0001193125-15-003664.txt : 20150107 0001193125-15-003664.hdr.sgml : 20150107 20150107132005 ACCESSION NUMBER: 0001193125-15-003664 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20141031 FILED AS OF DATE: 20150107 DATE AS OF CHANGE: 20150107 EFFECTIVENESS DATE: 20150107 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: 15512847 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 d755391dncsr.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, 2014 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] ANNUAL REPORT year ended: October 31, 2014 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 2014 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 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................................... 37 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio.......................... 40 U.S. Large Cap Equity Portfolio................................ 43 U.S. Large Cap Value Portfolio................................. 46 U.S. Targeted Value Portfolio.................................. 47 U.S. Small Cap Value Portfolio................................. 50 U.S. Core Equity 1 Portfolio................................... 53 U.S. Core Equity 2 Portfolio................................... 56 U.S. Vector Equity Portfolio................................... 59 U.S. Small Cap Portfolio....................................... 62 U.S. Micro Cap Portfolio....................................... 65 DFA Real Estate Securities Portfolio........................... 68 Large Cap International Portfolio.............................. 70 International Core Equity Portfolio............................ 74 International Small Company Portfolio.......................... 79 Japanese Small Company Portfolio............................... 80 Asia Pacific Small Company Portfolio........................... 80 United Kingdom Small Company Portfolio......................... 81 Continental Small Company Portfolio............................ 81 DFA International Real Estate Securities Portfolio............. 82 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 World Core Equity Portfolio.................................... 98 Selectively Hedged Global Equity Portfolio..................... 99 Emerging Markets Portfolio..................................... 100 Emerging Markets Small Cap Portfolio........................... 100 Emerging Markets Value Portfolio............................... 100 Emerging Markets Core Equity Portfolio......................... 101 Statements of Assets and Liabilities............................... 105 Statements of Operations........................................... 112 Statements of Changes in Net Assets................................ 119 Financial Highlights............................................... 129 Notes to Financial Statements...................................... 148 Report of Independent Registered Public Accounting Firm............ 176
i TABLE OF CONTENTS CONTINUED
Page ---- DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Performance Charts................................................. 177 Management's Discussion and Analysis............................... 178 Consolidated Disclosure of Fund Expenses........................... 179 Consolidated Disclosure of Portfolio Holdings...................... 180 Consolidated Schedule of Investments............................... 181 Consolidated Statement of Assets and Liabilities................... 186 Consolidated Statement of Operations............................... 187 Consolidated Statements of Changes in Net Assets................... 188 Consolidated Financial Highlights.................................. 189 Consolidated Notes to Financial Statements......................... 190 Report of Independent Registered Public Accounting Firm............ 202 Dimensional Investment Group Inc. Performance Charts................................................. 203 Management's Discussion and Analysis............................... 205 Disclosure of Fund Expenses........................................ 208 Disclosure of Portfolio Holdings................................... 210 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio.............................. 211 U.S. Large Company Portfolio................................... 212 Statements of Assets and Liabilities............................... 215 Statements of Operations........................................... 216 Statements of Changes in Net Assets................................ 217 Financial Highlights............................................... 218 Notes to Financial Statements...................................... 220 Report of Independent Registered Public Accounting Firm............ 230 The DFA Investment Trust Company Performance Charts................................................. 231 Management's Discussion and Analysis............................... 236 Disclosure of Fund Expenses........................................ 241 Disclosure of Portfolio Holdings................................... 243 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series................................ 245 The DFA International Value Series............................. 248 The Japanese Small Company Series.............................. 252 The Asia Pacific Small Company Series.......................... 255 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............ 316 Fund Management....................................................... 317 Voting Proxies on Fund Portfolio Securities........................... 328 Notice to Shareholders................................................ 329
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 CAD Canadian Dollars 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. (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.
