttrust, Inc............................ 200,608 7,641,738 0.3% Shimachu Co., Ltd........................... 273,900 6,651,367 0.3% Tokyo Dome Corp............................. 984,200 6,768,438 0.3% Toyo Tire & Rubber Co., Ltd................. 1,080,000 6,310,337 0.3% Other Securities............................ 419,039,070 18.3% ------------ ----- Total Consumer Discretionary.................... 484,663,246 21.2% ------------ ----- Consumer Staples -- (8.2%) Fuji Oil Co. Ltd/Osaka...................... 367,600 6,699,430 0.3% # Nichirei Corp............................... 1,382,000 7,133,447 0.3% # Pigeon Corp................................. 191,600 9,885,257 0.4% Sapporo Holdings, Ltd....................... 1,874,000 8,333,114 0.4% Takara Holdings, Inc........................ 702,500 6,442,135 0.3% UNY Group Holdings Co., Ltd................. 1,183,300 7,466,985 0.3% Other Securities............................ 163,690,997 7.2% ------------ ----- Total Consumer Staples.......................... 209,651,365 9.2% ------------ ----- Energy -- (0.8%) Other Securities............................ 21,136,267 0.9% ------------ ----- Financials -- (9.7%) Daishi Bank, Ltd. (The)..................... 2,006,000 7,003,326 0.3% Juroku Bank, Ltd. (The)..................... 1,985,000 7,771,817 0.3% Musashino Bank, Ltd. (The).................. 196,000 6,876,837 0.3% San-In Godo Bank, Ltd. (The)................ 961,000 6,976,501 0.3% Other Securities............................ 219,964,821 9.7% ------------ ----- Total Financials................................ 248,593,302 10.9% ------------ ----- Health Care -- (4.2%) # Kaken Pharmaceutical Co., Ltd............... 417,000 6,512,147 0.3% Nihon Kohden Corp........................... 180,100 7,417,704 0.3% Rohto Pharmaceutical Co., Ltd............... 475,000 6,893,342 0.3% Ship Healthcare Holdings, Inc............... 185,700 7,620,076 0.3% Other Securities............................ 77,893,145 3.5% ------------ ----- Total Health Care............................... 106,336,414 4.7% ------------ ----- Industrials -- (26.4%) # Daifuku Co., Ltd............................ 505,000 6,493,984 0.3% # DMG Mori Seiki Co., Ltd..................... 551,500 8,946,428 0.4% Fujikura, Ltd............................... 2,042,000 9,317,972 0.4% # Furukawa Electric Co., Ltd.................. 3,973,000 9,208,531 0.4% Glory, Ltd.................................. 305,000 7,563,052 0.3% Hitachi Zosen Corp.......................... 879,499 6,993,194 0.3% Komori Corp................................. 407,800 6,412,688 0.3% Maeda Road Construction Co., Ltd............ 360,000 6,401,143 0.3% # Minebea Co., Ltd............................ 1,975,000 10,933,515 0.5% Mitsui Engineering & Shipbuilding Co., Ltd. 4,170,000 8,185,614 0.4% #* Nippon Sheet Glass Co., Ltd................. 5,424,000 7,034,712 0.3%
251 THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Nishimatsu Construction Co., Ltd................................. 1,855,000 $ 6,548,878 0.3% # Nisshinbo Holdings, Inc.......................................... 834,000 7,366,107 0.3% # OKUMA Corp....................................................... 792,000 6,690,276 0.3% OSG Corp......................................................... 401,700 6,498,156 0.3% # Sanwa Holdings Corp.............................................. 1,215,000 7,786,723 0.3% Seino Holdings Co., Ltd.......................................... 731,000 7,219,534 0.3% Sohgo Security Services Co., Ltd................................. 338,100 6,834,701 0.3% Other Securities................................................. 541,155,767 23.7% -------------- ------ Total Industrials...................................................... 677,590,975 29.7% -------------- ------ Information Technology -- (9.2%) * Alps Electric Co., Ltd........................................... 1,084,100 9,513,585 0.4% Horiba, Ltd...................................................... 218,850 7,996,873 0.4% IT Holdings Corp................................................. 448,301 6,439,577 0.3% # Taiyo Yuden Co., Ltd............................................. 619,100 7,935,573 0.4% Other Securities................................................. 204,758,270 8.9% -------------- ------ Total Information Technology........................................... 236,643,878 10.4% -------------- ------ Materials -- (10.5%) Mitsui Mining & Smelting Co., Ltd................................ 3,353,000 8,547,456 0.4% Rengo Co., Ltd................................................... 1,219,000 6,519,768 0.3% Sumitomo Osaka Cement Co., Ltd................................... 2,274,000 9,175,091 0.4% Tokuyama Corp.................................................... 1,979,000 7,654,790 0.3% Toyobo Co., Ltd.................................................. 4,867,000 9,352,621 0.4% Other Securities................................................. 228,355,855 10.0% -------------- ------ Total Materials........................................................ 269,605,581 11.8% -------------- ------ Telecommunication Services -- (0.0%) Other Securities................................................. 895,224 0.0% -------------- ------ Utilities -- (0.4%) Other Securities................................................. 10,306,973 0.5% -------------- ------ TOTAL COMMON STOCKS.................................................... 2,265,423,225 99.3% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund................................... 25,929,127 300,000,000 13.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $474,360 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $428,972) to be repurchased at $420,562............... $ 421 420,561 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 300,420,561 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,358,439,958).............................................. $2,565,843,786 112.5% ============== ======
252 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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...... $ 687,517 $ 483,975,729 -- $ 484,663,246 Consumer Staples............ -- 209,651,365 -- 209,651,365 Energy...................... -- 21,136,267 -- 21,136,267 Financials.................. 9,015,209 239,578,093 -- 248,593,302 Health Care................. -- 106,336,414 -- 106,336,414 Industrials................. -- 677,590,975 -- 677,590,975 Information Technology...... -- 236,643,878 -- 236,643,878 Materials................... -- 269,605,581 -- 269,605,581 Telecommunication Services.. -- 895,224 -- 895,224 Utilities................... -- 10,306,973 -- 10,306,973 Securities Lending Collateral. -- 300,420,561 -- 300,420,561 ---------- -------------- -- -------------- TOTAL......................... $9,702,726 $2,556,141,060 -- $2,565,843,786 ========== ============== == ==============
See accompanying Notes to Financial Statements. 253 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (81.3%) AUSTRALIA -- (40.8%) Adelaide Brighton, Ltd...................... 1,822,054 $ 6,631,679 0.5% # Ansell, Ltd................................. 414,608 7,641,753 0.6% Aristocrat Leisure, Ltd..................... 2,580,305 12,320,792 1.0% Arrium, Ltd................................. 7,583,001 9,907,713 0.8% #* Aurora Oil & Gas, Ltd....................... 2,256,634 6,929,410 0.6% Beach Energy, Ltd........................... 7,442,568 10,052,661 0.8% * BlueScope Steel, Ltd........................ 2,365,706 11,158,750 0.9% # Bradken, Ltd................................ 1,201,799 7,089,963 0.6% # carsales.com, Ltd........................... 1,220,399 12,118,987 1.0% CSR, Ltd.................................... 2,829,296 6,679,778 0.5% # David Jones, Ltd............................ 3,241,419 8,330,548 0.7% Downer EDI, Ltd............................. 2,414,160 11,216,171 0.9% DuluxGroup, Ltd............................. 2,317,895 11,287,494 0.9% Envestra, Ltd............................... 6,189,006 6,576,924 0.5% # Fairfax Media, Ltd.......................... 11,005,131 6,283,630 0.5% Goodman Fielder, Ltd........................ 9,960,250 7,158,645 0.6% GrainCorp, Ltd. Class A..................... 828,668 9,661,614 0.8% # Invocare, Ltd............................... 638,866 6,616,861 0.5% IOOF Holdings, Ltd.......................... 1,239,793 10,543,213 0.8% # Iress, Ltd.................................. 767,110 7,158,910 0.6% # JB Hi-Fi, Ltd............................... 639,044 13,169,341 1.0% # Mineral Resources, Ltd...................... 756,386 8,087,153 0.6% # Monadelphous Group, Ltd..................... 491,743 8,437,605 0.7% # Myer Holdings, Ltd.......................... 3,564,925 8,425,293 0.7% Navitas, Ltd................................ 1,192,373 6,531,773 0.5% # Perpetual, Ltd.............................. 234,074 10,190,785 0.8% Primary Health Care, Ltd.................... 1,709,571 7,975,871 0.6% # Reece Australia, Ltd........................ 238,257 6,301,473 0.5% #* Sims Metal Management, Ltd.................. 863,295 8,177,344 0.6% Spark Infrastructure Group.................. 4,143,888 6,637,154 0.5% # Super Retail Group, Ltd..................... 1,291,875 16,364,147 1.3% # TPG Telecom, Ltd............................ 1,484,123 6,542,913 0.5% # UGL, Ltd.................................... 995,514 6,923,273 0.6% Other Securities............................ 343,191,406 27.0% ------------ ----- TOTAL AUSTRALIA................................. 632,321,027 50.0% ------------ ----- BERMUDA -- (0.0%) Other Securities............................ 4,364 0.0% ------------ ----- CAYMAN ISLANDS -- (0.0%) Other Securities............................ 22,553 0.0% ------------ ----- CHINA -- (0.1%) Other Securities............................ 2,100,808 0.1% ------------ ----- HONG KONG -- (22.5%) # Chow Sang Sang Holdings International, Ltd.. 1,967,000 6,379,263 0.5% # Esprit Holdings, Ltd........................ 13,005,750 23,980,456 1.9% # Giordano International, Ltd................. 9,084,000 8,521,138 0.7% Hopewell Holdings, Ltd...................... 1,804,000 6,087,002 0.5% # Luk Fook Holdings International, Ltd........ 2,289,000 8,142,153 0.7% # Melco International Development, Ltd........ 6,017,000 18,925,645 1.5% Pacific Basin Shipping, Ltd................. 11,222,000 8,030,542 0.6%
254 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (Continued) SA SA International Holdings, Ltd............................. 7,008,000 $ 7,672,215 0.6% Shun Tak Holdings, Ltd........................................ 10,767,419 6,237,351 0.5% Xinyi Glass Holdings, Ltd..................................... 12,292,000 12,189,775 1.0% Other Securities.............................................. 242,212,412 19.0% -------------- ------ TOTAL HONG KONG..................................................... 348,377,952 27.5% -------------- ------ NEW ZEALAND -- (6.3%) # Fisher & Paykel Healthcare Corp., Ltd......................... 3,375,400 10,265,529 0.8% Port of Tauranga, Ltd......................................... 528,322 6,019,074 0.5% # Ryman Healthcare, Ltd......................................... 1,742,405 10,861,648 0.9% Sky Network Television, Ltd................................... 1,319,448 6,757,325 0.5% # SKYCITY Entertainment Group, Ltd.............................. 3,420,386 10,984,846 0.9% Other Securities.............................................. 52,594,791 4.1% -------------- ------ TOTAL NEW ZEALAND................................................... 97,483,213 7.7% -------------- ------ PHILIPPINES -- (0.0%) Other Securities.............................................. 17,016 0.0% -------------- ------ SINGAPORE -- (11.6%) # Singapore Post, Ltd........................................... 9,103,120 9,596,310 0.8% # Venture Corp., Ltd............................................ 1,600,000 10,019,818 0.8% Other Securities.............................................. 159,696,850 12.6% -------------- ------ TOTAL SINGAPORE..................................................... 179,312,978 14.2% -------------- ------ TOTAL COMMON STOCKS................................................. 1,259,639,911 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.............................................. -- 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities.............................................. -- 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS............................................... -- 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (18.7%) (S)@ DFA Short Term Investment Fund................................ 25,064,823 290,000,000 22.9% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.09%, 11/01/13 (Collateralized by $507,256 U.S. Treasury Note 2.375%, 09/30/14, valued at $518,619) to be repurchased at $506,216..................................................... $ 506 506,215 0.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $51,657 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $46,714) to be repurchased at $45,798.... 46 45,798 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................. 290,552,013 23.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,443,079,348)........................................... $1,550,191,924 122.5% ============== ======
255 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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................... $ 217,641 $ 632,103,386 -- $ 632,321,027 Bermuda..................... -- 4,364 -- 4,364 Cayman Islands.............. -- 22,553 -- 22,553 China....................... -- 2,100,808 -- 2,100,808 Hong Kong................... 4,648,233 343,729,719 -- 348,377,952 New Zealand................. -- 97,483,213 -- 97,483,213 Philippines................. -- 17,016 -- 17,016 Singapore................... 10,228 179,302,750 -- 179,312,978 Rights/Warrants Australia................... -- -- -- -- Hong Kong................... -- -- -- -- Securities Lending Collateral. -- 290,552,013 -- 290,552,013 ---------- -------------- -- -------------- TOTAL......................... $4,876,102 $1,545,315,822 -- $1,550,191,924 ========== ============== == ==============
See accompanying Notes to Financial Statements. 256 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (98.5%) Consumer Discretionary -- (26.5%) Barratt Developments P.L.C........ 5,157,995 $ 27,660,094 1.4% Bellway P.L.C..................... 652,849 15,724,768 0.8% Berkeley Group Holdings P.L.C..... 650,346 24,378,283 1.2% Daily Mail & General Trust P.L.C.. 1,328,069 17,321,746 0.9% * Dixons Retail P.L.C............... 16,850,562 13,202,433 0.7% Greene King P.L.C................. 1,421,372 18,808,719 0.9% Home Retail Group P.L.C........... 4,196,363 13,388,556 0.7% Howden Joinery Group P.L.C........ 2,676,884 13,843,959 0.7% Inchcape P.L.C.................... 2,319,770 23,684,611 1.2% Informa P.L.C..................... 3,121,619 27,964,781 1.4% Ladbrokes P.L.C................... 4,483,503 13,723,124 0.7% Persimmon P.L.C................... 1,366,507 27,666,555 1.4% Rightmove P.L.C................... 319,449 13,574,746 0.7% Taylor Wimpey P.L.C............... 15,614,170 27,549,112 1.4% * Thomas Cook Group P.L.C........... 7,517,966 17,303,141 0.9% William Hill P.L.C................ 3,678,697 23,618,931 1.2% Other Securities.................. 213,258,054 10.6% ------------ ----- Total Consumer Discretionary.......... 532,671,613 26.8% ------------ ----- Consumer Staples -- (3.7%) Booker Group P.L.C................ 7,511,637 18,092,064 0.9% Other Securities.................. 56,304,593 2.8% ------------ ----- Total Consumer Staples................ 74,396,657 3.7% ------------ ----- Energy -- (5.3%) * Afren P.L.C....................... 5,639,345 14,254,859 0.7% John Wood Group P.L.C............. 1,377,126 17,930,742 0.9% Premier Oil P.L.C................. 2,484,308 13,823,320 0.7% Other Securities.................. 60,971,072 3.1% ------------ ----- Total Energy.......................... 106,979,993 5.4% ------------ ----- Financials -- (14.2%) Amlin P.L.C....................... 2,613,209 17,854,912 0.9% Catlin Group, Ltd................. 1,812,653 14,890,947 0.8% Close Brothers Group P.L.C........ 777,213 15,739,934 0.8% Henderson Group P.L.C............. 5,229,541 17,950,379 0.9% Hiscox, Ltd....................... 1,848,675 19,626,193 1.0% ICAP P.L.C........................ 2,874,272 17,748,601 0.9% IG Group Holdings P.L.C........... 1,346,879 13,237,127 0.7% Man Group P.L.C................... 9,800,117 13,947,727 0.7% Other Securities.................. 153,842,365 7.6% ------------ ----- Total Financials...................... 284,838,185 14.3% ------------ ----- Health Care -- (2.6%) Hikma Pharmaceuticals P.L.C....... 713,706 13,730,269 0.7% Other Securities.................. 38,129,221 1.9% ------------ ----- Total Health Care..................... 51,859,490 2.6% ------------ ----- Industrials -- (26.3%) Ashtead Group P.L.C............... 2,598,958 27,310,230 1.4% Balfour Beatty P.L.C.............. 3,596,658 16,448,453 0.8% BBA Aviation P.L.C................ 2,792,163 15,134,152 0.8% Berendsen P.L.C................... 810,481 12,621,571 0.6%
257 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Bodycote P.L.C............................................... 1,253,236 $ 13,210,384 0.7% Cobham P.L.C................................................. 5,618,202 25,946,576 1.3% DCC P.L.C.................................................... 431,941 19,342,514 1.0% Hays P.L.C................................................... 7,041,541 14,054,156 0.7% Invensys P.L.C............................................... 2,824,855 22,668,384 1.1% Melrose Industries P.L.C..................................... 4,156,691 21,310,110 1.1% Rotork P.L.C................................................. 335,959 15,392,385 0.8% Serco Group P.L.C............................................ 1,965,238 17,561,115 0.9% Spirax-Sarco Engineering P.L.C............................... 330,635 15,461,631 0.8% Stagecoach Group P.L.C....................................... 2,248,039 12,684,109 0.6% Other Securities............................................. 279,015,291 14.0% -------------- ------ Total Industrials.................................................. 528,161,061 26.6% -------------- ------ Information Technology -- (7.7%) Halma P.L.C.................................................. 1,738,128 15,266,910 0.8% Spectris P.L.C............................................... 582,385 21,564,398 1.1% Other Securities............................................. 117,190,576 5.8% -------------- ------ Total Information Technology....................................... 154,021,884 7.7% -------------- ------ Materials -- (7.5%) Croda International P.L.C.................................... 442,133 17,277,527 0.9% DS Smith P.L.C............................................... 4,875,734 23,632,372 1.2% Other Securities............................................. 109,270,013 5.5% -------------- ------ Total Materials.................................................... 150,179,912 7.6% -------------- ------ Telecommunication Services -- (2.3%) Inmarsat P.L.C............................................... 2,097,288 24,206,344 1.2% Other Securities............................................. 22,947,045 1.2% -------------- ------ Total Telecommunication Services................................... 47,153,389 2.4% -------------- ------ Utilities -- (2.4%) Drax Group P.L.C............................................. 2,103,725 21,477,657 1.1% Pennon Group P.L.C........................................... 1,980,713 21,629,062 1.1% Other Securities............................................. 5,169,242 0.2% -------------- ------ Total Utilities.................................................... 48,275,961 2.4% -------------- ------ TOTAL COMMON STOCKS................................................ 1,978,538,145 99.5% -------------- ------ PREFERRED STOCKS -- (0.0%) Other Securities............................................. 50,874 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (1.5%) (S)@ DFA Short Term Investment Fund............................... 2,592,913 30,000,000 1.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $735,534 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $665,157) to be repurchased at $652,117................................................. $ 652 652,115 0.1% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 30,652,115 1.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,356,132,190).......................................... $2,009,241,134 101.1% ============== ======
258 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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...... $ 19,789 $ 532,651,824 -- $ 532,671,613 Consumer Staples............ -- 74,396,657 -- 74,396,657 Energy...................... -- 106,979,993 -- 106,979,993 Financials.................. -- 284,838,185 -- 284,838,185 Health Care................. -- 51,859,490 -- 51,859,490 Industrials................. 33,414 528,127,647 -- 528,161,061 Information Technology...... 78,663 153,943,221 -- 154,021,884 Materials................... -- 150,179,912 -- 150,179,912 Telecommunication Services.. -- 47,153,389 -- 47,153,389 Utilities................... -- 48,275,961 -- 48,275,961 Preferred Stocks.............. -- 50,874 -- 50,874 Securities Lending Collateral. -- 30,652,115 -- 30,652,115 -------- -------------- -- -------------- TOTAL......................... $131,866 $2,009,109,268 -- $2,009,241,134 ======== ============== == ==============
See accompanying Notes to Financial Statements. 259 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (86.7%) AUSTRIA -- (2.1%) Other Securities............... $ 78,645,320 2.4% ------------ ----- BELGIUM -- (2.6%) Ackermans & van Haaren NV...... 118,073 12,787,617 0.4% Other Securities............... 82,826,125 2.6% ------------ ----- TOTAL BELGIUM...................... 95,613,742 3.0% ------------ ----- DENMARK -- (4.1%) GN Store Nord A.S.............. 772,340 17,619,238 0.6% * Jyske Bank A.S................. 252,239 14,261,538 0.5% * Topdanmark A.S................. 507,925 13,824,624 0.4% #* Vestas Wind Systems A.S........ 693,291 18,578,010 0.6% Other Securities............... 88,855,266 2.7% ------------ ----- TOTAL DENMARK...................... 153,138,676 4.8% ------------ ----- FINLAND -- (5.5%) Amer Sports Oyj................ 550,929 11,303,591 0.4% # Elisa Oyj...................... 663,319 16,618,626 0.5% # Neste Oil Oyj.................. 596,102 11,819,716 0.4% Other Securities............... 162,284,236 5.0% ------------ ----- TOTAL FINLAND...................... 202,026,169 6.3% ------------ ----- FRANCE -- (11.1%) #* Alcatel-Lucent................. 12,082,064 46,287,055 1.5% Lagardere SCA.................. 427,942 15,546,813 0.5% # Neopost SA..................... 167,752 12,665,437 0.4% #* Peugeot SA..................... 1,076,690 14,163,830 0.5% Societe Television Francaise 1. 567,362 10,931,881 0.4% Teleperformance................ 275,593 14,588,498 0.5% Other Securities............... 295,307,033 8.9% ------------ ----- TOTAL FRANCE....................... 409,490,547 12.7% ------------ ----- GERMANY -- (12.5%) * Aareal Bank AG................. 423,110 16,227,581 0.5% # Celesio AG..................... 406,712 12,644,638 0.4% # Deutsche Wohnen AG............. 816,056 15,347,428 0.5% Freenet AG..................... 489,959 12,726,578 0.4% Rheinmetall AG................. 189,044 11,687,366 0.4% Rhoen Klinikum AG.............. 500,406 13,984,605 0.4% Stada Arzneimittel AG.......... 287,980 16,553,592 0.5% Other Securities............... 363,033,443 11.3% ------------ ----- TOTAL GERMANY...................... 462,205,231 14.4% ------------ ----- GREECE -- (2.0%) Other Securities............... 75,861,383 2.4% ------------ ----- IRELAND -- (1.9%) Paddy Power P.L.C.............. 175,221 14,181,124 0.4% Smurfit Kappa Group P.L.C...... 554,973 13,433,965 0.4% Other Securities............... 44,425,840 1.4% ------------ ----- TOTAL IRELAND...................... 72,040,929 2.2% ------------ -----
260 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- ISRAEL -- (2.3%) Other Securities............................ $ 86,155,595 2.7% ------------ ---- ITALY -- (8.1%) Azimut Holding SpA.......................... 491,069 12,457,026 0.4% * Banca Popolare dell'Emilia Romagna S.c.r.l.. 1,449,109 13,922,026 0.4% * Banco Popolare.............................. 6,663,294 13,237,221 0.4% #* Finmeccanica SpA............................ 1,838,316 13,471,206 0.4% * Mediaset SpA................................ 3,041,414 15,187,868 0.5% Unione di Banche Italiane SCPA.............. 2,765,965 19,116,785 0.6% Other Securities............................ 214,025,040 6.7% ------------ ---- TOTAL ITALY..................................... 301,417,172 9.4% ------------ ---- NETHERLANDS -- (5.0%) Aalberts Industries NV...................... 480,099 14,334,222 0.4% Delta Lloyd NV.............................. 943,521 20,004,182 0.6% Nutreco NV.................................. 359,256 17,562,430 0.6% #* PostNL NV................................... 2,402,055 12,551,522 0.4% * SBM Offshore NV............................. 948,481 19,852,164 0.6% Other Securities............................ 99,359,737 3.1% ------------ ---- TOTAL NETHERLANDS............................... 183,664,257 5.7% ------------ ---- NORWAY -- (3.1%) Other Securities............................ 115,126,917 3.6% ------------ ---- PORTUGAL -- (1.5%) Other Securities............................ 55,664,423 1.7% ------------ ---- RUSSIA -- (0.0%) Other Securities............................ 994,896 0.0% ------------ ---- SPAIN -- (5.3%) Bankinter SA................................ 2,085,446 12,715,217 0.4% # Bolsas y Mercados Espanoles SA.............. 338,781 12,667,129 0.4% * Jazztel P.L.C............................... 1,025,473 11,231,832 0.4% # Viscofan SA................................. 213,526 11,326,669 0.4% Other Securities............................ 146,812,397 4.4% ------------ ---- TOTAL SPAIN..................................... 194,753,244 6.0% ------------ ---- SWEDEN -- (8.7%) Castellum AB................................ 739,664 11,357,362 0.4% Modern Times Group AB Class B............... 234,304 12,780,214 0.4% Securitas AB Class B........................ 998,620 11,387,211 0.4% Other Securities............................ 284,674,858 8.7% ------------ ---- TOTAL SWEDEN.................................... 320,199,645 9.9% ------------ ---- SWITZERLAND -- (10.7%) * Dufry AG.................................... 73,187 11,824,599 0.4% Galenica AG................................. 20,798 18,381,416 0.6% GAM Holding AG.............................. 806,220 15,064,909 0.5% Georg Fischer AG............................ 18,366 12,651,376 0.4% Helvetia Holding AG......................... 27,336 12,892,724 0.4% Lonza Group AG.............................. 255,221 22,781,770 0.7% OC Oerlikon Corp. AG........................ 858,856 12,006,957 0.4% PSP Swiss Property AG....................... 148,327 12,748,515 0.4% Swiss Life Holding AG....................... 62,436 12,379,830 0.4%
261 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (Continued) Other Securities............................................. $ 263,744,247 8.1% -------------- ------ TOTAL SWITZERLAND.................................................. 394,476,343 12.3% -------------- ------ UNITED KINGDOM -- (0.2%) Other Securities............................................. 6,763,969 0.2% -------------- ------ TOTAL COMMON STOCKS................................................ 3,208,238,458 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) Other Securities............................................. -- 0.0% -------------- ------ ISRAEL -- (0.0%) Other Securities............................................. 1 0.0% -------------- ------ ITALY -- (0.0%) Other Securities............................................. 51,097 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................................. 51,098 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (13.3%) (S)@ DFA Short Term Investment Fund............................... 42,437,338 491,000,000 15.3% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $123,381 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $111,576) to be repurchased at $109,388................................................. $ 109 109,388 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 491,109,388 15.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,907,677,627).......................................... $3,699,398,944 115.0% ============== ======
262 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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..................... -- $ 78,645,320 -- $ 78,645,320 Belgium..................... -- 95,613,742 -- 95,613,742 Denmark..................... $ 48,818 153,089,858 -- 153,138,676 Finland..................... -- 202,026,169 -- 202,026,169 France...................... 1,198,479 408,292,068 -- 409,490,547 Germany..................... 9,926,017 452,279,214 -- 462,205,231 Greece...................... -- 75,861,383 -- 75,861,383 Ireland..................... 18,523 72,022,406 -- 72,040,929 Israel...................... -- 86,155,595 -- 86,155,595 Italy....................... 5,458,905 295,958,267 -- 301,417,172 Netherlands................. -- 183,664,257 -- 183,664,257 Norway...................... 1,764,837 113,362,080 -- 115,126,917 Portugal.................... -- 55,664,423 -- 55,664,423 Russia...................... -- 994,896 -- 994,896 Spain....................... -- 194,753,244 -- 194,753,244 Sweden...................... 54,338 320,145,307 -- 320,199,645 Switzerland................. -- 394,476,343 -- 394,476,343 United Kingdom.............. -- 6,763,969 -- 6,763,969 Rights/Warrants Austria..................... -- -- -- -- Israel...................... -- 1 -- 1 Italy....................... -- 51,097 -- 51,097 Securities Lending Collateral. -- 491,109,388 -- 491,109,388 ----------- -------------- -- -------------- TOTAL......................... $18,469,917 $3,680,929,027 -- $3,699,398,944 =========== ============== == ==============
See accompanying Notes to Financial Statements. 263 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (77.1%) Consumer Discretionary -- (7.9%) # Cineplex, Inc.......................... 271,135 $ 10,921,853 1.5% # Corus Entertainment, Inc. Class B...... 369,716 8,616,601 1.2% Dorel Industries, Inc. Class B......... 126,820 4,712,038 0.7% #* Imax Corp.............................. 211,609 6,155,566 0.8% Linamar Corp........................... 269,606 9,065,733 1.2% Martinrea International, Inc........... 461,356 4,889,449 0.7% # RONA, Inc.............................. 681,945 7,992,488 1.1% Other Securities....................... 23,079,749 3.0% ------------ ----- Total Consumer Discretionary............... 75,433,477 10.2% ------------ ----- Consumer Staples -- (3.3%) # Maple Leaf Foods, Inc.................. 500,264 7,364,938 1.0% North West Co., Inc. (The)............. 232,610 5,784,853 0.8% Other Securities....................... 18,477,910 2.5% ------------ ----- Total Consumer Staples..................... 31,627,701 4.3% ------------ ----- Energy -- (20.8%) * Bankers Petroleum, Ltd................. 1,277,846 4,902,301 0.7% #* Bellatrix Exploration, Ltd............. 655,708 4,911,600 0.7% Calfrac Well Services, Ltd............. 154,348 4,811,116 0.7% # Enbridge Income Fund Holdings, Inc..... 227,285 5,090,016 0.7% * Gran Tierra Energy, Inc................ 1,391,012 10,486,121 1.4% * Legacy Oil + Gas, Inc.................. 745,800 5,049,967 0.7% # Lightstream Resources, Ltd............. 863,190 5,546,804 0.8% # Mullen Group, Ltd...................... 458,025 12,273,743 1.7% # Parkland Fuel Corp..................... 353,327 6,475,883 0.9% # Pason Systems, Inc..................... 285,137 5,926,168 0.8% Secure Energy Services, Inc............ 437,854 6,210,963 0.8% # Trican Well Service, Ltd............... 643,185 9,037,223 1.2% Trinidad Drilling, Ltd................. 604,997 5,860,519 0.8% # Whitecap Resources, Inc................ 784,268 9,108,987 1.2% Other Securities....................... 103,238,492 13.7% ------------ ----- Total Energy............................... 198,929,903 26.8% ------------ ----- Financials -- (6.2%) # AGF Management, Ltd. Class B........... 381,468 5,037,946 0.7% # Canadian Western Bank.................. 300,957 9,652,330 1.3% FirstService Corp...................... 135,548 5,634,346 0.8% # Home Capital Group, Inc................ 120,600 9,571,429 1.3% Laurentian Bank of Canada.............. 147,250 6,574,102 0.9% Other Securities....................... 23,304,568 3.1% ------------ ----- Total Financials........................... 59,774,721 8.1% ------------ ----- Health Care -- (1.5%) Other Securities....................... 14,593,623 2.0% ------------ ----- Industrials -- (11.2%) * ATS Automation Tooling Systems, Inc.... 440,214 6,088,223 0.8% # Black Diamond Group, Ltd............... 188,933 4,948,698 0.7% Genivar, Inc........................... 181,860 5,204,721 0.7% MacDonald Dettwiler & Associates, Ltd.. 85,470 6,521,017 0.9% # Ritchie Bros Auctioneers, Inc.......... 273,199 5,400,308 0.7% # Russel Metals, Inc..................... 316,110 8,731,567 1.2%
264 THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Stantec, Inc..................................................... 228,285 $ 13,565,951 1.8% Transcontinental, Inc. Class A................................... 333,758 5,329,757 0.7% # TransForce, Inc.................................................. 388,103 8,594,733 1.1% Other Securities................................................. 43,443,189 5.9% ------------ ------ Total Industrials...................................................... 107,828,164 14.5% ------------ ------ Information Technology -- (4.5%) #* Celestica, Inc................................................... 949,607 10,428,236 1.4% # Davis + Henderson Corp........................................... 334,212 8,606,524 1.2% Other Securities................................................. 23,741,614 3.2% ------------ ------ Total Information Technology........................................... 42,776,374 5.8% ------------ ------ Materials -- (17.4%) # Alamos Gold, Inc................................................. 503,857 8,026,725 1.1% # AuRico Gold, Inc................................................. 1,234,795 5,127,955 0.7% * Canfor Corp...................................................... 362,555 7,514,327 1.0% CCL Industries, Inc. Class B..................................... 111,467 7,654,570 1.0% * Dominion Diamond Corp............................................ 379,239 5,121,263 0.7% #* First Majestic Silver Corp....................................... 431,070 4,878,558 0.7% # HudBay Minerals, Inc............................................. 872,492 7,112,820 1.0% # Sherritt International Corp...................................... 1,628,826 5,577,048 0.8% Other Securities................................................. 115,295,893 15.4% ------------ ------ Total Materials........................................................ 166,309,159 22.4% ------------ ------ Telecommunication Services -- (0.3%) Other Securities................................................. 2,823,941 0.4% ------------ ------ Utilities -- (4.0%) # Algonquin Power & Utilities Corp................................. 912,415 5,889,371 0.8% # Capital Power Corp............................................... 376,609 7,801,999 1.1% # Superior Plus Corp............................................... 653,197 6,966,432 0.9% Other Securities................................................. 18,058,688 2.4% ------------ ------ Total Utilities........................................................ 38,716,490 5.2% ------------ ------ TOTAL COMMON STOCKS.................................................... 738,813,553 99.7% ------------ ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (22.9%) (S)@ DFA Short Term Investment Fund................................... 18,928,263 219,000,000 29.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $753,495 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $681,400) to be repurchased at $668,041..... $ 668 668,039 0.1% ------------ ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 219,668,039 29.6% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,032,941,509).............................................. $958,481,592 129.3% ============ ======
265 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 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...... $ 75,433,477 -- -- $ 75,433,477 Consumer Staples............ 31,627,701 -- -- 31,627,701 Energy...................... 198,929,422 $ 481 -- 198,929,903 Financials.................. 59,774,721 -- -- 59,774,721 Health Care................. 14,547,507 46,116 -- 14,593,623 Industrials................. 107,828,164 -- -- 107,828,164 Information Technology...... 42,776,374 -- -- 42,776,374 Materials................... 166,308,690 469 -- 166,309,159 Telecommunication Services.. 2,823,941 -- -- 2,823,941 Utilities................... 38,716,490 -- -- 38,716,490 Securities Lending Collateral. -- 219,668,039 -- 219,668,039 ------------ ------------ -- ------------ TOTAL......................... $738,766,487 $219,715,105 -- $958,481,592 ============ ============ == ============
See accompanying Notes to Financial Statements. 266 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (90.1%) ARGENTINA -- (0.0%) Other Securities.................................... $ -- 0.0% -------------- ----- BRAZIL -- (7.7%) BRF SA ADR.......................................... 564,360 13,222,955 0.4% Cia de Bebidas das Americas ADR..................... 622,039 23,139,851 0.6% Petroleo Brasileiro SA ADR.......................... 1,372,750 23,927,033 0.6% Petroleo Brasileiro SA Sponsored ADR................ 1,985,055 36,048,599 1.0% # Vale SA Sponsored ADR............................... 1,249,020 19,996,810 0.5% Other Securities.................................... 191,525,535 5.1% -------------- ----- TOTAL BRAZIL............................................ 307,860,783 8.2% -------------- ----- CHILE -- (1.6%) Other Securities.................................... 65,091,958 1.7% -------------- ----- CHINA -- (14.1%) Bank of China, Ltd. Class H......................... 65,514,100 30,844,677 0.8% China Construction Bank Corp. Class H............... 56,443,590 43,914,613 1.2% China Life Insurance Co., Ltd. ADR.................. 330,798 13,043,365 0.4% # China Mobile, Ltd. Sponsored ADR.................... 877,340 45,639,227 1.2% CNOOC, Ltd. ADR..................................... 115,255 23,317,239 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 59,907,185 41,919,158 1.1% # PetroChina Co., Ltd. ADR............................ 145,110 16,436,610 0.4% Tencent Holdings, Ltd............................... 763,600 41,659,099 1.1% Other Securities.................................... 306,311,176 8.1% -------------- ----- TOTAL CHINA............................................. 563,085,164 14.9% -------------- ----- COLOMBIA -- (0.7%) Other Securities.................................... 28,765,622 0.8% -------------- ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 12,280,918 0.3% -------------- ----- EGYPT -- (0.1%) Other Securities.................................... 3,051,734 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 6,042 0.0% -------------- ----- HUNGARY -- (0.3%) Other Securities.................................... 11,759,342 0.3% -------------- ----- INDIA -- (6.3%) HDFC Bank, Ltd...................................... 1,530,953 17,028,382 0.5% Infosys, Ltd........................................ 234,483 12,485,974 0.3% Infosys, Ltd. Sponsored ADR......................... 233,468 12,387,812 0.3% Reliance Industries, Ltd............................ 1,433,931 21,342,373 0.6% Tata Consultancy Services, Ltd...................... 413,679 14,186,300 0.4% Other Securities.................................... 174,387,200 4.6% -------------- ----- TOTAL INDIA............................................. 251,818,041 6.7% -------------- ----- INDONESIA -- (2.4%) Other Securities.................................... 94,111,506 2.5% -------------- -----
267 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (4.1%) # Malayan Banking Bhd........................ 5,003,321 $ 15,508,389 0.4% Other Securities........................... 147,272,696 3.9% -------------- ----- TOTAL MALAYSIA................................. 162,781,085 4.3% -------------- ----- MEXICO -- (5.2%) # America Movil S.A.B. de C.V. Series L...... 37,750,669 40,420,537 1.1% * Cemex S.A.B. de C.V. Sponsored ADR......... 1,285,964 13,605,497 0.4% Fomento Economico Mexicano S.A.B. de C.V... 1,793,669 16,765,060 0.4% Grupo Financiero Banorte S.A.B. de C.V..... 2,832,687 18,133,018 0.5% Grupo Televisa S.A.B. Series CPO........... 2,556,698 15,557,014 0.4% Wal-Mart de Mexico S.A.B. de C.V. Series V. 5,418,775 14,087,631 0.4% Other Securities........................... 87,399,675 2.3% -------------- ----- TOTAL MEXICO................................... 205,968,432 5.5% -------------- ----- PERU -- (0.3%) Other Securities........................... 10,242,946 0.3% -------------- ----- PHILIPPINES -- (1.3%) Other Securities........................... 50,006,707 1.3% -------------- ----- POLAND -- (1.7%) Other Securities........................... 68,061,972 1.8% -------------- ----- RUSSIA -- (5.2%) Gazprom OAO Sponsored ADR.................. 6,850,921 64,038,306 1.7% Lukoil OAO Sponsored ADR................... 556,966 36,477,853 1.0% Sberbank of Russia Sponsored ADR........... 2,809,303 35,825,291 1.0% Other Securities........................... 69,300,946 1.8% -------------- ----- TOTAL RUSSIA................................... 205,642,396 5.5% -------------- ----- SOUTH AFRICA -- (7.1%) # MTN Group, Ltd............................. 1,882,816 37,425,026 1.0% # Naspers, Ltd. Class N...................... 416,705 39,005,158 1.0% # Sasol, Ltd. Sponsored ADR.................. 583,774 29,784,149 0.8% Standard Bank Group, Ltd................... 1,209,908 15,392,568 0.4% Other Securities........................... 162,612,740 4.3% -------------- ----- TOTAL SOUTH AFRICA............................. 284,219,641 7.5% -------------- ----- SOUTH KOREA -- (14.9%) Hyundai Mobis.............................. 70,280 19,824,583 0.5% Hyundai Motor Co........................... 158,812 37,835,980 1.0% KB Financial Group, Inc.................... 353,265 13,912,801 0.4% # Kia Motors Corp............................ 270,669 15,726,190 0.4% LG Chem, Ltd............................... 47,843 13,495,647 0.4% Naver Corp................................. 27,242 15,287,313 0.4% POSCO...................................... 50,240 14,998,694 0.4% Samsung Electronics Co., Ltd............... 81,840 112,862,139 3.0% Samsung Electronics Co., Ltd. GDR.......... 49,372 34,218,733 0.9% Shinhan Financial Group Co., Ltd........... 374,876 16,345,946 0.4% * SK Hynix, Inc.............................. 512,610 15,424,892 0.4% Other Securities........................... 283,823,686 7.6% -------------- ----- TOTAL SOUTH KOREA.............................. 593,756,604 15.8% -------------- -----