1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX October 31, 2004-October 31, 2014 [CHART] Enhanced U.S. Large Company Portfolio S&P 500/R/Index --------------------------------- ------------------ 10/31/2004 $10,000 $10,000 11/30/2004 10,366 10,405 12/31/2004 10,717 10,759 1/31/2005 10,437 10,496 2/28/2005 10,638 10,717 3/31/2005 10,425 10,527 4/30/2005 10,246 10,328 5/31/2005 10,571 10,656 6/30/2005 10,582 10,672 7/31/2005 10,931 11,069 8/31/2005 10,852 10,968 9/30/2005 10,919 11,056 10/31/2005 10,693 10,872 11/30/2005 11,100 11,283 12/31/2005 11,101 11,287 1/31/2006 11,399 11,586 2/28/2006 11,399 11,618 3/31/2006 11,542 11,762 4/30/2006 11,680 11,920 5/31/2006 11,335 11,577 6/30/2006 11,346 11,593 7/31/2006 11,415 11,664 8/31/2006 11,680 11,942 9/30/2006 11,979 12,250 10/31/2006 12,359 12,649 11/30/2006 12,600 12,889 12/31/2006 12,769 13,070 1/31/2007 12,950 13,268 2/28/2007 12,696 13,008 3/31/2007 12,841 13,154 4/30/2007 13,397 13,737 5/31/2007 13,856 14,216 6/30/2007 13,614 13,980 7/31/2007 13,204 13,546 8/31/2007 13,385 13,749 9/30/2007 13,883 14,264 10/31/2007 14,106 14,490 11/30/2007 13,512 13,885 12/31/2007 13,416 13,788 1/31/2008 12,575 12,961 2/29/2008 12,168 12,540 3/31/2008 12,114 12,486 4/30/2008 12,683 13,094 5/31/2008 12,860 13,264 6/30/2008 11,767 12,146 7/31/2008 11,671 12,044 8/31/2008 11,850 12,218 9/30/2008 10,759 11,129 10/31/2008 8,924 9,260 11/30/2008 8,317 8,596 12/31/2008 8,415 8,687 1/31/2009 7,710 7,955 2/28/2009 6,867 7,108 3/31/2009 7,492 7,730 4/30/2009 8,230 8,470 5/31/2009 8,723 8,944 6/30/2009 8,753 8,962 7/31/2009 9,446 9,640 8/31/2009 9,815 9,988 9/30/2009 10,201 10,360 10/31/2009 10,015 10,168 11/30/2009 10,649 10,778 12/31/2009 10,832 10,986 1/31/2010 10,460 10,591 2/28/2010 10,801 10,919 3/31/2010 11,437 11,578 4/30/2010 11,623 11,760 5/31/2010 10,708 10,821 6/30/2010 10,157 10,255 7/31/2010 10,874 10,973 8/31/2010 10,391 10,478 9/30/2010 11,321 11,413 10/31/2010 11,758 11,847 11/30/2010 11,742 11,849 12/31/2010 12,528 12,641 1/31/2011 12,841 12,940 2/28/2011 13,263 13,384 3/31/2011 13,263 13,389 4/30/2011 13,685 13,786 5/31/2011 13,560 13,629 6/30/2011 13,326 13,402 7/31/2011 13,076 13,130 8/31/2011 12,356 12,417 9/30/2011 11,480 11,544 10/31/2011 12,747 12,805 11/30/2011 12,669 12,777 12/31/2011 12,810 12,908 1/31/2012 13,411 13,486 2/29/2012 13,996 14,069 3/31/2012 14,471 14,532 4/30/2012 14,392 14,441 5/31/2012 13,522 13,573 6/30/2012 14,089 14,132 7/31/2012 14,327 14,329 8/31/2012 14,660 14,652 9/30/2012 15,037 15,030 10/31/2012 14,766 14,753 11/30/2012 14,862 14,838 12/31/2012 14,983 14,973 1/31/2013 15,751 15,749 2/28/2013 15,975 15,963 3/31/2013 16,566 16,561 4/30/2013 16,886 16,881 5/31/2013 17,270 17,275 6/30/2013 17,005 17,043 7/31/2013 17,903 17,911 8/31/2013 17,374 17,392 9/30/2013 17,919 17,937 10/31/2013 18,752 18,762 11/30/2013 19,329 19,334 12/31/2013 19,794 19,823 1/31/2014 19,137 19,138 2/28/2014 20,003 20,013 3/31/2014 20,157 20,181 4/30/2014 20,318 20,331 5/31/2014 20,816 20,808 6/30/2014 21,216 21,238 7/31/2014 20,911 20,945 Past performance is not predictive of 8/31/2014 21,764 21,783 future performance. 9/30/2014 21,442 21,477 The returns shown do not reflect the 10/31/2014 21,973 22,002 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------------ The S&P data are provided by 17.18% 17.02% 8.19% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY PORTFOLIO VS. RUSSELL 1000(R) INDEX June 25, 2013-October 31, 2014 [CHART] U.S. Large Cap Equity Portfolio Russell 1000/R/ Index ----------------- --------------------- 6/25/2013 $10,000 $10,000 6/30/2013 10,020 10,130 7/31/2013 10,550 10,672 8/31/2013 10,270 10,378 9/30/2013 10,630 10,740 10/31/2013 11,101 11,213 11/30/2013 11,452 11,527 12/31/2013 11,757 11,838 1/31/2014 11,333 11,460 2/28/2014 11,878 12,004 3/31/2014 11,985 12,080 4/30/2014 12,046 12,137 5/31/2014 12,319 12,416 6/30/2014 12,623 12,699 Past performance is not predictive of 7/31/2014 12,410 12,493 future performance. 8/31/2014 12,928 13,010 The returns shown do not reflect the 9/30/2014 12,654 12,781 deduction of taxes that a shareholder 10/31/2014 12,899 13,094 would pay on fund distributions or the Average Annual One Since redemption of fund shares. Total Return Year Inception Russell data copyright (C) Russell --------------------------------------------------- Investment Group 1995-2014, all rights 16.19% 20.74% reserved.
-------------------------------------------------------------------------------- 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000(R) VALUE INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index ------------------------------- --------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,655 10,506 12/31/2004 11,079 10,858 1/31/2005 10,803 10,665 2/28/2005 11,129 11,018 3/31/2005 11,100 10,867 4/30/2005 10,718 10,672 5/31/2005 11,177 10,929 6/30/2005 11,405 11,049 7/31/2005 11,971 11,368 8/31/2005 11,871 11,319 9/30/2005 12,054 11,478 10/31/2005 11,731 11,186 11/30/2005 12,199 11,552 12/31/2005 12,214 11,621 1/31/2006 12,792 12,072 2/28/2006 12,747 12,146 3/31/2006 12,972 12,311 4/30/2006 13,337 12,624 5/31/2006 13,090 12,305 6/30/2006 13,203 12,383 7/31/2006 13,011 12,684 8/31/2006 13,220 12,897 9/30/2006 13,586 13,154 10/31/2006 14,124 13,584 11/30/2006 14,390 13,894 12/31/2006 14,679 14,206 1/31/2007 15,104 14,388 2/28/2007 14,877 14,164 3/31/2007 14,974 14,383 4/30/2007 15,609 14,914 5/31/2007 16,250 15,452 6/30/2007 15,986 15,091 7/31/2007 14,993 14,393 8/31/2007 14,707 14,554 9/30/2007 15,087 15,054 10/31/2007 15,169 15,056 11/30/2007 14,319 14,320 12/31/2007 14,273 14,182 1/31/2008 13,726 13,614 2/29/2008 13,301 13,043 3/31/2008 13,177 12,945 4/30/2008 14,004 13,577 5/31/2008 14,337 13,555 6/30/2008 12,766 12,257 7/31/2008 12,623 12,213 8/31/2008 12,871 12,421 9/30/2008 11,713 11,508 10/31/2008 9,074 9,516 11/30/2008 8,184 8,834 12/31/2008 8,450 8,956 1/31/2009 7,448 7,926 2/28/2009 6,402 6,867 3/31/2009 7,031 7,455 4/30/2009 8,169 8,254 5/31/2009 8,796 8,764 6/30/2009 8,689 8,699 7/31/2009 9,508 9,411 8/31/2009 10,155 9,904 9/30/2009 10,597 10,286 10/31/2009 10,141 9,971 11/30/2009 10,712 10,533 12/31/2009 11,001 10,720 1/31/2010 10,743 10,418 2/28/2010 11,207 10,747 3/31/2010 12,081 11,447 4/30/2010 12,463 11,743 5/31/2010 11,396 10,778 6/30/2010 10,534 10,171 7/31/2010 11,358 10,860 8/31/2010 10,664 10,395 9/30/2010 11,709 11,201 10/31/2010 12,140 11,538 11/30/2010 12,049 11,476 12/31/2010 13,220 12,382 1/31/2011 13,647 12,662 2/28/2011 14,383 13,129 3/31/2011 14,449 13,181 4/30/2011 14,811 13,532 5/31/2011 14,600 13,389 6/30/2011 14,335 13,115 7/31/2011 13,680 12,680 8/31/2011 12,523 11,888 9/30/2011 11,258 10,990 10/31/2011 12,812 12,248 11/30/2011 12,706 12,185 12/31/2011 12,805 12,430 1/31/2012 13,441 12,901 2/29/2012 14,217 13,415 3/31/2012 14,478 13,813 4/30/2012 14,175 13,672 5/31/2012 13,169 12,870 6/30/2012 13,875 13,509 7/31/2012 14,010 13,649 8/31/2012 14,563 13,945 9/30/2012 15,095 14,388 10/31/2012 15,136 14,317 11/30/2012 15,169 14,311 12/31/2012 15,629 14,607 1/31/2013 16,714 15,556 2/28/2013 16,926 15,779 3/31/2013 17,739 16,405 4/30/2013 17,917 16,653 5/31/2013 18,657 17,080 6/30/2013 18,442 16,929 7/31/2013 19,548 17,844 8/31/2013 18,964 17,167 9/30/2013 19,524 17,597 10/31/2013 20,511 18,367 11/30/2013 21,367 18,880 12/31/2013 21,931 19,358 1/31/2014 21,064 18,670 2/28/2014 21,772 19,478 3/31/2014 22,282 19,943 4/30/2014 22,428 20,132 5/31/2014 22,915 20,427 6/30/2014 23,540 20,961 Past performance is not predictive of 7/31/2014 23,365 20,603 future performance. 