268 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (12.3%) Cathay Financial Holding Co., Ltd............................ 8,634,048 $ 13,043,972 0.4% Hon Hai Precision Industry Co., Ltd.......................... 12,590,056 32,007,618 0.9% # MediaTek, Inc................................................ 1,249,995 17,089,840 0.5% # Taiwan Semiconductor Manufacturing Co., Ltd.................. 25,188,808 92,834,992 2.5% Other Securities............................................. 334,744,052 8.7% -------------- ------ TOTAL TAIWAN....................................................... 489,720,474 13.0% -------------- ------ THAILAND -- (2.6%) Other Securities............................................. 103,053,381 2.7% -------------- ------ TURKEY -- (1.9%) Other Securities............................................. 74,508,182 2.0% -------------- ------ TOTAL COMMON STOCKS................................................ 3,585,792,930 95.2% -------------- ------ PREFERRED STOCKS -- (3.8%) BRAZIL -- (3.7%) Banco Bradesco SA............................................ 2,244,395 32,334,852 0.9% Itau Unibanco Holding SA..................................... 2,568,240 39,737,954 1.1% Vale SA...................................................... 1,529,491 22,387,437 0.6% Other Securities............................................. 52,726,591 1.3% -------------- ------ TOTAL BRAZIL....................................................... 147,186,834 3.9% -------------- ------ CHILE -- (0.0%) Other Securities............................................. 52,088 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities............................................. 3,707,074 0.1% -------------- ------ TOTAL PREFERRED STOCKS............................................. 150,945,996 4.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SOUTH KOREA -- (0.0%) Other Securities............................................. -- 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (6.1%) (S)@ DFA Short Term Investment Fund............................... 21,089,023 244,000,000 6.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $799,156 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $722,691) to be repurchased at $708,523................................................. $ 709 708,521 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 244,708,521 6.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,769,771,714).......................................... $3,981,447,447 105.7% ============== ======
269 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 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...................... $168,534,522 $ 139,326,261 -- $ 307,860,783 Chile....................... 28,146,828 36,945,130 -- 65,091,958 China....................... 124,364,007 438,721,157 -- 563,085,164 Colombia.................... 28,765,622 -- -- 28,765,622 Czech Republic.............. -- 12,280,918 -- 12,280,918 Egypt....................... -- 3,051,734 -- 3,051,734 Hong Kong................... -- 6,042 -- 6,042 Hungary..................... -- 11,759,342 -- 11,759,342 India....................... 25,671,195 226,146,846 -- 251,818,041 Indonesia................... 37,082 94,074,424 -- 94,111,506 Malaysia.................... -- 162,781,085 -- 162,781,085 Mexico...................... 205,968,432 -- -- 205,968,432 Peru........................ 10,242,946 -- -- 10,242,946 Philippines................. 264,468 49,742,239 -- 50,006,707 Poland...................... -- 68,061,972 -- 68,061,972 Russia...................... 9,320,240 196,322,156 -- 205,642,396 South Africa................ 38,062,533 246,157,108 -- 284,219,641 South Korea................. 18,326,152 575,430,452 -- 593,756,604 Taiwan...................... 9,347,981 480,372,493 -- 489,720,474 Thailand.................... 103,053,381 -- -- 103,053,381 Turkey...................... 1,154,826 73,353,356 -- 74,508,182 Preferred Stocks Brazil...................... 4,164,774 143,022,060 -- 147,186,834 Chile....................... -- 52,088 -- 52,088 Colombia.................... 3,707,074 -- -- 3,707,074 Rights/Warrants South Korea................. -- -- -- -- Securities Lending Collateral. -- 244,708,521 -- 244,708,521 ------------ -------------- -- -------------- TOTAL......................... $779,132,063 $3,202,315,384 -- $3,981,447,447 ============ ============== == ==============
See accompanying Notes to Financial Statements. 270 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (87.8%) ARGENTINA -- (0.0%) Other Securities.............................. $ 1 0.0% -------------- ----- BRAZIL -- (8.3%) Anhanguera Educacional Participacoes SA....... 2,379,735 14,230,629 0.4% Cia Hering.................................... 1,041,790 15,090,189 0.4% Diagnosticos da America SA.................... 2,097,741 10,768,045 0.3% EDP--Energias do Brasil SA.................... 2,238,398 12,770,046 0.3% Equatorial Energia SA......................... 1,308,435 13,571,943 0.3% Estacio Participacoes SA...................... 2,460,804 19,001,453 0.5% Mills Estruturas e Servicos de Engenharia SA.. 684,126 9,450,762 0.2% MRV Engenharia e Participacoes SA............. 2,831,833 12,175,228 0.3% Odontoprev SA................................. 2,549,265 10,526,927 0.3% * PDG Realty SA Empreendimentos e Participacoes. 11,912,853 10,700,850 0.3% Sul America SA................................ 1,675,809 12,241,484 0.3% Totvs SA...................................... 592,700 10,010,991 0.2% Other Securities.............................. 228,827,701 5.5% -------------- ----- TOTAL BRAZIL...................................... 379,366,248 9.3% -------------- ----- CHILE -- (1.2%) Other Securities.............................. 53,687,227 1.3% -------------- ----- CHINA -- (13.4%) China Everbright International, Ltd........... 9,335,800 9,330,899 0.2% Kingboard Chemical Holdings, Ltd.............. 3,127,921 8,140,723 0.2% # Kingsoft Corp., Ltd........................... 3,169,000 7,862,517 0.2% Sino Biopharmaceutical........................ 13,536,000 9,497,013 0.2% # Sino-Ocean Land Holdings, Ltd................. 12,793,851 8,112,580 0.2% Other Securities.............................. 565,241,184 13.9% -------------- ----- TOTAL CHINA....................................... 608,184,916 14.9% -------------- ----- COLOMBIA -- (0.0%) Other Securities.............................. 766,239 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities.............................. 784,892 0.0% -------------- ----- HUNGARY -- (0.0%) Other Securities.............................. 1,195,029 0.0% -------------- ----- INDIA -- (6.5%) Other Securities.............................. 294,353,584 7.2% -------------- ----- INDONESIA -- (3.2%) Mayora Indah Tbk PT........................... 3,284,750 8,523,530 0.2% Other Securities.............................. 137,177,075 3.3% -------------- ----- TOTAL INDONESIA................................... 145,700,605 3.5% -------------- ----- ISRAEL -- (0.0%) Other Securities.............................. 42,022 0.0% -------------- ----- MACEDONIA -- (0.0%) Other Securities.............................. -- 0.0% -------------- -----
271 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (5.7%) Bursa Malaysia Bhd...................................... 3,510,700 $ 8,945,447 0.2% KPJ Healthcare Bhd...................................... 4,305,350 8,324,145 0.2% Other Securities........................................ 240,090,093 5.9% -------------- ----- TOTAL MALAYSIA.............................................. 257,359,685 6.3% -------------- ----- MEXICO -- (3.8%) # Alsea S.A.B. de C.V..................................... 3,553,447 11,057,499 0.3% #* Genomma Lab Internacional S.A.B. de C.V. Class B........ 6,587,305 17,544,605 0.4% #* Gruma S.A.B. de C.V. Class B............................ 1,690,397 11,622,795 0.3% Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 1,650,025 8,592,056 0.2% #* Industrias CH S.A.B. de C.V. Series B................... 1,655,914 8,125,208 0.2% #* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,672,951 16,988,199 0.4% Other Securities........................................ 100,477,518 2.5% -------------- ----- TOTAL MEXICO................................................ 174,407,880 4.3% -------------- ----- PHILIPPINES -- (1.3%) Other Securities........................................ 59,995,546 1.5% -------------- ----- POLAND -- (2.2%) Asseco Poland SA........................................ 564,202 9,216,429 0.2% Lubelski Wegiel Bogdanka SA............................. 266,391 9,844,205 0.2% Other Securities........................................ 80,187,914 2.0% -------------- ----- TOTAL POLAND................................................ 99,248,548 2.4% -------------- ----- SOUTH AFRICA -- (7.4%) Aeci, Ltd............................................... 770,360 9,389,010 0.2% * Aveng, Ltd.............................................. 3,013,152 8,847,846 0.2% AVI, Ltd................................................ 2,511,843 14,755,317 0.4% Barloworld, Ltd......................................... 993,091 8,896,276 0.2% # Clicks Group, Ltd....................................... 2,118,882 13,215,346 0.3% Coronation Fund Managers, Ltd........................... 1,607,942 13,114,119 0.3% * Murray & Roberts Holdings, Ltd.......................... 3,176,473 9,670,849 0.2% Nampak, Ltd............................................. 2,740,692 9,060,557 0.2% Omnia Holdings, Ltd..................................... 486,127 10,032,055 0.3% PPC, Ltd................................................ 3,686,071 11,644,507 0.3% Reunert, Ltd............................................ 1,171,205 8,207,620 0.2% * Sappi, Ltd.............................................. 3,959,742 11,670,111 0.3% Spar Group, Ltd. (The).................................. 855,975 10,953,523 0.3% Tongaat Hulett, Ltd..................................... 734,460 9,252,131 0.2% Other Securities........................................ 190,008,143 4.7% -------------- ----- TOTAL SOUTH AFRICA.......................................... 338,717,410 8.3% -------------- ----- SOUTH KOREA -- (13.3%) DGB Financial Group, Inc................................ 671,453 10,773,239 0.3% # Hotel Shilla Co., Ltd................................... 161,958 10,462,226 0.3% Hyosung Corp............................................ 121,019 8,158,566 0.2% Macquarie Korea Infrastructure Fund..................... 1,468,851 9,136,011 0.2% # Mando Corp.............................................. 60,934 8,214,702 0.2% # Shinsegae Co., Ltd...................................... 35,692 8,985,590 0.2% Yuhan Corp.............................................. 44,525 7,832,835 0.2% Other Securities........................................ 541,117,350 13.2% -------------- ----- TOTAL SOUTH KOREA........................................... 604,680,519 14.8% -------------- ----- TAIWAN -- (13.9%) Other Securities........................................ 632,416,334 15.4% -------------- -----
272 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- THAILAND -- (4.5%) Other Securities............................................. $ 202,541,380 4.9% -------------- ------ TURKEY -- (3.1%) Other Securities............................................. 141,990,626 3.5% -------------- ------ TOTAL COMMON STOCKS................................................ 3,995,438,691 97.6% -------------- ------ PREFERRED STOCKS -- (1.3%) BRAZIL -- (1.3%) Marcopolo SA................................................. 3,359,100 8,659,771 0.2% Other Securities............................................. 51,863,133 1.3% -------------- ------ TOTAL BRAZIL....................................................... 60,522,904 1.5% -------------- ------ CHILE -- (0.0%) Other Securities............................................. 20,680 0.0% -------------- ------ COLOMBIA -- (0.0%) Other Securities............................................. 265,674 0.0% -------------- ------ TOTAL PREFERRED STOCKS............................................. 60,809,258 1.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................................. 4,062 0.0% -------------- ------ CHILE -- (0.0%) Other Securities............................................. 93 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities............................................. 221,901 0.0% -------------- ------ POLAND -- (0.0%) Other Securities............................................. -- 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities............................................. 16,964 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities............................................. 34,567 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................................. 277,587 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (10.9%) (S)@ DFA Short Term Investment Fund............................... 42,610,199 493,000,000 12.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $943,517 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $853,240) to be repurchased at $836,513................................................. $ 837 836,510 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 493,836,510 12.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,088,232,390).......................................... $4,550,362,046 111.2% ============== ======
273 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of October 31, 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...................... 6,838,317 $ 372,527,931 -- 379,366,248 Chile....................... 271,673 53,415,554 -- 53,687,227 China....................... 807,859 607,377,057 -- 608,184,916 Colombia.................... 766,239 -- -- 766,239 Hong Kong................... -- 784,892 -- 784,892 Hungary..................... -- 1,195,029 -- 1,195,029 India....................... 76,835 294,276,749 -- 294,353,584 Indonesia................... 2,879,423 142,821,182 -- 145,700,605 Israel...................... -- 42,022 -- 42,022 Macedonia................... -- -- -- -- Malaysia.................... -- 257,359,685 -- 257,359,685 Mexico...................... 174,288,074 119,806 -- 174,407,880 Philippines................. -- 59,995,546 -- 59,995,546 Poland...................... -- 99,248,548 -- 99,248,548 South Africa................ 7,272,777 331,444,633 -- 338,717,410 South Korea................. -- 604,680,519 -- 604,680,519 Taiwan...................... 2,507,973 629,908,361 -- 632,416,334 Thailand.................... 202,447,408 93,972 -- 202,541,380 Turkey...................... -- 141,990,626 -- 141,990,626 Preferred Stocks Brazil...................... -- 60,522,904 -- 60,522,904 Chile....................... -- 20,680 -- 20,680 Colombia.................... 265,674 -- -- 265,674 Rights/Warrants Brazil...................... -- 4,062 -- 4,062 Chile....................... -- 93 -- 93 Malaysia.................... -- 221,901 -- 221,901 Poland...................... -- -- -- -- South Korea................. -- 16,964 -- 16,964 Thailand.................... -- 34,567 -- 34,567 Securities Lending Collateral. -- 493,836,510 -- 493,836,510 ------------ -------------- -- -------------- TOTAL......................... $398,422,253 $4,151,939,793 -- $4,550,362,046 ============ ============== == ==============
See accompanying Notes to Financial Statements. 274 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (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 $506,475, $716,973, $277,239 and $259,540 of securities on loan, respectively)........... $14,801,963 $8,745,596 $2,265,423 $1,259,640 Temporary Cash Investments at Value & Cost................... 110,064 -- -- -- Collateral Received from Securities on Loan at Value & Cost.. -- 706 421 552 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................ 521,769 726,000 300,000 290,000 Foreign Currencies at Value.................................. -- 24,350 2,022 1,579 Cash......................................................... -- 20,781 641 7,261 Receivables: Investment Securities Sold................................. 26,504 4,029 2,551 256 Dividends, Interest and Tax Reclaims....................... 17,741 23,044 12,899 1,423 Securities Lending Income.................................. 453 276 274 376 Prepaid Expenses and Other Assets............................ -- 1 -- -- ----------- ---------- ---------- ---------- Total Assets............................................ 15,478,494 9,544,783 2,584,231 1,561,087 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned........................... 521,769 726,706 300,421 290,552 Investment Securities Purchased............................ 115,461 23,813 1,806 4,809 Due to Advisor............................................. 1,223 1,472 193 106 Unrealized Loss on Foreign Currency Contracts................ -- 17 -- 14 Accrued Expenses and Other Liabilities....................... 1,053 645 187 108 ----------- ---------- ---------- ---------- Total Liabilities....................................... 639,506 752,653 302,607 295,589 ----------- ---------- ---------- ---------- NET ASSETS................................................... $14,838,988 $8,792,130 $2,281,624 $1,265,498 =========== ========== ========== ========== Investments at Cost.......................................... $ 9,455,514 $7,016,037 $2,058,019 $1,152,527 =========== ========== ========== ========== Foreign Currencies at Cost................................... $ -- $ 24,526 $ 2,026 $ 1,584 =========== ========== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 275 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (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 $28,773, $453,898, $261,509, $330,522 and $515,972 of securities on loan, respectively).............................. $1,978,589 $3,208,290 $738,814 $3,736,738 $4,056,525 Collateral Received from Securities on Loan at Value & Cost............................ 652 109 668 709 837 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 30,000 491,000 219,000 244,000 493,000 Foreign Currencies at Value................. 4,022 4,466 3,066 7,576 13,653 Cash........................................ 233 1,415 1,203 26,299 18,595 Receivables: Investment Securities Sold................ 2,722 2,074 168 116 9,691 Dividends, Interest and Tax Reclaims...... 4,898 4,595 624 3,735 3,644 Securities Lending Income................. 23 653 272 382 1,580 ---------- ---------- -------- ---------- ---------- Total Assets........................... 2,021,139 3,712,602 963,815 4,019,555 4,597,525 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 30,652 491,109 219,668 244,709 493,837 Investment Securities Purchased........... 1,912 3,213 2,830 7,929 11,004 Due to Advisor............................ 165 268 62 315 685 Unrealized Loss on Foreign Currency Contracts.................................. -- 12 -- 76 19 Accrued Expenses and Other Liabilities...... 123 234 51 366 457 ---------- ---------- -------- ---------- ---------- Total Liabilities...................... 32,852 494,836 222,611 253,395 506,002 ---------- ---------- -------- ---------- ---------- NET ASSETS.................................. $1,988,287 $3,217,766 $741,204 $3,766,160 $4,091,523 ========== ========== ======== ========== ========== Investments at Cost......................... $1,325,480 $2,416,569 $813,274 $2,525,063 $3,594,395 ========== ========== ======== ========== ========== Foreign Currencies at Cost.................. $ 4,036 $ 4,499 $ 3,060 $ 7,593 $ 13,701 ========== ========== ======== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 276 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (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 $42, $19,855, $3,149 and $1,656, respectively).......................... $ 262,650 $ 256,899 $ 37,753 $ 49,156 Interest................................................... 56 6 1 -- Income from Securities Lending............................. 2,227 13,232 3,109 4,274 ---------- ---------- -------- -------- Total Investment Income................................. 264,933 270,137 40,863 53,430 ---------- ---------- -------- -------- EXPENSES Investment Advisory Services Fees.......................... 12,720 15,819 2,039 1,121 Accounting & Transfer Agent Fees........................... 850 542 150 92 Custodian Fees............................................. 121 810 568 355 Shareholders' Reports...................................... 30 20 5 3 Directors'/Trustees' Fees & Expenses....................... 131 85 21 12 Professional Fees.......................................... 431 236 51 29 Other...................................................... 156 158 39 23 ---------- ---------- -------- -------- Total Expenses.......................................... 14,439 17,670 2,873 1,635 ---------- ---------- -------- -------- Fees Paid Indirectly....................................... -- (22) (6) (5) ---------- ---------- -------- -------- Net Expenses............................................... 14,439 17,648 2,867 1,630 ---------- ---------- -------- -------- NET INVESTMENT INCOME (LOSS)............................... 250,494 252,489 37,996 51,800 ---------- ---------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold............................... 1,042,669 394,216 94,606 2,045 Futures.................................................. -- (1,587) -- -- Foreign Currency Transactions*........................... -- (2,158) (2,405) 32 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 2,531,751 1,329,657 403,911 64,761 Translation of Foreign Currency Denominated Amounts...... -- 544 393 (13) ---------- ---------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS).................... 3,574,420 1,720,672 496,505 66,825 ---------- ---------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $3,824,914 $1,973,161 $534,501 $118,625 ========== ========== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $3, $0 and $0, respectively. See accompanying Notes to Financial Statements. 277 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (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 $121, $9,056, $2,937, $11,554 and $9,869, respectively)........................................ $ 56,947 $ 63,435 $18,004 $ 78,461 $ 81,658 Interest.............................................. -- 64 -- -- -- Income from Securities Lending........................ 354 10,444 3,280 3,929 16,799 -------- -------- ------- -------- -------- Total Investment Income............................ 57,301 73,943 21,284 82,390 98,457 -------- -------- ------- -------- -------- EXPENSES Investment Advisory Services Fees..................... 1,686 2,642 686 3,264 7,439 Accounting & Transfer Agent Fees...................... 125 191 57 236 264 Custodian Fees........................................ 131 636 97 1,359 2,675 Shareholders' Reports................................. 4 6 2 8 10 Directors'/Trustees' Fees & Expenses.................. 18 28 8 35 39 Professional Fees..................................... 42 75 18 115 190 Other................................................. 30 49 11 66 88 -------- -------- ------- -------- -------- Total Expenses..................................... 2,036 3,627 879 5,083 10,705 -------- -------- ------- -------- -------- Fees Paid Indirectly.................................. (1) (3) (2) (25) (34) -------- -------- ------- -------- -------- Net Expenses.......................................... 2,035 3,624 877 5,058 10,671 -------- -------- ------- -------- -------- NET INVESTMENT INCOME (LOSS).......................... 55,266 70,319 20,407 77,332 87,786 -------- -------- ------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.......................... 110,830 61,594 5,104 24,456 69,227 Futures............................................. -- -- -- -- 463 Foreign Currency Transactions*...................... 8 (97) (36) (130) (1,240) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 377,497 843,629 14,601 145,893 144,458 Translation of Foreign Currency Denominated Amounts............................................ (22) 123 (11) (8) (41) -------- -------- ------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)............... 488,313 905,249 19,658 170,211 212,867 -------- -------- ------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $543,579 $975,568 $40,065 $247,543 $300,653 ======== ======== ======= ======== ========
---------- * Net of foreign capital gain taxes withheld of $14, $14, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 278 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 ------------------------ ----------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 250,494 $ 212,847 $ 252,489 $ 260,321 $ 37,996 $ 35,567 Net Realized Gain (Loss) on: Investment Securities Sold........... 1,042,669 408,690 394,216 133,256 94,606 15,297 Futures.............................. -- -- (1,587) -- -- (283) Foreign Currency Transactions*....................... -- -- (2,158) (1,249) (2,405) 593 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 2,531,751 1,049,282 1,329,657 (157,327) 403,911 (47,991) Translation of Foreign Currency Denominated Amounts................. -- -- 544 (266) 393 (76) ----------- ----------- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 3,824,914 1,670,819 1,973,161 234,735 534,501 3,107 ----------- ----------- ----------- ---------- ---------- ---------- Transactions in Interest: Contributions.......................... 1,639,135 505,769 1,055,913 699,069 268,246 385,924 Withdrawals............................ (1,214,213) (922,543) (1,475,193) (651,462) (207,854) (205,115) ----------- ----------- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 424,922 (416,774) (419,280) 47,607 60,392 180,809 ----------- ----------- ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... 4,249,836 1,254,045 1,553,881 282,342 594,893 183,916 NET ASSETS Beginning of Year...................... 10,589,152 9,335,107 7,238,249 6,955,907 1,686,731 1,502,815 ----------- ----------- ----------- ---------- ---------- ---------- End of Year............................ $14,838,988 $10,589,152 $ 8,792,130 $7,238,249 $2,281,624 $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. 279 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 ---------------------- ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)............ $ 51,800 $ 39,082 $ 55,266 $ 41,958 $ 70,319 $ 62,863 Net Realized Gain (Loss) on: Investment Securities Sold............ 2,045 27,956 110,830 (16,423) 61,594 (4,064) Futures............................... -- (140) -- 236 -- 69 Foreign Currency Transactions*........ 32 (236) 8 339 (97) (359) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 64,761 3,183 377,497 247,250 843,629 694 Translation of Foreign Currency Denominated Amounts.................. (13) (94) (22) (35) 123 (285) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 118,625 69,751 543,579 273,325 975,568 58,918 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 243,954 161,440 20,921 92,609 97,213 260,944 Withdrawals............................. (100,941) (134,065) (41,051) (34,941) (100,194) (76,446) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 143,013 27,375 (20,130) 57,668 (2,981) 184,498 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 261,638 97,126 523,449 330,993 972,587 243,416 NET ASSETS Beginning of Year....................... 1,003,860 906,734 1,464,838 1,133,845 2,245,179 2,001,763 ---------- ---------- ---------- ---------- ---------- ---------- End of Year............................. $1,265,498 $1,003,860 $1,988,287 $1,464,838 $3,217,766 $2,245,179 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $14, $0, $14 and $0, respectively. See accompanying Notes to Financial Statements. 280 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS COMPANY SERIES SERIES SMALL CAP SERIES ------------------ ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 -------- -------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 20,407 $ 16,111 $ 77,332 $ 67,879 $ 87,786 $ 58,512 Net Realized Gain (Loss) on: Investment Securities Sold................. 5,104 26,982 24,456 34,169 69,227 106,663 Futures.................................... -- -- -- -- 463 (389) Foreign Currency Transactions*............. (36) 111 (130) (571) (1,240) (1,553) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 14,601 (63,323) 145,893 24,259 144,458 6,038 Translation of Foreign Currency Denominated Amounts....................... (11) (7) (8) 20 (41) (15) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 40,065 (20,126) 247,543 125,756 300,653 169,256 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions................................ 42,578 11,500 937,021 523,537 1,276,889 1,002,685 Withdrawals.................................. (30,525) (38,550) (331,711) (175,967) (439,369) (93,517) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. 12,053 (27,050) 605,310 347,570 837,520 909,168 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 52,118 (47,176) 852,853 473,326 1,138,173 1,078,424 NET ASSETS Beginning of Year............................ 689,086 736,262 2,913,307 2,439,981 2,953,350 1,874,926 -------- -------- ---------- ---------- ---------- ---------- End of Year.................................. $741,204 $689,086 $3,766,160 $2,913,307 $4,091,523 $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. 281 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------- Total Return......................................... 35.68% 18.31% 5.69% 19.96% 11.90% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400 Ratio of Expenses to Average Net Assets.............. 0.11% 0.12% 0.12% 0.12% 0.13% Ratio of Net Investment Income to Average Net Assets. 1.98% 2.15% 1.79% 2.02% 2.42% Portfolio Turnover Rate.............................. 15% 10% 14% 28% 29% -------------------------------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964 Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22% Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 282 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 30.62% 0.54% 10.07% 0.72% 22.69% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,281,624 $1,686,731 $1,502,815 $1,211,600 $1,183,036 Ratio of Expenses to Average Net Assets...................... 0.14% 0.15% 0.14% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.14% 0.15% 0.14% 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets......... 1.87% 2.17% 2.07% 1.95% 2.15% Portfolio Turnover Rate...................................... 16% 7% 5% 10% 7% -------------------------------------------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES ----------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------- Total Return................................................. 10.97% 7.48% (5.15)% 28.91% 84.98% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,265,498 $1,003,860 $906,734 $935,138 $680,997 Ratio of Expenses to Average Net Assets...................... 0.15% 0.16% 0.16% 0.17% 0.18% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.15% 0.16% 0.16% 0.17% 0.18% Ratio of Net Investment Income to Average Net Assets......... 4.64% 4.26% 3.78% 3.64% 4.00% Portfolio Turnover Rate...................................... 9% 18% 17% 18% 23% --------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 283 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES -------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------- Total Return................................................. 37.42% 23.41% 0.20% 25.94% 43.51% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,988,287 $1,464,838 $1,133,845 $1,036,694 $770,472 Ratio of Expenses to Average Net Assets...................... 0.12% 0.13% 0.13% 0.13% 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.12% 0.13% 0.13% 0.13% 0.14% Ratio of Net Investment Income to Average Net Assets......... 3.29% 3.37% 3.76% 2.86% 4.02% Portfolio Turnover Rate...................................... 17% 6% 7% 15% 10% -----------------------------------------------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 43.67% 2.29% (10.75)% 15.37% 43.78% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,217,766 $2,245,179 $2,001,763 $2,072,484 $1,630,892 Ratio of Expenses to Average Net Assets...................... 0.14% 0.16% 0.15% 0.15% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.14% 0.16% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets......... 2.67% 3.15% 2.72% 2.24% 2.93% Portfolio Turnover Rate...................................... 13% 9% 10% 12% 7% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 284 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES ------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Total Return............................................................. 5.71% (2.51)% 0.27% 43.17% 61.67% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)...................................... $741,204 $689,086 $736,262 $663,722 $365,181 Ratio of Expenses to Average Net Assets.................................. 0.13% 0.15% 0.14% 0.15% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.13% 0.15% 0.14% 0.15% 0.17% Ratio of Net Investment Income to Average Net Assets..................... 2.99% 2.29% 1.72% 1.05% 1.37% Portfolio Turnover Rate.................................................. 14% 22% 24% 10% 23% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
THE EMERGING MARKETS SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 6.99% 4.55% (6.44)% 27.04% 53.99% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,766,160 $2,913,307 $2,439,981 $2,529,493 $2,109,316 Ratio of Expenses to Average Net Assets...................... 0.16% 0.20% 0.20% 0.19% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.16% 0.20% 0.20% 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets......... 2.38% 2.55% 2.48% 2.18% 2.57% Portfolio Turnover Rate...................................... 4% 5% 16% 12% 14% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 285 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 9.41% 7.19% (12.94)% 41.96% 92.08% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,091,523 $2,953,350 $1,874,926 $1,881,356 $1,167,973 Ratio of Expenses to Average Net Assets...................... 0.29% 0.36% 0.33% 0.32% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.29% 0.36% 0.33% 0.32% 0.33% Ratio of Net Investment Income to Average Net Assets......... 2.37% 2.48% 2.32% 2.16% 2.52% Portfolio Turnover Rate...................................... 11% 13% 18% 15% 13% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 286 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of eleven 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
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) 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. 287 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. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Series recognize transfers between the levels as of the end of the period. As of October 31, 2013, The Emerging Markets Series and The Emerging Markets Small Cap Series had significant transfers of securities with a total value of $306,665 and $469,527 (in thousands), respectively, that transferred from Level 1 to Level 2. At October 31, 2013, the fair market values of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 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 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 International Equity Portfolios do not 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 288 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 any 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 October 31, 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 and foreign currency 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. The Emerging Markets Series and The Emerging Markets Small Cap Series are subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. 289 C. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Trust. For the year ended October 31, 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 year ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- The DFA International Value Series...... $22 The Japanese Small Company Series....... 6 The Asia Pacific Small Company Series... 5 The United Kingdom Small Company Series. 1 The Continental Small Company Series.... 3 The Canadian Small Company Series....... 2 The Emerging Markets Series............. 25 The Emerging Markets Small Cap Series... 34
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the year ended October 31, 2013, the total related amounts paid by the Trust to the CCO were $56 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 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......... $336 The DFA International Value Series...... 249 The Japanese Small Company Series....... 55 The Asia Pacific Small Company Series... 28 The United Kingdom Small Company Series. 35 The Continental Small Company Series.... 67 The Canadian Small Company Series....... 17 The Emerging Markets Series............. 89 The Emerging Markets Small Cap Series... 60
290 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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......... $2,846,229 $1,917,181 The DFA International Value Series...... 1,195,737 1,352,756 The Japanese Small Company Series....... 424,423 328,727 The Asia Pacific Small Company Series... 292,353 101,862 The United Kingdom Small Company Series. 311,120 290,915 The Continental Small Company Series.... 402,109 337,539 The Canadian Small Company Series....... 137,097 94,187 The Emerging Markets Series............. 787,720 120,319 The Emerging Markets Small Cap Series... 1,300,754 398,830
There were no purchases or sales of long-term U.S. government securities. F. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Series are treated as partnerships for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At October 31, 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......... $10,087,540 $5,403,680 $ (57,424) $5,346,256 The DFA International Value Series...... 7,749,972 2,159,515 (437,185) 1,722,330 The Japanese Small Company Series....... 2,358,440 405,211 (228,601) 176,610 The Asia Pacific Small Company Series... 1,466,625 342,063 (259,002) 83,061 The United Kingdom Small Company Series. 1,376,431 714,857 (82,047) 632,810 The Continental Small Company Series.... 2,914,221 1,100,391 (315,213) 785,178 The Canadian Small Company Series....... 1,036,766 139,500 (217,785) (78,285) The Emerging Markets Series............. 2,779,497 1,353,861 (151,910) 1,201,951 The Emerging Markets Small Cap Series... 4,120,776 867,716 (438,130) 429,586
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 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 291 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 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 Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The following is a summary of the Series' location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the year ended October 31, 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 DFA International Value Series*.... $(1,587) The Emerging Markets Small Cap Series*. $ 463
* As of October 31, 2013, there were no futures contracts outstanding. During the year ended October 31, 2013, the Series had limited activity in futures contracts. 292 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. 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. 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. For the year ended October 31, 2013, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- The U.S. Large Cap Value Series....... 0.89% $ 6,790 20 $ 4 $23,318 The DFA International Value Series.... 0.90% 12,445 46 14 76,121 The Japanese Small Company Series..... 0.88% 2,097 23 1 5,010 The Asia Pacific Small Company Series. 0.91% 614 5 -- 2,155 The United Kingdom Small Company Series.............................. 0.89% 224 4 -- 503 The Continental Small Company Series.. 0.85% 327 29 -- 1,226 The Emerging Markets Series........... 0.89% 7,962 36 7 31,246 The Emerging Markets Small Cap Series. 0.86% 21,200 23 12 65,040
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that each Series' available line of credit was utilized. There were no outstanding borrowings by the Series under the lines of credit as of October 31, 2013. 293 I. SECURITIES LENDING: As of October 31, 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 DFA International Value Series.... $ 29,499 The Continental Small Company Series.. 447 The Canadian Small Company Series..... 55,991 The Emerging Markets Series........... 111,222 The Emerging Markets Small Cap Series. 102,610
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 securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. J. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Trust's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. K. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies 294 the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. OTHER: The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buyout 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. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 295 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY: In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The U.S. Large Cap Value Series, The DFA International Value Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, The Emerging Markets Series, and The Emerging Markets Small Cap Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at October 31, 2013, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2013 by correspondence with the custodians, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 296 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DIMENSIONAL EMERGING MARKETS VALUE FUND VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Dimensional Emerging MSCI Emerging Markets Markets Value Fund Index (net dividends) ------------------------- ------------------------ 10/31/2003 $10,000 $10,000 11/30/2003 10,114 10,122 12/31/2003 11,338 10,855 1/31/2004 11,647 11,234 2/29/2004 12,409 11,749 3/31/2004 12,564 11,896 4/30/2004 11,690 10,922 5/31/2004 11,343 10,704 6/30/2004 11,560 10,749 7/31/2004 11,705 10,552 8/31/2004 12,237 10,990 9/30/2004 13,042 11,624 10/31/2004 13,459 11,902 11/30/2004 14,914 13,004 12/31/2004 15,881 13,628 1/31/2005 16,148 13,663 2/28/2005 17,621 14,855 3/31/2005 16,341 13,873 4/30/2005 15,762 13,501 5/31/2005 16,001 13,971 6/30/2005 16,533 14,445 7/31/2005 17,734 15,455 8/31/2005 18,027 15,587 9/30/2005 19,478 17,039 10/31/2005 18,264 15,925 11/30/2005 19,620 17,243 12/31/2005 20,858 18,262 1/31/2006 22,860 20,301 2/28/2006 22,954 20,277 3/31/2006 23,740 20,456 4/30/2006 25,813 21,913 5/31/2006 23,029 19,617 6/30/2006 22,824 19,569 7/31/2006 23,374 19,849 8/31/2006 23,800 20,355 9/30/2006 24,292 20,524 10/31/2006 25,989 21,499 11/30/2006 27,895 23,097 12/31/2006 28,883 24,137 1/31/2007 29,338 23,877 2/28/2007 29,513 23,735 3/31/2007 31,059 24,680 4/30/2007 33,545 25,823 5/31/2007 36,106 27,102 6/30/2007 37,143 28,372 7/31/2007 38,915 29,869 8/31/2007 37,673 29,235 9/30/2007 41,074 32,463 10/31/2007 45,597 36,084 11/30/2007 42,288 33,526 12/31/2007 42,234 33,643 1/31/2008 38,047 29,445 2/29/2008 39,577 31,618 3/31/2008 38,255 29,945 4/30/2008 41,217 32,375 5/31/2008 41,586 32,976 6/30/2008 36,762 29,687 7/31/2008 36,051 28,567 8/31/2008 32,980 26,285 9/30/2008 27,293 21,685 10/31/2008 18,826 15,750 11/30/2008 17,405 14,565 12/31/2008 19,553 15,701 1/31/2009 17,796 14,687 2/28/2009 16,283 13,858 3/31/2009 19,110 15,850 4/30/2009 22,870 18,487 5/31/2009 28,031 21,646 6/30/2009 27,690 21,355 7/31/2009 31,417 23,756 8/31/2009 31,664 23,671 9/30/2009 34,596 25,820 10/31/2009 33,784 25,852 11/30/2009 35,950 26,962 12/31/2009 37,747 28,027 1/31/2010 35,610 26,464 2/28/2010 35,899 26,557 3/31/2010 39,063 28,701 4/30/2010 39,329 29,049 5/31/2010 35,226 26,494 6/30/2010 35,447 26,299 7/31/2010 38,745 28,489 8/31/2010 38,050 27,936 9/30/2010 42,635 31,040 10/31/2010 44,106 31,941 11/30/2010 42,694 31,098 12/31/2010 46,258 33,317 1/31/2011 44,816 32,413 2/28/2011 44,091 32,111 3/31/2011 46,635 33,999 4/30/2011 48,313 35,054 5/31/2011 46,487 34,134 6/30/2011 45,540 33,609 7/31/2011 45,178 33,460 8/31/2011 40,609 30,470 9/30/2011 33,333 26,027 10/31/2011 37,725 29,475 11/30/2011 35,825 27,511 12/31/2011 34,553 27,179 1/31/2012 39,359 30,262 2/29/2012 41,762 32,074 3/31/2012 39,980 31,004 4/30/2012 38,693 30,633 5/31/2012 34,420 27,198 6/30/2012 35,987 28,248 7/31/2012 35,773 28,799 8/31/2012 36,283 28,703 9/30/2012 38,627 30,435 10/31/2012 38,139 30,250 11/30/2012 38,575 30,634 12/31/2012 41,400 32,132 1/31/2013 42,080 32,575 2/28/2013 41,392 32,166 3/31/2013 41,052 31,612 4/30/2013 41,422 31,850 5/31/2013 40,254 31,033 6/30/2013 36,875 29,057 7/31/2013 37,607 29,361 Past performance is not predictive of 8/31/2013 36,823 28,856 future performance. 9/30/2013 39,551 30,733 10/31/2013 41,355 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS --------------------------------------------------------- MSCI data copyright MSCI 2013, all 8.43% 17.05% 15.25% rights reserved.