8/31/2014 24,106 21,361 The returns shown do not reflect the 9/30/2014 23,505 20,920 deduction of taxes that a shareholder 10/31/2014 23,688 21,390 would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2014, all rights 15.49% 18.49% 9.01% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS. RUSSELL 2000(R) VALUE INDEX January 31, 2008-October 31, 2014 [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 8/31/2013 15,941 14,443 9/30/2013 16,826 15,277 10/31/2013 17,555 15,773 11/30/2013 18,331 16,389 12/31/2013 18,804 16,698 1/31/2014 17,913 16,052 2/28/2014 18,845 16,786 3/31/2014 19,217 16,994 4/30/2014 18,862 16,557 5/31/2014 19,044 16,662 6/30/2014 19,852 17,399 Past performance is not predictive of 7/31/2014 18,859 16,347 future performance. 8/31/2014 19,819 17,058 The returns shown do not reflect the 9/30/2014 18,629 15,907 deduction of taxes that a shareholder 10/31/2014 19,217 17,018 would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2014, all rights 9.47% 18.55% 10.16% 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, 2014 [CHART] U.S. Targeted Value Portfolio - Class R2 Russell 2000/R/ Value Index ------------------------ --------------------------- 6/30/2008 $10,000 10,000 7/31/2008 10,260 10,513 8/31/2008 10,720 11,012 9/30/2008 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 1/31/2009 6,272 6,757 2/28/2009 5,443 5,818 3/31/2009 6,038 6,335 4/30/2009 7,216 7,340 5/31/2009 7,459 7,499 6/30/2009 7,436 7,475 7/31/2009 8,321 8,340 8/31/2009 8,768 8,735 9/30/2009 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 1/31/2010 9,343 9,227 2/28/2010 9,865 9,654 3/31/2010 10,685 10,458 4/30/2010 11,453 11,189 5/31/2010 10,419 10,244 6/30/2010 9,434 9,350 7/31/2010 10,161 10,017 8/31/2010 9,341 9,264 9/30/2010 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 1/31/2011 12,396 11,841 2/28/2011 13,085 12,442 3/31/2011 13,336 12,615 4/30/2011 13,544 12,820 5/31/2011 13,211 12,590 6/30/2011 12,926 12,281 7/31/2011 12,466 11,875 8/31/2011 11,214 10,826 9/30/2011 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 1/31/2012 12,209 11,927 2/29/2012 12,644 12,104 3/31/2012 12,877 12,480 4/30/2012 12,667 12,299 5/31/2012 11,721 11,548 6/30/2012 12,189 12,104 7/31/2012 12,129 11,981 8/31/2012 12,686 12,350 9/30/2012 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 1/31/2013 14,611 13,989 2/28/2013 14,861 14,149 3/31/2013 15,577 14,738 4/30/2013 15,424 14,723 5/31/2013 16,181 15,163 6/30/2013 16,064 15,102 7/31/2013 17,185 16,072 8/31/2013 16,548 15,362 9/30/2013 17,472 16,248 10/31/2013 18,223 16,777 11/30/2013 19,022 17,431 12/31/2013 19,515 17,760 1/31/2014 18,587 17,073 2/28/2014 19,549 17,854 3/31/2014 19,932 18,075 4/30/2014 19,563 17,610 5/31/2014 19,752 17,722 6/30/2014 20,586 18,506 7/31/2014 19,553 17,387 Past performance is not predictive of 8/31/2014 20,551 18,143 future performance. 9/30/2014 19,315 16,919 The returns shown do not reflect the 10/31/2014 19,918 18,101 deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell --------------------------------------------------------------- Investment Group 1995-2014, all rights 9.30% 18.33% 11.49% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. RUSSELL 2000(R) VALUE INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Targeted Value Portfolio - Institutional Class Russell 2000/R/ Value Index --------------------------------- --------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,920 10,887 12/31/2004 11,259 11,147 1/31/2005 10,901 10,716 2/28/2005 11,203 10,929 3/31/2005 11,098 10,704 4/30/2005 10,346 10,152 5/31/2005 11,035 10,771 6/30/2005 11,468 11,247 7/31/2005 12,171 11,887 8/31/2005 11,981 11,614 9/30/2005 12,023 11,595 10/31/2005 11,705 11,304 11/30/2005 12,249 11,762 12/31/2005 12,301 11,672 1/31/2006 13,288 12,637 2/28/2006 13,149 12,636 3/31/2006 13,693 13,248 4/30/2006 13,872 13,284 5/31/2006 13,390 12,734 6/30/2006 13,465 12,890 7/31/2006 13,052 12,711 8/31/2006 13,348 13,091 9/30/2006 13,484 13,219 10/31/2006 14,150 13,892 11/30/2006 14,635 14,288 12/31/2006 14,724 14,412 1/31/2007 15,032 14,628 2/28/2007 14,955 14,449 3/31/2007 15,069 14,623 4/30/2007 15,377 14,775 5/31/2007 16,043 15,316 6/30/2007 15,831 14,959 7/31/2007 14,684 13,686 8/31/2007 14,641 13,960 9/30/2007 14,685 14,023 10/31/2007 14,720 14,176 11/30/2007 13,670 13,114 12/31/2007 13,518 13,003 1/31/2008 12,872 12,470 2/29/2008 12,544 11,974 3/31/2008 12,651 12,155 4/30/2008 13,068 12,539 5/31/2008 13,672 12,968 6/30/2008 12,289 11,724 7/31/2008 12,609 12,325 8/31/2008 13,178 12,910 9/30/2008 12,344 12,305 10/31/2008 9,668 9,847 11/30/2008 8,411 8,707 12/31/2008 8,952 9,242 1/31/2009 7,721 7,922 2/28/2009 6,707 6,822 3/31/2009 7,438 7,427 4/30/2009 8,888 8,606 5/31/2009 9,195 8,792 6/30/2009 9,163 8,764 7/31/2009 10,255 9,778 8/31/2009 10,806 10,240 9/30/2009 11,407 10,754 10/31/2009 10,584 10,040 11/30/2009 10,936 10,359 12/31/2009 11,805 11,144 1/31/2010 11,533 10,817 2/28/2010 12,177 11,319 3/31/2010 13,190 12,260 4/30/2010 14,144 13,118 5/31/2010 12,873 12,010 6/30/2010 11,650 10,961 7/31/2010 12,558 11,744 8/31/2010 11,541 10,861 9/30/2010 12,960 12,027 10/31/2010 13,443 12,493 11/30/2010 13,980 12,810 12/31/2010 15,230 13,875 1/31/2011 15,330 13,882 2/28/2011 16,200 14,587 3/31/2011 16,512 14,790 4/30/2011 16,768 15,030 5/31/2011 16,356 14,761 6/30/2011 16,005 14,398 7/31/2011 15,445 13,922 8/31/2011 13,895 12,692 9/30/2011 12,170 11,306 10/31/2011 14,082 12,935 11/30/2011 14,128 12,909 12/31/2011 14,272 13,111 1/31/2012 15,137 13,983 2/29/2012 15,686 14,191 3/31/2012 15,981 14,631 4/30/2012 15,720 14,419 5/31/2012 14,547 13,538 6/30/2012 15,139 14,191 7/31/2012 15,065 14,046 8/31/2012 15,756 14,479 9/30/2012 16,257 14,995 10/31/2012 16,164 14,807 11/30/2012 16,435 14,852 12/31/2012 17,010 15,478 1/31/2013 18,170 16,401 2/28/2013 18,480 16,588 3/31/2013 19,380 17,278 4/30/2013 19,190 17,262 5/31/2013 20,140 17,777 6/30/2013 19,996 17,705 7/31/2013 21,400 18,843 8/31/2013 20,608 18,010 9/30/2013 21,760 19,049 10/31/2013 22,694 19,669 11/30/2013 23,708 20,436 12/31/2013 24,329 20,821 1/31/2014 23,175 20,016 2/28/2014 24,371 20,932 3/31/2014 24,857 21,191 4/30/2014 24,408 20,646 5/31/2014 24,643 20,777 6/30/2014 25,685 21,696 7/31/2014 24,409 20,384 Past performance is not predictive of 8/31/2014 25,652 21,270 future performance. 9/30/2014 24,117 19,835 The returns shown do not reflect the 10/31/2014 24,869 21,221 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 Russell data copyright (C) Russell --------------------------------------------------------------- Investment Group 1995-2014, all 9.58% 18.63% 9.54% 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, 2004-October 31, 2014 [CHART] U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index -------------------------------- ----------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,000 10,887 12/31/2004 11,399 11,147 1/31/2005 10,991 10,716 2/28/2005 11,288 10,929 3/31/2005 11,068 10,704 4/30/2005 10,262 10,152 5/31/2005 10,945 10,771 6/30/2005 11,402 11,247 7/31/2005 12,213 11,887 8/31/2005 12,009 11,614 9/30/2005 12,105 11,595 10/31/2005 11,751 11,304 11/30/2005 12,245 11,762 12/31/2005 12,286 11,672 1/31/2006 13,370 12,637 2/28/2006 13,324 12,636 3/31/2006 14,136 13,248 4/30/2006 14,275 13,284 5/31/2006 13,649 12,734 6/30/2006 13,656 12,890 7/31/2006 13,144 12,711 8/31/2006 13,400 13,091 9/30/2006 13,560 13,219 10/31/2006 14,296 13,892 11/30/2006 14,730 14,288 12/31/2006 14,934 14,412 1/31/2007 15,263 14,628 2/28/2007 15,227 14,449 3/31/2007 15,393 14,623 4/30/2007 15,671 14,775 5/31/2007 16,242 15,316 6/30/2007 15,991 14,959 7/31/2007 14,769 13,686 8/31/2007 14,657 13,960 9/30/2007 14,617 14,023 10/31/2007 14,780 14,176 11/30/2007 13,491 13,114 12/31/2007 13,329 13,003 1/31/2008 12,804 12,470 2/29/2008 12,440 11,974 3/31/2008 12,545 12,155 4/30/2008 12,753 12,539 5/31/2008 13,281 12,968 6/30/2008 11,939 11,724 7/31/2008 12,186 12,325 8/31/2008 12,692 12,910 9/30/2008 11,817 12,305 10/31/2008 9,201 9,847 11/30/2008 8,006 8,707 12/31/2008 8,426 9,242 1/31/2009 7,223 7,922 2/28/2009 6,305 6,822 3/31/2009 6,961 7,427 4/30/2009 8,329 8,606 5/31/2009 8,597 8,792 6/30/2009 8,627 8,764 7/31/2009 9,787 9,778 8/31/2009 10,290 10,240 9/30/2009 10,942 10,754 10/31/2009 10,118 10,040 11/30/2009 10,433 10,359 12/31/2009 11,259 11,144 1/31/2010 10,903 10,817 2/28/2010 11,574 11,319 3/31/2010 12,600 12,260 4/30/2010 13,621 13,118 5/31/2010 12,273 12,010 6/30/2010 11,028 10,961 7/31/2010 11,986 11,744 8/31/2010 10,982 10,861 9/30/2010 12,402 12,027 10/31/2010 12,919 12,493 11/30/2010 13,500 12,810 12/31/2010 14,738 13,875 1/31/2011 14,784 13,882 2/28/2011 15,712 14,587 3/31/2011 16,035 14,790 4/30/2011 16,237 15,030 5/31/2011 15,730 14,761 6/30/2011 15,445 14,398 7/31/2011 15,001 13,922 8/31/2011 13,414 12,692 9/30/2011 11,727 11,306 10/31/2011 13,582 12,935 11/30/2011 13,490 12,909 12/31/2011 13,626 13,111 1/31/2012 14,638 13,983 2/29/2012 15,103 14,191 3/31/2012 15,450 14,631 4/30/2012 15,203 14,419 5/31/2012 14,120 13,538 6/30/2012 14,739 14,191 7/31/2012 14,704 14,046 8/31/2012 15,323 14,479 9/30/2012 15,831 14,995 10/31/2012 15,701 14,807 11/30/2012 15,991 14,852 12/31/2012 16,586 15,478 1/31/2013 17,675 16,401 2/28/2013 17,985 16,588 3/31/2013 18,867 17,278 4/30/2013 18,658 17,262 5/31/2013 19,664 17,777 6/30/2013 19,527 17,705 7/31/2013 20,959 18,843 8/31/2013 20,084 18,010 9/30/2013 21,137 19,049 10/31/2013 21,880 19,669 11/30/2013 22,990 20,436 12/31/2013 23,616 20,821 1/31/2014 22,402 20,016 2/28/2014 23,623 20,932 3/31/2014 23,903 21,191 4/30/2014 23,443 20,646 5/31/2014 23,636 20,777 6/30/2014 24,685 21,696 7/31/2014 23,262 20,384 8/31/2014 24,618 21,270 9/30/2014 22,900 19,835 10/31/2014 23,957 21,221 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 Russell data copyright (C) Russell --------------------------------------------------------------- Investment Group 1995-2014, all 9.49% 18.81% 9.13% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. CORE EQUITY 1 PORTFOLIO VS. RUSSELL 3000(R) INDEX September 15, 2005-October 31, 2014 [CHART] U.S. Core Equity 1 Portfolio Russell 3000/R/ Index ------------------------------- --------------------- 9/15/2005 $10,000 $10,000 9/30/2005 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 1/31/2006 10,636 10,571 2/28/2006 10,656 10,590 3/31/2006 10,893 10,773 4/30/2006 11,024 10,890 5/31/2006 10,641 10,541 6/30/2006 10,644 10,560 7/31/2006 10,532 10,550 8/31/2006 10,785 10,808 9/30/2006 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 1/31/2007 12,053 12,062 2/28/2007 11,920 11,864 3/31/2007 12,039 11,988 4/30/2007 12,489 12,467 5/31/2007 12,970 12,921 6/30/2007 12,760 12,679 7/31/2007 12,226 12,247 8/31/2007 12,349 12,423 9/30/2007 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 1/31/2008 11,465 11,691 2/29/2008 11,123 11,328 3/31/2008 11,043 11,261 4/30/2008 11,594 11,824 5/31/2008 11,895 12,067 6/30/2008 10,877 11,071 7/31/2008 10,877 10,983 8/31/2008 11,117 11,153 9/30/2008 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 1/31/2009 7,020 7,148 2/28/2009 6,269 6,399 3/31/2009 6,845 6,959 4/30/2009 7,674 7,692 5/31/2009 8,036 8,102 6/30/2009 8,072 8,130 7/31/2009 8,755 8,763 8/31/2009 9,076 9,076 9/30/2009 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 1/31/2010 9,697 9,653 2/28/2010 10,074 9,980 3/31/2010 10,744 10,609 4/30/2010 11,078 10,838 5/31/2010 10,204 9,982 6/30/2010 9,546 9,408 7/31/2010 10,229 10,061 8/31/2010 9,677 9,587 9/30/2010 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 1/31/2011 12,276 11,965 2/28/2011 12,768 12,400 3/31/2011 12,903 12,456 4/30/2011 13,254 12,827 5/31/2011 13,068 12,681 6/30/2011 12,826 12,453 7/31/2011 12,463 12,168 8/31/2011 11,594 11,438 9/30/2011 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 1/31/2012 12,603 12,426 2/29/2012 13,148 12,952 3/31/2012 13,496 13,351 4/30/2012 13,363 13,264 5/31/2012 12,483 12,444 6/30/2012 12,945 12,931 7/31/2012 13,034 13,059 8/31/2012 13,415 13,385 9/30/2012 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 1/31/2013 14,830 14,527 2/28/2013 15,012 14,719 3/31/2013 15,627 15,296 4/30/2013 15,797 15,546 5/31/2013 16,319 15,913 6/30/2013 16,154 15,707 7/31/2013 17,089 16,567 8/31/2013 16,610 16,105 9/30/2013 17,294 16,704 10/31/2013 18,003 17,413 11/30/2013 18,586 17,918 12/31/2013 19,099 18,391 1/31/2014 18,440 17,810 2/28/2014 19,329 18,655 3/31/2014 19,485 18,754 4/30/2014 19,438 18,777 5/31/2014 19,821 19,187 6/30/2014 20,394 19,668 Past performance is not predictive of 7/31/2014 19,871 19,280 future performance. 