-------------------------------------------------------------------------------- 297 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 Gains in emerging markets were lower on average than in developed markets although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. DIMENSIONAL EMERGING MARKETS VALUE FUND The Dimensional Emerging Markets Value Fund seeks to capture the returns of value stocks of large and small companies in selected emerging markets. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 8.43% for the Fund and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Fund's diversified investment approach, performance was generally determined by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Fund invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks during the period. The Fund's greater exposure to small cap stocks was primarily responsible for the Fund's outperformance relative to the Index. The Fund's greater exposure to value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. 298 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 OCTOBER 31, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- DIMENSIONAL EMERGING MARKETS VALUE FUND --------------------------------------- Actual Fund Return...................... $1,000.00 $ 998.40 0.13% $0.65 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
---------- * 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 (184), then divided by the number of days in the year (365) to reflect the six-month period. 299 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 September 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....................... 6.2% Consumer Staples............................. 4.9% Energy....................................... 17.2% Financials................................... 33.9% Health Care.................................. 0.4% Industrials.................................. 11.7% Information Technology....................... 7.2% Materials.................................... 15.0% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.4% Utilities.................................... 2.0% ----- 100.0%
300 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (90.5%) BRAZIL -- (8.0%) Banco do Brasil SA.................................. 6,171,473 $ 81,690,539 0.4% # Banco Santander Brasil SA ADR....................... 18,012,780 124,828,565 0.6% BM&FBovespa SA...................................... 21,761,674 122,651,270 0.6% # Gerdau SA Sponsored ADR............................. 14,806,992 117,419,446 0.6% # Petroleo Brasileiro SA ADR.......................... 20,410,443 355,754,021 1.8% # Petroleo Brasileiro SA Sponsored ADR................ 22,111,474 401,544,368 2.1% Other Securities.................................... 465,245,129 2.5% -------------- ----- TOTAL BRAZIL............................................ 1,669,133,338 8.6% -------------- ----- CHILE -- (1.5%) Enersis SA Sponsored ADR............................ 5,622,312 92,768,148 0.5% Other Securities.................................... 211,091,146 1.1% -------------- ----- TOTAL CHILE............................................. 303,859,294 1.6% -------------- ----- CHINA -- (14.0%) Agricultural Bank of China, Ltd. Class H............ 255,464,000 123,106,826 0.7% Bank of China, Ltd. Class H......................... 989,630,331 465,927,610 2.4% Bank of Communications Co., Ltd. Class H............ 110,893,574 81,256,211 0.4% China Construction Bank Corp. Class H............... 281,910,940 219,334,202 1.1% China Petroleum & Chemical Corp. ADR................ 1,291,935 103,832,800 0.6% China Petroleum & Chemical Corp. Class H............ 212,971,575 172,402,097 0.9% # China Unicom Hong Kong, Ltd. ADR.................... 7,316,862 114,143,047 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 148,536,996 103,936,545 0.6% Other Securities.................................... 1,521,553,477 7.7% -------------- ----- TOTAL CHINA............................................. 2,905,492,815 15.0% -------------- ----- COLOMBIA -- (0.1%) Other Securities.................................... 19,308,502 0.1% -------------- ----- CZECH REPUBLIC -- (0.1%) Other Securities.................................... 30,941,403 0.2% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 26,658 0.0% -------------- ----- HUNGARY -- (0.5%) # OTP Bank P.L.C...................................... 3,936,697 81,667,483 0.4% Other Securities.................................... 12,457,748 0.1% -------------- ----- TOTAL HUNGARY........................................... 94,125,231 0.5% -------------- ----- INDIA -- (6.0%) ICICI Bank, Ltd. Sponsored ADR...................... 3,394,535 126,684,046 0.7% Reliance Industries, Ltd............................ 20,872,830 310,667,472 1.6% Other Securities.................................... 812,836,187 4.1% -------------- ----- TOTAL INDIA............................................. 1,250,187,705 6.4% -------------- ----- INDONESIA -- (2.3%) Other Securities.................................... 476,382,766 2.4% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 296,602 0.0% -------------- -----
301 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (3.6%) Other Securities.................................... $ 741,293,938 3.8% -------------- ----- MEXICO -- (6.1%) Alfa S.A.B. de C.V. Class A......................... 51,102,755 139,906,142 0.7% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 16,838,196 178,148,109 0.9% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,494,369 232,724,627 1.2% Grupo Financiero Banorte S.A.B. de C.V.............. 23,160,991 148,261,585 0.8% Other Securities.................................... 574,307,739 2.9% -------------- ----- TOTAL MEXICO............................................ 1,273,348,202 6.5% -------------- ----- PHILIPPINES -- (1.0%) Other Securities.................................... 216,700,475 1.1% -------------- ----- POLAND -- (1.6%) PGE SA.............................................. 13,948,284 81,477,830 0.4% # Polski Koncern Naftowy Orlen SA..................... 6,239,721 88,026,919 0.5% Other Securities.................................... 157,488,252 0.8% -------------- ----- TOTAL POLAND............................................ 326,993,001 1.7% -------------- ----- RUSSIA -- (4.9%) Gazprom OAO Sponsored ADR........................... 106,937,161 999,584,526 5.1% Other Securities.................................... 21,297,582 0.1% -------------- ----- TOTAL RUSSIA............................................ 1,020,882,108 5.2% -------------- ----- SOUTH AFRICA -- (6.7%) # Barclays Africa Group, Ltd.......................... 6,124,179 94,589,135 0.5% # Nedbank Group, Ltd.................................. 3,713,947 80,747,979 0.4% Sanlam, Ltd......................................... 24,685,296 132,450,694 0.7% Standard Bank Group, Ltd............................ 18,943,972 241,007,060 1.2% #* Steinhoff International Holdings, Ltd............... 24,286,822 93,754,826 0.5% Other Securities.................................... 752,656,981 3.9% -------------- ----- TOTAL SOUTH AFRICA...................................... 1,395,206,675 7.2% -------------- ----- SOUTH KOREA -- (14.6%) Hana Financial Group, Inc........................... 4,078,729 156,836,439 0.8% # Hyundai Steel Co.................................... 1,197,245 98,578,876 0.5% KB Financial Group, Inc............................. 2,902,753 114,320,481 0.6% KB Financial Group, Inc. ADR........................ 3,182,416 123,509,565 0.7% # LG Electronics, Inc................................. 1,776,548 113,798,502 0.6% POSCO............................................... 681,110 203,339,180 1.1% # POSCO ADR........................................... 1,626,923 121,140,686 0.6% Samsung C&T Corp.................................... 1,386,322 82,261,509 0.4% # Samsung SDI Co., Ltd................................ 520,138 86,702,427 0.5% Shinhan Financial Group Co., Ltd.................... 5,415,719 236,144,882 1.2% SK Holdings Co., Ltd................................ 530,249 96,102,228 0.5% SK Innovation Co., Ltd.............................. 845,193 118,461,430 0.6% Other Securities.................................... 1,483,201,139 7.5% -------------- ----- TOTAL SOUTH KOREA....................................... 3,034,397,344 15.6% -------------- ----- TAIWAN -- (13.9%) Fubon Financial Holding Co., Ltd.................... 88,739,471 130,052,844 0.7% Mega Financial Holding Co., Ltd..................... 135,127,381 117,005,240 0.6% # United Microelectronics Corp........................ 218,090,681 92,516,948 0.5% Yuanta Financial Holding Co., Ltd................... 151,353,654 82,534,377 0.4%
302 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (Continued) Other Securities........ $ 2,460,013,826 12.6% --------------- ----- TOTAL TAIWAN................ 2,882,123,235 14.8% --------------- ----- THAILAND -- (3.1%) PTT Global Chemical PCL. 32,067,141 80,876,163 0.4% PTT PCL................. 10,844,100 110,444,328 0.6% Other Securities........ 460,615,908 2.4% --------------- ----- TOTAL THAILAND.............. 651,936,399 3.4% --------------- ----- TURKEY -- (2.5%) Turkiye Is Bankasi...... 36,884,191 100,763,267 0.5% Other Securities........ 418,780,142 2.2% --------------- ----- TOTAL TURKEY................ 519,543,409 2.7% --------------- ----- TOTAL COMMON STOCKS......... 18,812,179,100 96.8% --------------- ----- PREFERRED STOCKS -- (2.2%) BRAZIL -- (2.1%) Petroleo Brasileiro SA.. 24,521,904 222,343,011 1.2% Other Securities........ 221,166,672 1.1% --------------- ----- TOTAL BRAZIL................ 443,509,683 2.3% --------------- ----- COLOMBIA -- (0.1%) Other Securities........ 15,140,331 0.1% --------------- ----- TOTAL PREFERRED STOCKS...... 458,650,014 2.4% --------------- ----- RIGHTS/WARRANTS -- (0.0%) CHILE -- (0.0%) Other Securities........ 100 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities........ 385,124 0.0% --------------- ----- POLAND -- (0.0%) Other Securities........ -- 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities........ 22,204 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities........ 57,286 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS....... 464,714 0.0% --------------- -----
303 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (7.3%) (S)@ DFA Short Term Investment Fund.............................. 129,904,927 $ 1,503,000,000 7.7% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $12,056,798 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $10,903,189) to be repurchased at $10,689,437................................. $ 10,689 10,689,401 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,513,689,401 7.8% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $20,304,856,701)........................................ $20,784,983,229 107.0% =============== ======
Summary of the Fund's investments as of October 31, 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...................... $1,073,840,952 $ 595,292,386 -- $ 1,669,133,338 Chile....................... 99,110,686 204,748,608 -- 303,859,294 China....................... 236,947,644 2,668,545,171 -- 2,905,492,815 Colombia.................... 19,308,502 -- -- 19,308,502 Czech Republic.............. -- 30,941,403 -- 30,941,403 Hong Kong................... -- 26,658 -- 26,658 Hungary..................... -- 94,125,231 -- 94,125,231 India....................... 146,609,452 1,103,578,253 -- 1,250,187,705 Indonesia................... 6,187,469 470,195,297 -- 476,382,766 Israel...................... 20,113 276,489 -- 296,602 Malaysia.................... -- 741,293,938 -- 741,293,938 Mexico...................... 1,272,993,390 354,812 -- 1,273,348,202 Philippines................. -- 216,700,475 -- 216,700,475 Poland...................... 119,863 326,873,138 -- 326,993,001 Russia...................... 814,231 1,020,067,877 -- 1,020,882,108 South Africa................ 170,364,260 1,224,842,415 -- 1,395,206,675 South Korea................. 362,529,229 2,671,868,115 -- 3,034,397,344 Taiwan...................... 38,733,186 2,843,390,049 -- 2,882,123,235 Thailand.................... 651,936,399 -- -- 651,936,399 Turkey...................... -- 519,543,409 -- 519,543,409 Preferred Stocks Brazil...................... -- 443,509,683 -- 443,509,683 Colombia.................... 15,140,331 -- -- 15,140,331 Rights/Warrants Chile....................... -- 100 -- 100 Malaysia.................... -- 385,124 -- 385,124 Poland...................... -- -- -- -- South Korea................. -- 22,204 -- 22,204 Thailand.................... -- 57,286 -- 57,286 Securities Lending Collateral. -- 1,513,689,401 -- 1,513,689,401 -------------- --------------- -- --------------- TOTAL......................... $4,094,655,707 $16,690,327,522 -- $20,784,983,229 ============== =============== == ===============
See accompanying Notes to Financial Statements. 304 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS) ASSETS: Investments at Value (including $1,645,822 of securities on loan)*....... $19,271,294 Collateral Received from Securities on Loan at Value & Cost.............. 10,689 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,503,000 Foreign Currencies at Value.............................................. 58,647 Cash..................................................................... 90,464 Receivables: Investment Securities Sold............................................. 28,594 Dividends, Interest and Tax Reclaims................................... 6,129 Securities Lending Income.............................................. 1,920 ----------- Total Assets........................................................ 20,970,737 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 1,513,689 Investment Securities Purchased........................................ 26,347 Due to Advisor......................................................... 1,628 Unrealized Loss on Foreign Currency Contracts............................ 64 Accrued Expenses and Other Liabilities................................... 1,723 ----------- Total Liabilities................................................... 1,543,451 ----------- NET ASSETS............................................................... $19,427,286 =========== Investments at Cost...................................................... $18,791,168 =========== Foreign Currencies at Cost............................................... $ 58,852 ===========
---------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 305 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $65,796).......... $ 421,959 Interest...................................................... 15 Income from Securities Lending................................ 25,619 ---------- Total Investment Income.................................... 447,593 ---------- EXPENSES Investment Advisory Services Fees............................. 18,145 Accounting & Transfer Agent Fees.............................. 1,269 Custodian Fees................................................ 7,431 Shareholders' Reports......................................... 48 Directors'/Trustees' Fees & Expenses.......................... 198 Professional Fees............................................. 741 Other......................................................... 465 ---------- Total Expenses............................................. 28,297 ---------- Fees Paid Indirectly.......................................... (111) ---------- Net Expenses.................................................. 28,186 ---------- NET INVESTMENT INCOME (LOSS).................................. 419,407 ---------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on:.................................. Investment Securities Sold.................................. 304,248 Foreign Currency Transactions............................... (2,833) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 724,674 Translation of Foreign Currency Denominated Amounts......... 7 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,026,096 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,445,503 ==========
See accompanying Notes to Financial Statements. 306 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............................................. $ 419,407 $ 375,228 Net Realized Gain (Loss) on: Investment Securities Sold.............................................. 304,248 398,744 Futures................................................................. -- (1,269) Foreign Currency Transactions*.......................................... (2,833) (4,761) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 724,674 (574,018) Translation of Foreign Currency Denominated Amounts..................... 7 (185) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...... 1,445,503 193,739 ----------- ----------- Transactions in Interest: Contributions............................................................. 2,894,722 3,560,477 Withdrawals............................................................... (1,797,261) (873,473) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 1,097,461 2,687,004 ----------- ----------- Total Increase (Decrease) in Net Assets................................ 2,542,964 2,880,743 NET ASSETS Beginning of Year......................................................... 16,884,322 14,003,579 ----------- ----------- End of Year............................................................... $19,427,286 $16,884,322 =========== ===========
---------- * Net of foreign capital gain taxes withheld of $0 and $314, respectively. See accompanying Notes to Financial Statements. 307 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS
DIMENSIONAL EMERGING MARKETS VALUE FUND --------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Total Return............................................ 8.43% 1.10% (14.47)% 30.55% 79.39% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)..................... $19,427,286 $16,884,322 $14,003,579 $11,917,955 $7,965,125 Ratio of Expenses to Average Net Assets................. 0.16% 0.20% 0.20% 0.19% 0.21% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.16% 0.20% 0.20% 0.19% 0.21% Ratio of Net Investment Income to Average Net Assets.... 2.32% 2.43% 2.29% 1.81% 2.17% Portfolio Turnover Rate................................. 6% 8% 5% 15% 20% -------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 308 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F). Effective November 1, 2009, 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. 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. 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 309 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. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of October 31, 2013, the Fund had significant transfers of securities with a total value of $1,222,930 (in thousands) that transferred from Level 1 to Level 2. At October 31, 2013, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 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 any foreign withholding taxes recorded on the books of the Fund 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 310 Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At October 31, 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 $369 (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 October 31, 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 and foreign currency 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 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% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Fund. For the year ended October 31, 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 year ended October 31, 2013, expenses reduced were $111 (amount in thousands). FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) 311 receive no compensation from the Fund. For the year ended October 31, 2013, the total related amounts paid by the Fund to the CCO were $27 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. D. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 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. $2,746,457 $1,070,905
There were no purchases or sales of long-term U.S. government securities. E. FEDERAL INCOME TAXES: No provision for federal income taxes is required since the Fund is treated as a partnership for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At October 31, 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. $20,422,709 $3,294,843 $(2,932,568) $362,275
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 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. 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 312 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 held 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. 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. 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 year ended October 31, 2013, borrowings by the Fund under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING INTEREST RATE 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 year ended October 31, 2013, that the Fund's available line of credit was utilized. There were no outstanding borrowings by the Fund under the lines of credit as of October 31, 2013. H. SECURITIES LENDING: As of October 31, 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 $284,247 (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 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 Fund's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted 313 the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. Subject to its stated investment policy, the Fund will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Fund also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. I. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. J. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. K. 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. 314 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF DIMENSIONAL EMERGING MARKETS VALUE FUND: In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the "Fund") at October 31, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2013 by correspondence with the custodian, brokers, and the transfer agent of the investee fund provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 315 FUND MANAGEMENT (UNAUDITED) TRUSTEES/DIRECTORS Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also acts as a liaison between the Fund's independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2013. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. There was one Nominating Committee meeting held during the fiscal year ended October 31, 2013. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2013. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director's experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, "SAI") of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at www.dimensional.com. 316
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN HELD ---------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS ---------------------------------------------------------------------------------------------------------------------------- George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The Director of DFAIDG and DIG. investment companies University of Chicago Booth School of Business. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 ---------------------------------------------------------------------------------------------------------------------------- John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service Director of DFAIDG and DIG. investment companies Professor of Economics, The University of Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1965). The University of Chicago Member and Chair, Competitive Markets Advisory Booth School of Business Committee, Chicago Mercantile Exchange 5807 S. Woodlawn Avenue (futures trading exchange) (since 2004). Chicago, IL 60637 Formerly, Director of UNext, Inc. (1999-2006). 1939 Trustee, Harbor Fund (registered investment company) (30 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Mutual Insurance Company (1997-2010). ---------------------------------------------------------------------------------------------------------------------------- Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge Yale School of Management fund manager) (since 2001). Consultant to P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly, New Haven, CT 06520-8200 Chairman, Ibbotson Associates, Inc., Chicago, IL 1943 (software data publishing and consulting) (1977- 2006). Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). ---------------------------------------------------------------------------------------------------------------------------- Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker Trustee of DFAITC and DEM. Professor of Human Resources Management Stanford University and Economics, Graduate School of Business, Graduate School of Business Stanford University (since 1995). Cornerstone 518 Memorial Way Stanford, Research (expert testimony and economic and CA 94305-5015 financial analysis) (since 2009). Formerly, 1948 Chairman of the President George W. Bush's Council of Economic Advisers (2006-2009). Formerly, Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). ---------------------------------------------------------------------------------------------------------------------------- Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly, Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management, c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum Advisors, LP Partners) (1999-2009). Formerly, Managing 6300 Bee Cave Road Partner, Oak Hill Capital Management (private Building 1 equity firm) (until 2004). Director, American Austin, TX 78746 Century Fund Complex (registered investment 1941 companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). ---------------------------------------------------------------------------------------------------------------------------- Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980). The University of Chicago Co-Director Investment Research, Fundamental Booth School of Business Investment Advisors (hedge fund) (since 2008). 5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as Chicago, IL 60637 HON Industries Inc.) (office furniture) (since 1953 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (52 portfolios) (since 2009). ----------------------------------------------------------------------------------------------------------------------------
317
NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* ------------------------------------------------------------------------------------------------------------------------------- David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-Chief Chairman, Director, investment companies Executive Officer (since January 2010) of Co-Chief Executive Dimensional Holdings Inc., Dimensional Fund Officer and President of Advisors LP, DFA Securities LLC, DEM, DFAIDG, DFAIDG and DIG. DIG and DFAITC. Director of Dimensional Fund Chairman, Trustee, Advisors Ltd., Dimensional Funds PLC, Dimensional Co-Chief Executive Funds II PLC, DFA Australia Limited, Dimensional Officer and President of Cayman Commodity Fund I Ltd., Dimensional Japan DFAITC and DEM. Ltd. and Dimensional Advisors Ltd. Chairman, 6300 Bee Cave Road, Director and Co-Chief Executive Officer of Building One Austin, Dimensional Fund Advisors Canada ULC. President, Texas 78746 Dimensional SmartNest (US) LLC. Limited Partner, 1946 Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG , DFAITC, Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). ------------------------------------------------------------------------------------------------------------------------------- Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January 2010), Director, Co-Chief investment companies Chief Investment Officer (since March 2007) and Executive Officer and Director/Trustee of Dimensional Holdings Inc., Chief Investment Officer Dimensional Fund Advisors LP, DFA Securities LLC, of DFAIDG and DIG. DEM, DFAIDG, DIG, DFAITC and Dimensional Trustee, Co-Chief Cayman Commodity Fund I Ltd. Director, Co-Chief Executive Officer and Executive Officer, President and Chief Investment Chief Investment Officer Officer of Dimensional Fund Advisors Canada ULC. of DFAITC and DEM. Chief Investment Officer, Vice President and Director 6300 Bee Cave Road, of DFA Australia Limited. Director of Dimensional Building One Fund Advisors Ltd., Dimensional Funds PLC, Austin, TX 78746 Dimensional Funds II PLC, Dimensional Japan Ltd. 1967 and Dimensional Advisors Ltd., Formerly President of Dimensional Holdings Inc, Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG, DFAITC and Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 318 OFFICERS The name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------- OFFICERS --------------------------------------------------------------------------------------------------------------------- April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President 1963 --------------------------------------------------------------------------------------------------------------------- Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Vice President Business Development at Capson Physicians Insurance Company 1974 (2010-2012); Vice President at Charles Schwab (2007-2010). --------------------------------------------------------------------------------------------------------------------- Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President 1966 --------------------------------------------------------------------------------------------------------------------- Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing Vice President Director of DFAL (since September 2013). 1955 --------------------------------------------------------------------------------------------------------------------- Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President 1968 --------------------------------------------------------------------------------------------------------------------- Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Secretary Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. 1967 Ltd., Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. --------------------------------------------------------------------------------------------------------------------- David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial Vice President Services of Dimensional (since 2008). 1964 --------------------------------------------------------------------------------------------------------------------- Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (December 2010-January2012); Regional Director 1970 at Russell Investments (April 2006-December 2010). --------------------------------------------------------------------------------------------------------------------- James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2008-2010); Vice President, Client Portfolio 1956 Manager at American Century Investments (2001-2008). --------------------------------------------------------------------------------------------------------------------- Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio Vice President Management of Dimensional (since March 2012). Sr. Portfolio 1966 Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (October 2005-January 2012). --------------------------------------------------------------------------------------------------------------------- Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional, 1972 North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). --------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since September 2011). Formerly, Vice President at 1971 MullinTBG 92005-2011). --------------------------------------------------------------------------------------------------------------------- Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since 2003). 1979 ---------------------------------------------------------------------------------------------------------------------
319
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------ Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (August 2002-January 2012). 1976 ------------------------------------------------------------------------------------------------------------------------ Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Vice President 1949 ------------------------------------------------------------------------------------------------------------------------ George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice Vice President President and Managing Director at State Street Bank & Trust 1955 Company (2007-2008). ------------------------------------------------------------------------------------------------------------------------ Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of 1965 Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------------ James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President 1956 ------------------------------------------------------------------------------------------------------------------------ Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. 1957 ------------------------------------------------------------------------------------------------------------------------ Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for Vice President Dimensional (since August 2008). 1972 ------------------------------------------------------------------------------------------------------------------------ Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Vice President 1970 ------------------------------------------------------------------------------------------------------------------------ Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant DFA Australia Limited. Secretary 1965 ------------------------------------------------------------------------------------------------------------------------ Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President 1971 ------------------------------------------------------------------------------------------------------------------------ Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio Vice President Management of Dimensional (since March 2012). Sr. Portfolio 1974 Manager of Dimensional (since January 2012). ------------------------------------------------------------------------------------------------------------------------ Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager Vice President for Dimensional (since June 2006). 1970 ------------------------------------------------------------------------------------------------------------------------ Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Vice President 1967 ------------------------------------------------------------------------------------------------------------------------ Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director Vice President at BlackRock (2004-January 2012). 1968 ------------------------------------------------------------------------------------------------------------------------ Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President 1967 ------------------------------------------------------------------------------------------------------------------------ John T. Gray Since 2007 Vice President of all the DFA Entities. Vice President 1974 ------------------------------------------------------------------------------------------------------------------------ Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional 1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd. (2008-2009); Trader for Dimensional (2004-2008). ------------------------------------------------------------------------------------------------------------------------ Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Vice President 1967 ------------------------------------------------------------------------------------------------------------------------
320
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------------------------------------------------------------------------------------------- Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities, Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional 1974 Japan Ltd. ---------------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President 1967 ---------------------------------------------------------------------------------------------------------------------------- Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President 1967 ---------------------------------------------------------------------------------------------------------------------------- Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director, Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011). 1960 ---------------------------------------------------------------------------------------------------------------------------- William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For Vice President Dimensional (since 2012). Formerly, Vice President of Institutional 1957 Business Development at Eaton Vance (2005-2011). ---------------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. 1973 ---------------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager Vice President for Dimensional (October 2008-January 2012). 1968 ---------------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities, Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan 1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited and Chief Operating Officer of Dimensional. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Director and Vice President of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd. ---------------------------------------------------------------------------------------------------------------------------- Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since October 2004). 1977 ---------------------------------------------------------------------------------------------------------------------------- Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (April 2006-January 2012). 1948 ---------------------------------------------------------------------------------------------------------------------------- David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since June 2004). 1971 ---------------------------------------------------------------------------------------------------------------------------- Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC 1971 Strategist, Barclays Global Investors (2005-2009). ---------------------------------------------------------------------------------------------------------------------------- Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of Vice President Dimensional (since January 2012). Formerly, Portfolio Manager for 1971 Dimensional (April 2001-January 2012). ---------------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate Vice President Investment Analytics and Data for Dimensional (January 2012- 1981 December 2012); Systems Developer for Dimensional (June 2007- December 2011). ---------------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (2007-2010). 1968 ---------------------------------------------------------------------------------------------------------------------------- Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of Vice President Dimensional SmartNest (US) LLC (since 2012). 1967 ---------------------------------------------------------------------------------------------------------------------------- Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President - Vice President Global Operations at Janus Capital Group (2005-2011). 1969 ----------------------------------------------------------------------------------------------------------------------------
321
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------- David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for Vice President Dimensional (January 2010-December 2012); Trader for 1978 Dimensional (2000-2009). ------------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Since 2005 Vice President of all the DFA Entities. Vice President 1971 ------------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (July 2008-2010). 1980 ------------------------------------------------------------------------------------------------------------------------------- John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since January 2008). 1960 ------------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since February 2004). 1969 ------------------------------------------------------------------------------------------------------------------------------- Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September 1972 2006). ------------------------------------------------------------------------------------------------------------------------------- Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales 1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010); Vice President at Credit Suisse (2007-2009). ------------------------------------------------------------------------------------------------------------------------------- Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human Vice President & Head of Global Resources of Dimensional. Human Resources 1970 ------------------------------------------------------------------------------------------------------------------------------- David R. Martin Vice Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA President, Chief Financial Officer Entities. Director, Vice President, Chief Financial Officer and and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia 1956 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice President of Dimensional SmartNest (US) LLC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. ------------------------------------------------------------------------------------------------------------------------------- Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for Vice President Dimensional (Since 2012). Formerly, Regional Director for 1978 Dimensional (2008-2011; Senior Associate at Dimensional (2007- 2010). ------------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager 1971 for Dimensional (2007-2010). ------------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Director, Vice Vice President and Secretary 1997 and Secretary President and Secretary of DFA Australia Limited and Dimensional 1964 since 2000 Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and Dimensional Hong Kong Limited (since August 2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). ------------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (2008-2010). 1964 -------------------------------------------------------------------------------------------------------------------------------
322
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------- Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer Vice President of Dimensional (since December 2012). Formerly Chief Compliance 1961 Officer of Wellington Management Company, LLP (2004-2011). ----------------------------------------------------------------------------------------------------------------------- Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since 1974 2011). Counsel for Dimensional (2007-2011). ----------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Vice President 1976 ----------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2005). 1973 ----------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for Vice President Dimensional (since January 2008). Formerly, Compliance Officer 1978 (February 2006-December 2007). ----------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior 1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011); Senior Investment Analyst and Consultant at Hewitt EnnisKnupp (July 2008-June 2011). ----------------------------------------------------------------------------------------------------------------------- Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional Vice President Fund Advisors LP (since 2009). Formerly, Vice President and 1976 Corporate Counsel at Mellon Capital Management (2006-2008). ----------------------------------------------------------------------------------------------------------------------- David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited, Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors 1961 Canada ULC. ----------------------------------------------------------------------------------------------------------------------- Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2006). 1970 ----------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). 1973 ----------------------------------------------------------------------------------------------------------------------- Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis Vice President Manager for Dimensional (since July 2007). 1969 ----------------------------------------------------------------------------------------------------------------------- Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (June 2011-January 2012); Research 1981 Assistant for Dimensional (July 2004-August 2007). ----------------------------------------------------------------------------------------------------------------------- L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President 1971 ----------------------------------------------------------------------------------------------------------------------- Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for Vice President Dimensional (since July 2008). 1959 ----------------------------------------------------------------------------------------------------------------------- Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (March 2006-January 2010). 1961 ----------------------------------------------------------------------------------------------------------------------- Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations Vice President Manager for Dimensional (since May 2007). 1965 ----------------------------------------------------------------------------------------------------------------------- Ted R. Simpson Since 2007 Vice President of all the DFA Entities. Vice President 1968 ----------------------------------------------------------------------------------------------------------------------- Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Vice President 1975 ----------------------------------------------------------------------------------------------------------------------- Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). 1968 -----------------------------------------------------------------------------------------------------------------------
323
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------- Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. 1956 --------------------------------------------------------------------------------------------------------------------- Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President 1963 --------------------------------------------------------------------------------------------------------------------- Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President 1947 --------------------------------------------------------------------------------------------------------------------- Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice Vice President President of Dimensional Fund Advisors Canada ULC. 1973 --------------------------------------------------------------------------------------------------------------------- Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since April 2010). Formerly, Principal, Investment 1971 Strategist at Barclays Global Investors (2004-2009). --------------------------------------------------------------------------------------------------------------------- Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment Vice President Analytics and Data for Dimensional (since 2012). Formerly, 1973 Research Assistant at Dimensional (2002-2011). --------------------------------------------------------------------------------------------------------------------- Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since 2010). Formerly, Senior Associate at 1980 Dimensional (2007-2009). --------------------------------------------------------------------------------------------------------------------- John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (January 2008-January 2012). 1978 --------------------------------------------------------------------------------------------------------------------- Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology Vice President for Dimensional (since March 2007). 1958 --------------------------------------------------------------------------------------------------------------------- Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors 1966 Canada ULC. --------------------------------------------------------------------------------------------------------------------- Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since 2004). 1970 --------------------------------------------------------------------------------------------------------------------- Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President 1951 --------------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Vice President 1976 --------------------------------------------------------------------------------------------------------------------- Paul E. Wise Since 2005 Vice President of all the DFA Entities. Vice President 1955 --------------------------------------------------------------------------------------------------------------------- Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2005-2010). 1978
/1/ Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. 324 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. 325 NOTICE TO SHAREHOLDERS (UNAUDITED) For shareholders that do not have an October 31, 2013 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2013 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2012 to October 31, 2013, each Portfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolio to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
QUALIFYING FOR NET CORPORATE INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1) ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------ Enhanced U.S. Large Company Portfolio.......................... 100% -- -- -- -- 100% -- U.S. Large Cap Equity Portfolio..... 100% -- -- -- -- 100% 100% U.S. Large Cap Value Portfolio...... 100% -- -- -- -- 100% 100% U.S. Targeted Value Portfolio....... 20% 5% 75% -- -- 100% 100% U.S. Small Cap Value Portfolio...... 20% 3% 77% -- -- 100% 100% U.S. Core Equity 1 Portfolio........ 100% -- -- -- -- 100% 100% U.S. Core Equity 2 Portfolio........ 72% -- 28% -- -- 100% 100% U.S. Vector Equity Portfolio........ 88% -- 12% -- -- 100% 100% U. S Small Cap Portfolio............ 24% 3% 73% -- -- 100% 100% U.S. Micro Cap Portfolio............ 21% -- 79% -- -- 100% 100% DFA Real Estate Securities Portfolio.......................... 100% -- -- -- -- 100% 100% Large Cap International Portfolio... 100% -- -- -- -- 100% 100% International Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% International Small Company Portfolio.......................... 77% 1% 22% -- -- 100% 100% Japanese Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% United Kingdom Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% Continental Small Company Portfolio.......................... 100% -- -- -- -- 100% 100%
QUALIFYING SHORT- QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7) ------------------------------------ ---------- ----------- --------- --------- ---------- ---------- Enhanced U.S. Large Company Portfolio.......................... -- 4% -- -- 100% 100% U.S. Large Cap Equity Portfolio..... 100% -- -- -- 100% 100% U.S. Large Cap Value Portfolio...... 100% -- -- -- 100% 100% U.S. Targeted Value Portfolio....... 100% -- -- -- 100% 100% U.S. Small Cap Value Portfolio...... 100% -- -- -- 100% 100% U.S. Core Equity 1 Portfolio........ 100% -- -- -- 100% 100% U.S. Core Equity 2 Portfolio........ 100% -- -- -- 100% 100% U.S. Vector Equity Portfolio........ 100% -- -- -- 100% 100% U. S Small Cap Portfolio............ 100% -- -- -- 100% 100% U.S. Micro Cap Portfolio............ 100% -- -- -- 100% 100% DFA Real Estate Securities Portfolio.......................... 100% -- -- -- 100% 100% Large Cap International Portfolio... 100% -- 5% 100% 100% 100% International Core Equity Portfolio.......................... 100% -- 5% 100% 100% 100% International Small Company Portfolio.......................... 100% -- 3% 98% 100% 100% Japanese Small Company Portfolio.......................... 100% -- 4% 64% 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- 3% 100% 100% 100% United Kingdom Small Company Portfolio.......................... 100% -- -- -- 100% 100% Continental Small Company Portfolio.......................... 100% -- 5% 100% 100% 100%
326 NOTICE TO SHAREHOLDERS (UNAUDITED)
QUALIFYING FOR NET CORPORATE INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1) ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------ DFA International Real Estate Securities Portfolio............... 100% -- -- -- -- 100% 100% DFA Global Real Estate Securities Portfolio.......................... 100% -- -- -- -- 100% 100% DFA International Small Cap Value Portfolio.......................... 63% 1% 37% -- -- 100% 100% International Vector Equity Portfolio.......................... 89% -- 11% -- -- 100% 100% World ex U.S. Value Portfolio....... 100% -- -- -- -- 100% 100% World ex U.S. Targeted Value Portfolio.......................... 97% -- 2% -- -- 100% 100% World ex U.S. Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% Selectively Hedged Global Equity Portfolio.......................... 77% 10% 13% -- -- 100% 100% Emerging Markets Portfolio.......... 67% -- 33% -- -- 100% 100% Emerging Markets Small Cap Portfolio.......................... 41% 2% 56% -- -- 100% 100% Emerging Markets Value Portfolio.......................... 51% -- 49% -- -- 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% DFA Commodity Strategy Portfolio.......................... 73% 14% 14% -- -- 100% 100% DIMENSIONAL INVESTMENT GROUP INC. DFA International Value Portfolio... 100% -- -- -- -- 100% 100% U.S. Large Company Portfolio........ 100% -- -- -- -- 100% 100%
QUALIFYING SHORT- QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7) ------------------------------------ ---------- ----------- --------- --------- ---------- ---------- DFA International Real Estate Securities Portfolio............... 100% -- 3% 77% 100% 100% DFA Global Real Estate Securities Portfolio.......................... 100% -- 3% 74% 100% 100% DFA International Small Cap Value Portfolio.......................... 100% -- 4% 97% 100% 100% International Vector Equity Portfolio.......................... 100% -- 5% 100% 100% 100% World ex U.S. Value Portfolio....... 100% -- 9% 100% 100% 100% World ex U.S. Targeted Value Portfolio.......................... 100% -- 6% 100% 100% 100% World ex U.S. Core Equity Portfolio.......................... 100% -- 6% 100% 100% 100% Selectively Hedged Global Equity Portfolio.......................... 100% -- 3% 55% 100% 100% Emerging Markets Portfolio.......... 100% -- 7% 100% 100% 100% Emerging Markets Small Cap Portfolio.......................... 100% -- 4% 100% 100% 100% Emerging Markets Value Portfolio.......................... 100% -- 4% 100% 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- 6% 100% 100% 100% DFA Commodity Strategy Portfolio.......................... 100% 1% -- -- 100% 100% DIMENSIONAL INVESTMENT GROUP INC. DFA International Value Portfolio... 100% -- 8% 100% 100% 100% U.S. Large Company Portfolio........ 100% -- -- -- 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). (2)The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. 327 NOTICE TO SHAREHOLDERS (UNAUDITED) (3)"U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. (4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income. (5)"Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (6)The percentage in this column represents the amount of "Qualifying Interest Income" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). (7)The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 328 [LOGO] DFA103113-001A ITEM 2. CODE OF ETHICS. The Registrant has adopted, as of the end of the period covered by this Form N-CSR (the "Report"), a code of ethics that applies to the Registrant's principal executive officer and principal financial officer (the "Code of Business Ethics"). The Registrant has not made any substantive amendments to the Code of Business Ethics during the period covered by this Report. The Registrant also has not granted any waiver from any provisions of the Code of Business Ethics during the period covered by this Report. A copy of the Code of Business Ethics is filed as an exhibit to this Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an "audit committee financial expert" serving on the Registrant's Audit Committee and has designated Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith's education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant's financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees Fiscal Year Ended October 31, 2013: $18,814 Fiscal Year Ended October 31, 2012: $17,476 (b) Audit-Related Fees Fees for Registrant Fiscal Year Ended October 31, 2013: $1,519 Fiscal Year Ended October 31, 2012: $1,402 For fiscal years ended October 31, 2013 and October 31, 2012, Audited-Related Fees included fees for services related to limited procedures performed in connection with the production of the Registrant's semi-annual financial statements. Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X Fiscal Year Ended October 31, 2013: $155,000 Fiscal Year Ended October 31, 2012: $170,000 For the fiscal years ended October 31, 2013 and October 31, 2012, Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services rendered in connection with the issuance of a Type II SSAE 16 over controls at the Registrant's investment adviser. (c) Tax Fees Fees for Registrant Fiscal Year Ended October 31, 2013: $8,317 Fiscal Year Ended October 31, 2012: $9,037 Tax Fees included, for the fiscal years ended October 31, 2013 and October 31, 2012, fees for tax services in connection with the Registrant's excise tax calculations, limited review of the Registrant's applicable tax returns and capital gains tax services in India. There were no Tax Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (d) All Other Fees Fees for Registrant Fiscal Year Ended October 31, 2013: $0 Fiscal Year Ended October 31, 2012: $0 There were no "All Other Fees" required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated above. (e)(1) Audit Committee's Pre-Approval Policies and Procedures Pre-Approval Policies and Procedures as adopted by the Audit Committees of DFA Investment Dimensions Group Inc. Dimensional Emerging Markets Value Fund Dimensional Investment Group Inc. The DFA Investment Trust Company (together, the "Funds") The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules") adopted by the U.S. Securities and Exchange Commission (the "SEC") require that the Funds' Audit Committees (together, the "Committee") pre-approve all audit services and non-audit services provided to the Funds by their independent registered public accounting firm (the "Auditor"). The Act and the Rules also require that the Committee pre-approve all non-audit services provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the Funds' investment advisor, and to affiliates of Dimensional that provide ongoing services to the Funds (with Dimensional, together the "Service Affiliates") if the services directly impact the Funds' operations and financial reporting. The following policies and procedures govern the ways in which the Committee will pre-approve audit and various types of non-audit services that the Auditor provides to the Funds and to Service Affiliates. These policies and procedures do not apply in the case of audit services that the Auditor provides to Service Affiliates, nor do they apply to services that an audit firm other than the Auditor provides to such entities. These policies and procedures comply with the requirements for pre-approval, but also provide mechanisms by which management of the Funds may request and secure pre-approval of audit and non-audit services in an orderly manner with minimal disruption to normal business operations. Pre-approval of non-audit services may be achieved through a combination of the procedures described in Sections C and D below. A. General 1. The Committee must pre-approve all audit services and non-audit services that the Auditor provides to the Funds. 2. The Committee must pre-approve any engagement of the Auditor to provide non-audit services to any Service Affiliate during the period of the Auditor's engagement to provide audit services to the Funds, if the non-audit services to the Service Affiliate directly impact the Funds' operations and financial reporting. B. Pre-Approval of Audit Services to the Funds 1. The Committee shall approve the engagement of an independent registered public accounting firm to certify the Funds' financial statements for each fiscal year (the "Engagement"). The approval of the Engagement shall not be delegated to a Designated Member (as that term is defined in Section D below). In approving the Engagement, the Committee shall obtain, review and consider sufficient information concerning the proposed Auditor to enable the Committee to make a reasonable evaluation of the Auditor's qualifications and independence. The Committee also shall consider the Auditor's proposed fees for the Engagement, in light of the scope and nature of the audit services that the Funds will receive. 2. The Committee shall report to the Boards of Directors/Trustees of the Funds (together, the "Board") regarding its approval of the Engagement and of the proposed fees for the Engagement, and the basis for such approval. 3. Unless otherwise in accordance with applicable law, the Engagement, in any event, shall require that the Auditor be selected by the vote, cast in person, of a majority of the members of the Board who are not "interested persons" of the Funds (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940) (the "Independent Directors"). C. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--by Types of Services 1. The Committee may pre-approve types of non-audit services (including tax services) to the Funds and their Service Affiliates pursuant to this Section C. 2. Annually, at such time as the Committee considers the Engagement of the Auditor, management of the Funds, in consultation with the Auditor, shall provide to the Committee, for its consideration and action, the following: (a) a list of those types of non-audit services, if any, that the Funds may request from the Auditor during the fiscal year; and (b) a list of those types of non-audit services directly impacting the Funds' operations and financial reporting that Service Affiliates may request from the Auditor during the fiscal year. 3. The lists submitted to the Committee shall describe the types of non-audit services in reasonable detail (which may include a range of tax services) and shall include an estimated budget (or budgeted range) of fees, where possible, and such other information as the Committee may request. If management and the Auditor desire the Committee to preapprove the furnishing of a range of tax services, the Auditor shall provide an estimated range of fees for such tax services for the consideration and approval by the Committee. 4. The Committee's pre-approval of the types of non-audit services submitted pursuant to this Section C shall constitute authorization for management of the Funds to utilize the Auditor for the types of non-audit services so pre-approved, if needed or desired during the fiscal year. 5. A list of the types of non-audit services pre-approved by the Committee pursuant to this Section C will be distributed to management of the Service Affiliates and the appropriate partners of the Auditor. Periodically, the Auditor will discuss with the Committee those non-audit services that have been or are being provided pursuant to this Section C. D. Pre-Approval of Non-Audit Services to the Funds and to Service Affiliates--Project-by-Project Basis 1. The Committee also may pre-approve non-audit services on a project-by-project basis pursuant to this Section D. 2. Management of the Funds, in consultation with the Auditor, may submit either to the Committee or to the Designated Member, as provided in this Section D, for their consideration and action, a pre-approval request identifying one or more non-audit service projects. The request so submitted shall describe the project(s) in reasonable detail and shall include an estimated budget (or budgeted range) of fees and such other information as the Committee or the Designated Member, as appropriate, shall request. 3. The Committee, from time to time, shall designate one or more of its members who are Independent Directors (each a "Designated Member") to consider, on the Committee's behalf, any non-audit services, whether to the Funds or to any Service Affiliate, that have not been pre-approved by the Committee. The Designated Member also shall review, on the Committee's behalf, any proposed material change in the nature or extent of any non-audit services previously approved. The Funds' management, in consultation with the Auditor, shall explain why such non-audit services or material change in non-audit services are necessary and appropriate and the anticipated costs thereof. 4. The Designated Member will review the requested non-audit services or proposed material change in such services and will either: (a) pre-approve, pre-approve subject to conditions, or disapprove any such requested services, or any proposed material change in services, whether to the Funds or to a Service Affiliate; or (b) refer such matter to the full Committee for its consideration and action. In considering any requested non-audit services or proposed material change in such services, the Designated Member's authority shall be limited to approving non-audit services or proposed material changes that do not exceed $10,000 in value. 5. The Designated Member's pre-approval (or pre-approval subject to conditions) of the requested non-audit services or proposed material change in services pursuant to this Section D shall constitute authorization for the management of the Funds or the Service Affiliate, as the case may be, to utilize the Auditor for the non-audit services so pre-approved. Any action by the Designated Member in approving a requested non-audit service shall be presented for ratification by the Committee not later than at its next scheduled meeting. If the Designated Member does not approve the Auditor providing the requested non-audit service, the matter may be presented to the full Committee for its consideration and action. E. Amendment; Annual Review 1. The Committee may amend these procedures from time to time. 2. These procedures shall be reviewed annually by the Committee. F. Recordkeeping 1. The Funds shall maintain a written record of all decisions made by the Committee or by a Designated Member pursuant to these procedures, together with appropriate supporting materials. 2. In connection with the approval of any non-audit service pursuant to the de minimis exception provided in the Rules, a record shall be made indicating that each of the conditions for this exception, as set forth in the Rules, has been satisfied. 3. A copy of these Procedures (and of any amendments to these Procedures) shall be maintained and preserved permanently in an easily accessible place. The written records referred to in paragraphs 1 and 2 of this Section F shall be maintained and preserved for six years from the end of the fiscal year in which the actions recorded were taken, for at least the first two years in an easily accessible location. (e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) The percentage of hours expended on the principal accountant's engagement to audit the Registrant's financial statements for the fiscal year ended October 31, 2013 that were attributed to work performed by persons other than the principal accountant's full time, permanent employees was not greater than 50%. (g) Aggregate Non-Audit Fees Fiscal Year Ended October 31, 2013: $2,035,239 Fiscal Year Ended October 31, 2012: $1,736,797 (h) The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant because it is not a listed issuer. ITEM 6. INVESTMENTS. (a) The Registrant's schedule of investments is provided below. DIMENSIONAL EMERGING MARKETS VALUE FUND SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE++ ------ ------- COMMON STOCKS -- (90.5%) BRAZIL --(8.0%) Banco Alfa de Investimento SA........................ 82,400 $ 235,408 Banco do Brasil SA................................... 6,171,473 81,690,539 Banco Santander Brasil SA............................ 2,584,864 17,588,795 # Banco Santander Brasil SA ADR........................ 18,012,780 124,828,565 Bematech SA.......................................... 765,100 2,645,507 * BHG SA--Brazil Hospitality Group..................... 249,814 1,825,538 BM&FBovespa SA....................................... 21,761,674 122,651,270 BR Malls Participacoes SA............................ 779,797 7,532,791 * BrasilAgro--Co. Brasileira de Propriedades Agricolas. 36,700 165,845 #* Braskem SA Sponsored ADR............................. 562,862 9,923,257 * Brookfield Incorporacoes SA.......................... 7,174,000 4,480,067 * CCX Carvao da Colombia SA............................ 41,400 21,989 Cia Providencia Industria e Comercio SA.............. 359,200 1,358,099 * CR2 Empreendimentos Imobiliarios SA.................. 99,200 183,292 Cremer SA............................................ 226,270 1,579,454 Eternit SA........................................... 226,101 955,242 Even Construtora e Incorporadora SA.................. 4,862,748 18,054,056 * Fertilizantes Heringer SA............................ 274,800 1,052,368 * Fibria Celulose SA................................... 2,233,764 29,047,676 #* Fibria Celulose SA Sponsored ADR..................... 4,175,136 54,485,525 Forjas Taurus SA..................................... 219,056 272,758 * Gafisa SA............................................ 3,259,978 4,388,461 #* Gafisa SA ADR........................................ 3,374,767 9,078,123 * General Shopping Brasil SA........................... 159,730 684,598 Gerdau SA............................................ 2,010,263 13,357,812 # Gerdau SA Sponsored ADR.............................. 14,806,992 117,419,446 Grendene SA.......................................... 480,704 4,333,863 Hypermarcas SA....................................... 2,524,446 22,014,635 * IdeiasNet SA......................................... 138,249 103,215 * Industrias Romi SA................................... 635,500 1,774,314 JBS SA............................................... 17,341,940 61,913,342 JHSF Participacoes SA................................ 667,727 1,660,401 Kepler Weber SA...................................... 99,469 1,236,136 * Log-in Logistica Intermodal SA....................... 789,400 3,319,331 Magnesita Refratarios SA............................. 3,286,466 9,107,193 * Marfrig Alimentos SA................................. 5,057,848 10,226,485 * Metalfrio Solutions SA............................... 56,600 88,401 * MMX Mineracao e Metalicos SA......................... 1,724,296 635,312 MRV Engenharia e Participacoes SA.................... 2,584,157 11,110,366 * Paranapanema SA...................................... 4,401,343 9,355,528 * PDG Realty SA Empreendimentos e Participacoes........ 31,849,819 28,609,446 Petroleo Brasileiro SA............................... 6,386,835 55,668,560 # Petroleo Brasileiro SA ADR........................... 20,410,443 355,754,021 # Petroleo Brasileiro SA Sponsored ADR................. 22,111,474 401,544,368 * Plascar Participacoes Industriais SA................. 36,555 8,446 Positivo Informatica SA.............................. 671,026 1,128,967 Profarma Distribuidora de Produtos Farmaceuticos SA.. 300,725 2,378,783 Rodobens Negocios Imobiliarios SA.................... 348,116 2,113,092 * Rossi Residencial SA................................. 10,825,995 13,281,358 Sao Carlos Empreendimentos e Participacoes SA........ 68,000 1,190,788 Sao Martinho SA...................................... 529,663 7,459,896
1 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- BRAZIL -- (Continued) SLC Agricola SA............................... 1,025,891 $ 9,518,673 * Springs Global Participacoes SA............... 1,522,300 1,263,941 Sul America SA................................ 289,290 2,113,213 * Tecnisa SA.................................... 861,104 3,568,437 Tereos Internacional SA....................... 568,672 750,095 TPI--Triunfo Participacoes e Investimentos SA. 311,200 1,429,377 Trisul SA..................................... 95,461 188,738 * Usinas Siderurgicas de Minas Gerais SA........ 2,197,000 11,138,896 * Vanguarda Agro SA............................. 3,973,779 6,652,531 Via Varejo SA................................. 42,731 572,239 * Viver Incorporadora e Construtora SA.......... 3,077,692 414,470 -------------- TOTAL BRAZIL...................................... 1,669,133,338 -------------- CHILE --(1.5%) Cementos BIO BIO SA........................... 665,307 732,669 Cencosud SA................................... 907,749 3,701,789 Cia General de Electricidad SA................ 1,273,765 7,233,548 * Cia Sud Americana de Vapores SA............... 57,702,158 2,667,307 Cintac SA..................................... 155,202 42,428 Corpbanca SA.................................. 1,137,122,867 12,728,082 Cristalerias de Chile SA...................... 264,624 2,253,973 Cruz Blanca Salud SA.......................... 264,642 180,512 * CTI SA........................................ 5,615 14,251 Embotelladora Andina SA Class A ADR........... 19,478 504,480 Empresas CMPC SA.............................. 20,493,514 60,931,677 Empresas COPEC SA............................. 2,248,477 32,784,605 Empresas Hites SA............................. 1,508,443 1,230,761 Empresas Iansa SA............................. 49,008,058 2,072,718 * Empresas La Polar SA.......................... 55,016 11,154 Enersis SA.................................... 80,177,319 26,880,932 Enersis SA Sponsored ADR...................... 5,622,312 92,768,148 Gasco SA...................................... 159,015 1,693,311 Grupo Security SA............................. 990,395 343,768 Inversiones Aguas Metropolitanas SA........... 6,055,897 11,257,942 Invexans SA................................... 64,223,012 1,411,797 Latam Airlines Group SA....................... 501,033 8,261,521 # Latam Airlines Group SA Sponsored ADR......... 315,976 5,229,403 * Madeco SA..................................... 64,223,012 488,960 Masisa SA..................................... 42,602,089 3,141,900 Parque Arauco SA.............................. 167,834 323,464 PAZ Corp. SA.................................. 1,977,039 1,122,291 Ripley Corp. SA............................... 11,773,657 10,333,468 Salfacorp SA.................................. 2,039,920 2,319,040 Sociedad Matriz SAAM SA....................... 51,571,533 5,163,330 Sociedad Quimica y Minera de Chile SA Class A. 27,840 1,046,043 Socovesa SA................................... 5,770,951 1,637,489 Soquimich Comercial SA........................ 189,354 38,706 Vina Concha y Toro SA......................... 1,559,467 2,862,943 Vina Concha y Toro SA Sponsored ADR........... 2,846 105,444 Vina San Pedro Tarapaca SA.................... 57,038,434 339,440 -------------- TOTAL CHILE....................................... 303,859,294 --------------
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- CHINA -- (14.0%) # 361 Degrees International, Ltd.......................... 6,803,000 $ 1,948,237 Agile Property Holdings, Ltd............................ 18,252,000 21,956,191 Agricultural Bank of China, Ltd. Class H................ 255,464,000 123,106,826 Air China, Ltd. Class H................................. 3,578,000 2,436,048 #* Aluminum Corp. of China, Ltd. ADR....................... 267,643 2,435,551 #* Aluminum Corp. of China, Ltd. Class H................... 11,832,000 4,375,264 AMVIG Holdings, Ltd..................................... 5,605,100 2,630,988 #* Angang Steel Co., Ltd. Class H.......................... 16,143,640 9,774,138 Anhui Tianda Oil Pipe Co., Ltd.......................... 2,847,412 422,341 Asia Cement China Holdings Corp......................... 7,821,500 4,278,197 Asian Citrus Holdings, Ltd.............................. 7,229,000 2,735,424 #* Ausnutria Dairy Corp., Ltd.............................. 268,000 50,468 * AVIC International Holding HK, Ltd...................... 19,134,285 728,120 * AVIC International Holdings, Ltd........................ 2,526,000 979,897 Bank of China, Ltd. Class H............................. 989,630,331 465,927,610 Bank of Communications Co., Ltd. Class H................ 110,893,574 81,256,211 Baoye Group Co., Ltd. Class H........................... 2,117,120 1,531,857 BBMG Corp. Class H...................................... 3,594,000 2,569,441 Beijing Capital International Airport Co., Ltd. Class H. 24,271,599 17,051,861 # Beijing Capital Land, Ltd. Class H...................... 18,113,060 6,522,928 Beijing Enterprises Holdings, Ltd....................... 5,364,500 43,897,110 Beijing Jingkelong Co., Ltd. Class H.................... 461,000 160,646 Beijing North Star Co., Ltd. Class H.................... 8,382,000 1,883,109 Boer Power Holdings, Ltd................................ 1,318,000 1,000,641 #* BYD Electronic International Co., Ltd................... 13,059,136 6,129,178 C C Land Holdings, Ltd.................................. 20,944,286 5,646,286 Carrianna Group Holdings Co., Ltd....................... 3,394,391 568,241 Central China Real Estate, Ltd.......................... 8,003,350 2,615,375 Changshouhua Food Co., Ltd.............................. 600,000 634,615 #* Chaoda Modern Agriculture Holdings, Ltd................. 37,445,412 4,306,222 Chaowei Power Holdings, Ltd............................. 80,000 33,970 * Chigo Holding, Ltd...................................... 49,744,000 1,116,003 China Aerospace International Holdings, Ltd............. 32,830,000 3,767,193 China Agri-Industries Holdings, Ltd..................... 30,816,500 14,393,305 China Aoyuan Property Group, Ltd........................ 15,221,000 3,115,093 China Automation Group, Ltd............................. 6,821,000 1,433,728 China BlueChemical, Ltd................................. 3,450,878 2,213,740 * China Chengtong Development Group, Ltd.................. 4,696,000 175,347 China CITIC Bank Corp., Ltd. Class H.................... 113,494,716 63,808,858 # China Coal Energy Co., Ltd. Class H..................... 60,445,000 37,012,751 China Communications Construction Co., Ltd. Class H..... 65,910,327 53,711,943 China Communications Services Corp., Ltd. Class H....... 28,699,071 17,738,458 China Construction Bank Corp. Class H................... 281,910,940 219,334,202 #* China COSCO Holdings Co., Ltd. Class H.................. 31,263,500 14,883,402 # China Dongxiang Group Co................................ 46,914,127 7,317,642 * China Energine International Holdings, Ltd.............. 5,818,390 472,502 China Everbright, Ltd................................... 12,195,869 18,088,591 China Fiber Optic Network System Group, Ltd............. 736,000 130,919 * China Foods, Ltd........................................ 132,000 59,954 * China Glass Holdings, Ltd............................... 9,128,000 1,142,506 * China Green Holdings, Ltd............................... 7,014,800 804,964 #* China Haidian Holdings, Ltd............................. 22,761,108 2,143,672