8/31/2014 20,719 20,089 The returns shown do not reflect the 9/30/2014 20,151 19,670 deduction of taxes that a shareholder 10/31/2014 20,653 20,211 would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2014, all rights 14.72% 17.63% 8.27% 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, 2014 [CHART] U.S. Core Equity 2 Portfolio Russell 3000/R/ Index ------------------------------- ------------------------- 9/15/2005 $10,000 $10,000 9/30/2005 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 1/31/2006 10,739 10,571 2/28/2006 10,759 10,590 3/31/2006 11,016 10,773 4/30/2006 11,177 10,890 5/31/2006 10,774 10,541 6/30/2006 10,766 10,560 7/31/2006 10,645 10,550 8/31/2006 10,887 10,808 9/30/2006 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 1/31/2007 12,212 12,062 2/28/2007 12,090 11,864 3/31/2007 12,218 11,988 4/30/2007 12,637 12,467 5/31/2007 13,148 12,921 6/30/2007 12,936 12,679 7/31/2007 12,331 12,247 8/31/2007 12,444 12,423 9/30/2007 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 1/31/2008 11,428 11,691 2/29/2008 11,066 11,328 3/31/2008 10,955 11,261 4/30/2008 11,505 11,824 5/31/2008 11,826 12,067 6/30/2008 10,757 11,071 7/31/2008 10,788 10,983 8/31/2008 11,028 11,153 9/30/2008 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 1/31/2009 6,815 7,148 2/28/2009 6,022 6,399 3/31/2009 6,615 6,959 4/30/2009 7,539 7,692 5/31/2009 7,900 8,102 6/30/2009 7,889 8,130 7/31/2009 8,603 8,763 8/31/2009 8,955 9,076 9/30/2009 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 1/31/2010 9,524 9,653 2/28/2010 9,922 9,980 3/31/2010 10,631 10,609 4/30/2010 11,018 10,838 5/31/2010 10,146 9,982 6/30/2010 9,432 9,408 7/31/2010 10,124 10,061 8/31/2010 9,519 9,587 9/30/2010 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 1/31/2011 12,197 11,965 2/28/2011 12,743 12,400 3/31/2011 12,897 12,456 4/30/2011 13,192 12,827 5/31/2011 12,984 12,681 6/30/2011 12,729 12,453 7/31/2011 12,302 12,168 8/31/2011 11,370 11,438 9/30/2011 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 1/31/2012 12,371 12,426 2/29/2012 12,902 12,952 3/31/2012 13,213 13,351 4/30/2012 13,080 13,264 5/31/2012 12,182 12,444 6/30/2012 12,663 12,931 7/31/2012 12,730 13,059 8/31/2012 13,131 13,385 9/30/2012 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 1/31/2013 14,711 14,527 2/28/2013 14,892 14,719 3/31/2013 15,517 15,296 4/30/2013 15,631 15,546 5/31/2013 16,223 15,913 6/30/2013 16,069 15,707 7/31/2013 17,040 16,567 8/31/2013 16,514 16,105 9/30/2013 17,220 16,704 10/31/2013 17,920 17,413 11/30/2013 18,528 17,918 12/31/2013 19,060 18,391 1/31/2014 18,350 17,810 2/28/2014 19,211 18,655 3/31/2014 19,435 18,754 4/30/2014 19,341 18,777 5/31/2014 19,680 19,187 6/30/2014 20,303 19,668 7/31/2014 19,740 19,280 Past performance is not predictive of 8/31/2014 20,560 20,089 future performance. 9/30/2014 19,907 19,670 The returns shown do not reflect the 10/31/2014 20,389 20,211 deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell ------------------------------------------------------------ Investment Group 1995-2014, all rights 13.78% 17.79% 8.12% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. VECTOR EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX December 30, 2005-October 31, 2014 LOGO 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 Since redemption of fund shares. Total Return Year Years Inception Russell data copyright (C) Russell ---------------------------------------- Investment Group 1995-2014, all rights 11.91% 18.08% 7.99% reserved.
-------------------------------------------------------------------------------- 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Small Cap Portfolio Russell 2000/R/ Index ----------------------------- ----------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,875 10,867 12/31/2004 11,252 11,189 1/31/2005 10,810 10,722 2/28/2005 11,000 10,903 3/31/2005 10,682 10,591 4/30/2005 10,015 9,985 5/31/2005 10,705 10,638 6/30/2005 11,109 11,048 7/31/2005 11,869 11,748 8/31/2005 11,702 11,531 9/30/2005 11,777 11,567 10/31/2005 11,413 11,208 11/30/2005 11,967 11,752 12/31/2005 11,937 11,698 1/31/2006 13,022 12,747 2/28/2006 12,997 12,712 3/31/2006 13,593 13,329 4/30/2006 13,624 13,326 5/31/2006 12,882 12,578 6/30/2006 12,806 12,659 7/31/2006 12,315 12,247 8/31/2006 12,659 12,610 9/30/2006 12,763 12,715 10/31/2006 13,483 13,447 11/30/2006 13,822 13,800 12/31/2006 13,920 13,847 1/31/2007 14,128 14,078 2/28/2007 14,057 13,967 3/31/2007 14,204 14,116 4/30/2007 14,465 14,370 5/31/2007 15,012 14,959 6/30/2007 14,847 14,740 7/31/2007 13,953 13,732 8/31/2007 14,149 14,043 9/30/2007 14,328 14,284 10/31/2007 14,609 14,694 11/30/2007 13,522 13,639 12/31/2007 13,494 13,630 1/31/2008 12,561 12,701 2/29/2008 12,157 12,230 3/31/2008 12,200 12,281 4/30/2008 12,584 12,796 5/31/2008 13,185 13,383 6/30/2008 12,005 12,353 7/31/2008 12,383 12,810 8/31/2008 12,831 13,273 9/30/2008 11,805 12,215 10/31/2008 9,375 9,674 11/30/2008 8,230 8,530 12/31/2008 8,635 9,025 1/31/2009 7,679 8,021 2/28/2009 6,752 7,046 3/31/2009 7,448 7,675 4/30/2009 8,831 8,862 5/31/2009 9,143 9,129 6/30/2009 9,380 9,263 7/31/2009 10,354 10,155 8/31/2009 10,724 10,446 9/30/2009 11,392 11,049 10/31/2009 10,601 10,299 11/30/2009 10,872 10,622 12/31/2009 11,773 11,477 1/31/2010 11,416 11,054 2/28/2010 11,973 11,552 3/31/2010 12,954 12,493 4/30/2010 13,833 13,200 5/31/2010 12,754 12,198 6/30/2010 11,734 11,253 7/31/2010 12,579 12,026 8/31/2010 11,620 11,136 9/30/2010 13,137 12,524 10/31/2010 13,675 13,036 11/30/2010 14,249 13,488 12/31/2010 15,388 14,559 1/31/2011 15,402 14,522 2/28/2011 16,267 15,318 3/31/2011 16,732 15,715 4/30/2011 17,129 16,130 5/31/2011 16,783 15,828 6/30/2011 16,515 15,463 7/31/2011 15,937 14,904 8/31/2011 14,507 13,607 9/30/2011 12,896 12,082 10/31/2011 14,872 13,910 11/30/2011 14,821 13,860 12/31/2011 14,903 13,951 1/31/2012 15,905 14,937 2/29/2012 16,363 15,294 3/31/2012 16,790 15,686 4/30/2012 16,558 15,444 5/31/2012 15,482 14,422 6/30/2012 16,136 15,141 7/31/2012 16,005 14,932 8/31/2012 16,567 15,430 9/30/2012 17,107 15,937 10/31/2012 16,895 15,591 11/30/2012 17,093 15,674 12/31/2012 17,644 16,232 1/31/2013 18,749 17,248 2/28/2013 18,936 17,438 3/31/2013 19,851 18,244 4/30/2013 19,687 18,177 5/31/2013 20,699 18,903 6/30/2013 20,676 18,806 7/31/2013 22,166 20,123 8/31/2013 21,417 19,483 9/30/2013 22,746 20,726 10/31/2013 23,489 21,248 11/30/2013 24,592 22,099 12/31/2013 25,091 22,534 1/31/2014 24,063 21,910 2/28/2014 25,164 22,942 3/31/2014 25,299 22,786 4/30/2014 24,554 21,902 5/31/2014 24,692 22,078 6/30/2014 25,865 23,252 Past performance is not predictive of 7/31/2014 24,314 21,845 future performance. 