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- CHINA -- (Continued) China High Precision Automation Group, Ltd................. 429,000 $ 67,507 #* China High Speed Transmission Equipment Group Co., Ltd..... 17,215,000 9,236,233 China Hongqiao Group, Ltd.................................. 309,500 195,106 * China Huiyuan Juice Group, Ltd............................. 8,259,483 5,528,645 # China ITS Holdings Co., Ltd................................ 7,630,000 1,997,184 # China Lumena New Materials Corp............................ 53,360,000 11,425,344 China Merchants Bank Co., Ltd. Class H..................... 2,470,096 4,911,523 China Merchants Holdings International Co., Ltd............ 9,288,279 32,866,977 #* China Metal Recycling Holdings, Ltd........................ 3,259,800 1,982,453 #* China Mining Resources Group, Ltd.......................... 22,647,100 279,202 # China Minsheng Banking Corp., Ltd. Class H................. 50,567,500 57,947,185 China Molybdenum Co., Ltd. Class H......................... 67,263 27,443 # China National Building Material Co., Ltd. Class H......... 11,150,000 10,887,362 # China National Materials Co., Ltd.......................... 14,631,000 3,188,607 #* China New Town Development Co., Ltd........................ 19,348,022 1,794,899 China Nickel Resources Holdings Co., Ltd................... 5,020,000 239,361 * China Oriental Group Co., Ltd.............................. 26,000 4,221 China Petroleum & Chemical Corp. ADR....................... 1,291,935 103,832,800 China Petroleum & Chemical Corp. Class H................... 212,971,575 172,402,097 #* China Precious Metal Resources Holdings Co., Ltd........... 7,256,000 1,170,235 #* China Properties Group, Ltd................................ 7,347,000 1,892,340 China Qinfa Group, Ltd..................................... 6,458,000 508,141 # China Railway Construction Corp., Ltd. Class H............. 30,592,514 33,475,431 China Railway Group, Ltd. Class H.......................... 4,063,000 2,299,595 #* China Rare Earth Holdings, Ltd............................. 20,151,000 3,092,582 China Resources Land, Ltd.................................. 146,107 423,257 #* China Rongsheng Heavy Industries Group Holdings, Ltd....... 23,473,500 2,783,622 China SCE Property Holdings, Ltd........................... 1,715,000 396,692 # China Shanshui Cement Group, Ltd........................... 3,662,000 1,299,620 #* China Shipping Container Lines Co., Ltd. Class H........... 56,393,700 13,959,961 #* China Shipping Development Co., Ltd. Class H............... 13,923,488 7,859,458 China South City Holdings, Ltd............................. 13,892,462 4,340,786 # China Southern Airlines Co., Ltd. Class H.................. 20,688,000 7,570,055 China Starch Holdings, Ltd................................. 18,995,000 546,193 * China Sunshine Paper Holdings Co., Ltd..................... 436,500 42,114 China Taifeng Beddings Holdings, Ltd....................... 640,000 141,033 China Tianyi Holdings, Ltd................................. 988,000 156,493 * China Tontine Wines Group, Ltd............................. 7,714,000 378,341 China Travel International Inv HK.......................... 52,275,631 10,114,563 China Unicom Hong Kong, Ltd................................ 4,822,000 7,531,754 # China Unicom Hong Kong, Ltd. ADR........................... 7,316,862 114,143,047 * China Vanadium Titano--Magnetite Mining Co., Ltd........... 14,828,000 2,331,238 * China WindPower Group, Ltd................................. 2,910,000 118,199 #* China Yurun Food Group, Ltd................................ 10,128,000 6,721,311 * China ZhengTong Auto Services Holdings, Ltd................ 947,000 661,863 * China Zhongwang Holdings, Ltd.............................. 20,874,954 6,813,345 * Chongqing Iron & Steel Co., Ltd. Class H................... 6,356,000 902,380 # Chongqing Machinery & Electric Co., Ltd. Class H........... 18,992,000 2,351,022 # Chongqing Rural Commercial Bank Class H.................... 6,411,000 3,238,769 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd.. 5,728,000 2,141,726 # CITIC Pacific, Ltd......................................... 17,055,000 24,189,624 * CITIC Resources Holdings, Ltd.............................. 42,880,000 6,030,356
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- CHINA -- (Continued) # Clear Media, Ltd...................................... 666,000 $ 512,543 * Coastal Greenland, Ltd................................ 2,202,000 100,671 #* Comba Telecom Systems Holdings, Ltd................... 4,323,500 1,421,518 * Comtec Solar Systems Group, Ltd....................... 6,346,000 1,389,766 Cosco International Holdings, Ltd..................... 10,104,000 4,360,217 COSCO Pacific, Ltd.................................... 22,578,620 32,771,622 Country Garden Holdings Co., Ltd...................... 2,712,203 1,866,836 # CPMC Holdings, Ltd.................................... 129,000 103,099 CSPC Pharmaceutical Group, Ltd........................ 10,344,000 6,441,737 * DaChan Food Asia, Ltd................................. 3,297,000 412,535 Dalian Port PDA Co., Ltd. Class H..................... 14,226,000 3,301,397 DaMing International Holdings, Ltd.................... 32,000 6,206 Dongyue Group......................................... 763,000 359,172 #* Dynasty Fine Wines Group, Ltd......................... 9,228,600 1,714,070 Embry Holdings, Ltd................................... 544,000 336,983 EVA Precision Industrial Holdings, Ltd................ 1,828,000 261,785 # Evergrande Real Estate Group, Ltd..................... 27,726,000 11,733,476 Evergreen International Holdings, Ltd................. 1,628,000 319,372 Fantasia Holdings Group Co., Ltd...................... 10,561,015 1,810,088 Fosun International, Ltd.............................. 14,695,744 14,182,301 # Franshion Properties China, Ltd....................... 44,364,580 15,468,853 # Fufeng Group, Ltd..................................... 2,658,000 1,131,752 * GCL-Poly Energy Holdings, Ltd......................... 73,000 22,304 * Global Bio-Chem Technology Group Co., Ltd............. 33,872,360 2,619,107 #* Global Sweeteners Holdings, Ltd....................... 10,292,350 702,208 #* Glorious Property Holdings, Ltd....................... 41,022,000 6,560,980 Goldbond Group Holdings, Ltd.......................... 960,000 39,785 # Golden Meditech Holdings, Ltd......................... 11,909,359 1,428,963 Goldlion Holdings, Ltd................................ 1,298,000 634,647 # GOME Electrical Appliances Holding, Ltd............... 77,549,000 12,101,715 * Great Wall Technology Co., Ltd. Class H............... 7,550,035 2,181,359 Greenland Hong Kong Holdings, Ltd..................... 3,730,575 2,635,823 # Greentown China Holdings, Ltd......................... 7,954,591 15,424,776 Guangdong Land Holdings, Ltd.......................... 2,092,000 558,949 # Guangshen Railway Co., Ltd. Class H................... 888,000 467,977 # Guangshen Railway Co., Ltd. Sponsored ADR............. 426,392 11,214,109 Guangzhou Automobile Group Co., Ltd. Class H.......... 24,817,572 29,423,042 Guangzhou R&F Properties Co., Ltd..................... 11,351,914 19,888,915 Hainan Meilan International Airport Co., Ltd. Class H. 1,989,000 2,100,612 #* Hanergy Solar Group, Ltd.............................. 36,580,000 6,225,531 Harbin Electric Co., Ltd. Class H..................... 11,119,474 6,982,275 * Heng Tai Consumables Group, Ltd....................... 69,965,195 1,290,940 * Hidili Industry International Development, Ltd........ 18,872,000 3,133,889 # HKC Holdings, Ltd..................................... 40,848,878 1,422,577 Hopefluent Group Holdings, Ltd........................ 48,000 18,374 #* Hopson Development Holdings, Ltd...................... 11,352,000 13,921,844 # Hua Han Bio-Pharmaceutical Holdings, Ltd.............. 15,654,525 3,622,537 * Huscoke Resources Holdings, Ltd....................... 1,742,000 20,869 Hutchison Harbour Ring, Ltd........................... 7,032,000 553,112 Industrial & Commercial Bank of China, Ltd. Class H... 148,536,996 103,936,545 Inspur International, Ltd............................. 33,726,713 1,391,843 Jiangxi Copper Co., Ltd. Class H...................... 770,000 1,478,223
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- CHINA -- (Continued) Jingwei Textile Machinery Class H..................... 50,000 $ 33,048 Ju Teng International Holdings, Ltd................... 11,466,249 8,341,650 * Kai Yuan Holdings, Ltd................................ 63,040,000 1,546,005 * Kaisa Group Holdings, Ltd............................. 21,380,632 6,517,025 * Kasen International Holdings, Ltd..................... 1,885,000 348,572 Kingboard Chemical Holdings, Ltd...................... 9,260,845 24,102,263 Kingboard Laminates Holdings, Ltd..................... 7,016,500 2,894,155 KWG Property Holding, Ltd............................. 20,557,000 13,388,308 Lai Fung Holdings, Ltd................................ 56,830,560 1,427,903 Le Saunda Holdings, Ltd............................... 64,000 29,217 Lee & Man Paper Manufacturing, Ltd.................... 9,142,000 6,544,907 #* Li Ning Co., Ltd...................................... 1,303,000 1,186,387 Lianhua Supermarket Holdings Co., Ltd. Class H........ 101,000 64,815 Lijun International Pharmaceutical Holding Co., Ltd... 1,742,055 470,257 Lingbao Gold Co., Ltd. Class H........................ 4,154,000 909,518 * LK Technology Holdings, Ltd........................... 112,500 22,216 * Lonking Holdings, Ltd................................. 9,166,000 1,856,688 * Loudong General Nice Resources China Holdings, Ltd.... 21,592,800 1,418,513 #* Maanshan Iron & Steel Class H......................... 25,898,000 6,612,187 Maoye International Holdings, Ltd..................... 7,455,000 1,431,392 #* Metallurgical Corp. of China, Ltd. Class H............ 24,393,659 5,004,463 MIE Holdings Corp..................................... 810,000 173,545 MIN XIN Holdings, Ltd................................. 1,654,000 875,173 * Mingfa Group International Co., Ltd................... 34,000 9,207 # Minmetals Land, Ltd................................... 20,055,205 2,870,991 # Minth Group, Ltd...................................... 3,498,000 7,317,267 #* MMG, Ltd.............................................. 3,200,000 713,193 * Nan Hai Corp., Ltd.................................... 25,150,000 210,896 New World China Land, Ltd............................. 25,450,600 14,006,759 New World Department Store China, Ltd................. 565,000 326,543 # Nine Dragons Paper Holdings, Ltd...................... 19,937,000 16,424,146 O-Net Communications Group, Ltd....................... 3,619,000 685,806 Overseas Chinese Town Asia Holdings, Ltd.............. 164,000 74,036 Parkson Retail Group, Ltd............................. 823,000 281,472 # Peak Sport Products Co., Ltd.......................... 10,288,000 2,361,966 * PetroAsian Energy Holdings, Ltd....................... 3,626,084 75,889 # Poly Property Group Co., Ltd.......................... 31,419,488 19,344,022 * Pou Sheng International Holdings, Ltd................. 9,813,529 518,474 # Powerlong Real Estate Holdings, Ltd................... 10,383,000 2,158,113 * Prosperity International Holdings HK, Ltd............. 19,500,000 742,180 Qingling Motors Co., Ltd. Class H..................... 12,058,000 3,701,943 Qunxing Paper Holdings Co., Ltd....................... 5,020,071 1,306,656 * Real Gold Mining, Ltd................................. 3,137,500 566,555 # Real Nutriceutical Group, Ltd......................... 11,046,000 2,863,490 Regent Manner International Holdings, Ltd............. 738,000 127,491 * Renhe Commercial Holdings Co., Ltd.................... 44,016,000 2,476,336 REXLot Holdings, Ltd.................................. 95,781,150 8,403,366 Royale Furniture Holdings, Ltd........................ 4,235,007 221,364 Samson Holding, Ltd................................... 7,831,452 1,089,847 Sany Heavy Equipment International Holdings Co., Ltd.. 1,079,000 312,933 #* Semiconductor Manufacturing International Corp........ 173,313,000 12,821,272 #* Semiconductor Manufacturing International Corp. ADR... 1,331,701 4,874,026
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- CHINA -- (Continued) # Shandong Chenming Paper Holdings, Ltd. Class H.................. 4,180,318 $ 1,709,293 Shanghai Industrial Holdings, Ltd............................... 8,464,918 27,826,304 #* Shanghai Industrial Urban Development Group, Ltd................ 12,338,000 3,057,155 Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H. 17,400,000 4,200,099 Shanghai Prime Machinery Co., Ltd. Class H...................... 7,700,000 903,798 * Shanghai Zendai Property, Ltd................................... 19,155,000 376,610 Shengli Oil & Gas Pipe Holdings, Ltd............................ 9,946,500 539,339 Shenzhen International Holdings, Ltd............................ 114,256,069 13,997,879 Shenzhen Investment, Ltd........................................ 40,044,234 16,023,582 Shimao Property Holdings, Ltd................................... 22,765,535 57,039,807 * Shougang Concord Century Holdings, Ltd.......................... 402,299 16,049 * Shougang Concord International Enterprises Co., Ltd............. 81,758,208 4,056,285 # Shougang Fushan Resources Group, Ltd............................ 43,564,594 14,613,873 Shui On Land, Ltd............................................... 58,000,803 20,154,303 * Sijia Group Co.................................................. 1,152,649 203,680 Silver Grant International...................................... 20,310,804 2,775,488 * SIM Technology Group, Ltd....................................... 9,345,000 391,897 * Sino Dragon New Energy Holdings, Ltd............................ 232,000 8,819 * Sino Oil And Gas Holdings, Ltd.................................. 81,430,000 2,230,067 Sino-Ocean Land Holdings, Ltd................................... 44,240,213 28,052,717 # Sinofert Holdings, Ltd.......................................... 33,002,000 5,358,481 * Sinolink Worldwide Holdings, Ltd................................ 16,942,508 1,660,589 # Sinopec Kantons Holdings, Ltd................................... 9,011,010 8,220,473 Sinotrans Shipping, Ltd......................................... 16,063,416 5,283,014 Sinotrans, Ltd. Class H......................................... 24,472,000 6,028,912 # Sinotruk Hong Kong, Ltd......................................... 9,113,335 4,772,226 SITC International Holdings Co., Ltd............................ 52,000 22,053 # Skyworth Digital Holdings, Ltd.................................. 30,901,796 14,990,675 * SMI Corp., Ltd.................................................. 11,728,000 301,452 # SOHO China, Ltd................................................. 29,586,388 25,973,185 * Solargiga Energy Holdings, Ltd.................................. 8,770,486 418,596 Sparkle Roll Group, Ltd......................................... 600,000 40,278 #* SRE Group, Ltd.................................................. 41,222,285 1,486,501 Sunac China Holdings, Ltd....................................... 835,000 579,449 TCC International Holdings, Ltd................................. 14,035,056 5,194,826 * TCL Communication Technology Holdings, Ltd...................... 1,447,392 1,317,616 TCL Multimedia Technology Holdings, Ltd......................... 7,636,200 3,143,563 Texhong Textile Group, Ltd...................................... 1,020,000 1,784,736 Tian An China Investment........................................ 7,019,000 5,793,304 Tian Shan Development Holding, Ltd.............................. 806,000 269,225 Tiangong International Co., Ltd................................. 15,623,944 4,009,229 Tianjin Port Development Holdings, Ltd.......................... 13,033,657 2,269,018 # Tianneng Power International, Ltd............................... 3,232,280 1,220,955 Tomson Group, Ltd............................................... 2,979,206 922,864 * Tonly Electronics Holdings, Ltd................................. 760,220 448,111 # TPV Technology, Ltd............................................. 10,594,496 2,241,748 Travelsky Technology, Ltd. Class H.............................. 16,668,500 14,256,566 * Trony Solar Holdings Co., Ltd................................... 8,775,000 713,047 # Truly International Holdings.................................... 16,069,500 10,256,254 * VODone, Ltd..................................................... 39,256,000 3,391,930 Wasion Group Holdings, Ltd...................................... 5,697,291 3,569,366 Weiqiao Textile Co. Class H..................................... 7,549,500 4,603,590
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- CHINA -- (Continued) # West China Cement, Ltd................................... 27,984,000 $ 4,184,696 #* Winsway Coking Coal Holdings, Ltd........................ 1,201,000 91,291 Xiamen International Port Co., Ltd. Class H.............. 15,252,000 2,066,350 Xiangyu Dredging Holdings, Ltd........................... 124,000 31,649 Xingda International Holdings, Ltd....................... 10,726,000 6,517,798 # Xinhua Winshare Publishing and Media Co., Ltd. Class H... 4,837,000 2,840,663 # Xinjiang Goldwind Science & Technology Co., Ltd. Class H. 1,354,800 1,383,169 #* Xinjiang Xinxin Mining Industry Co., Ltd. Class H........ 10,075,000 1,582,256 Xiwang Property Holdings Co., Ltd........................ 9,790,736 1,400,479 XTEP International Holdings.............................. 2,464,500 1,214,608 * Yanchang Petroleum International, Ltd.................... 46,150,000 2,024,594 Yantai North Andre Juice Co. Class H..................... 199,000 49,637 # Yanzhou Coal Mining Co., Ltd. Class H.................... 4,038,000 4,183,463 Yip's Chemical Holdings, Ltd............................. 438,000 368,068 Youyuan International Holdings, Ltd...................... 148,229 43,111 Yuanda China Holdings, Ltd............................... 222,000 18,878 Yuexiu Property Co., Ltd................................. 75,308,170 20,992,339 Yuzhou Properties Co..................................... 1,997,960 489,767 Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H.. 242,600 146,405 * Zhong An Real Estate, Ltd................................ 4,970,800 986,351 # Zoomlion Heavy Industry Science and Technology Co., Ltd.. 1,261,600 1,167,033 -------------- TOTAL CHINA.................................................. 2,905,492,815 -------------- COLOMBIA -- (0.1%) Almacenes Exito SA....................................... 13,287 222,580 Cementos Argos SA........................................ 599,201 3,163,272 * Fabricato SA............................................. 18,582,617 140,915 Grupo de Inversiones Suramericana SA..................... 587,587 11,643,994 Grupo Nutresa SA......................................... 290,002 4,137,741 -------------- TOTAL COLOMBIA............................................... 19,308,502 -------------- CZECH REPUBLIC -- (0.1%) CEZ A.S.................................................. 159,805 4,598,659 Pegas Nonwovens SA....................................... 135,370 4,201,345 Telefonica Czech Republic A.S............................ 575,228 9,379,338 * Unipetrol A.S............................................ 1,424,029 12,762,061 -------------- TOTAL CZECH REPUBLIC......................................... 30,941,403 -------------- HONG KONG -- (0.0%) * FU JI Food and Catering Services Holdings, Ltd........... 127,500 26,658 -------------- HUNGARY -- (0.5%) * Danubius Hotel and SpA P.L.C............................. 122,501 2,676,210 #* FHB Mortgage Bank P.L.C.................................. 2,790 4,552 Fotex Holding SE......................................... 451,256 485,425 MOL Hungarian Oil and Gas P.L.C.......................... 83,141 5,684,668 # OTP Bank P.L.C........................................... 3,936,697 81,667,483 * PannErgy................................................. 119,850 162,831 #* Tisza Chemical Group P.L.C............................... 235,486 3,444,062 -------------- TOTAL HUNGARY................................................ 94,125,231 --------------
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDIA -- (6.0%) Aban Offshore, Ltd...................... 126,304 $ 523,189 * ABG Shipyard, Ltd....................... 278,976 1,324,665 Adani Enterprises, Ltd.................. 2,856,396 9,637,539 Aditya Birla Nuvo, Ltd.................. 575,521 11,446,571 Ajmera Realty & Infra India, Ltd........ 2,214 2,018 Akzo Nobel India, Ltd................... 37,121 503,382 Alembic Pharmaceuticals, Ltd............ 408,328 1,318,775 Allahabad Bank.......................... 2,114,906 3,151,743 * Alok Industries, Ltd.................... 9,805,809 1,267,963 Amara Raja Batteries, Ltd............... 14,826 75,661 Amtek Auto, Ltd......................... 1,204,473 1,269,712 Amtek India, Ltd........................ 285,945 300,444 Anant Raj, Ltd.......................... 1,954,588 1,760,245 Andhra Bank............................. 2,676,709 2,554,149 Apollo Hospitals Enterprise, Ltd........ 72,286 1,063,115 Apollo Tyres, Ltd....................... 3,305,514 3,669,955 Arvind, Ltd............................. 3,512,719 6,077,709 Ashok Leyland, Ltd...................... 20,205,663 5,681,320 Asian Hotels East, Ltd.................. 1,050 2,337 Atul, Ltd............................... 11,624 71,391 Aurobindo Pharma, Ltd................... 837,283 2,949,930 Axis Bank, Ltd.......................... 54,894 1,093,006 Bajaj Finance, Ltd...................... 95,610 2,120,203 Bajaj Finserv, Ltd...................... 31,789 331,439 Bajaj Hindusthan, Ltd................... 2,732,248 603,196 Bajaj Holdings and Investment, Ltd...... 380,476 5,117,286 Ballarpur Industries, Ltd............... 4,000,857 835,233 Balmer Lawrie & Co., Ltd................ 120,671 607,394 Balrampur Chini Mills, Ltd.............. 2,524,982 1,684,488 Bank of Baroda.......................... 1,436,080 15,066,115 Bank of India........................... 2,100,856 7,237,005 Bank Of Maharashtra..................... 1,498,465 959,942 BEML, Ltd............................... 112,246 343,325 BGR Energy Systems, Ltd................. 82,794 155,679 Bharat Electronics, Ltd................. 10,591 181,517 Bharat Heavy Electricals, Ltd........... 3,259,960 7,480,733 Bhushan Steel, Ltd...................... 1,124,384 8,788,543 Birla Corp., Ltd........................ 131,129 458,588 Bombay Burmah Trading Co................ 1,746 3,221 Bombay Dyeing & Manufacturing Co., Ltd.. 1,237,789 1,376,225 * Bombay Rayon Fashions, Ltd.............. 29,238 90,854 Brigade Enterprises, Ltd................ 10,795 9,803 Cairn India, Ltd........................ 7,011,708 36,411,736 Canara Bank............................. 1,809,669 7,624,344 Capital First, Ltd...................... 273,553 682,338 Central Bank Of India................... 3,187,732 2,823,763 Century Textiles & Industries, Ltd...... 661,122 2,939,534 Chambal Fertilizers & Chemicals, Ltd.... 1,677,990 948,905 City Union Bank, Ltd.................... 1,450,289 1,135,991 Claris Lifesciences, Ltd................ 86,438 248,484 Coromandel International, Ltd........... 25,570 92,236 Corp. Bank.............................. 422,867 1,969,705
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDIA -- (Continued) Cox & Kings, Ltd..................................... 100,113 $ 149,526 * Cranes Software International, Ltd................... 114,443 9,201 Crompton Greaves, Ltd................................ 196,049 336,734 Dalmia Bharat, Ltd................................... 159,852 312,682 * DB Realty, Ltd....................................... 1,426,693 1,416,843 DCM Shriram Consolidated............................. 216,498 195,004 Deepak Fertilisers & Petrochemicals Corp., Ltd....... 424,886 724,960 Dena Bank............................................ 1,288,549 1,124,501 * Development Credit Bank, Ltd......................... 2,874,325 2,395,654 Dewan Housing Finance Corp., Ltd..................... 115,020 286,592 DLF, Ltd............................................. 8,739,385 21,537,416 Dredging Corp. Of India, Ltd......................... 65,400 269,450 Edelweiss Financial Services, Ltd.................... 1,091,035 540,853 * Educomp Solutions, Ltd............................... 759,504 294,723 Eicher Motors, Ltd................................... 23,207 1,494,290 EID Parry India, Ltd................................. 818,733 1,904,450 EIH, Ltd............................................. 877,249 784,490 Elder Pharmaceuticals, Ltd........................... 109,689 563,122 Electrosteel Castings, Ltd........................... 821,207 181,457 * Era Infra Engineering, Ltd........................... 1,059,075 653,247 Eros International Media, Ltd........................ 28,242 72,480 Escorts, Ltd......................................... 1,425,781 2,243,432 Ess Dee Aluminium, Ltd............................... 42,453 350,662 * Essar Oil, Ltd....................................... 1,456,017 1,233,868 Essar Ports, Ltd..................................... 667,039 662,222 * Essar Shipping, Ltd.................................. 251,119 72,792 Essel Propack, Ltd................................... 724,110 505,297 Federal Bank, Ltd.................................... 9,157,930 12,284,447 * Federal-Mogul Goetze India, Ltd...................... 3,731 11,948 Finolex Cables, Ltd.................................. 562,944 554,184 Finolex Industries, Ltd.............................. 695,629 1,457,798 * Firstsource Solutions, Ltd........................... 326,484 110,016 * Fortis Healthcare, Ltd............................... 1,369,445 2,185,037 * Future Consumer Enterprise, Ltd...................... 145,968 13,936 * Future Lifestyle Fashions, Ltd....................... 4,709 5,440 GAIL India, Ltd...................................... 904,199 5,180,826 Gammon India, Ltd.................................... 162,933 35,185 Gateway Distriparks, Ltd............................. 231,605 428,806 * Gitanjali Gems, Ltd.................................. 405,156 429,364 Graphite India, Ltd.................................. 586,551 720,469 Grasim Industries, Ltd............................... 15,142 693,069 Great Eastern Shipping Co., Ltd. (The)............... 1,018,431 4,612,695 * GTL Infrastructure, Ltd.............................. 1,550,337 40,389 Gujarat Alkalies & Chemicals, Ltd.................... 449,629 1,178,033 Gujarat Fluorochemicals, Ltd......................... 254,828 1,030,202 Gujarat Mineral Development Corp., Ltd............... 22,374 37,435 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd.. 729,530 730,965 * Gujarat NRE Coke, Ltd................................ 3,619,364 766,401 Gujarat State Fertilisers & Chemicals, Ltd........... 2,186,080 2,123,359 Gujarat State Petronet, Ltd.......................... 1,637,688 1,490,962 Gulf Oil Corp., Ltd.................................. 239,031 307,381 HBL Power Systems, Ltd............................... 238,276 36,470
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDIA -- (Continued) * HCL Infosystems, Ltd.......................... 1,297,616 $ 496,058 HEG, Ltd...................................... 138,303 387,257 * HeidelbergCement India, Ltd................... 699,011 426,275 * Hexa Tradex, Ltd.............................. 270,573 61,711 Hindalco Industries, Ltd...................... 21,204,295 39,765,793 Hinduja Global Solutions, Ltd................. 60,085 363,921 Hinduja Ventures, Ltd......................... 67,133 290,987 * Hindustan Construction Co., Ltd............... 7,005,199 1,614,267 * Hotel Leela Venture, Ltd...................... 1,571,597 400,431 * Housing Development & Infrastructure, Ltd..... 5,496,603 3,822,976 HSIL, Ltd..................................... 187,119 248,129 ICICI Bank, Ltd............................... 590,476 10,720,668 ICICI Bank, Ltd. Sponsored ADR................ 3,394,535 126,684,046 IDBI Bank, Ltd................................ 4,050,509 4,455,625 Idea Cellular, Ltd............................ 2,084,780 5,837,885 IDFC, Ltd..................................... 6,072,777 10,494,915 IFCI, Ltd..................................... 6,602,323 2,617,533 India Cements, Ltd............................ 3,824,624 3,110,287 India Infoline, Ltd........................... 2,848,913 2,640,342 Indiabulls Housing Finance, Ltd............... 1,795,884 6,172,896 * Indiabulls Infrastructure and Power, Ltd...... 10,265,089 609,007 Indiabulls Real Estate, Ltd................... 2,937,281 2,999,354 Indian Bank................................... 1,269,647 1,741,669 Indian Hotels Co., Ltd........................ 4,834,301 3,854,588 Indian Overseas Bank.......................... 3,114,234 2,581,709 Indo Rama Synthetics India.................... 20,657 6,354 Infotech Enterprises, Ltd..................... 26,080 106,706 ING Vysya Bank, Ltd........................... 265,599 2,549,723 Ingersoll-Rand India, Ltd..................... 30,001 162,084 * IVRCL, Ltd.................................... 621,115 132,169 Jai Corp., Ltd................................ 933,327 761,218 Jain Irrigation Systems, Ltd.................. 2,286,369 2,488,219 Jaiprakash Associates, Ltd.................... 20,703,122 16,048,175 Jammu & Kashmir Bank, Ltd..................... 313,797 6,702,446 Jaypee Infratech, Ltd......................... 919,378 267,887 JB Chemicals & Pharmaceuticals, Ltd........... 373,888 617,222 JBF Industries, Ltd........................... 157,552 207,969 * Jet Airways India, Ltd........................ 113,716 630,081 Jindal Poly Films, Ltd........................ 188,270 427,718 * Jindal Poly Investments and Finance Co., Ltd.. 53,426 4,521 Jindal Saw, Ltd............................... 2,076,447 1,610,093 * Jindal Stainless, Ltd......................... 816,596 509,455 Jindal Steel & Power, Ltd..................... 1,968,704 7,711,468 JK Cement, Ltd................................ 130,262 410,748 JK Lakshmi Cement, Ltd........................ 377,490 413,259 JM Financial, Ltd............................. 4,580,382 2,075,329 JSW Energy, Ltd............................... 5,496,957 4,146,908 JSW Steel, Ltd................................ 1,799,096 25,208,355 Jubilant Life Sciences, Ltd................... 566,698 920,355 Kakinada Fertilizers, Ltd..................... 2,082,494 379,868 Kalpataru Power Transmission, Ltd............. 220,665 278,756 * Kalyani Investment Co., Ltd................... 849 4,294
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDIA -- (Continued) Karnataka Bank, Ltd........................ 2,195,065 $3,624,844 Karur Vysya Bank, Ltd...................... 313,960 1,750,410 KEC International, Ltd..................... 377,505 222,672 Kesoram Industries, Ltd.................... 449,716 444,978 Kirloskar Brothers, Ltd.................... 2,141 5,407 Kirloskar Oil Engines, Ltd................. 318,856 775,706 KSB Pumps, Ltd............................. 7,207 28,201 * KSK Energy Ventures, Ltd................... 20,905 20,300 Lakshmi Vilas Bank, Ltd.................... 457,710 545,325 * Mahanagar Telephone Nigam.................. 1,531,804 357,875 * Mahanagar Telephone Nigam ADR.............. 1 -- Maharashtra Seamless, Ltd.................. 194,873 503,917 Mahindra Lifespace Developers, Ltd......... 143,080 996,704 Man Infraconstruction, Ltd................. 1,968 3,821 Manaksia, Ltd.............................. 58,953 44,981 McLeod Russel India, Ltd................... 530,373 2,365,022 * Mercator, Ltd.............................. 1,844,763 377,290 Merck, Ltd................................. 22,680 206,762 MOIL, Ltd.................................. 4,675 17,769 Monnet Ispat & Energy, Ltd................. 179,359 380,783 Motilal Oswal Financial Services, Ltd...... 4,955 5,672 Mphasis, Ltd............................... 23,537 161,987 MRF, Ltd................................... 12,646 3,220,868 * Nagarjuna Oil Refinery, Ltd................ 1,423,716 98,600 Nahar Capital and Financial Services, Ltd.. 8,332 6,294 National Aluminium Co., Ltd................ 1,690,461 1,008,327 Nava Bharat Ventures, Ltd.................. 27,806 70,559 NCC, Ltd................................... 2,621,585 1,108,228 NIIT Technologies, Ltd..................... 444,772 2,020,211 NIIT, Ltd.................................. 966,307 312,097 Noida Toll Bridge Co., Ltd................. 336,090 112,785 Oberoi Realty, Ltd......................... 3,796 11,656 OCL India, Ltd............................. 61,362 140,031 OMAXE, Ltd................................. 808,891 1,849,183 Orchid Chemicals & Pharmaceuticals, Ltd.... 394,153 313,128 Orient Cement Ltd.......................... 567,622 347,112 Orient Paper & Industries, Ltd............. 47,163 5,942 Oriental Bank of Commerce.................. 1,205,589 3,535,011 * Oswal Chemicals & Fertilizers.............. 441,732 158,012 * Panacea Biotec, Ltd........................ 23,946 41,361 * Parsvnath Developers, Ltd.................. 1,662,316 708,245 Peninsula Land, Ltd........................ 293,451 146,499 Petronet LNG, Ltd.......................... 445,838 895,763 Piramal Enterprises, Ltd................... 755,009 6,911,353 * Plethico Pharmaceuticals, Ltd.............. 213,627 120,095 Polaris Financial Technology, Ltd.......... 805,757 1,877,971 Polyplex Corp., Ltd........................ 17,713 38,156 Power Finance Corp., Ltd................... 16,793 36,662 * Prime Focus, Ltd........................... 8,309 4,323 * Prism Cement, Ltd.......................... 389,471 169,358 PTC India Financial Services, Ltd.......... 450,875 82,079 PTC India, Ltd............................. 3,823,336 3,482,031
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDIA -- (Continued) * Punj Lloyd, Ltd......................... 1,800,182 $ 824,520 Punjab & Sind Bank...................... 116,252 83,700 Rain Industries, Ltd.................... 1,429,773 842,472 Rajesh Exports, Ltd..................... 287,502 447,184 Ramco Cements, Ltd. (The)............... 348,305 1,005,297 Raymond, Ltd............................ 528,762 2,295,393 Redington India, Ltd.................... 7,919 7,967 REI Agro, Ltd........................... 5,013,829 521,499 Reliance Capital, Ltd................... 1,987,403 12,017,303 Reliance Communications, Ltd............ 11,935,464 28,701,161 Reliance Industries, Ltd................ 20,872,830 310,667,472 Reliance Industries, Ltd. GDR........... 107,000 3,189,426 * Reliance Power, Ltd..................... 12,808,748 15,260,737 Rolta India, Ltd........................ 1,854,686 1,894,569 Ruchi Soya Industries, Ltd.............. 1,735,191 986,949 Rural Electrification Corp., Ltd........ 2,768,400 8,764,921 * S Kumars Nationwide, Ltd................ 646,995 54,745 Sesa Sterlite, Ltd...................... 9,898,533 32,375,101 * Sesa Sterlite, Ltd. ADR................. 1,544,183 19,919,966 * Shipping Corp. of India, Ltd............ 2,334,024 1,317,206 Shree Renuka Sugars, Ltd................ 8,427,268 3,096,353 Sintex Industries, Ltd.................. 2,196,726 1,170,108 Sobha Developers, Ltd................... 500,107 2,523,053 South Indian Bank, Ltd.................. 9,724,062 3,344,579 SREI Infrastructure Finance, Ltd........ 1,470,670 492,360 SRF, Ltd................................ 290,002 772,212 State Bank of Bikaner & Jaipur.......... 32,697 172,432 State Bank of India..................... 2,733,925 79,863,846 State Bank of India GDR................. 5,732 336,092 Steel Authority of India, Ltd........... 7,925,317 8,009,185 * Sterling Biotech, Ltd................... 507,995 43,067 Sterlite Technologies, Ltd.............. 1,777,282 600,459 Styrolution ABS India, Ltd.............. 28,114 175,970 Sundaram Finance, Ltd................... 6,602 56,953 Sundram Fasteners, Ltd.................. 25,783 15,139 * Suzlon Energy, Ltd...................... 17,000,653 2,653,186 Syndicate Bank.......................... 2,880,564 3,839,344 Tamil Nadu Newsprint & Papers, Ltd...... 45,093 76,849 Tata Chemicals, Ltd..................... 1,201,925 5,245,188 Tata Communications, Ltd................ 214,358 921,538 Tata Global Beverages, Ltd.............. 4,797,103 12,799,623 Tata Investment Corp., Ltd.............. 27,375 179,354 Tata Steel, Ltd......................... 9,447,861 51,780,012 Techno Electric & Engineering Co., Ltd.. 1,571 2,071 * Teledata Marine Solutions, Ltd.......... 267,258 1,305 Time Technoplast, Ltd................... 498,379 275,598 Titagarh Wagons, Ltd.................... 13,818 21,534 Transport Corp. of India, Ltd........... 2,070 1,741 Trent, Ltd.............................. 18,226 272,931 Triveni Turbine, Ltd.................... 230,208 196,719 Tube Investments of India, Ltd.......... 503,633 1,199,892 * Tulip Telecom, Ltd...................... 555,643 67,995
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDIA -- (Continued) * TV18 Broadcast, Ltd.................................. 5,187,701 $ 1,957,706 UCO Bank............................................. 5,005,513 5,911,328 Uflex, Ltd........................................... 339,502 371,486 Unichem Laboratories, Ltd............................ 186,357 542,686 Union Bank of India.................................. 991,918 1,992,544 * Unitech, Ltd......................................... 31,412,365 8,927,476 United Bank of India................................. 31,454 17,281 UPL, Ltd............................................. 4,095,031 10,920,615 Usha Martin, Ltd..................................... 1,811,897 742,133 * Uttam Galva Steels, Ltd.............................. 14,790 14,065 * Vardhman Special Steels, Ltd......................... 6,934 1,590 Vardhman Textiles, Ltd............................... 110,493 638,858 * Videocon Industries, Ltd............................. 1,114,865 3,147,557 Vijaya Bank.......................................... 2,618,930 1,759,694 Voltamp Transformers, Ltd............................ 724 4,309 Voltas, Ltd.......................................... 319,969 465,132 Welspun Corp., Ltd................................... 1,847,557 1,277,756 Wockhardt, Ltd....................................... 7,920 57,443 Zensar Technologies, Ltd............................. 19,011 83,300 Zuari Agro Chemicals, Ltd............................ 128,304 196,506 Zuari Global, Ltd.................................... 80,080 68,480 -------------- TOTAL INDIA.............................................. 1,250,187,705 -------------- INDONESIA -- (2.3%) Adaro Energy Tbk PT.................................. 100,242,500 9,062,394 Adhi Karya Persero Tbk PT............................ 9,143,117 1,580,144 * Agis Tbk PT.......................................... 57,627,500 2,299,793 Agung Podomoro Land Tbk PT........................... 40,662,000 1,008,137 Aneka Tambang Persero Tbk PT......................... 71,793,000 10,174,395 Asahimas Flat Glass Tbk PT........................... 5,277,000 3,864,752 Astra Graphia Tbk PT................................. 3,635,000 535,089 * Bakrie and Brothers Tbk PT........................... 1,056,525,750 4,686,297 * Bakrie Sumatera Plantations Tbk PT................... 182,168,500 808,264 * Bakrie Telecom Tbk PT................................ 260,426,500 1,153,707 * Bakrieland Development Tbk PT........................ 623,458,520 2,767,539 Bank Bukopin Tbk PT.................................. 61,873,833 3,564,283 Bank Danamon Indonesia Tbk PT........................ 34,396,054 13,129,919 Bank Mandiri Persero Tbk PT.......................... 63,214,431 48,270,485 Bank Negara Indonesia Persero Tbk PT................. 118,251,941 50,409,297 * Bank Pan Indonesia Tbk PT............................ 150,362,201 9,579,800 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT. 15,967,500 1,291,662 * Bank Permata Tbk PT.................................. 381,272 48,160 Bank Tabungan Negara Persero Tbk PT.................. 56,254,527 4,841,948 * Barito Pacific Tbk PT................................ 15,599,000 664,406 * Benakat Petroleum Energy Tbk PT...................... 44,311,000 467,483 * Berau Coal Energy Tbk PT............................. 30,316,500 486,880 * Berlian Laju Tanker Tbk PT........................... 128,161,466 -- Bisi International PT................................ 12,634,000 682,652 * Borneo Lumbung Energi & Metal Tbk PT................. 12,594,500 245,422 * Budi Starch & Sweetener Tbk PT....................... 14,636,500 123,297 * Bumi Resources Minerals Tbk PT....................... 3,687,500 76,768 * Bumi Resources Tbk PT................................ 232,625,500 9,367,564