8/31/2014 25,467 22,928 The returns shown do not reflect the 9/30/2014 24,094 21,541 deduction of taxes that a shareholder 10/31/2014 25,525 22,961 would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------------- Investment Group 1995-2014, all rights 8.67% 19.21% 9.82% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Micro Cap Portfolio Russell 2000/R/ Index ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,897 10,867 12/31/2004 11,396 11,189 1/31/2005 10,929 10,722 2/28/2005 11,019 10,903 3/31/2005 10,664 10,591 4/30/2005 10,000 9,985 5/31/2005 10,603 10,638 6/30/2005 11,083 11,048 7/31/2005 11,928 11,748 8/31/2005 11,762 11,531 9/30/2005 11,834 11,567 10/31/2005 11,501 11,208 11/30/2005 12,023 11,752 12/31/2005 12,044 11,698 1/31/2006 13,145 12,747 2/28/2006 13,178 12,712 3/31/2006 13,777 13,329 4/30/2006 13,720 13,326 5/31/2006 12,913 12,578 6/30/2006 12,798 12,659 7/31/2006 12,357 12,247 8/31/2006 12,700 12,610 9/30/2006 12,770 12,715 10/31/2006 13,466 13,447 11/30/2006 13,768 13,800 12/31/2006 13,991 13,847 1/31/2007 14,151 14,078 2/28/2007 14,080 13,967 3/31/2007 14,223 14,116 4/30/2007 14,437 14,370 5/31/2007 14,892 14,959 6/30/2007 14,843 14,740 7/31/2007 13,877 13,732 8/31/2007 14,038 14,043 9/30/2007 14,245 14,284 10/31/2007 14,487 14,694 11/30/2007 13,268 13,639 12/31/2007 13,260 13,630 1/31/2008 12,246 12,701 2/29/2008 11,862 12,230 3/31/2008 11,899 12,281 4/30/2008 12,145 12,796 5/31/2008 12,628 13,383 6/30/2008 11,486 12,353 7/31/2008 11,999 12,810 8/31/2008 12,405 13,273 9/30/2008 11,491 12,215 10/31/2008 9,112 9,674 11/30/2008 7,942 8,530 12/31/2008 8,391 9,025 1/31/2009 7,391 8,021 2/28/2009 6,422 7,046 3/31/2009 7,037 7,675 4/30/2009 8,261 8,862 5/31/2009 8,544 9,129 6/30/2009 8,780 9,263 7/31/2009 9,641 10,155 8/31/2009 9,905 10,446 9/30/2009 10,475 11,049 10/31/2009 9,714 10,299 11/30/2009 9,886 10,622 12/31/2009 10,745 11,477 1/31/2010 10,430 11,054 2/28/2010 10,888 11,552 3/31/2010 11,768 12,493 4/30/2010 12,623 13,200 5/31/2010 11,687 12,198 6/30/2010 10,841 11,253 7/31/2010 11,615 12,026 8/31/2010 10,688 11,136 9/30/2010 11,988 12,524 10/31/2010 12,508 13,036 11/30/2010 13,039 13,488 12/31/2010 14,107 14,559 1/31/2011 13,954 14,522 2/28/2011 14,773 15,318 3/31/2011 15,253 15,715 4/30/2011 15,509 16,130 5/31/2011 15,212 15,828 6/30/2011 14,884 15,463 7/31/2011 14,484 14,904 8/31/2011 13,190 13,607 9/30/2011 11,795 12,082 10/31/2011 13,615 13,910 11/30/2011 13,533 13,860 12/31/2011 13,649 13,951 1/31/2012 14,598 14,937 2/29/2012 14,877 15,294 3/31/2012 15,321 15,686 4/30/2012 15,104 15,444 5/31/2012 14,051 14,422 6/30/2012 14,771 15,141 7/31/2012 14,636 14,932 8/31/2012 15,092 15,430 9/30/2012 15,725 15,937 10/31/2012 15,403 15,591 11/30/2012 15,548 15,674 12/31/2012 16,139 16,232 1/31/2013 17,056 17,248 2/28/2013 17,244 17,438 3/31/2013 18,084 18,244 4/30/2013 17,940 18,177 5/31/2013 18,869 18,903 6/30/2013 18,955 18,806 7/31/2013 20,360 20,123 8/31/2013 19,652 19,483 9/30/2013 21,038 20,726 10/31/2013 21,770 21,248 11/30/2013 22,978 22,099 12/31/2013 23,411 22,534 1/31/2014 22,375 21,910 2/28/2014 23,318 22,942 3/31/2014 23,545 22,786 4/30/2014 22,742 21,902 5/31/2014 22,765 22,078 6/30/2014 23,753 23,252 Past performance is not predictive of 7/31/2014 22,365 21,845 future performance. 8/31/2014 23,380 22,928 The returns shown do not reflect the 9/30/2014 22,048 21,541 deduction of taxes that a shareholder 10/31/2014 23,485 22,961 would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------------- Investment Group 1995-2014, all rights 7.88% 19.31% 8.91% 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 October 31, 2004-October 31, 2014 [CHART] DFA Real Estate Dow Jones U.S. Select Securities Portfolio S&P 500/R/ Index REIT Index ----------------------- ---------------- ---------------------- 10/31/2004 $10,000 $10,000 $10,000 11/30/2004 10,435 10,405 10,445 12/31/2004 10,958 10,759 10,987 1/31/2005 10,041 10,496 10,018 2/28/2005 10,356 10,717 10,341 3/31/2005 10,198 10,527 10,185 4/30/2005 10,777 10,328 10,796 5/31/2005 11,130 10,656 11,154 6/30/2005 11,699 10,672 11,735 7/31/2005 12,550 11,069 12,630 8/31/2005 12,081 10,968 12,145 9/30/2005 12,138 11,056 12,198 10/31/2005 11,863 10,872 11,939 11/30/2005 12,398 11,283 12,493 12/31/2005 12,399 11,287 12,506 1/31/2006 13,352 11,586 13,486 2/28/2006 13,605 11,618 13,775 3/31/2006 14,309 11,762 14,480 4/30/2006 13,768 11,920 13,932 5/31/2006 13,357 11,577 13,546 6/30/2006 14,095 11,593 14,317 7/31/2006 14,579 11,664 14,825 8/31/2006 15,092 11,942 15,323 9/30/2006 15,394 12,250 15,622 10/31/2006 16,359 12,649 16,606 11/30/2006 17,137 12,889 17,398 12/31/2006 16,772 13,070 17,004 1/31/2007 18,224 13,268 18,519 2/28/2007 17,800 13,008 18,104 3/31/2007 17,358 13,154 17,640 4/30/2007 17,342 13,737 17,633 5/31/2007 17,342 14,216 17,645 6/30/2007 15,715 13,980 15,988 7/31/2007 14,478 13,546 14,734 8/31/2007 15,354 13,749 15,605 9/30/2007 15,954 14,264 16,215 10/31/2007 16,135 14,490 16,401 11/30/2007 14,489 13,885 14,807 12/31/2007 13,640 13,788 14,019 1/31/2008 13,646 12,961 13,952 2/29/2008 13,128 12,540 13,426 3/31/2008 13,953 12,486 14,319 4/30/2008 14,776 13,094 15,202 5/31/2008 14,805 13,264 15,236 6/30/2008 13,180 12,146 13,548 7/31/2008 13,562 12,044 13,939 8/31/2008 13,897 12,218 14,255 9/30/2008 13,868 11,129 14,195 10/31/2008 9,496 9,260 9,598 11/30/2008 7,298 8,596 7,242 12/31/2008 8,544 8,687 8,524 1/31/2009 7,027 7,955 6,983 2/28/2009 5,554 7,108 5,457 3/31/2009 5,750 7,730 5,633 4/30/2009 7,550 8,470 7,480 5/31/2009 7,747 8,944 7,672 6/30/2009 7,507 8,962 7,404 7/31/2009 8,294 9,640 8,175 8/31/2009 9,416 9,988 9,372 9/30/2009 10,047 10,360 10,028 10/31/2009 9,589 10,168 9,574 11/30/2009 10,247 10,778 10,233 12/31/2009 10,951 10,986 10,949 1/31/2010 10,379 10,591 10,323 2/28/2010 10,951 10,919 10,909 3/31/2010 12,064 11,578 12,024 4/30/2010 12,913 11,760 12,874 5/31/2010 12,224 10,821 12,180 6/30/2010 11,590 10,255 11,527 7/31/2010 12,734 10,973 12,667 8/31/2010 12,573 10,478 12,497 9/30/2010 13,118 11,413 13,051 10/31/2010 13,732 11,847 13,655 11/30/2010 13,461 11,849 13,389 12/31/2010 14,090 12,641 14,023 1/31/2011 14,587 12,940 14,521 2/28/2011 15,247 13,384 15,184 3/31/2011 15,018 13,389 14,962 4/30/2011 15,887 13,786 15,849 5/31/2011 16,103 13,629 16,095 6/30/2011 15,573 13,402 15,556 7/31/2011 15,829 13,130 15,839 8/31/2011 14,977 12,417 14,971 9/30/2011 13,332 11,544 13,294 10/31/2011 15,255 12,805 15,248 11/30/2011 14,677 12,777 14,648 12/31/2011 15,351 12,908 15,337 1/31/2012 16,322 13,486 16,323 2/29/2012 16,149 14,069 16,141 3/31/2012 16,980 14,532 16,986 4/30/2012 17,466 14,441 17,497 5/31/2012 16,668 13,573 16,699 6/30/2012 17,608 14,132 17,623 7/31/2012 17,955 14,329 17,958 8/31/2012 17,929 14,652 17,910 9/30/2012 17,594 15,030 17,557 10/31/2012 17,459 14,753 17,396 11/30/2012 17,398 14,838 17,310 12/31/2012 18,036 14,973 17,963 1/31/2013 18,672 15,749 18,572 2/28/2013 18,878 15,963 18,727 3/31/2013 19,398 16,561 19,226 4/30/2013 20,708 16,881 20,549 5/31/2013 19,473 17,275 19,318 6/30/2013 19,109 17,043 18,978 7/31/2013 19,276 17,911 19,124 8/31/2013 17,919 17,392 17,813 9/30/2013 18,477 17,937 18,381 10/31/2013 19,253 18,762 19,130 11/30/2013 18,227 19,334 18,080 12/31/2013 18,286 19,823 18,181 1/31/2014 19,062 19,138 18,919 2/28/2014 20,028 20,013 19,888 3/31/2014 20,158 20,181 20,062 4/30/2014 20,888 20,331 20,800 Past performance is not predictive of 5/31/2014 21,383 20,808 21,313 future performance. 