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDONESIA -- (Continued) Bumi Serpong Damai PT................................. 13,195,000 $ 1,830,396 BW Plantation Tbk PT.................................. 6,452,500 531,917 * Central Proteinaprima Tbk PT.......................... 178,071,500 789,923 Charoen Pokphand Indonesia Tbk PT..................... 51,749,330 17,885,286 Ciputra Development Tbk PT............................ 115,725,500 10,558,990 Ciputra Property Tbk PT............................... 8,775,000 612,543 Ciputra Surya Tbk PT.................................. 16,634,000 3,346,543 Clipan Finance Indonesia Tbk PT....................... 2,995,500 111,910 * Darma Henwa Tbk PT.................................... 246,575,442 1,093,703 * Davomas Abadi Tbk PT.................................. 138,239,500 -- * Delta Dunia Makmur Tbk PT............................. 25,728,000 198,169 Elnusa Tbk PT......................................... 27,207,500 747,776 * Energi Mega Persada Tbk PT............................ 570,221,378 4,044,066 * Erajaya Swasembada Tbk PT............................. 2,641,000 318,391 * Ever Shine Textile Tbk PT............................. 19,342,215 291,699 * Exploitasi Energi Indonesia Tbk PT.................... 1,315,500 30,338 Gajah Tunggal Tbk PT.................................. 25,448,500 5,187,134 * Garuda Indonesia Persero Tbk PT....................... 16,655,500 723,638 Global Mediacom Tbk PT................................ 94,263,500 15,966,170 * Gozco Plantations Tbk PT.............................. 26,992,900 277,683 * Great River International Tbk PT...................... 1,788,000 -- Gudang Garam Tbk PT................................... 2,837,000 9,275,605 Hexindo Adiperkasa Tbk PT............................. 1,104,344 308,518 Holcim Indonesia Tbk PT............................... 16,224,000 3,705,166 * Indah Kiat Pulp & Paper Corp. Tbk PT.................. 33,416,500 4,560,017 Indika Energy Tbk PT.................................. 27,402,500 1,894,234 * Indo-Rama Synthetics Tbk PT........................... 41,500 4,062 Indofood Sukses Makmur Tbk PT......................... 61,516,000 36,240,711 Intiland Development Tbk PT........................... 39,486,500 1,294,087 Japfa Comfeed Indonesia Tbk PT........................ 27,068,750 3,359,220 Jaya Real Property Tbk PT............................. 127,605,000 9,960,408 Kawasan Industri Jababeka Tbk PT...................... 303,309,210 6,578,142 * Krakatau Steel Persero Tbk PT......................... 2,260,500 112,249 * Lippo Cikarang Tbk PT................................. 856,000 511,143 * Lippo Karawaci Tbk PT................................. 342,058,249 34,251,040 Matahari Putra Prima Tbk PT........................... 36,305,900 7,722,958 Mayora Indah Tbk PT................................... 8,048,917 20,885,967 Medco Energi Internasional Tbk PT..................... 27,137,000 5,896,819 * Mitra International Resources Tbk PT.................. 22,160,160 115,895 MNC Investama Tbk PT.................................. 285,591,200 8,860,400 * Modernland Realty Tbk PT.............................. 3,277,000 235,335 Multipolar Corp. Tbk PT............................... 44,134,500 1,584,061 Nusantara Infrastructure Tbk PT....................... 1,708,500 38,649 Pabrik Kertas Tjiwi Kimia Tbk PT...................... 246,000 42,214 * Pan Brothers Tbk PT................................... 87,500 4,577 * Panasia Indo Resources Tbk PT......................... 403,200 14,844 * Panin Financial Tbk PT................................ 241,705,000 4,284,224 Panin Insurance Tbk PT................................ 30,949,000 1,954,133 Pembangunan Perumahan Persero Tbk PT.................. 9,326,500 1,082,230 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT. 34,435,884 4,883,056 Petrosea Tbk PT....................................... 3,762,500 447,232 * Polychem Indonesia Tbk PT............................. 17,280,000 459,332
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- INDONESIA -- (Continued) Ramayana Lestari Sentosa Tbk PT................ 23,587,500 $ 2,573,032 Salim Ivomas Pratama Tbk PT.................... 1,138,000 80,694 Sampoerna Agro PT.............................. 11,532,941 1,819,162 Samudera Indonesia Tbk PT...................... 133,000 38,083 Selamat Sempurna Tbk PT........................ 12,756,500 3,167,685 * Sentul City Tbk PT............................. 305,279,500 5,813,362 Sinar Mas Agro Resources and Technology Tbk PT. 7,808,900 4,501,214 Sinar Mas Multiartha Tbk PT.................... 2,000 672 Summarecon Agung Tbk PT........................ 30,528,714 2,838,717 * Sunson Textile Manufacturer Tbk PT............. 4,096,500 40,299 * Surya Dumai Industri Tbk....................... 5,145,000 -- Surya Semesta Internusa Tbk PT................. 1,353,500 95,965 Surya Toto Indonesia Tbk PT.................... 446,000 294,585 * Suryainti Permata Tbk PT....................... 17,378,000 -- Tiga Pilar Sejahtera Food Tbk.................. 31,305,222 3,662,900 Timah Persero Tbk PT........................... 37,324,900 5,358,468 Trias Sentosa Tbk PT........................... 336,500 8,959 * Trimegah Securities Tbk PT..................... 27,395,000 162,995 * Truba Alam Manunggal Engineering PT............ 129,244,500 573,273 Tunas Baru Lampung Tbk PT...................... 17,379,500 739,563 Tunas Ridean Tbk PT............................ 42,848,500 2,165,817 * Ultrajaya Milk Industry & Trading Co. Tbk PT... 10,129,000 4,421,962 Unggul Indah Cahaya Tbk PT..................... 371,435 62,277 United Tractors Tbk PT......................... 7,442,500 11,551,318 Vale Indonesia Tbk PT.......................... 41,280,500 9,040,416 Wijaya Karya Persero Tbk PT.................... 2,648,002 450,598 XL Axiata Tbk PT............................... 1,556,500 617,410 ------------ TOTAL INDONESIA.................................... 476,382,766 ------------ ISRAEL -- (0.0%) * Feuchtwanger Investments, Ltd.................. 10,500 -- * Israel Steel Mills, Ltd........................ 97,000 -- * Knafaim Holdings, Ltd.......................... 68,239 130,481 * Liberty Properties, Ltd........................ 2,533 20,113 Mivtach Shamir................................. 3,973 146,008 ------------ TOTAL ISRAEL....................................... 296,602 ------------ MALAYSIA -- (3.6%) Adventa Bhd.................................... 62,000 19,626 Affin Holdings Bhd............................. 9,734,200 13,147,591 AirAsia BHD.................................... 20,058,200 17,028,319 Alam Maritim Resources Bhd..................... 4,436,100 2,233,536 Alliance Financial Group Bhd................... 16,295,200 26,785,755 AMMB Holdings Bhd.............................. 23,929,662 56,162,220 * Ann Joo Resources Bhd.......................... 2,973,600 1,130,532 APM Automotive Holdings Bhd.................... 1,269,000 2,307,566 Batu Kawan BHD................................. 2,078,750 12,891,090 Benalec Holdings BHD........................... 64,000 24,144 Berjaya Assets BHD............................. 171,900 46,236 Berjaya Corp. Bhd.............................. 40,095,380 6,857,275 Berjaya Land Bhd............................... 13,220,000 3,540,281 BIMB Holdings Bhd.............................. 4,592,000 7,009,630
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- MALAYSIA -- (Continued) BLD Plantation Bhd........................ 6,600 $ 17,778 * Boustead Heavy Industries Corp. Bhd....... 110,600 92,789 Boustead Holdings Bhd..................... 7,513,698 12,453,666 Cahya Mata Sarawak Bhd.................... 2,932,300 4,737,022 Can-One Bhd............................... 338,800 375,712 CB Industrial Product Holding Bhd......... 1,223,600 1,136,099 Chin Teck Plantations BHD................. 309,100 920,864 Coastal Contracts Bhd..................... 3,224,100 3,585,991 CSC Steel Holdings Bhd.................... 2,503,800 1,046,945 * Cycle & Carriage Bintang BHD.............. 213,000 168,082 * Datuk Keramik Holdings Berhad............. 127,000 -- Daya Materials Bhd........................ 10,663,200 1,351,209 DRB-Hicom Bhd............................. 18,941,300 15,242,352 Eastern & Oriental Bhd.................... 15,361,115 9,777,892 ECM Libra Financial Group Bhd............. 2,242,050 746,329 Evergreen Fibreboard Bhd.................. 2,865,126 431,193 Eversendai Corp. Bhd...................... 410,600 192,623 Faber Group BHD........................... 3,989,500 3,316,398 FAR East Holdings BHD..................... 403,800 959,133 * Fountain View Development Berhad.......... 2,573,200 -- Genting Bhd............................... 2,411,600 8,006,568 Genting Malaysia Bhd...................... 21,104,900 28,887,345 Genting Plantations Bhd................... 306,300 1,055,795 Globetronics Technology BHD............... 737,600 705,728 Glomac Bhd................................ 7,220,000 2,584,962 * Goldis BHD................................ 3,133,491 1,975,171 GuocoLand Malaysia Bhd.................... 1,886,200 675,217 HAP Seng Consolidated Bhd................. 14,443,600 11,211,562 Hap Seng Plantations Holdings Bhd......... 3,806,300 3,195,307 Hiap Teck Venture Bhd..................... 251,500 57,391 Hong Leong Financial Group Bhd............ 2,408,451 11,543,867 Hong Leong Industries Bhd................. 1,257,300 2,064,790 Hua Yang Bhd.............................. 500,533 342,685 * Hubline Bhd............................... 5,352,350 92,996 HwangDBS Malaysia BHD..................... 930,700 1,264,814 IGB Corp. Bhd............................. 15,129,990 12,760,097 IGB REIT.................................. 469,643 178,551 IJM Corp. Bhd............................. 23,388,559 43,004,597 IJM Land Bhd.............................. 6,726,800 5,960,564 IJM Plantations Bhd....................... 514,200 528,176 Inch Kenneth Kajang Rubber................ 1,123,300 324,002 Insas Bhd................................. 6,251,048 1,266,870 Integrated Logistics Bhd.................. 253,300 158,186 Integrax BHD.............................. 955,700 590,675 Iris Corp. Bhd............................ 10,460,800 894,708 * JAKS Resources Bhd........................ 9,634,600 1,695,925 Jaya Tiasa Holdings BHD................... 3,997,933 2,696,585 JCY International Bhd..................... 10,119,100 2,036,205 * K&N Kenanga Holdings BHD(6486615)......... 4,240,487 799,250 * K&N Kenanga Holdings BHD(B987B91), 5.000%. 418,883 76 * Karambunai Corp. Bhd...................... 18,222,700 520,686 Keck Seng Malaysia Bhd.................... 2,515,500 5,643,789
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- MALAYSIA -- (Continued) Kian JOO CAN Factory BHD............. 4,777,380 $ 4,802,265 * KIG Glass Industrial Berhad.......... 260,000 -- Kim Loong Resources Bhd.............. 499,100 382,823 Kimlun Corp. Bhd..................... 304,400 193,983 * Kinsteel Bhd......................... 7,321,700 636,410 KLCC Property Holdings Bhd........... 6,487,800 13,273,748 * KNM Group Bhd........................ 22,283,325 2,894,449 * Kretam Holdings BHD.................. 121,700 133,795 * KSL Holdings BHD..................... 2,891,566 1,891,902 * KUB Malaysia BHD..................... 5,684,400 820,212 Kulim Malaysia BHD................... 9,730,500 10,483,429 Kumpulan Fima BHD.................... 2,385,600 1,488,558 Kumpulan Perangsang Selangor Bhd..... 4,147,200 3,061,995 Kwantas Corp. BHD.................... 288,400 188,800 * Land & General BHD................... 10,889,200 1,207,638 * Landmarks BHD........................ 4,159,308 1,553,773 LBS Bina Group Bhd................... 3,377,500 1,904,452 * Lion Corp. Bhd....................... 1,062,681 35,318 Lion Diversified Holdings Bhd........ 2,887,300 201,216 Lion Industries Corp. Bhd............ 8,486,481 2,378,068 Magnum Bhd........................... 4,280,200 4,491,469 Mah Sing Group Bhd................... 4,487,139 3,182,674 Malayan Flour Mills Bhd.............. 1,537,750 662,552 Malaysia Airports Holdings Bhd....... 3,904,539 10,410,441 * Malaysian Airline System Bhd......... 39,258,100 4,224,269 Malaysian Bulk Carriers Bhd.......... 6,840,625 3,835,591 Malaysian Pacific Industries Bhd..... 961,875 859,196 Malaysian Resources Corp. Bhd........ 18,089,200 8,197,187 MBM Resources BHD.................... 2,500,303 2,978,578 Media Prima Bhd...................... 659,900 552,012 Mega First Corp. BHD................. 1,158,600 671,777 * Metroplex Berhad..................... 817,000 -- * MISC Bhd............................. 10,446,204 16,907,546 MK Land Holdings BHD................. 9,637,500 1,114,628 MKH BHD.............................. 2,001,259 1,623,109 MMC Corp. Bhd........................ 14,801,380 12,567,099 MNRB Holdings Bhd.................... 1,733,900 1,923,598 Mudajaya Group Bhd................... 4,068,700 3,582,957 Muhibbah Engineering M Bhd........... 5,784,900 4,326,305 * Mulpha International Bhd............. 33,432,800 4,499,980 MWE Holdings BHD..................... 291,900 165,515 Naim Holdings Bhd.................... 3,219,300 3,947,583 NCB Holdings Bhd..................... 2,451,500 2,819,272 Negri Sembilan Oil Palms BHD......... 167,600 304,382 Oriental Holdings BHD................ 3,680,879 10,309,580 Oriental Interest BHD................ 139,100 107,999 OSK Holdings BHD..................... 7,208,471 3,752,377 Pacific & Orient BHD................. 334,330 153,620 Panasonic Manufacturing Malaysia BHD. 382,080 2,833,688 * Paracorp Berhad...................... 252,000 -- Paramount Corp. Bhd.................. 1,067,300 530,748 Parkson Holdings Bhd................. 174,100 207,474
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- MALAYSIA -- (Continued) * Pelikan International Corp. Bhd............. 774,416 $ 164,262 * Perdana Petroleum Bhd....................... 4,237,300 2,737,737 Perusahaan Sadur Timah Malay................ 6,800 8,596 Pie Industrial BHD.......................... 323,600 538,211 PJ Development Holdings Bhd................. 3,354,800 1,264,917 POS Malaysia BHD............................ 2,160,217 3,907,703 PPB Group Bhd............................... 8,513,266 39,642,281 Press Metal Bhd............................. 2,880,481 2,242,085 * Prime Utilities Berhad...................... 39,000 -- Protasco Bhd................................ 282,200 124,274 RCE Capital Bhd............................. 5,440,500 472,717 RHB Capital Bhd............................. 12,284,291 30,732,061 Rimbunan Sawit Bhd.......................... 4,729,200 1,250,924 Salcon Bhd.................................. 7,974,000 1,706,063 Sarawak Oil Palms Bhd....................... 572,720 1,052,364 Sarawak Plantation Bhd...................... 66,900 54,089 Scientex BHD................................ 43,748 78,042 * Scomi Group Bhd............................. 25,301,600 3,045,557 Selangor Dredging Bhd....................... 1,312,700 376,712 Selangor Properties Bhd..................... 65,700 87,204 Shangri-La Hotels Malaysia Bhd.............. 739,100 1,619,113 Shell Refining Co. Federation of Malaya Bhd. 246,300 556,110 SHL Consolidated BHD........................ 693,700 503,527 SP Setia Bhd................................ 927,800 903,119 Star Publications Malaysia Bhd.............. 276,400 218,133 Subur Tiasa Holdings Bhd.................... 507,130 308,754 Sunway Bhd.................................. 12,360,326 10,913,805 Supermax Corp. Bhd.......................... 8,498,700 7,104,965 Suria Capital Holdings Bhd.................. 694,100 448,764 * Symphony Life Bhd........................... 1,589,910 604,773 Ta Ann Holdings Bhd......................... 1,035,922 1,228,281 TA Enterprise Bhd........................... 20,010,100 4,598,883 TA Global Bhd............................... 11,566,480 1,081,041 TAHPS Group Bhd............................. 27,000 47,471 * Talam Transform Bhd......................... 15,950,050 354,085 TAN Chong Motor Holdings BHD................ 4,685,000 9,350,133 TDM BHD..................................... 13,323,400 3,821,617 * Tebrau Teguh Bhd............................ 503,400 215,350 TH Plantations Bhd.......................... 84,900 47,082 * Time dotCom Bhd............................. 5,476,280 7,025,181 Tiong NAM Logistics Holdings................ 24,900 38,275 Tropicana Corp. Bhd......................... 6,351,400 2,918,713 TSH Resources Bhd........................... 278,300 222,370 UEM Sunrise Bhd............................. 1,347,645 998,548 Unico-Desa Plantations Bhd.................. 4,258,528 1,564,292 Unisem M Bhd................................ 9,111,900 2,554,658 United Malacca Bhd.......................... 960,500 2,194,931 United Plantations BHD...................... 426,400 3,610,846 UOA Development Bhd......................... 2,691,700 1,902,060 VS Industry Bhd............................. 1,337,193 572,153 Wah Seong Corp. Bhd......................... 4,734,411 2,550,276 WCT Holdings Bhd............................ 11,658,615 9,049,968
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- MALAYSIA -- (Continued) Wing Tai Malaysia BHD.......................................... 1,868,800 $ 1,550,420 WTK Holdings BHD............................................... 6,727,150 2,769,715 YNH Property Bhd............................................... 5,291,959 3,018,482 YTL Corp. Bhd.................................................. 89,195,050 46,632,909 * YTL Land & Development BHD..................................... 3,111,800 960,444 * Zelan Bhd...................................................... 158,700 13,834 ------------ TOTAL MALAYSIA..................................................... 741,293,938 ------------ MEXICO -- (6.1%) Alfa S.A.B. de C.V. Class A.................................... 51,102,755 139,906,142 # Alpek S.A. de C.V.............................................. 631,407 1,364,707 Arca Continental S.A.B. de C.V................................. 4,253,241 25,166,238 #* Axtel S.A.B. de C.V............................................ 10,839,852 3,414,650 * Bio Pappel S.A.B. de C.V....................................... 275,520 681,871 # Bolsa Mexicana de Valores S.A.B. de C.V........................ 905,099 2,149,109 #* Cemex S.A.B. de C.V. Sponsored ADR............................. 16,838,196 178,148,109 # Cia Minera Autlan S.A.B. de C.V. Series B...................... 1,187,152 808,889 * Consorcio ARA S.A.B. de C.V. Series *.......................... 12,467,832 4,863,957 # Controladora Comercial Mexicana S.A.B. de C.V.................. 5,415,909 22,091,604 # Corp. Actinver S.A.B. de C.V................................... 3,700 4,123 #* Corp. GEO S.A.B. de C.V. Series B.............................. 9,461,653 354,812 #* Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B. 1,560,786 1,064,668 * Desarrolladora Homex S.A.B. de C.V............................. 3,584,010 888,637 #* Desarrolladora Homex S.A.B. de C.V. ADR........................ 61,523 81,210 * Dine S.A.B. de C.V............................................. 1,027,267 314,938 El Puerto de Liverpool S.A.B. de C.V. Series 1................. 18,600 206,710 * Empaques Ponderosa SA de CV.................................... 90,000 -- #* Empresas ICA S.A.B. de C.V..................................... 6,728,823 12,779,723 #* Empresas ICA S.A.B. de C.V. Sponsored ADR...................... 1,118,155 8,509,160 #* Financiera Independencia S.A.B. de C.V......................... 14,576 5,173 # Fomento Economico Mexicano S.A.B. de C.V....................... 2,311,921 21,609,057 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR........ 2,494,369 232,724,627 * Gruma S.A.B. de C.V. Class B................................... 3,607,804 24,806,461 * Gruma S.A.B. de C.V. Sponsored ADR............................. 15,222 416,474 * Grupo Aeromexico S.A.B. de C.V................................. 538,594 743,458 Grupo Aeroportuario del Centro Norte S.A.B. de C.V............. 972,349 3,315,626 # Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR........ 46,309 1,259,142 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR............ 636,889 33,111,859 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B........ 1,268,733 6,606,582 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR............. 271,607 32,323,949 Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B......... 1,203,482 14,320,304 Grupo Carso S.A.B. de C.V. Series A1........................... 10,399,172 56,661,529 Grupo Cementos de Chihuahua S.A.B. de C.V...................... 2,799,892 8,411,103 # Grupo Comercial Chedraui S.A. de C.V........................... 1,566,365 4,881,366 Grupo Elektra S.A.B. de C.V.................................... 20,542 692,671 * Grupo Famsa S.A.B. de C.V. Class A............................. 3,082,236 5,846,852 Grupo Financiero Banorte S.A.B. de C.V......................... 23,160,991 148,261,585 Grupo Financiero Inbursa S.A.B. de C.V......................... 17,619,069 45,400,609 Grupo Financiero Santander Mexico S.A.B. de C.V. Class B....... 575,750 1,619,500 Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR... 532,284 7,521,173 # Grupo Gigante S.A.B. de C.V. Series *.......................... 471,076 989,288 Grupo Industrial Maseca S.A.B. de C.V. Class B................. 2,756,800 4,931,592
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- MEXICO -- (Continued) Grupo Industrial Saltillo S.A.B. de C.V..... 1,337,069 $ 2,228,918 Grupo KUO S.A.B. de C.V. Series B........... 2,065,160 3,972,907 Grupo Mexico S.A.B. de C.V. Series B........ 19,272,618 61,079,749 Grupo Posadas S.A.B. de C.V................. 355,600 708,624 * Grupo Qumma S.A. de C.V. Series B........... 5,301 -- #* Grupo Simec S.A.B. de C.V. Series B......... 1,926,796 7,184,550 #* Grupo Simec S.A.B. de C.V. Sponsored ADR.... 19,072 212,081 * Grupo Sports World S.A.B. de C.V............ 25,595 37,076 Grupo Televisa S.A.B. Series CPO............ 128,194 780,036 Grupo Televisa S.A.B. Sponsored ADR......... 214,353 6,524,905 Industrias Bachoco S.A.B. de C.V. ADR....... 3,754 153,877 Industrias Bachoco S.A.B. de C.V. Series B.. 957,465 3,286,155 #* Industrias CH S.A.B. de C.V. Series B....... 3,336,823 16,373,060 #* Inmuebles Carso S.A.B. de C.V............... 10,258,893 10,221,741 # Medica Sur S.A.B. de C.V. Series B.......... 1,000 2,644 Megacable Holdings S.A.B. de C.V............ 149,592 493,586 Mexichem S.A.B. de C.V...................... 143,252 596,844 #* Minera Frisco S.A.B. de C.V................. 8,673,740 22,270,616 #* OHL Mexico S.A.B. de C.V.................... 6,403,139 16,430,826 # Organizacion Cultiba S.A.B. de C.V.......... 4,708 9,743 #* Organizacion Soriana S.A.B. de C.V. Class B. 14,981,589 48,479,387 # Qualitas Controladora S.A.B. de C.V......... 2,013,919 4,760,334 * Savia SA Class A............................ 3,457,285 -- # TV Azteca S.A.B. de C.V..................... 7,377,863 3,681,227 #* Urbi Desarrollos Urbanos S.A.B. de C.V...... 9,102,158 1,095,280 #* Vitro S.A.B. de C.V. Series A............... 1,550,627 3,504,799 -------------- TOTAL MEXICO.................................... 1,273,348,202 -------------- PHILIPPINES -- (1.0%) A Soriano Corp.............................. 20,195,000 3,281,026 Alliance Global Group, Inc.................. 31,474,006 19,204,586 Alsons Consolidated Resources, Inc.......... 17,757,000 558,936 Atlas Consolidated Mining & Development..... 3,081,800 881,267 BDO Unibank, Inc............................ 10,143,695 19,030,295 Cebu Air, Inc............................... 340,860 415,979 Cebu Holdings, Inc.......................... 6,611,050 891,422 China Banking Corp.......................... 376,706 540,418 DMCI Holdings, Inc.......................... 10 12 * Empire East Land Holdings, Inc.............. 50,520,000 1,109,728 * Export & Industry Bank, Inc. Class A........ 14,950 -- Filinvest Development Corp.................. 142,800 13,992 Filinvest Land, Inc......................... 190,992,031 7,102,322 First Philippine Holdings Corp.............. 4,465,530 7,180,612 * Fwbc Holdings, Inc.......................... 5,471,786 -- * Global-Estate Resorts, Inc.................. 14,553,000 457,021 JG Summit Holdings, Inc..................... 3,807,900 3,848,268 Lopez Holdings Corp......................... 29,502,300 3,296,620 LT Group, Inc............................... 1,066,800 409,885 Macroasia Corp.............................. 957,000 45,000 Megaworld Corp.............................. 210,611,600 18,685,816 Metropolitan Bank & Trust................... 12,137,082 25,024,774 * Mondragon International Philippines, Inc.... 2,464,000 --
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- PHILIPPINES -- (Continued) Petron Corp............................ 161,200 $ 46,259 * Philippine National Bank............... 4,278,628 9,557,758 * Philippine National Construction Corp.. 398,900 45,235 Philippine Savings Bank................ 1,232,313 3,549,509 * Philippine Townships, Inc.............. 226,200 24,866 Philtown Properties, Inc............... 6,701 239 Phinma Corp............................ 2,159,398 674,984 Rizal Commercial Banking Corp.......... 4,744,348 5,160,532 Robinsons Land Corp.................... 29,013,450 15,219,651 San Miguel Corp........................ 6,273,866 11,036,535 San Miguel Pure Foods Co., Inc......... 20,080 112,810 Security Bank Corp..................... 1,114,512 3,587,725 Shang Properties, Inc.................. 614,285 43,460 SM Prime Holdings, Inc................. 25,220,231 11,171,932 Solid Group, Inc....................... 4,330,000 140,479 Top Frontier Investment Holdings, Inc.. 628,532 560,020 Trans-Asia Oil & Energy Development.... 8,974,000 487,995 Union Bank Of Philippines.............. 2,670,714 7,735,938 Universal Robina Corp.................. 9,594,765 28,320,219 Vista Land & Lifescapes, Inc........... 56,759,968 7,246,350 ------------ TOTAL PHILIPPINES.......................... 216,700,475 ------------ POLAND -- (1.6%) * Agora SA............................... 728,442 2,725,598 Asseco Poland SA....................... 1,289,406 21,062,880 * Bank Millennium SA..................... 6,137,636 15,254,602 * Bioton SA.............................. 12,307,361 119,863 * Ciech SA............................... 548,932 5,319,036 ComArch SA............................. 3,061 100,145 Dom Development SA..................... 38,510 600,123 Enea SA................................ 1,652,362 7,775,472 * Farmacol SA............................ 1 23 Firma Oponiarska Debica SA............. 105,389 3,265,696 Getin Holding SA....................... 3,405,226 4,816,341 * Getin Noble Bank SA.................... 4,404,668 3,886,240 Grupa Azoty SA......................... 104,378 2,759,349 Grupa Kety SA.......................... 119,739 7,386,114 * Grupa Lotos SA......................... 1,274,635 15,548,579 * Impexmetal SA.......................... 5,864,978 6,649,223 Jastrzebska Spolka Weglowa SA.......... 124,848 2,695,469 * Kernel Holding SA...................... 30,240 406,783 KGHM Polska Miedz SA................... 25,786 1,041,033 Kopex SA............................... 555,501 1,986,610 * LC Corp. SA............................ 1,822,979 1,100,938 * MCI Management SA...................... 101,489 326,517 #* Netia SA............................... 3,812,784 6,310,462 Orbis SA............................... 541,449 7,425,010 Pelion SA.............................. 8,205 297,891 * Petrolinvest SA........................ 186,480 9,087 PGE SA................................. 13,948,284 81,477,830 * Polimex-Mostostal SA................... 10,112,907 655,058 * Polnord SA............................. 79,658 228,496
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- POLAND -- (Continued) * Polski Koncern Miesny Duda SA................ 1,082,006 $ 297,582 # Polski Koncern Naftowy Orlen SA.............. 6,239,721 88,026,919 * Rafako SA.................................... 19,541 41,117 * Rawlplug SA.................................. 110,853 414,047 * Rovese SA.................................... 1,103,489 791,006 * Sygnity SA................................... 194,836 1,338,070 Synthos SA................................... 5,987,703 10,140,759 Tauron Polska Energia SA..................... 15,001,666 24,471,799 * Trakcja SA................................... 371,328 159,270 * Vistula Group SA............................. 108,924 81,964 -------------- TOTAL POLAND..................................... 326,993,001 -------------- RUSSIA -- (4.9%) * AFI Development P.L.C. GDR................... 143,207 93,464 Federal Hydrogenerating Co. JSC ADR.......... 8,385,356 14,151,932 Gazprom OAO Sponsored ADR.................... 106,937,161 999,584,526 Magnitogorsk Iron & Steel Works GDR.......... 1,930,322 6,237,955 #* Mechel Sponsored ADR......................... 257,668 814,231 -------------- TOTAL RUSSIA..................................... 1,020,882,108 -------------- SOUTH AFRICA -- (6.7%) Adcorp Holdings, Ltd......................... 534,472 1,844,147 Aeci, Ltd.................................... 1,153,870 14,063,161 Afgri, Ltd................................... 4,834,179 3,181,656 # African Bank Investments, Ltd................ 7,074,746 11,952,009 African Rainbow Minerals, Ltd................ 1,968,581 37,690,080 Allied Electronics Corp., Ltd................ 563,821 1,372,064 * Anglo American Platinum, Ltd................. 86,273 3,487,603 AngloGold Ashanti, Ltd....................... 846,287 12,791,125 # AngloGold Ashanti, Ltd. Sponsored ADR........ 3,514,714 53,072,181 * ArcelorMittal South Africa, Ltd.............. 2,294,523 9,040,087 Argent Industrial, Ltd....................... 1,254,672 681,634 * Aveng, Ltd................................... 7,285,087 21,391,994 AVI, Ltd..................................... 79,129 464,827 # Barclays Africa Group, Ltd................... 6,124,179 94,589,135 Barloworld, Ltd.............................. 4,169,278 37,349,093 Basil Read Holdings, Ltd..................... 519,529 494,161 Bell Equipment, Ltd.......................... 416,814 998,241 Blue Label Telecoms, Ltd..................... 3,803,262 3,572,737 * Brait SE..................................... 1,689,395 8,235,730 Business Connexion Group, Ltd................ 1,795,161 1,004,299 Caxton and CTP Publishers and Printers, Ltd.. 3,018,326 5,683,758 Clover Industries, Ltd....................... 125,460 205,409 * Consolidated Infrastructure Group, Ltd....... 51,564 115,107 * Corpgro, Ltd................................. 579,166 -- Datacentrix Holdings, Ltd.................... 188,927 88,593 DataTec, Ltd................................. 3,039,568 17,355,799 Delta EMD, Ltd............................... 86,624 53,794 Distell Group, Ltd........................... 325,668 4,359,936 * Distribution and Warehousing Network, Ltd.... 250,120 237,747 DRDGOLD, Ltd................................. 6,207,591 3,066,141 DRDGOLD, Ltd. Sponsored ADR.................. 9,454 46,608
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH AFRICA -- (Continued) ElementOne, Ltd............................. 391,810 $ 346,487 Eqstra Holdings, Ltd........................ 2,314,760 1,911,936 * Evraz Highveld Steel and Vanadium, Ltd...... 148,283 241,661 # Exxaro Resources, Ltd....................... 162,163 2,483,434 * Gijima Group, Ltd........................... 8,629 784 # Gold Fields, Ltd............................ 1,868,612 8,650,577 # Gold Fields, Ltd. Sponsored ADR............. 11,930,446 54,880,052 Grand Parade Investments, Ltd............... 5,685 2,417 Grindrod, Ltd............................... 7,239,579 17,412,926 Group Five, Ltd............................. 923,554 4,151,348 Harmony Gold Mining Co., Ltd................ 2,952,483 10,187,804 # Harmony Gold Mining Co., Ltd. Sponsored ADR. 3,247,220 11,040,548 Hudaco Industries, Ltd...................... 6,525 67,180 * Hulamin, Ltd................................ 1,506,690 850,140 Iliad Africa, Ltd........................... 179,921 90,876 # Impala Platinum Holdings, Ltd............... 5,114,507 62,124,244 Imperial Holdings, Ltd...................... 76,735 1,630,940 Investec, Ltd............................... 4,755,380 33,704,225 * JCI, Ltd.................................... 10,677,339 -- # JD Group, Ltd............................... 2,283,573 7,010,158 KAP Industrial Holdings, Ltd................ 42,823 16,130 # Lewis Group, Ltd............................ 1,823,725 12,737,917 Liberty Holdings, Ltd....................... 1,371,566 16,957,220 Mediclinic International, Ltd............... 1,067,157 8,042,017 * Merafe Resources, Ltd....................... 21,718,286 1,756,756 Metair Investments, Ltd..................... 913,532 3,547,353 MMI Holdings, Ltd........................... 18,387,140 45,077,604 Mondi, Ltd.................................. 1,730,577 30,932,807 Mpact, Ltd.................................. 2,032,124 5,527,800 * Murray & Roberts Holdings, Ltd.............. 2,554,038 7,775,830 Mustek, Ltd................................. 48,438 25,592 * Mvelaserve, Ltd............................. 1,059,863 972,842 Nampak, Ltd................................. 339,006 1,120,733 # Nedbank Group, Ltd.......................... 3,713,947 80,747,979 * Northam Platinum, Ltd....................... 3,191,341 13,109,373 Omnia Holdings, Ltd......................... 407,582 8,411,146 * Palabora Mining Co., Ltd.................... 212,506 2,450,080 Peregrine Holdings, Ltd..................... 1,506,337 2,064,316 Petmin, Ltd................................. 1,374,464 303,030 PSG Group, Ltd.............................. 596,632 4,905,989 * Randgold & Exploration Co., Ltd............. 155,882 33,147 Raubex Group, Ltd........................... 1,057,077 2,497,581 * RCL Foods, Ltd.............................. 26,214 44,487 * Royal Bafokeng Platinum, Ltd................ 123,145 753,671 Sanlam, Ltd................................. 24,685,296 132,450,694 * Sappi, Ltd.................................. 8,701,945 25,646,283 * Sappi, Ltd. Sponsored ADR................... 695,410 1,961,056 # Sasol, Ltd. Sponsored ADR................... 640,884 32,697,902 * Sentula Mining, Ltd......................... 1,746,095 61,121 Sibanye Gold, Ltd........................... 549,461 775,416 # Sibanye Gold, Ltd. Sponsored ADR............ 2,965,465 16,665,913 Standard Bank Group, Ltd.................... 18,943,972 241,007,060
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH AFRICA -- (Continued) * Stefanutti Stocks Holdings, Ltd............. 526,548 $ 536,263 #* Steinhoff International Holdings, Ltd....... 24,286,822 93,754,826 * Super Group, Ltd............................ 3,033,558 7,440,601 * Telkom SA SOC, Ltd.......................... 4,197,773 10,952,779 * Times Media Group, Ltd...................... 315,205 677,859 Tongaat Hulett, Ltd......................... 491,322 6,189,276 Trencor, Ltd................................ 1,069,244 7,606,834 Value Group, Ltd............................ 976,777 665,005 #* Village Main Reef, Ltd...................... 659,790 30,241 Zeder Investments, Ltd...................... 2,317,644 999,553 -------------- TOTAL SOUTH AFRICA.............................. 1,395,206,675 -------------- SOUTH KOREA -- (14.6%) Aekyung Petrochemical Co., Ltd.............. 18,796 1,054,819 # AK Holdings, Inc............................ 34,127 1,291,356 AMOREPACIFIC Group.......................... 10,461 3,691,515 Asia Cement Co., Ltd........................ 36,191 3,309,476 Asia Paper Manufacturing Co., Ltd........... 37,150 750,705 #* AUK Corp.................................... 633,480 1,465,040 Bookook Securities Co., Ltd................. 28,655 381,524 Boryung Pharmaceutical Co., Ltd............. 39,096 1,395,747 BS Financial Group, Inc..................... 1,606,361 25,789,790 Busan City Gas Co., Ltd..................... 81,980 2,239,845 BYC Co., Ltd................................ 810 144,190 # Byucksan Corp............................... 156,140 381,050 # Capro Corp.................................. 79,730 583,213 #* Celltrion Pharm, Inc........................ 7,951 92,489 * China Great Star International, Ltd......... 425,611 742,825 #* China Ocean Resources Co., Ltd.............. 808,940 3,295,137 Chosun Refractories Co., Ltd................ 9,371 694,907 CJ Corp..................................... 199,265 20,841,020 * CJ E&M Corp................................. 120,198 4,155,852 #* CJ Korea Express Co., Ltd................... 99,247 8,627,215 CKD Bio Corp................................ 20,570 314,880 #* Cosmochemical Co., Ltd...................... 140,210 1,274,784 # Dae Dong Industrial Co., Ltd................ 145,130 834,259 # Dae Han Flour Mills Co., Ltd................ 14,607 1,967,582 Dae Won Kang Up Co., Ltd.................... 245,096 1,734,026 #* Dae Young Packaging Co., Ltd................ 1,121,470 900,915 # Dae-Il Corp................................. 66,990 307,331 Daechang Co., Ltd........................... 866,590 864,015 Daeduck GDS Co., Ltd........................ 281,480 5,171,549 # Daegu Department Store...................... 122,031 1,887,060 # Daehan Steel Co., Ltd....................... 183,220 1,137,138 Daekyo Co., Ltd............................. 521,770 3,299,732 # Daelim Industrial Co., Ltd.................. 453,905 42,132,905 Daelim Trading Co., Ltd..................... 13,834 52,481 # Daesang Holdings Co., Ltd................... 142,836 1,007,302 # Daesung Holdings Co., Ltd................... 41,070 333,457 Daewon San Up Co., Ltd...................... 17,666 142,229 #* Daewoo Engineering & Construction Co., Ltd.. 1,174,710 9,518,133 Daewoo Securities Co., Ltd.................. 2,825,042 26,366,648
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH KOREA -- (Continued) # Daewoo Shipbuilding & Marine Engineering Co., Ltd.. 789,352 $24,856,260 Daewoong Co., Ltd.................................. 5,078 178,545 * Dahaam E-Tec Co., Ltd.............................. 3,535 59,986 Daishin Securities Co., Ltd........................ 638,515 5,328,049 # Daou Data Corp..................................... 138,807 574,068 # Daou Technology, Inc............................... 321,778 4,409,737 #* Dasan Networks, Inc................................ 145,116 868,276 DGB Financial Group, Inc........................... 1,293,172 20,748,513 #* Digitech Systems Co., Ltd.......................... 10,779 62,343 # Dong Ah Tire & Rubber Co., Ltd..................... 81,994 1,367,661 #* Dong Yang Gang Chul Co., Ltd....................... 291,430 580,864 # Dong-Ah Geological Engineering Co., Ltd............ 45,500 375,074 Dong-Il Corp....................................... 19,098 924,469 Dongbang Agro Co................................... 17,110 103,319 # Dongbang Transport Logistics Co., Ltd.............. 244,640 592,120 Dongbu CNI Co., Ltd................................ 16,040 62,771 #* Dongbu Corp........................................ 53,090 166,893 #* Dongbu HiTek Co., Ltd.............................. 368,964 2,101,156 Dongbu Securities Co., Ltd......................... 351,526 1,168,455 * Dongbu Steel Co., Ltd.............................. 385,814 911,380 # Dongil Industries Co., Ltd......................... 18,961 941,553 * Dongkook Industrial Co., Ltd....................... 248,640 680,966 # Dongkuk Steel Mill Co., Ltd........................ 719,049 10,049,355 DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd......... 114,484 444,922 Dongsung Holdings Co., Ltd......................... 195,870 961,594 # Dongwha Pharm Co., Ltd............................. 261,900 1,373,477 # Dongwon F&B Co., Ltd............................... 18,686 1,910,171 * Dongwon Systems Corp............................... 3,175 20,965 Dongyang Mechatronics Corp......................... 11,660 132,788 # Doosan Corp........................................ 109,796 14,708,880 #* Doosan Engine Co., Ltd............................. 112,890 1,003,642 #* Doosan Engineering & Construction Co., Ltd......... 364,280 796,142 Doosan Heavy Industries & Construction Co., Ltd.... 125,000 5,101,681 #* Doosan Infracore Co., Ltd.......................... 354,010 5,067,028 DRB Holding Co., Ltd............................... 124,305 910,015 DRB Industrial Co., Ltd............................ 117,204 974,341 E-Mart Co., Ltd.................................... 37,775 9,039,412 #* Eagon Industries Co., Ltd.......................... 13,300 161,629 Easy Bio, Inc...................................... 23,186 101,410 Eugene Corp........................................ 199,842 544,703 * Eugene Investment & Securities Co., Ltd............ 763,229 1,575,931 Fursys, Inc........................................ 31,503 928,073 # Gaon Cable Co., Ltd................................ 18,587 342,555 Global & Yuasa Battery Co., Ltd.................... 34,827 1,634,069 * GNCO Co., Ltd...................................... 56,982 85,848 Green Cross Holdings Corp.......................... 50,710 631,789 GS Engineering & Construction Corp................. 515,821 17,415,440 GS Global Corp..................................... 3,370 30,720 GS Holdings........................................ 750,939 41,352,074 Gwangju Shinsegae Co., Ltd......................... 5,985 1,480,460 # Halla Corp......................................... 247,941 1,244,521 Han Kuk Carbon Co., Ltd............................ 49,800 418,043