6/30/2014 21,606 21,238 21,497 The returns shown do not reflect the 7/31/2014 21,620 20,945 21,541 deduction of taxes that a shareholder 8/31/2014 22,234 21,783 22,141 would pay on fund distributions or the 9/30/2014 20,898 21,477 20,852 redemption of fund shares. 10/31/2014 23,066 22,002 23,088 The S&P data are provided by Average Annual One Five Ten Standard & Poor's Index Services Group. Total Return Year Years Years Dow Jones data provided by Dow Jones ---------------------------------------------------------------- Indexes. The S&P data are provided by 19.80% 19.19% 8.72% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Large Cap International MSCI World ex USA Portfolio Index (net dividends) ------------------------------- -------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,633 10,665 12/31/2004 11,114 11,116 1/31/2005 10,915 10,897 2/28/2005 11,337 11,382 3/31/2005 11,070 11,123 4/30/2005 10,846 10,840 5/31/2005 10,778 10,859 6/30/2005 10,933 11,037 7/31/2005 11,266 11,393 8/31/2005 11,680 11,708 9/30/2005 12,068 12,242 10/31/2005 11,803 11,847 11/30/2005 11,986 12,160 12/31/2005 12,611 12,724 1/31/2006 13,348 13,529 2/28/2006 13,259 13,483 3/31/2006 13,748 13,911 4/30/2006 14,415 14,576 5/31/2006 13,894 14,022 6/30/2006 13,839 14,004 7/31/2006 13,987 14,136 8/31/2006 14,355 14,537 9/30/2006 14,349 14,526 10/31/2006 14,900 15,100 11/30/2006 15,341 15,549 12/31/2006 15,746 15,995 1/31/2007 15,948 16,093 2/28/2007 15,994 16,222 3/31/2007 16,436 16,637 4/30/2007 17,016 17,394 5/31/2007 17,545 17,781 6/30/2007 17,512 17,798 7/31/2007 17,182 17,552 8/31/2007 17,063 17,298 9/30/2007 17,999 18,281 10/31/2007 18,802 19,076 11/30/2007 18,131 18,330 12/31/2007 17,708 17,985 1/31/2008 16,367 16,364 2/29/2008 16,353 16,660 3/31/2008 16,296 16,422 4/30/2008 17,158 17,335 5/31/2008 17,518 17,598 6/30/2008 16,123 16,230 7/31/2008 15,536 15,652 8/31/2008 14,873 15,047 9/30/2008 13,064 12,874 10/31/2008 10,310 10,196 11/30/2008 9,690 9,643 12/31/2008 10,369 10,152 1/31/2009 9,205 9,204 2/28/2009 8,279 8,273 3/31/2009 8,915 8,818 4/30/2009 9,929 9,955 5/31/2009 11,317 11,214 6/30/2009 11,160 11,098 7/31/2009 12,231 12,140 8/31/2009 12,710 12,722 9/30/2009 13,252 13,247 10/31/2009 12,908 13,034 11/30/2009 13,388 13,356 12/31/2009 13,546 13,569 1/31/2010 12,846 12,933 2/28/2010 12,932 12,920 3/31/2010 13,747 13,752 4/30/2010 13,479 13,547 5/31/2010 12,010 12,052 6/30/2010 11,815 11,878 7/31/2010 13,034 12,976 8/31/2010 12,586 12,588 9/30/2010 13,825 13,795 10/31/2010 14,326 14,287 11/30/2010 13,699 13,682 12/31/2010 14,800 14,783 1/31/2011 15,134 15,102 2/28/2011 15,729 15,662 3/31/2011 15,368 15,348 4/30/2011 16,248 16,184 5/31/2011 15,786 15,704 6/30/2011 15,562 15,480 7/31/2011 15,245 15,225 8/31/2011 13,966 13,938 9/30/2011 12,428 12,538 10/31/2011 13,631 13,758 11/30/2011 13,288 13,122 12/31/2011 12,983 12,979 1/31/2012 13,766 13,679 2/29/2012 14,435 14,431 3/31/2012 14,409 14,325 4/30/2012 14,132 14,081 5/31/2012 12,568 12,476 6/30/2012 13,400 13,294 7/31/2012 13,440 13,459 8/31/2012 13,894 13,843 9/30/2012 14,308 14,263 10/31/2012 14,434 14,363 11/30/2012 14,725 14,665 12/31/2012 15,287 15,109 1/31/2013 15,907 15,852 2/28/2013 15,692 15,694 3/31/2013 15,906 15,818 4/30/2013 16,590 16,539 5/31/2013 16,153 16,168 6/30/2013 15,678 15,563 7/31/2013 16,543 16,391 8/31/2013 16,301 16,180 9/30/2013 17,452 17,323 10/31/2013 18,020 17,904 11/30/2013 18,118 18,014 12/31/2013 18,450 18,285 1/31/2014 17,625 17,547 2/28/2014 18,663 18,505 3/31/2014 18,611 18,422 4/30/2014 18,915 18,712 5/31/2014 19,179 19,002 6/30/2014 19,444 19,272 7/31/2014 18,993 18,928 Past performance is not predictive of 8/31/2014 19,077 18,943 future performance. 9/30/2014 18,264 18,165 The returns shown do not reflect the 10/31/2014 18,105 17,877 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.47% 7.00% 6.12% 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, 2014 [CHART] International Core Equity MSCI World ex USA 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 11/30/2013 15,858 14,966 12/31/2013 16,190 15,191 1/31/2014 15,646 14,578 2/28/2014 16,569 15,374 3/31/2014 16,534 15,305 4/30/2014 16,725 15,546 5/31/2014 16,903 15,787 6/30/2014 17,167 16,011 7/31/2014 16,704 15,725 Past performance is not predictive of 8/31/2014 16,768 15,738 future performance. 9/30/2014 15,928 15,092 The returns shown do not reflect the 10/31/2014 15,696 14,852 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ------------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.55% 7.37% 5.06% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] International Small Company MSCI World ex USA Small Portfolio Cap Index (net dividends) ------------------------------- ------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,721 10,800 12/31/2004 11,227 11,303 1/31/2005 11,493 11,477 2/28/2005 12,002 11,965 3/31/2005 11,790 11,770 4/30/2005 11,509 11,439 5/31/2005 11,313 11,466 6/30/2005 11,598 11,770 7/31/2005 12,017 12,281 8/31/2005 12,547 12,658 9/30/2005 12,846 13,171 10/31/2005 12,592 12,691 11/30/2005 12,838 13,114 12/31/2005 13,692 14,134 1/31/2006 14,638 15,141 2/28/2006 14,546 14,951 3/31/2006 15,216 15,654 4/30/2006 15,936 16,383 5/31/2006 15,132 15,477 6/30/2006 14,842 15,101 7/31/2006 14,681 14,732 8/31/2006 15,070 15,162 9/30/2006 15,181 15,122 10/31/2006 15,784 15,722 11/30/2006 16,498 16,398 12/31/2006 17,098 16,884 1/31/2007 17,576 17,228 2/28/2007 17,824 17,530 3/31/2007 18,491 18,112 4/30/2007 19,103 18,810 5/31/2007 19,493 19,088 6/30/2007 19,461 19,046 7/31/2007 19,470 18,929 8/31/2007 18,719 17,931 9/30/2007 19,130 18,336 10/31/2007 20,163 19,574 11/30/2007 18,690 