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH KOREA -- (Continued) Hana Financial Group, Inc................................. 4,078,729 $156,836,439 # Handok, Inc............................................... 34,880 569,178 Handsome Co., Ltd......................................... 214,790 6,149,602 Hanil Cement Co., Ltd..................................... 52,145 4,100,734 Hanil E-Wha Co., Ltd...................................... 37,380 772,479 #* Hanjin Heavy Industries & Construction Co., Ltd........... 677,791 7,856,983 Hanjin Heavy Industries & Construction Holdings Co., Ltd.. 181,040 1,561,065 * Hanjin Kal Corp........................................... 12,388 164,084 #* Hanjin Shipping Co., Ltd.................................. 1,206,540 8,790,746 * Hanjin Shipping Holdings Co., Ltd......................... 164,924 828,032 # Hanjin Transportation Co., Ltd............................ 140,220 2,423,911 * Hankuk Glass Industries, Inc.............................. 28,180 434,247 # Hankuk Paper Manufacturing Co., Ltd....................... 32,780 732,057 #* Hanmi Science Co., Ltd.................................... 13,270 199,751 Hanmi Semiconductor Co., Ltd.............................. 65,150 770,593 #* Hansol HomeDeco Co., Ltd.................................. 321,490 526,669 Hansol Paper Co........................................... 647,244 7,498,153 # Hanwha Chemical Corp...................................... 1,436,095 31,520,164 Hanwha Corp............................................... 594,563 22,504,575 * Hanwha General Insurance Co., Ltd......................... 111,213 439,929 * Hanwha Investment & Securities Co., Ltd................... 918,791 3,107,661 Hanwha Life Insurance Co., Ltd............................ 1,498,105 10,017,335 Hanwha Timeworld Co., Ltd................................. 12,290 377,521 Hanyang Securities Co., Ltd............................... 90,530 530,771 # Heung-A Shipping Co., Ltd................................. 632,727 948,036 # Hitejinro Holdings Co., Ltd............................... 99,611 1,084,266 HMC Investment Securities Co., Ltd........................ 259,785 2,609,148 # HS R&A Co., Ltd........................................... 37,336 655,961 Humax Co., Ltd............................................ 42,979 508,448 # Husteel Co., Ltd.......................................... 59,490 1,087,025 Hwacheon Machine Tool Co., Ltd............................ 14,227 691,621 Hyosung Corp.............................................. 380,987 25,684,458 #* Hyundai BNG Steel Co., Ltd................................ 145,750 1,905,422 # Hyundai Development Co.................................... 904,704 20,110,029 # Hyundai Heavy Industries Co., Ltd......................... 232,115 55,428,393 Hyundai Hy Communications & Networks Co., Ltd............. 207,730 931,520 # Hyundai Mipo Dockyard..................................... 80,748 12,851,903 Hyundai Motor Co.......................................... 310,959 74,084,064 Hyundai Securities Co., Ltd............................... 1,779,448 11,300,350 # Hyundai Steel Co.......................................... 1,197,245 98,578,876 # Hyunjin Materials Co., Ltd................................ 64,806 427,939 # Il Dong Pharmaceutical Co., Ltd........................... 133,130 1,483,719 # Iljin Electric Co., Ltd................................... 285,940 1,653,425 # Ilshin Spinning Co., Ltd.................................. 16,366 1,705,598 # Ilsung Pharmaceuticals Co., Ltd........................... 9,407 692,180 Industrial Bank of Korea.................................. 2,572,180 29,712,965 Intergis Co., Ltd......................................... 24,590 164,910 # INTOPS Co., Ltd........................................... 62,298 1,326,310 Inzi Controls Co., Ltd.................................... 89,540 445,821 # INZI Display Co., Ltd..................................... 337,768 609,175 #* IS Dongseo Co., Ltd....................................... 121,855 1,888,390 # ISU Chemical Co., Ltd..................................... 164,530 2,559,428
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH KOREA -- (Continued) * JB Financial Group Co., Ltd................. 707,883 $ 4,838,132 # Jeil Pharmaceutical Co...................... 73,180 889,354 JW Pharmaceutical Corp...................... 102,840 1,490,587 KB Financial Group, Inc..................... 2,902,753 114,320,481 KB Financial Group, Inc. ADR................ 3,182,416 123,509,565 # KC Tech Co., Ltd............................ 332,012 1,521,242 KCC Corp.................................... 64,340 25,801,791 #* Keangnam Enterprises, Ltd................... 131,000 419,378 * KEC Corp.................................... 124,522 116,986 # Keyang Electric Machinery Co., Ltd.......... 393,920 1,213,005 # KG Chemical Corp............................ 47,243 779,572 KISCO Corp.................................. 56,021 1,500,492 # KISCO Holdings Co., Ltd..................... 11,673 455,672 # Kishin Corp................................. 109,475 825,992 KISWIRE, Ltd................................ 69,836 2,433,542 Kolon Corp.................................. 85,335 1,598,537 * Kolon Global Corp........................... 308,890 1,125,280 # Kolon Industries, Inc....................... 178,594 9,973,208 Korea Airport Service Co., Ltd.............. 16,100 329,133 # Korea Cast Iron Pipe Industries Co., Ltd.... 7,358 26,640 Korea Electric Terminal Co., Ltd............ 89,230 3,612,511 # Korea Export Packaging Industrial Co., Ltd.. 5,290 122,680 #* Korea Flange Co., Ltd....................... 58,810 749,424 Korea Investment Holdings Co., Ltd.......... 542,836 21,177,935 * Korea Petrochemical Ind Co., Ltd............ 45,171 3,163,125 * Korean Air Lines Co., Ltd................... 25,635 817,643 Korean Reinsurance Co....................... 114,130 1,279,127 # KPF......................................... 36,644 241,307 # KPX Chemical Co., Ltd....................... 12,852 840,278 * KTB Investment & Securities Co., Ltd........ 1,066,210 2,392,124 Kukdo Chemical Co., Ltd..................... 51,898 2,472,442 # Kumho Electric Co., Ltd..................... 52,624 1,300,132 # Kunsul Chemical Industrial Co., Ltd......... 26,860 730,652 Kwang Dong Pharmaceutical Co., Ltd.......... 139,830 960,342 #* Kyeryong Construction Industrial Co., Ltd... 42,770 353,195 Kyobo Securities Co......................... 272,242 1,170,835 # Kyung Dong Navien Co., Ltd.................. 25,220 431,706 # Kyung-In Synthetic Corp..................... 184,400 747,898 #* Kyungbang, Ltd.............................. 9,187 998,304 LG Corp..................................... 1,083,610 64,060,394 #* LG Display Co., Ltd......................... 1,309,420 30,649,369 #* LG Display Co., Ltd. ADR.................... 3,996,524 46,759,331 # LG Electronics, Inc......................... 1,776,548 113,798,502 LG Hausys, Ltd.............................. 55,732 6,745,668 LG International Corp....................... 60,310 1,692,360 * LG Uplus Corp............................... 3,029,481 34,687,841 LIG Insurance Co., Ltd...................... 88,290 2,197,482 # Livart Furniture Co., Ltd................... 29,460 292,667 # Lotte Chemical Corp......................... 52,363 10,729,150 Lotte Chilsung Beverage Co., Ltd............ 9,880 14,673,940 Lotte Confectionery Co., Ltd................ 9,339 16,014,776 Lotte Food Co., Ltd......................... 525 323,996
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH KOREA -- (Continued) * Lotte Non-Life Insurance Co., Ltd.... 23,240 $ 65,824 Lotte Shopping Co., Ltd.............. 166,351 63,151,656 Meritz Finance Group, Inc............ 16,600 85,538 Meritz Securities Co., Ltd........... 2,576,974 4,085,062 Mi Chang Oil Industrial Co., Ltd..... 4,691 347,142 Mirae Asset Securities Co., Ltd...... 414,359 13,974,649 # MK Electron Co., Ltd................. 99,673 442,627 # Moorim P&P Co., Ltd.................. 422,608 2,483,313 #* Moorim Paper Co., Ltd................ 205,480 463,986 Motonic Corp......................... 121,010 1,087,193 # Namhae Chemical Corp................. 23,510 160,593 Namyang Dairy Products Co., Ltd...... 4,383 3,575,276 National Plastic Co.................. 146,060 721,941 #* NEOWIZ HOLDINGS Corp................. 69,796 736,439 # Nexen Corp........................... 13,326 939,261 NH Investment & Securities Co., Ltd.. 406,621 1,842,284 NICE Holdings Co., Ltd............... 7,100 86,756 # NK Co., Ltd.......................... 196,310 684,700 # Nong Shim Holdings Co., Ltd.......... 24,347 1,748,413 NongShim Co., Ltd.................... 40,829 9,887,002 # OCI Materials Co., Ltd............... 5,913 185,091 #* Osung LST Co., Ltd................... 184,874 464,337 Ottogi Corp.......................... 8,693 2,807,830 # Paik Kwang Industrial Co., Ltd....... 100,134 354,709 #* PaperCorea, Inc...................... 404,380 305,205 # Poongsan Corp........................ 422,600 11,747,645 Poongsan Holdings Corp............... 49,788 1,319,379 POSCO................................ 681,110 203,339,180 # POSCO ADR............................ 1,626,923 121,140,686 * POSCO Coated & Color Steel Co., Ltd.. 23,830 314,703 * PSK, Inc............................. 84,155 800,855 Pulmuone Holdings Co., Ltd........... 7,118 351,870 # Pyeong Hwa Automotive Co., Ltd....... 6,626 153,510 # S&T Dynamics Co., Ltd................ 380,544 5,092,283 S&T Holdings Co., Ltd................ 87,883 1,638,452 # S&T Motiv Co., Ltd................... 128,920 3,641,061 Saeron Automotive Corp............... 1,995 15,244 #* Sajo Industries Co., Ltd............. 11,546 321,136 * Sajodaerim Corp...................... 170 1,578 Sam Young Electronics Co., Ltd....... 159,570 1,420,424 Sam Yung Trading Co., Ltd............ 28,584 455,966 # SAMHWA Paints Industrial Co., Ltd.... 2,030 17,662 #* Samick Musical Instruments Co., Ltd.. 1,125,740 1,929,793 Samlip General Foods Co., Ltd........ 6,320 296,078 Samsung C&T Corp..................... 1,386,322 82,261,509 Samsung Life Insurance Co., Ltd...... 895 88,126 # Samsung SDI Co., Ltd................. 520,138 86,702,427 * Samwhan Corp......................... 1 3 # Samyang Genex Co., Ltd............... 11,337 919,860 Samyang Holdings Corp................ 89,042 7,438,962 Samyang Tongsang Co., Ltd............ 8,060 196,199 # Samyoung Chemical Co., Ltd........... 220,260 508,479
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH KOREA -- (Continued) SAVEZONE I&C Corp............................... 27,710 $ 122,376 Seah Besteel Corp............................... 168,664 4,408,893 SeAH Holdings Corp.............................. 13,089 1,213,329 # SeAH Steel Corp................................. 36,098 3,069,088 Sebang Co., Ltd................................. 137,830 2,480,928 # Sejong Industrial Co., Ltd...................... 102,930 1,613,368 # Sempio Foods Co................................. 3,110 62,693 * Seohee Construction Co., Ltd.................... 1,753,286 1,104,543 * Seong An Co., Ltd............................... 86,190 57,709 Seowon Co., Ltd................................. 100,110 175,245 * Sewon Cellontech Co., Ltd....................... 12,330 34,226 #* SG Corp......................................... 1,945,560 1,276,257 Shin Poong Pharmaceutical Co., Ltd.............. 120,505 578,215 Shinhan Financial Group Co., Ltd................ 5,415,719 236,144,882 # Shinhan Financial Group Co., Ltd. ADR........... 1,630,308 70,657,548 Shinsegae Co., Ltd.............................. 41,475 10,441,482 # Shinsegae Information & Communication Co., Ltd.. 5,726 375,652 #* Shinsung Solar Energy Co., Ltd.................. 765,627 857,801 #* Shinsung Tongsang Co., Ltd...................... 1,106,860 1,145,895 Shinyoung Securities Co., Ltd................... 35,820 1,416,221 # Silla Co., Ltd.................................. 64,953 1,790,323 Sindoh Co., Ltd................................. 43,098 2,841,585 SJM Co., Ltd.................................... 17,794 174,460 SK Chemicals Co., Ltd........................... 113,742 5,560,520 SK Gas Co., Ltd................................. 47,214 3,332,110 SK Holdings Co., Ltd............................ 530,249 96,102,228 SK Innovation Co., Ltd.......................... 845,193 118,461,430 # SK Networks Co., Ltd............................ 2,219,296 13,932,180 * SK Securities Co., Ltd.......................... 3,931,860 2,976,832 # SKC Co., Ltd.................................... 42,000 1,274,768 # SL Corp......................................... 140,660 1,959,009 # Songwon Industrial Co., Ltd..................... 121,460 1,309,140 * Ssangyong Cement Industrial Co., Ltd............ 289,296 1,612,144 STX Corp. Co., Ltd.............................. 417,563 700,987 * STX Engine Co., Ltd............................. 340,110 1,680,194 * STX Offshore & Shipbuilding Co., Ltd............ 850,640 2,485,962 #* STX Pan Ocean Co., Ltd.......................... 956,910 1,014,354 Suheung Capsule Co., Ltd........................ 31,370 1,118,655 Sun Kwang Co., Ltd.............................. 20,098 338,769 #* Sungchang Enterprise Holdings, Ltd.............. 16,000 267,149 #* Sungshin Cement Co., Ltd........................ 78,030 411,863 Sungwoo Hitech Co., Ltd......................... 66,157 1,023,415 # Tae Kyung Industrial Co., Ltd................... 116,020 513,110 Taekwang Industrial Co., Ltd.................... 4,300 5,313,715 #* Taewoong Co., Ltd............................... 70,311 2,096,176 Taeyoung Engineering & Construction Co., Ltd.... 564,040 3,042,831 # Tailim Packaging Industrial Co., Ltd............ 374,220 917,343 TCC Steel....................................... 48,310 165,959 #* TK Chemical Corp................................ 329,048 518,529 * Tong Kook Corp.................................. 607 -- # Tong Yang Moolsan Co., Ltd...................... 72,180 637,023 Tongyang Life Insurance......................... 79,490 843,359
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- SOUTH KOREA -- (Continued) TONGYANG Securities, Inc................... 918,859 $ 2,091,364 * Top Engineering Co., Ltd................... 49,113 217,928 # TS Corp.................................... 65,206 1,719,721 # Unid Co., Ltd.............................. 46,751 2,932,364 Union Steel................................ 38,477 560,728 #* WillBes & Co. (The)........................ 538,070 546,915 Wiscom Co., Ltd............................ 32,980 152,891 #* Woongjin Energy Co., Ltd................... 751,750 1,522,285 * Woongjin Thinkbig Co., Ltd................. 156,120 891,585 Wooree ETI Co., Ltd........................ 87,561 252,908 Woori Finance Holdings Co., Ltd............ 5,158,647 61,115,805 # Woori Finance Holdings Co., Ltd. ADR....... 8,505 298,015 Woori Financial Co., Ltd................... 93,191 1,946,181 Woori Investment & Securities Co., Ltd..... 2,467,643 26,061,288 # WooSung Feed Co., Ltd...................... 284,940 748,571 YESCO Co., Ltd............................. 30,550 1,008,164 # Yoosung Enterprise Co., Ltd................ 76,905 367,026 # YooSung T&S Co., Ltd....................... 27,033 54,806 Youlchon Chemical Co., Ltd................. 159,540 1,871,797 Young Poong Corp........................... 4,632 6,161,321 * Young Poong Mining & Construction Corp..... 18,030 -- # Young Poong Precision Corp................. 48,300 454,405 Youngone Holdings Co., Ltd................. 29,112 1,772,991 YuHwa Securities Co., Ltd.................. 28,680 319,854 * Zinus, Inc................................. 1,866 -- -------------- TOTAL SOUTH KOREA.............................. 3,034,397,344 -------------- TAIWAN -- (13.9%) Ability Enterprise Co., Ltd................ 2,238,000 1,687,592 AcBel Polytech, Inc........................ 4,916,219 4,975,525 Accton Technology Corp..................... 8,825,156 4,821,350 #* Acer, Inc.................................. 47,368,364 30,948,628 ACES Electronic Co., Ltd................... 489,000 362,950 # ACHEM TECHNOLOGY Corp...................... 3,011,984 1,732,289 * Action Electronics Co., Ltd................ 3,511,084 741,628 * Advanced Connectek, Inc.................... 381,000 133,985 Advanced International Multitech Co., Ltd.. 127,000 138,046 * Advanced Power Electronics Corp............ 515,000 287,947 * AGV Products Corp.......................... 7,871,701 2,572,788 AimCore Technology Co., Ltd................ 396,797 584,751 Alcor Micro Corp........................... 313,000 297,420 Allis Electric Co., Ltd.................... 1,471,000 501,043 # Alpha Networks, Inc........................ 5,872,237 3,815,076 # Altek Corp................................. 6,185,808 4,703,061 # Ambassador Hotel (The)..................... 828,000 824,334 AMPOC Far-East Co., Ltd.................... 1,772,000 1,508,028 AmTRAN Technology Co., Ltd................. 11,031,956 7,064,404 Anpec Electronics Corp..................... 147,000 101,614 # APCB, Inc.................................. 2,584,000 1,608,410 Apex Science & Engineering................. 548,248 311,183 Arcadyan Technology Corp................... 848,000 1,175,468 Ardentec Corp.............................. 1,123,280 751,876
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) * Arima Communications Corp................... 251,566 $ 127,729 # Asia Cement Corp............................ 25,637,049 34,776,323 * Asia Optical Co., Inc....................... 4,243,290 4,215,001 # Asia Polymer Corp........................... 4,053,478 3,551,993 Asia Vital Components Co., Ltd.............. 4,863,984 2,818,517 Asustek Computer, Inc....................... 308,000 2,350,685 #* AU Optronics Corp........................... 52,352,812 17,124,178 #* AU Optronics Corp. Sponsored ADR............ 9,342,184 29,521,301 # Audix Corp.................................. 1,800,164 1,909,555 Avermedia Technologies...................... 3,018,000 1,472,328 * Avision, Inc................................ 2,782,555 1,084,616 AVY Precision Technology, Inc............... 166,000 282,714 Bank of Kaohsiung........................... 6,588,900 2,128,856 Basso Industry Corp......................... 819,000 950,319 # BES Engineering Corp........................ 24,933,443 7,633,147 Biostar Microtech International Corp........ 2,799,055 1,022,499 * Bright Led Electronics Corp................. 1,595,000 695,978 # C Sun Manufacturing, Ltd.................... 2,535,837 1,798,207 # Cameo Communications, Inc................... 3,060,197 1,005,819 Capital Securities Corp..................... 24,281,447 8,317,336 Career Technology MFG. Co., Ltd............. 1,535,000 1,461,968 Carnival Industrial Corp.................... 6,172,000 1,858,343 Cathay Chemical Works....................... 959,000 571,656 Cathay Real Estate Development Co., Ltd..... 14,314,421 9,981,866 Celxpert Energy Corp........................ 262,000 140,063 Central Reinsurance Co., Ltd................ 2,562,016 1,156,648 ChainQui Construction Development Co., Ltd.. 1,547,173 1,129,609 * Champion Building Materials Co., Ltd........ 6,279,828 2,818,062 * Chang Ho Fibre Corp......................... 78,000 28,384 Chang Hwa Commercial Bank................... 87,425,711 52,443,179 Channel Well Technology Co., Ltd............ 284,000 135,560 Charoen Pokphand Enterprise................. 3,296,000 1,729,381 Chen Full International Co., Ltd............ 550,000 493,791 Cheng Loong Corp............................ 13,705,659 6,482,080 Cheng Uei Precision Industry Co., Ltd....... 4,391,635 9,209,820 Chia Chang Co., Ltd......................... 860,000 1,117,780 * Chia Hsin Cement Corp....................... 7,583,191 3,870,575 # Chien Kuo Construction Co., Ltd............. 4,979,247 2,394,381 * Chien Shing Stainless Steel................. 1,034,000 138,455 Chilisin Electronics Corp................... 1,683,836 1,618,570 Chin-Poon Industrial Co..................... 6,084,815 10,155,204 * China Airlines, Ltd......................... 44,441,353 16,098,593 China Chemical & Pharmaceutical Co., Ltd.... 4,203,264 3,592,764 China Development Financial Holding Corp.... 202,041,960 60,389,073 China Electric Manufacturing Corp........... 3,862,200 1,838,948 China General Plastics Corp................. 7,124,260 4,406,420 # China Glaze Co., Ltd........................ 2,312,363 1,116,252 China Life Insurance Co., Ltd............... 9,321,780 9,148,200 * China Manmade Fibers Corp................... 21,204,813 9,007,219 China Metal Products........................ 3,560,362 5,274,073 # China Motor Corp............................ 11,464,749 10,955,965 # China Petrochemical Development Corp........ 33,049,397 16,620,631
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) * China Rebar Co., Ltd................................ 439,188 $ -- China Steel Structure Co., Ltd...................... 1,435,219 1,785,925 # China Synthetic Rubber Corp......................... 8,022,711 7,779,581 * China United Trust & Investment Corp................ 493,999 -- * China Wire & Cable Co., Ltd......................... 2,900,000 1,357,829 Chinese Maritime Transport, Ltd..................... 1,496,000 1,925,378 * Chun YU Works & Co., Ltd............................ 2,927,000 1,112,594 Chun Yuan Steel..................................... 6,454,287 2,472,188 Chung Hsin Electric & Machinery Manufacturing Corp.. 6,609,000 5,148,858 * Chung Hung Steel Corp............................... 12,373,046 3,543,191 * Chung Hwa Pulp Corp................................. 6,750,011 2,173,784 * Chung Shing Textile Co., Ltd........................ 600 -- * Chunghwa Picture Tubes, Ltd......................... 55,899,412 3,066,013 * Chyang Sheng Dyeing & Finishing Co., Ltd............ 328,000 177,297 #* CMC Magnetics Corp.................................. 50,000,830 8,426,822 CoAsia Microelectronics Corp........................ 1,437,350 785,014 Collins Co., Ltd.................................... 2,467,224 917,607 # Compal Electronics, Inc............................. 69,912,332 54,703,078 Compeq Manufacturing Co............................. 21,479,000 10,851,261 * Compex International Co., Ltd....................... 46,400 -- * Concord Securities Corp............................. 1,749,000 458,203 Continental Holdings Corp........................... 7,293,848 2,657,101 Coretronic Corp..................................... 7,759,000 6,786,306 * Cosmos Bank Taiwan.................................. 948,872 473,348 # Coxon Precise Industrial Co., Ltd................... 2,217,000 3,903,300 Creative Sensor, Inc................................ 301,000 181,207 * Crystalwise Technology, Inc......................... 127,000 98,301 CSBC Corp. Taiwan................................... 5,889,654 3,756,902 CTBC Financial Holding Co., Ltd..................... 86,725,355 58,828,637 CviLux Corp......................................... 22,000 26,376 D-Link Corp......................................... 11,107,939 6,721,979 # DA CIN Construction Co., Ltd........................ 2,614,579 2,318,921 * Danen Technology Corp............................... 22,000 11,217 Darfon Electronics Corp............................. 6,405,950 4,858,763 Delpha Construction Co., Ltd........................ 3,970,016 1,614,556 Depo Auto Parts Ind Co., Ltd........................ 236,000 828,392 * Der Pao Construction Co., Ltd....................... 1,139,000 -- DFI, Inc............................................ 387,280 425,971 * Dynamic Electronics Co., Ltd........................ 4,194,324 1,644,282 #* E Ink Holdings, Inc................................. 9,534,000 5,352,435 #* E-Ton Solar Tech Co., Ltd........................... 4,038,443 2,484,423 E.Sun Financial Holding Co., Ltd.................... 73,360,913 49,129,938 * Eastern Media International Corp.................... 12,884,399 2,126,971 Edimax Technology Co., Ltd.......................... 3,202,902 1,427,422 # Edison Opto Corp.................................... 729,000 862,720 Edom Technology Co., Ltd............................ 943,800 456,129 Elite Material Co., Ltd............................. 2,905,905 2,407,204 Elite Semiconductor Memory Technology, Inc.......... 1,776,000 2,335,331 Elitegroup Computer Systems Co., Ltd................ 13,565,066 5,828,278 ENG Electric Co., Ltd............................... 516,000 430,947 Entie Commercial Bank............................... 2,271,232 1,170,211 * Entire Technology Co., Ltd.......................... 20,000 21,460
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) * Episil Technologies, Inc.......................... 2,910,000 $ 1,009,208 # Epistar Corp...................................... 14,736,000 25,553,577 Eternal Chemical Co., Ltd......................... 1,630,000 1,490,084 * Etron Technology, Inc............................. 2,231,000 1,082,041 * Eva Airways Corp.................................. 9,947,850 5,537,577 * Ever Fortune Industrial Co., Ltd.................. 409,000 -- * Everest Textile Co., Ltd.......................... 3,892,002 1,140,872 Evergreen International Storage & Transport Corp.. 9,380,000 6,372,129 * Evergreen Marine Corp. Taiwan, Ltd................ 32,195,998 18,942,027 Everlight Chemical Industrial Corp................ 1,994,005 1,844,344 # Everlight Electronics Co., Ltd.................... 2,417,000 4,566,746 * Everspring Industry Co............................ 686,180 406,946 # Excelsior Medical Co., Ltd........................ 1,410,200 3,112,180 # Far Eastern Department Stores Co., Ltd............ 4,919,652 5,291,653 # Far Eastern International Bank.................... 27,026,817 11,216,604 #* Farglory F T Z Investment Holding Co., Ltd........ 544,000 417,294 Farglory Land Development Co., Ltd................ 457,000 839,439 Federal Corp...................................... 6,978,685 5,503,074 * First Copper Technology Co., Ltd.................. 3,667,750 1,191,288 First Financial Holding Co., Ltd.................. 126,315,215 78,177,705 First Hotel....................................... 1,187,590 764,689 # First Insurance Co., Ltd.......................... 3,960,064 2,624,401 First Steamship Co., Ltd.......................... 5,393,173 3,722,770 Forhouse Corp..................................... 7,911,635 3,025,131 # Formosa Advanced Technologies Co., Ltd............ 1,264,000 780,573 #* Formosa Epitaxy, Inc.............................. 8,578,000 5,218,841 Formosa Oilseed Processing........................ 1,111,977 537,640 Formosa Taffeta Co., Ltd.......................... 10,729,511 13,335,659 Formosan Rubber Group, Inc........................ 8,118,000 7,702,794 Formosan Union Chemical........................... 2,827,034 1,356,169 # Fortune Electric Co., Ltd......................... 436,000 272,207 # Founding Construction & Development Co., Ltd...... 3,092,474 2,033,838 Foxlink Image Technology Co., Ltd................. 541,000 340,678 * Froch Enterprise Co., Ltd......................... 1,898,000 619,843 FSP Technology, Inc............................... 1,830,283 1,690,073 Fubon Financial Holding Co., Ltd.................. 88,739,471 130,052,844 Fullerton Technology Co., Ltd..................... 1,753,200 1,443,124 #* Fulltech Fiber Glass Corp......................... 4,505,690 1,824,117 Fwusow Industry Co., Ltd.......................... 2,782,995 1,711,402 # G Shank Enterprise Co., Ltd....................... 2,830,880 1,752,732 * Gallant Precision Machining Co., Ltd.............. 1,123,000 481,093 # Gemtek Technology Corp............................ 6,437,962 6,248,868 #* Genesis Photonics, Inc............................ 2,140,000 1,259,476 # Getac Technology Corp............................. 11,072,065 6,096,533 #* Giantplus Technology Co., Ltd..................... 1,289,100 389,348 Giga Solution Tech Co., Ltd....................... 548,000 295,354 Gigabyte Technology Co., Ltd...................... 9,308,287 10,392,479 #* Gigastorage Corp.................................. 5,891,600 4,751,691 #* Gintech Energy Corp............................... 6,960,942 7,485,630 * Global Brands Manufacture, Ltd.................... 5,041,951 1,799,497 # Global Lighting Technologies, Inc................. 552,000 560,329 * Globe Union Industrial Corp....................... 2,671,000 2,030,525
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) # Gloria Material Technology Corp................. 4,263,150 $ 2,917,015 #* Gold Circuit Electronics, Ltd................... 9,631,965 2,516,110 Goldsun Development & Construction Co., Ltd..... 23,049,261 9,529,237 Good Will Instrument Co., Ltd................... 466,380 286,831 Grand Pacific Petrochemical..................... 17,166,000 13,249,262 Great China Metal Industry...................... 871,000 1,034,348 Great Wall Enterprise Co., Ltd.................. 3,780,767 3,407,512 #* Green Energy Technology, Inc.................... 4,571,880 4,046,853 #* GTM Corp........................................ 2,449,000 1,323,369 # Hannstar Board Corp............................. 5,444,635 2,212,383 #* HannStar Display Corp........................... 49,769,000 16,664,100 * Harvatek Corp................................... 3,454,459 1,423,208 * Helix Technology, Inc........................... 29,585 -- Hey Song Corp................................... 4,034,000 4,627,233 Hiroca Holdings, Ltd............................ 13,500 38,170 #* HiTi Digital, Inc............................... 315,175 292,663 Hitron Technology, Inc.......................... 3,410,525 1,829,673 Ho Tung Chemical Corp........................... 12,602,052 6,152,893 #* Hocheng Corp.................................... 4,459,300 1,716,369 Hold-Key Electric Wire & Cable Co., Ltd......... 515,124 184,242 Holy Stone Enterprise Co., Ltd.................. 2,678,650 3,379,952 # Hong TAI Electric Industrial.................... 3,862,000 1,314,678 Horizon Securities Co., Ltd..................... 5,065,000 1,532,803 Hsin Kuang Steel Co., Ltd....................... 4,316,124 2,750,917 Hsing TA Cement Co.............................. 2,071,980 782,012 HUA ENG Wire & Cable............................ 7,600,035 3,014,210 Hua Nan Financial Holdings Co., Ltd............. 48,985,430 29,043,140 * Hua Yu Lien Development Co., Ltd................ 2,799 5,060 * Hualon Corp..................................... 257,040 -- Hung Ching Development & Construction Co., Ltd.. 1,937,468 1,246,410 Hung Poo Real Estate Development Corp........... 3,576,655 3,715,452 # Hung Sheng Construction Co., Ltd................ 8,769,892 7,492,355 Huxen Corp...................................... 572,281 904,346 * Hwa Fong Rubber Co., Ltd........................ 3,194,960 1,449,551 # I-Chiun Precision Industry Co., Ltd............. 3,790,000 2,463,121 # Ichia Technologies, Inc......................... 7,023,260 3,689,739 Infortrend Technology, Inc...................... 880,000 528,524 #* Innolux Corp.................................... 122,419,745 48,549,926 * Inotera Memories, Inc........................... 32,779,728 21,137,232 * Inpaq Technology Co., Ltd....................... 327,000 310,923 Integrated Memory Logic, Ltd.................... 73,000 167,046 Inventec Corp................................... 34,993,277 31,321,059 ITE Technology, Inc............................. 2,498,479 2,118,809 #* J Touch Corp.................................... 832,000 631,660 * Janfusun Fancyworld Corp........................ 600,179 117,425 Jentech Precision Industrial Co., Ltd........... 17,000 35,808 # Jess-Link Products Co., Ltd..................... 1,094,000 1,016,557 Jih Sun Financial Holdings Co., Ltd............. 3,662,995 1,050,876 K Laser Technology, Inc......................... 1,389,601 800,696 # Kang Na Hsiung Enterprise Co., Ltd.............. 1,655,078 984,646 * Kao Hsing Chang Iron & Steel.................... 1,118,000 438,757 # Kaulin Manufacturing Co., Ltd................... 2,961,656 2,453,225
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) KEE TAI Properties Co., Ltd............. 28,000 $ 20,112 * Kenmec Mechanical Engineering Co., Ltd.. 1,314,000 677,133 Kerry TJ Logistics Co., Ltd............. 304,000 426,328 Kindom Construction Co.................. 5,481,000 6,775,081 King Yuan Electronics Co., Ltd.......... 21,676,805 15,115,110 King's Town Bank........................ 11,813,012 10,509,008 * King's Town Construction Co., Ltd....... 30,000 29,028 Kinko Optical Co., Ltd.................. 418,000 429,104 # Kinpo Electronics....................... 19,097,375 8,510,943 # KS Terminals, Inc....................... 1,250,880 1,214,881 Kung Sing Engineering Corp.............. 1,507,000 753,622 # Kuo Toong International Co., Ltd........ 1,095,000 1,481,438 # Kuoyang Construction Co., Ltd........... 7,664,840 5,124,791 Kwong Fong Industries................... 4,296,720 3,199,195 KYE Systems Corp........................ 4,677,000 2,013,618 L&K Engineering Co., Ltd................ 2,019,000 2,109,329 LAN FA Textile.......................... 3,158,713 1,021,734 LCY Chemical Corp....................... 187,000 246,853 # Leader Electronics, Inc................. 1,614,056 802,153 Lealea Enterprise Co., Ltd.............. 12,751,118 4,687,695 # Ledtech Electronics Corp................ 310,000 195,291 # LEE CHI Enterprises Co., Ltd............ 3,466,900 1,723,195 Lelon Electronics Corp.................. 1,540,200 1,199,855 #* Leofoo Development Co................... 5,342,774 2,278,651 # LES Enphants Co., Ltd................... 692,000 533,716 Lextar Electronics Corp................. 1,016,000 868,122 * Li Peng Enterprise Co., Ltd............. 9,691,703 4,809,102 Lien Hwa Industrial Corp................ 8,943,990 5,782,329 Lingsen Precision Industries, Ltd....... 6,464,480 3,355,396 Lite-On Semiconductor Corp.............. 5,612,190 3,383,099 Lite-On Technology Corp................. 30,042,075 52,593,193 Long Chen Paper Co., Ltd................ 8,162,253 3,223,501 # Longwell Co............................. 1,333,000 1,182,994 # Lotes Co., Ltd.......................... 933,000 2,290,379 * Lucky Cement Corp....................... 3,099,000 849,228 #* Macronix International.................. 69,439,913 16,232,586 Marketech International Corp............ 2,165,000 1,320,573 Masterlink Securities Corp.............. 16,637,000 5,489,920 Maxtek Technology Co., Ltd.............. 193,000 112,167 # Mayer Steel Pipe Corp................... 2,472,456 1,193,027 Maywufa Co., Ltd........................ 252,070 142,754 Mega Financial Holding Co., Ltd......... 135,127,381 117,005,240 * Megamedia Corp.......................... 782 -- Meiloon Industrial Co................... 1,613,084 1,246,147 Mercuries & Associates, Ltd............. 1,863,937 1,400,857 * Mercuries Data Systems, Ltd............. 729,800 223,187 * Mercuries Life Insurance Co., Ltd....... 278,000 195,221 Micro-Star International Co., Ltd....... 14,542,985 9,775,049 * Microelectronics Technology, Inc........ 721,826 466,909 Mirle Automation Corp................... 565,550 483,132 * Mitac Holdings Corp..................... 10,023,725 9,211,885 Mobiletron Electronics Co., Ltd......... 153,000 191,470
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) * Mosel Vitelic, Inc........................ 7,422,506 $ 1,700,685 #* Motech Industries, Inc.................... 3,195,000 5,944,652 * Nan Ren Lake Leisure Amusement Co., Ltd... 917,000 421,085 #* Nan Ya Printed Circuit Board Corp......... 3,855,000 5,207,020 # Nantex Industry Co., Ltd.................. 2,345,766 1,665,081 * Nanya Technology Corp..................... 3,851,000 534,566 #* Neo Solar Power Corp...................... 10,557,719 11,250,386 New Asia Construction & Development Corp.. 1,810,304 479,112 New Era Electronics Co., Ltd.............. 146,000 187,122 Nichidenbo Corp........................... 101,330 88,954 Nien Hsing Textile Co., Ltd............... 4,175,721 4,530,519 # Nishoku Technology, Inc................... 260,000 367,336 #* Ocean Plastics Co., Ltd................... 628,000 786,433 * Optimax Technology Corp................... 1,085,597 174,901 OptoTech Corp............................. 9,532,000 3,941,761 * Orient Semiconductor Electronics, Ltd..... 5,501,276 953,581 Pacific Construction Co................... 2,329,452 823,652 #* Pan Jit International, Inc................ 6,633,837 2,864,436 # Pan-International Industrial.............. 2,937,766 2,351,108 # Paragon Technologies Co., Ltd............. 1,221,191 1,569,613 # Pegatron Corp............................. 28,348,998 39,500,652 Phihong Technology Co., Ltd............... 2,723,320 1,680,884 * Picvue Electronics, Ltd................... 241,600 -- Plotech Co., Ltd.......................... 760,282 270,577 Portwell, Inc............................. 669,000 625,363 * Potrans Electrical Corp................... 1,139,000 -- Pou Chen Corp............................. 29,022,550 35,352,241 * Powercom Co., Ltd......................... 1,347,500 257,918 # Powertech Industrial Co., Ltd............. 271,000 156,618 # Powertech Technology, Inc................. 11,391,000 20,528,082 President Securities Corp................. 12,690,992 7,149,978 Prime Electronics Satellitics, Inc........ 269,000 210,353 # Prince Housing & Development Corp......... 2,693,782 1,735,460 * Procomp Informatics, Ltd.................. 391,440 -- * Prodisc Technology, Inc................... 6,185,157 -- Promate Electronic Co., Ltd............... 851,000 890,275 * Qisda Corp................................ 26,623,171 6,177,354 Quanta Storage, Inc....................... 2,413,000 2,512,847 * Quintain Steel Co., Ltd................... 5,893,629 1,365,929 # Radium Life Tech Co., Ltd................. 9,304,290 8,141,574 Ralec Electronic Corp..................... 477,087 702,414 Rechi Precision Co., Ltd.................. 230,651 230,334 Rich Development Co., Ltd................. 2,011,054 863,802 #* Ritek Corp................................ 53,401,622 8,668,154 * Sainfoin Technology Corp.................. 835,498 -- Sampo Corp................................ 9,863,925 3,460,502 Sanyang Industry Co., Ltd................. 10,027,624 17,548,157 SDI Corp.................................. 974,000 1,085,543 Sesoda Corp............................... 973,875 1,047,920 Shan-Loong Transportation Co., Ltd........ 66,000 54,246 Sheng Yu Steel Co., Ltd................... 1,935,000 1,479,942 ShenMao Technology, Inc................... 1,245,000 1,454,027
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) Shih Her Technologies, Inc...................... 373,000 $ 815,101 Shih Wei Navigation Co., Ltd.................... 2,432,718 1,745,697 Shihlin Electric & Engineering Corp............. 4,426,000 5,595,372 # Shin Kong Financial Holding Co., Ltd............ 133,903,755 46,568,964 Shin Zu Shing Co., Ltd.......................... 552,000 1,216,107 # Shinkong Insurance Co., Ltd..................... 3,516,412 2,737,670 Shinkong Synthetic Fibers Corp.................. 26,952,754 9,313,184 # Shuttle, Inc.................................... 4,011,015 1,754,979 Sigurd Microelectronics Corp.................... 6,663,047 6,454,999 * Silicon Integrated Systems Corp................. 10,317,165 3,210,301 Silitech Technology Corp........................ 259,000 334,703 Sinbon Electronics Co., Ltd..................... 1,951,000 2,321,258 Sincere Navigation Corp......................... 4,719,740 4,387,138 Singatron Enterprise Co., Ltd................... 63,000 33,865 * Sinkang Industries, Ltd......................... 699,557 250,773 #* Sino-American Silicon Products, Inc............. 5,456,000 7,563,434 # Sinon Corp...................................... 6,282,877 3,519,068 SinoPac Financial Holdings Co., Ltd............. 121,894,614 60,321,207 Sirtec International Co., Ltd................... 404,000 776,430 Sitronix Technology Corp........................ 1,476,000 2,462,110 * Siward Crystal Technology Co., Ltd.............. 2,080,875 979,010 Solar Applied Materials Technology Co........... 356,000 303,108 * Solartech Energy Corp........................... 1,509,000 1,285,647 Solomon Technology Corp......................... 1,334,671 582,671 #* Solytech Enterprise Corp........................ 3,043,000 1,128,124 Southeast Cement Co., Ltd....................... 3,539,700 2,047,481 Spirox Corp..................................... 977,661 414,110 * Star Comgistic Capital Co., Ltd................. 2,030,676 836,337 # Stark Technology, Inc........................... 2,259,200 2,343,614 Sunonwealth Electric Machine Industry Co., Ltd.. 478,421 277,551 * Sunplus Technology Co., Ltd..................... 8,214,620 3,004,701 Sunrex Technology Corp.......................... 1,158,000 485,180 * Super Dragon Technology Co., Ltd................ 155,175 108,244 # Supreme Electronics Co., Ltd.................... 3,375,681 1,713,079 Sweeten Construction Co., Ltd................... 1,258,501 816,003 Sysage Technology Co., Ltd...................... 178,500 190,495 Systex Corp..................................... 801,801 1,521,669 T-Mac Techvest PCB Co., Ltd..................... 252,000 181,419 TA Chen Stainless Pipe.......................... 8,424,281 4,034,472 * Ta Chong Bank, Ltd.............................. 28,492,769 9,994,469 Ta Ya Electric Wire & Cable..................... 9,145,329 2,172,407 TA-I Technology Co., Ltd........................ 1,750,233 906,674 # Tah Hsin Industrial Co., Ltd.................... 1,700,000 1,660,825 TAI Roun Products Co., Ltd...................... 63,000 21,441 # Taichung Commercial Bank........................ 29,348,178 10,883,827 Tainan Enterprises Co., Ltd..................... 1,899,183 2,152,880 Tainan Spinning Co., Ltd........................ 17,605,938 13,269,730 Taishin Financial Holding Co., Ltd.............. 114,788,390 57,974,121 #* Taisun Enterprise Co., Ltd...................... 3,464,410 1,777,567 * Taita Chemical Co., Ltd......................... 3,554,864 1,520,751 * Taiwan Business Bank............................ 59,761,510 18,367,895 # Taiwan Calsonic Co., Ltd........................ 48,000 47,622
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) Taiwan Cement Corp............................. 45,081,440 $65,611,018 Taiwan Chinsan Electronic Industrial Co., Ltd.. 54,000 87,668 Taiwan Cogeneration Corp....................... 4,200,333 2,601,620 Taiwan Cooperative Financial Holding........... 88,650,827 49,849,018 Taiwan Fertilizer Co., Ltd..................... 1,174,000 2,797,544 Taiwan Fire & Marine Insurance Co.............. 1,158,000 923,712 * Taiwan Flourescent Lamp Co., Ltd............... 756,000 -- Taiwan FU Hsing Industrial Co., Ltd............ 2,128,000 2,389,050 Taiwan Glass Industry Corp..................... 9,558,710 9,673,146 # Taiwan Hopax Chemicals Manufacturing Co., Ltd.. 1,140,000 864,140 * Taiwan Kolin Co., Ltd.......................... 5,797,000 -- #* Taiwan Land Development Corp................... 12,397,739 4,758,414 * Taiwan Life Insurance Co., Ltd................. 788,419 698,967 Taiwan Mask Corp............................... 3,154,250 1,025,577 Taiwan Navigation Co., Ltd..................... 970,000 899,501 Taiwan Paiho, Ltd.............................. 2,887,549 4,001,931 Taiwan PCB Techvest Co., Ltd................... 1,195,946 1,371,131 # Taiwan Prosperity Chemical Corp................ 220,000 225,391 #* Taiwan Pulp & Paper Corp....................... 7,065,660 3,092,361 # Taiwan Sakura Corp............................. 2,890,472 1,869,556 Taiwan Semiconductor Co., Ltd.................. 2,224,000 1,828,989 * Taiwan Styrene Monomer......................... 7,258,045 5,532,602 Taiwan Surface Mounting Technology Co., Ltd.... 991,600 1,412,425 #* Taiwan TEA Corp................................ 12,079,092 9,932,559 Taiwan Union Technology Corp................... 3,225,000 2,466,542 Taiyen Biotech Co., Ltd........................ 3,286,000 2,811,782 #* Tatung Co., Ltd................................ 36,532,342 10,128,320 Teco Electric and Machinery Co., Ltd........... 32,704,725 34,880,242 * Tecom Co., Ltd................................. 703,753 71,358 * Tekcore Co., Ltd............................... 372,000 167,922 Test-Rite International Co., Ltd............... 907,266 706,298 TEX RAY INDUSTRIAL Co., Ltd.................... 273,000 146,238 ThaiLin Semiconductor Corp..................... 1,139,000 683,421 # Thinking Electronic Industrial Co., Ltd........ 1,490,000 1,727,992 Ton Yi Industrial Corp......................... 9,741,600 10,778,951 Tong Yang Industry Co., Ltd.................... 5,716,228 8,901,072 Tong-Tai Machine & Tool Co., Ltd............... 3,193,368 3,063,960 Topco Scientific Co., Ltd...................... 705,480 1,236,725 # Topoint Technology Co., Ltd.................... 2,564,288 1,966,776 Transasia Airways Corp......................... 768,000 321,017 Tripod Technology Corp......................... 641,000 1,267,495 # Tung Ho Steel Enterprise Corp.................. 12,119,274 10,867,288 Tung Ho Textile Co., Ltd....................... 2,542,000 865,731 * TYC Brother Industrial Co., Ltd................ 2,525,723 1,441,958 #* Tycoons Group Enterprise....................... 7,782,938 1,550,803 * Tyntek Corp.................................... 5,222,683 1,277,116 TZE Shin International Co., Ltd................ 1,095,645 440,007 * U-Tech Media Corp.............................. 1,946,799 412,802 Unic Technology Corp........................... 36,361 14,534 # Unimicron Technology Corp...................... 24,359,363 19,266,486 #* Union Bank Of Taiwan........................... 11,008,494 4,028,543 Unitech Computer Co., Ltd...................... 1,308,739 624,838
39 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TAIWAN -- (Continued) #* Unitech Printed Circuit Board Corp............... 11,440,281 $ 4,913,647 # United Integrated Services Co., Ltd.............. 1,576,000 1,740,284 # United Microelectronics Corp..................... 218,090,681 92,516,948 Unity Opto Technology Co., Ltd................... 532,000 416,711 Universal Cement Corp............................ 6,228,551 5,718,657 #* Unizyx Holding Corp.............................. 6,190,000 3,219,142 UPC Technology Corp.............................. 12,594,746 6,086,417 USI Corp......................................... 5,907,691 4,333,926 Ve Wong Corp..................................... 1,594,806 1,345,174 #* Wafer Works Corp................................. 3,331,000 1,797,943 # Wah Hong Industrial Corp......................... 294,516 315,845 Wah Lee Industrial Corp.......................... 1,777,000 2,848,922 * Walsin Lihwa Corp................................ 58,770,412 18,218,180 * Walsin Technology Corp........................... 10,079,230 2,702,324 #* Walton Advanced Engineering, Inc................. 6,089,853 2,174,922 Wan Hai Lines, Ltd............................... 9,268,000 4,994,495 # WAN HWA Enterprise Co............................ 675,550 343,945 Waterland Financial Holdings Co., Ltd............ 30,493,739 10,488,396 Ways Technical Corp., Ltd........................ 256,000 372,898 * WEI Chih Steel Industrial Co., Ltd............... 1,880,898 311,005 #* Wei Mon Industry Co., Ltd........................ 6,500,691 2,134,245 # Weikeng Industrial Co., Ltd...................... 1,617,550 1,199,641 Well Shin Technology Co., Ltd.................... 987,080 1,680,741 Weltrend Semiconductor........................... 1,097,100 1,049,602 Wha Yu Industrial Co., Ltd....................... 138,000 89,158 Win Semiconductors Corp.......................... 1,411,000 1,244,536 #* Winbond Electronics Corp......................... 51,988,885 13,122,959 #* Wintek Corp...................................... 42,368,507 15,826,205 # Wisdom Marine Lines Co., Ltd..................... 396,350 475,618 # Wistron Corp..................................... 32,596,332 30,602,269 WPG Holdings, Ltd................................ 515,092 626,506 # WT Microelectronics Co., Ltd..................... 3,532,096 4,219,246 WUS Printed Circuit Co., Ltd..................... 6,267,928 2,818,008 Yageo Corp....................................... 23,867,788 8,128,926 * Yang Ming Marine Transport Corp.................. 24,996,676 11,085,129 YC INOX Co., Ltd................................. 4,646,667 3,258,328 # Yem Chio Co., Ltd................................ 4,696,764 3,577,352 # YFY, Inc......................................... 18,338,847 9,732,241 #* Yi Jinn Industrial Co., Ltd...................... 3,816,796 1,037,157 * Yieh Phui Enterprise Co., Ltd.................... 16,525,235 5,227,528 Young Fast Optoelectronics Co., Ltd.............. 2,546,000 2,794,680 Yuanta Financial Holding Co., Ltd................ 151,353,654 82,534,377 Yulon Motor Co., Ltd............................. 13,491,572 23,814,020 Yung Chi Paint & Varnish Manufacturing Co., Ltd.. 359,687 848,894 # Zenitron Corp.................................... 3,202,000 2,077,882 #* Zig Sheng Industrial Co., Ltd.................... 8,536,352 3,065,110 Zinwell Corp..................................... 1,931,000 2,079,412 -------------- TOTAL TAIWAN......................................... 2,882,123,235 -------------- THAILAND -- (3.1%) AAPICO Hitech PCL................................ 681,760 370,176 AJ Plast PCL..................................... 2,076,900 680,623
40 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- THAILAND -- (Continued) AP Thailand PCL........................................ 20,514,600 $ 3,592,115 Asia Plus Securities PCL............................... 10,463,900 1,270,796 Bangchak Petroleum PCL................................. 10,134,500 10,826,414 Bangkok Bank PCL(6368360).............................. 11,332,400 75,003,194 Bangkok Bank PCL(6077019).............................. 6,294,000 41,656,675 Bangkok Expressway PCL................................. 5,564,000 6,480,161 Bangkok Insurance PCL.................................. 152,020 1,807,145 Bangkokland PCL........................................ 127,978,803 7,072,242 Bank of Ayudhya PCL(6359933)........................... 6,065,200 7,453,619 Bank of Ayudhya PCL(6075949)........................... 22,788,300 28,004,899 Banpu PCL.............................................. 18,169,000 16,928,546 CalComp Electronics Thailand PCL....................... 25,500,100 2,539,769 Charoong Thai Wire & Cable PCL......................... 1,255,800 423,643 Delta Electronics Thailand PCL......................... 4,773,500 7,323,201 Eastern Water Resources Development and Management PCL. 6,336,200 2,585,373 Esso Thailand PCL...................................... 23,848,000 5,363,406 * G J Steel PCL.......................................... 537,140,250 1,208,026 * G Steel PCL (Foreign).................................. 79,804,200 358,959 * Golden Land Property Development PCL................... 477,800 119,738 Hana Microelectronics PCL.............................. 5,060,700 3,707,115 Hemaraj Land and Development PCL....................... 153,300 17,140 ICC International PCL.................................. 2,682,700 3,447,647 IRPC PCL............................................... 144,935,100 16,670,447 Kang Yong Electric PCL................................. 3,400 27,091 KGI Securities Thailand PCL............................ 18,177,700 1,681,985 Kiatnakin Bank PCL..................................... 5,637,200 7,561,545 Krung Thai Bank PCL.................................... 90,737,300 59,179,669 Laguna Resorts & Hotels PCL............................ 1,342,400 1,401,703 Lanna Resources PCL.................................... 114,300 45,536 LH Financial Group PCL................................. 15,909,050 679,808 MBK PCL................................................ 863,200 4,160,000 * Padaeng Industry PCL................................... 1,412,500 458,353 Polyplex Thailand PCL.................................. 5,498,800 1,802,016 Precious Shipping PCL.................................. 6,442,200 3,973,984 Property Perfect PCL................................... 47,707,300 1,670,713 PTT Global Chemical PCL................................ 32,067,141 80,876,163 PTT PCL................................................ 10,844,100 110,444,328 Quality Houses PCL..................................... 37,762,541 3,688,293 * Regional Container Lines PCL........................... 5,665,000 1,201,253 Saha Pathana Inter-Holding PCL......................... 2,906,200 2,072,856 Saha Pathanapibul PCL.................................. 1,594,833 2,254,543 Saha-Union PCL......................................... 2,976,400 3,633,838 * Sahaviriya Steel Industries PCL........................ 149,229,740 1,773,976 Sansiri PCL............................................ 27,531,600 1,981,391 SC Asset Corp PCL...................................... 24,913,125 3,009,585 Siam Future Development PCL............................ 2,826,287 603,849 Siamgas & Petrochemicals PCL........................... 495,200 219,559 Somboon Advance Technology PCL......................... 94,200 49,635 Sri Ayudhya Capital PCL................................ 233,300 176,896 Sri Trang Agro-Industry PCL............................ 9,010,400 3,908,125 Srithai Superware PCL.................................. 552,000 326,323 * Tata Steel Thailand PCL................................ 39,336,300 1,074,244
41 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- THAILAND -- (Continued) Thai Airways International PCL............................................. 16,383,411 $ 10,685,405 Thai Carbon Black PCL...................................................... 441,000 318,087 Thai Oil PCL............................................................... 14,199,200 28,740,549 Thai Rayon PCL............................................................. 165,000 159,036 Thai Stanley Electric PCL(B01GKK6)......................................... 174,600 1,290,217 Thai Stanley Electric PCL(B01GKM8)......................................... 43,100 318,490 Thai Wacoal PCL............................................................ 93,300 147,257 Thanachart Capital PCL..................................................... 11,084,300 12,286,212 Thitikorn PCL.............................................................. 97,700 36,098 * Thoresen Thai Agencies PCL................................................. 8,166,900 4,644,309 Tisco Financial Group PCL.................................................. 1,693,700 2,394,307 TMB Bank PCL............................................................... 192,971,200 16,987,665 Total Access Communication PCL............................................. 5,393,680 19,495,229 TPI Polene PCL............................................................. 14,898,724 6,174,893 * Tycoons Worldwide Group Thailand PCL....................................... 1,243,300 170,167 Vanachai Group PCL......................................................... 8,446,600 759,855 Vinythai PCL............................................................... 6,598,217 2,480,294 ------------ TOTAL THAILAND................................................................. 651,936,399 ------------ TURKEY -- (2.5%) Adana Cimento Sanayii TAS Class A.......................................... 1,015,460 2,080,241 #* Adese Alisveris Merkezleri Ticaret A.S..................................... 50,874 223,866 Akbank TAS................................................................. 4,302,364 16,816,298 Akcansa Cimento A.S........................................................ 4,648 25,962 #* Akenerji Elektrik Uretim A.S............................................... 3,431,162 2,298,352 #* Akfen Holding A.S.......................................................... 940,621 2,040,640 Aksa Akrilik Kimya Sanayii................................................. 1,735,088 7,156,314 Aksigorta A.S.............................................................. 1,208,497 1,681,544 Alarko Holding A.S......................................................... 1,328,166 3,929,403 * Albaraka Turk Katilim Bankasi A.S.......................................... 3,392,871 3,018,587 * Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S........................ 52,204 1,300,206 #* Anadolu Anonim Tuerk Sigorta Sirketi....................................... 4,326,842 2,858,133 Anadolu Cam Sanayii A.S.................................................... 2,275,126 2,762,679 #* Asya Katilim Bankasi A.S................................................... 10,427,239 10,564,505 # Aygaz A.S.................................................................. 1,020,159 4,643,847 * Baticim Bati Anadolu Cimento Sanayii A.S................................... 303,326 1,001,963 Bolu Cimento Sanayii A.S................................................... 999,793 1,427,661 Borusan Mannesmann Boru Sanayi ve Ticaret A.S.............................. 151,966 2,498,729 Cimsa Cimento Sanayi VE Tica............................................... 576,229 3,726,421 #* Deva Holding A.S........................................................... 1,233,392 1,300,616 Dogan Gazetecilik A.S...................................................... 40,611 33,100 * Dogan Sirketler Grubu Holding A.S.......................................... 16,350,353 7,357,180 #* Dogan Yayin Holding A.S.................................................... 1,034,173 356,246 Dogus Otomotiv Servis ve Ticaret A.S....................................... 73,958 354,093 # Eczacibasi Yatirim Holding Ortakligi A.S................................... 855,876 2,746,525 EGE Seramik Sanayi ve Ticaret A.S.......................................... 1,418,706 1,903,317 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S.. 3,954,537 5,004,549 Eregli Demir ve Celik Fabrikalari TAS...................................... 23,187,774 32,060,714 Gentas Genel Metal Sanayi ve Ticaret A.S................................... 821,239 476,606 Global Yatirim Holding A.S................................................. 4,381,715 3,023,883 # Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S........................ 45,038 1,287,501 * Gozde Girisim Sermayesi Yatirim Ortakligi A.S.............................. 9,558 28,820
42 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- TURKEY -- (Continued) #* GSD Holding......................................................... 4,585,286 $ 2,886,044 * Gunes Sigorta....................................................... 424,619 401,545 #* Hurriyet Gazetecilik A.S............................................ 3,447,484 1,307,448 #* Ihlas EV Aletleri................................................... 2,765,346 828,919 #* Ihlas Holding A.S................................................... 14,952,395 5,533,895 * Is Finansal Kiralama A.S............................................ 2,908,338 1,425,513 Is Yatirim Menkul Degerler A.S. Class A............................. 450,584 324,851 * Isiklar Yatirim Holding A.S......................................... 1,056,428 280,523 #* Izmir Demir Celik Sanayi A.S........................................ 554,725 765,349 #* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A......... 4,207,672 4,070,469 #* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B......... 2,179,441 4,726,525 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D......... 13,524,360 8,494,809 #* Karsan Otomotiv Sanayii Ve Ticaret A.S.............................. 1,793,098 1,062,989 # KOC Holding A.S..................................................... 12,307,828 60,280,805 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S.. 266,467 483,208 * Koza Anadolu Metal Madencilik Isletmeleri A.S....................... 1,412,866 3,066,001 * Menderes Tekstil Sanayi ve Ticaret A.S.............................. 4,014,065 1,062,589 * Metro Ticari ve Mali Yatirimlar Holding A.S......................... 3,286,794 1,101,256 Mutlu Aku ve Malzemeleri Sanayi AS.................................. 158,475 574,543 * Mutlu Yatirim Proje ve Gayrimenkul Gelistirme AS.................... 6,852 87,607 #* Net Turizm Ticaret ve Sanayi SA..................................... 3,429,929 1,508,493 #* Petkim Petrokimya Holding A.S....................................... 4,769,900 7,508,340 Pinar Entegre Et ve Un Sanayi A.S................................... 343,247 1,322,955 Pinar SUT Mamulleri Sanayii A.S..................................... 173,137 1,499,965 #* Polyester Sanayi A.S................................................ 2,315,248 1,283,972 * Raks Elektronik Sanayi ve Ticaret A.S............................... 5,859 -- * Sabah Yayincilik.................................................... 31,938 -- # Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S.................. 1,335,250 2,040,101 * Sekerbank TAS....................................................... 6,919,207 6,546,694 Selcuk Ecza Deposu Ticaret ve Sanayi A.S............................ 2,308,839 2,297,447 Soda Sanayii A.S.................................................... 1,657,869 2,190,220 * TAT Konserve Sanayii A.S............................................ 231,395 296,093 Tekfen Holding A.S.................................................. 1,896,452 4,561,451 #* Tekstil Bankasi A.S................................................. 1,683,023 1,295,130 # Trakya Cam Sanayi A.S............................................... 4,315,631 5,345,467 # Turcas Petrol A.S................................................... 1,122,860 1,761,681 Turk Hava Yollari................................................... 11,677,997 45,534,612 Turkiye Is Bankasi.................................................. 36,884,191 100,763,267 Turkiye Sinai Kalkinma Bankasi A.S.................................. 7,436,484 7,242,348 # Turkiye Sise ve Cam Fabrikalari A.S................................. 8,439,790 12,384,179 Turkiye Vakiflar Bankasi Tao........................................ 13,789,100 32,993,771 Ulker Biskuvi Sanayi A.S............................................ 369,278 2,816,928 * Uzel Makina Sanayii A.S............................................. 275,043 -- #* Vestel Beyaz Esya Sanayi ve Ticaret A.S............................. 1,067,440 1,585,466 #* Vestel Elektronik Sanayi ve Ticaret A.S............................. 2,059,212 2,108,448 # Yapi ve Kredi Bankasi A.S........................................... 20,866,189 48,161,726 #* Zorlu Enerji Elektrik Uretim A.S.................................... 2,638,137 1,741,266 --------------- TOTAL TURKEY............................................................ 519,543,409 --------------- TOTAL COMMON STOCKS..................................................... 18,812,179,100 ---------------
43 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES VALUE++ ------ ------- PREFERRED STOCKS -- (2.2%) BRAZIL -- (2.1%) Banco ABC Brasil SA...................................... 997,037 $ 6,135,325 Banco Alfa de Investimento SA............................ 60,126 151,867 Banco Daycoval SA........................................ 615,948 2,450,576 Banco do Estado do Rio Grande do Sul SA Class B.......... 713,821 5,142,033 Banco Industrial e Comercial SA.......................... 1,675,900 5,610,687 * Banco Panamericano SA.................................... 953,148 2,251,086 Banco Pine SA............................................ 365,877 1,717,713 Banco Sofisa SA.......................................... 694,800 856,419 * Braskem SA Class A....................................... 1,950,933 17,236,911 Cia Ferro Ligas da Bahia--Ferbasa........................ 920,734 5,627,408 Eucatex SA Industria e Comercio.......................... 298,688 895,625 Financeira Alfa SA Credito Financiamento e Investimentos. 33,900 66,451 Forjas Taurus SA......................................... 1,144,290 1,102,025 Gerdau SA................................................ 6,948,596 54,832,146 * Inepar SA Industria e Construcoes........................ 1,185,608 591,419 Klabin SA................................................ 4,025,949 21,408,792 Parana Banco SA.......................................... 120,800 769,128 Petroleo Brasileiro SA................................... 24,521,904 222,343,011 Suzano Papel e Celulose SA Class A....................... 7,456,309 30,115,387 Unipar Participacoes SA Class B.......................... 9,258,736 1,976,733 * Usinas Siderurgicas de Minas Gerais SA Class A........... 11,752,415 62,114,734 Whirlpool SA............................................. 58,400 114,207 ------------ TOTAL BRAZIL................................................. 443,509,683 ------------ COLOMBIA -- (0.1%) Banco Davivienda SA...................................... 7,851 102,974 Grupo de Inversiones Suramericana SA..................... 756,807 15,037,357 ------------ TOTAL COLOMBIA............................................... 15,140,331 ------------ TOTAL PREFERRED STOCKS....................................... 458,650,014 ------------ RIGHTS/WARRANTS -- (0.0%) CHILE -- (0.0%) * Salfacorp SA Rights 11/08/13............................. 169,995 100 ------------ MALAYSIA -- (0.0%) * Malaysian Resources Corp. Bhd Warrants 09/16/18.......... 4,765,795 385,124 ------------ POLAND -- (0.0%) * Polimex-Mostostal SA Rights.............................. 10,512,907 -- ------------ SOUTH KOREA -- (0.0%) * Hanwha General Insurance Co., Ltd. Rights 11/08/13....... 78,510 22,204 ------------ THAILAND -- (0.0%) * G J Steel PCL Rights 02/07/20............................ 8,915,217 57,286 ------------ TOTAL RIGHTS/WARRANTS........................................ 464,714 ------------
44 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES/ FACE AMOUNT (000) VALUE+ ------- ------ SECURITIES LENDING COLLATERAL -- (7.3%) (S)@ DFA Short Term Investment Fund....................................................... 129,904,927 $ 1,503,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $12,056,798 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $10,903,189) to be repurchased at $10,689,437....... $ 10,689 10,689,401 --------------- TOTAL SECURITIES LENDING COLLATERAL........................................................ 1,513,689,401 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $20,304,856,701) $20,784,983,229 ===============
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) Code of Ethics is filed herewith. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3) This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. Dimensional Emerging Markets Value Fund By: /s/ David G. Booth -------------------------- David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: January 2, 2014 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth -------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund Date: January 2, 2014 By: /s/ David R. Martin -------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 2, 2014 EX-99.CODE ETH 2 d613154dex99codeeth.txt CODE OF ETHICS EFFECTIVE DATE: JANUARY 1, 2006* CONFIDENTIAL AND PROPRIETARY CODE OF BUSINESS ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL EMERGING MARKETS VALUE FUND INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY I. COVERED OFFICERS AND PURPOSES OF THE CODE ----------------------------------------- The Boards of Directors/Trustees (together, the "Boards") of DFA Investment Dimensions Group Inc., Dimensional Emerging Markets Value Fund Inc., Dimensional Investment Group Inc. and The DFA Investment Trust Company (each a "Fund," and together, the "Funds") have adopted this Code of Business Ethics for Principal Executive and Financial Officers (the "Code"). The Code applies to the Funds' principal executive officers and principal financial officers (together, the "Covered Officers"), and is adopted to promote: . honest and ethical conduct, including the ethical handling of conflicts of interest; . full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (the "SEC"), and in other public communications made by the Funds; . compliance with applicable laws and governmental rules and regulations; . the prompt internal reporting of violations of the Code to the appropriate person(s) identified in the Code; and . accountability for adherence to the Code. II. COVERED OFFICERS SHOULD "ADHERE TO A HIGH STANDARD OF BUSINESS ETHICS" ---------------------------------------------------------------------- Each Covered Officer owes a duty to the Funds to adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual, as well as apparent, conflicts of interests. Each Covered Officer shall: . observe all laws and governmental rules and regulations, accounting standards and Fund policies; . adhere to a high standard of business ethics; and . place the interests of the Funds before the Covered Officer's own personal interests. All activities of Covered Officers should be guided by and adhere to these fiduciary standards. [LOGO DIMENSIONAL] III. COVERED OFFICERS SHOULD HANDLE ETHICALLY CONFLICTS OF INTEREST -------------------------------------------------------------- GUIDING PRINCIPLES. A "conflict of interest" occurs when a Covered Officer's private interests interfere with the interests of, or his service to, the Funds. A conflict of interest can arise when a Covered Officer takes actions or has interests that may make it difficult to perform his Fund work objectively and effectively. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his positions with the Funds. In addition, the Funds must be sensitive to situations that create apparent, if not actual, conflicts of interest. Service to the Funds should not be subordinated to personal gain and advantage. Certain conflicts of interest covered by this Code arise out of the relationships between Covered Officers and the Funds that already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the "1940 Act"), and the Investment Advisers Act of 1940, as amended (the "Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of the Covered Officers' status as "affiliated persons" of the Funds. The compliance programs and procedures of the Funds and Dimensional Fund Advisors LP, the Funds' investment advisor and administrator (the "Advisor"), are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace those compliance programs and procedures. Covered Officers must in all cases comply with applicable statutes and regulations. Although typically not presenting an opportunity for improper personal benefit, conflicts of interest arise from, or as a result of, the contractual relationships between the Funds and the Advisor, of which the Covered Officers are also officers or employees. As a result, it is recognized by the Boards that, subject to the Advisor's fiduciary duties to the Funds, the Covered Officers will, in the normal course of their duties (whether formally for the Funds or for the Advisor, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Advisor and the Funds. The Boards recognize that the participation of the Covered Officers in such activities is inherent in the contractual relationships between the Funds and the Advisor, and is consistent with the expectation of the Boards of the performance by the Covered Officers of their duties as officers of the Funds. Such participation, if addressed in conformity with the provisions of the 1940 Act and the Advisers Act, will be deemed to have been handled ethically. In addition, it is recognized by the Boards that the Covered Officers may also be officers or employees of one or more other investment companies advised by the Advisor and covered by this or other Codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the 1940 Act and the Advisers Act. In reading the following examples of conflicts of interest under the Code, the Covered Officers should keep in mind that such a list cannot be exhaustive by covering every possible scenario. It follows that the overarching principle--that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fund--should be the guiding principle in all circumstances. Each Covered Officer must: . avoid conflicts of interest whenever possible; . handle any actual or apparent conflict of interest ethically; 2 [LOGO DIMENSIONAL] . not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds; . not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Funds; . not use material, non-public knowledge of portfolio transactions made or contemplated for the Funds to profit personally, or to cause others to profit, by the market effect of such transactions; and . as described in more detail below, discuss any material transaction or relationship, which could reasonably be expected to give rise to a conflict of interest, with the Chief Compliance Officer of the Funds (the "Designated Ethics Officer"). In the event the Chief Compliance Officer of the Funds is not available, the Chairman of the Audit Committee may take action required hereunder of the Designated Ethics Officer. There are some conflict of interest situations that should always be discussed with the Designated Ethics Officer, if material. Examples of these situations include: . any outside business activity that detracts from an individual's ability to devote appropriate time and attention to his responsibilities with the Funds; . service as a director on the board of any public or private company; . the receipt of any non-nominal gifts; . the receipt of any entertainment from any company with which the Funds have current or prospective business dealings, unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; . being in the position of supervising, reviewing or having any influence on the job evaluation, pay or benefit of any immediate family member; . any ownership interest in, or any consulting or employment relationship with, any of the Funds' service providers, other than the Advisor and DFA Securities LLC ("DFAS"), or any affiliated person thereof; and . a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership. IV. DISCLOSURE ---------- Each Covered Officer is required to be familiar and comply with the Funds' disclosure controls and procedures so that the Funds' subject reports and documents filed with the SEC comply in all material respects with the applicable federal securities laws and SEC rules. In addition, each Covered 3 [LOGO DIMENSIONAL] Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his area of responsibility, consult with other Fund officers and employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure. Each Covered Officer: . must familiarize himself with the disclosure requirements applicable to the Funds as well as the business and financial operations of the Funds; and . must not knowingly misrepresent, or intentionally cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds' directors/trustees and auditors, and to governmental regulators and self-regulatory organizations. V. COMPLIANCE ---------- It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters. VI. REPORTING AND ACCOUNTABILITY ---------------------------- Each Covered Officer must: . upon adoption of the Code, affirm in writing to the Designated Ethics Officer that he has received, read, and understands the Code; . annually thereafter affirm to the Designated Ethics Officer that he has received, read and understands the Code and has complied with the requirements of the Code; . not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith; and . notify the Designated Ethics Officer promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Designated Ethics Officer is responsible for applying the provisions of the Code to specific situations in which questions arise under the Code, and the Designated Ethics Officer has the authority to interpret this Code in any particular situation. The Designated Ethics Officer is authorized (and encouraged) to consult, as appropriate, with the Audit Committee of the Funds, the members of the Boards who are not "interested persons" (together, the "Independent Directors"), and counsel to the Funds and the Independent Directors. 4 [LOGO DIMENSIONAL] The Funds will comply with the following procedures in investigating and enforcing this Code: . the Designated Ethics Officer will take all appropriate action to investigate any violations and potential violations reported to him; . violations and potential violations will be reported to the Audit Committee after such investigation; . if the Audit Committee determines that a violation of this Code has occurred, the Audit Committee will consider appropriate action, which may include the review of, and necessary modifications to, applicable policies and procedures; notification to appropriate personnel of the Advisor or the Advisor's board of directors; or recommending the dismissal of the Covered Officer; . appropriate disciplinary or preventive action may include a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities; . the Audit Committee will report to the Boards any action (whether disciplinary, preventive or otherwise) taken to address violations of this Code; . the Audit Committee will be responsible for granting waivers and determining sanctions, as appropriate; and . any changes to or waivers of this Code will, to the extent required, be disclosed on Form N-CSR as provided by SEC rules. VII. OTHER POLICIES AND PROCEDURES ----------------------------- The code of ethics under Rule 17j-1 under the 1940 Act, adopted by the Funds, the Advisor and the affiliated companies of the Advisor, and the Advisor's policies and procedures set forth in the STATEMENT OF POLICY OF EMPLOYEE TRADING are separate requirements applying to the Covered Officers and others, and are not part of this Code. VIII. AMENDMENTS ---------- This Code may not be amended except in written form, which is specifically approved or ratified by a majority vote of the Boards, including a majority of the Independent Directors. IX. CONFIDENTIALITY --------------- All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the members of the Boards and their counsel, the Funds, and the Advisor. 5 [LOGO DIMENSIONAL] X. INTERNAL USE ------------ The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion. Date: January 1, 2006 6 [LOGO DIMENSIONAL] EXHIBIT A PERSONS COVERED BY THIS CODE OF BUSINESS ETHICS ----------------------------------------------- David G. Booth (Principal Executive Officer of the Funds) David R. Martin (Principal Financial Officer of the Funds) A-1 [LOGO DIMENSIONAL] EX-99.CERT 3 d613154dex99cert.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: January 2, 2014 By: /s/ David G. Booth -------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David R. Martin, certify that: 1. I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: January 2, 2014 By: /s/ David R. Martin -------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906CERT 4 d613154dex99906cert.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 October 31, 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: January 2, 2014 By: /s/ David R. Martin -------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 2, 2014