17,964 12/31/2007 18,066 17,438 1/31/2008 16,692 15,748 2/29/2008 17,114 16,496 3/31/2008 17,137 16,313 4/30/2008 17,503 16,710 5/31/2008 17,965 17,048 6/30/2008 16,635 15,732 7/31/2008 15,835 14,938 8/31/2008 15,210 14,386 9/30/2008 12,904 11,855 10/31/2008 9,882 8,929 11/30/2008 9,371 8,496 12/31/2008 10,140 9,063 1/31/2009 9,339 8,536 2/28/2009 8,488 7,757 3/31/2009 9,050 8,255 4/30/2009 10,249 9,527 5/31/2009 11,776 10,937 6/30/2009 11,899 11,069 7/31/2009 12,792 11,958 8/31/2009 13,604 12,880 9/30/2009 14,327 13,604 10/31/2009 14,066 13,394 11/30/2009 14,257 13,498 12/31/2009 14,395 13,669 1/31/2010 14,173 13,489 2/28/2010 14,152 13,412 3/31/2010 15,163 14,409 4/30/2010 15,396 14,693 5/31/2010 13,574 12,928 6/30/2010 13,542 12,807 7/31/2010 14,780 13,905 8/31/2010 14,340 13,544 9/30/2010 15,917 15,080 10/31/2010 16,542 15,702 11/30/2010 16,081 15,290 12/31/2010 17,837 17,019 1/31/2011 18,055 17,108 2/28/2011 18,606 17,595 3/31/2011 18,577 17,578 4/30/2011 19,460 18,450 5/31/2011 18,919 17,939 6/30/2011 18,535 17,551 7/31/2011 18,357 17,455 8/31/2011 16,918 16,076 9/30/2011 14,919 14,231 10/31/2011 16,059 15,386 11/30/2011 15,552 14,613 12/31/2011 15,100 14,329 1/31/2012 16,387 15,512 2/29/2012 17,216 16,391 3/31/2012 17,283 16,282 4/30/2012 17,076 16,197 5/31/2012 15,089 14,294 6/30/2012 15,678 14,787 7/31/2012 15,634 14,901 8/31/2012 16,176 15,329 9/30/2012 16,851 16,056 10/31/2012 16,962 16,134 11/30/2012 17,107 16,217 12/31/2012 17,947 16,833 1/31/2013 18,736 17,643 2/28/2013 18,724 17,706 3/31/2013 19,065 18,051 4/30/2013 19,572 18,575 5/31/2013 19,143 18,139 6/30/2013 18,636 17,422 7/31/2013 19,869 18,511 8/31/2013 19,801 18,478 9/30/2013 21,431 20,029 10/31/2013 22,163 20,621 11/30/2013 22,265 20,648 12/31/2013 22,872 21,134 1/31/2014 22,468 20,769 2/28/2014 23,872 21,946 3/31/2014 23,837 21,864 4/30/2014 23,849 21,796 5/31/2014 24,003 22,069 6/30/2014 24,447 22,570 7/31/2014 23,669 21,985 Past performance is not predictive of 8/31/2014 23,825 22,039 future performance. 9/30/2014 22,377 20,704 The returns shown do not reflect the 10/31/2014 21,920 20,180 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.09% 9.28% 8.16% 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, 2004-October 31, 2014 [CHART] Japanese Small Company MSCI Japan Small Cap Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,310 10,435 12/31/2004 10,802 10,940 1/31/2005 11,234 11,312 2/28/2005 11,644 11,529 3/31/2005 11,712 11,502 4/30/2005 11,391 11,408 5/31/2005 11,190 11,198 6/30/2005 11,400 11,350 7/31/2005 11,639 11,671 8/31/2005 12,273 12,072 9/30/2005 12,774 12,826 10/31/2005 13,162 13,082 11/30/2005 13,416 13,642 12/31/2005 14,938 15,486 1/31/2006 15,569 15,980 2/28/2006 14,630 14,939 3/31/2006 15,276 15,610 4/30/2006 15,569 15,687 5/31/2006 14,465 14,429 6/30/2006 13,910 13,977 7/31/2006 13,246 13,053 8/31/2006 13,457 13,400 9/30/2006 13,218 13,107 10/31/2006 13,113 13,023 11/30/2006 13,022 12,913 12/31/2006 13,135 12,988 1/31/2007 13,401 13,241 2/28/2007 13,941 13,763 3/31/2007 13,827 13,636 4/30/2007 13,637 13,403 5/31/2007 13,356 13,083 6/30/2007 13,571 13,169 7/31/2007 13,640 13,166 8/31/2007 13,066 12,364 9/30/2007 13,047 12,289 10/31/2007 13,131 12,733 11/30/2007 12,825 12,198 12/31/2007 12,015 11,468 1/31/2008 11,683 10,905 2/29/2008 11,583 11,024 3/31/2008 11,810 11,028 4/30/2008 11,895 11,165 5/31/2008 12,327 11,509 6/30/2008 11,742 10,802 7/31/2008 11,415 10,449 8/31/2008 10,783 9,987 9/30/2008 10,075 9,012 10/31/2008 9,341 8,061 11/30/2008 9,583 8,390 12/31/2008 10,559 9,043 1/31/2009 9,834 8,569 2/28/2009 8,549 7,443 3/31/2009 8,946 7,705 4/30/2009 9,300 8,099 5/31/2009 10,444 9,091 6/30/2009 11,135 9,669 7/31/2009 11,366 9,911 8/31/2009 11,963 10,467 9/30/2009 11,834 10,425 10/31/2009 11,404 10,044 11/30/2009 10,942 9,685 12/31/2009 10,897 9,504 1/31/2010 11,041 9,709 2/28/2010 11,250 9,893 3/31/2010 11,821 10,343 4/30/2010 12,167 10,623 5/31/2010 11,147 9,886 6/30/2010 11,319 9,930 7/31/2010 11,514 10,051 8/31/2010 11,198 9,838 9/30/2010 11,693 10,240 10/31/2010 11,442 10,156 11/30/2010 11,725 10,354 12/31/2010 12,804 11,398 1/31/2011 13,089 11,534 2/28/2011 13,692 11,998 3/31/2011 12,837 11,258 4/30/2011 12,771 11,268 5/31/2011 12,559 11,100 6/30/2011 13,184 11,514 7/31/2011 13,661 11,992 8/31/2011 13,291 11,502 9/30/2011 13,219 11,512 10/31/2011 12,536 11,088 11/30/2011 12,742 10,787 12/31/2011 12,675 10,955 1/31/2012 13,471 11,405 2/29/2012 13,487 11,529 3/31/2012 13,869 11,837 4/30/2012 13,579 11,666 5/31/2012 12,442 10,697 6/30/2012 13,101 11,153 7/31/2012 12,657 10,979 8/31/2012 12,657 10,916 9/30/2012 12,838 11,218 10/31/2012 12,562 10,975 11/30/2012 12,738 11,051 12/31/2012 13,202 11,395 1/31/2013 13,616 11,821 2/28/2013 13,946 12,222 3/31/2013 15,011 13,209 4/30/2013 15,805 14,078 5/31/2013 14,512 12,963 6/30/2013 14,639 12,927 7/31/2013 14,986 13,138 8/31/2013 14,648 12,960 9/30/2013 16,296 14,436 10/31/2013 16,338 14,377 11/30/2013 16,211 14,282 12/31/2013 16,326 14,396 1/31/2014 16,152 14,355 2/28/2014 16,082 14,036 3/31/2014 16,161 14,072 4/30/2014 15,917 13,811 5/31/2014 16,326 14,263 6/30/2014 17,475 15,273 7/31/2014 17,362 15,355 8/31/2014 17,527 15,246 9/30/2014 16,979 14,736 10/31/2014 16,665 14,342 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 2.00% 7.88% 5.24% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ASIA PACIFIC SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Asia Pacific Small Company MSCI Pacific ex Japan Small Cap Portfolio Index (net dividends) ------------------------------- -------------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,723 10,770 12/31/2004 10,964 11,225 1/31/2005 11,213 11,323 2/28/2005 11,529 11,683 3/31/2005 11,137 11,351 4/30/2005 10,761 11,167 5/31/2005 10,512 11,310 6/30/2005 10,985 11,928 7/31/2005 11,349 12,425 8/31/2005 11,645 12,415 9/30/2005 12,071 13,041 10/31/2005 11,384 12,275 11/30/2005 11,667 12,741 12/31/2005 11,841 12,991 1/31/2006 12,638 13,734 2/28/2006 12,817 13,872 3/31/2006 13,465 14,460 4/30/2006 14,231 15,392 5/31/2006 13,426 14,606 6/30/2006 13,333 14,428 7/31/2006 13,585 14,576 8/31/2006 13,916 15,052 9/30/2006 14,056 15,301 10/31/2006 15,205 16,368 11/30/2006 16,044 17,362 12/31/2006 16,496 18,010 1/31/2007 16,924 18,468 2/28/2007 17,368 18,820 3/31/2007 18,272 19,791 4/30/2007 19,548 21,163 5/31/2007 21,212 21,994 6/30/2007 22,077 22,566 7/31/2007 22,419 22,560 8/31/2007 20,734 21,108 9/30/2007 23,161 22,981 10/31/2007 25,182 24,552 11/30/2007 23,513 22,580 12/31/2007 23,103 22,269 1/31/2008 20,775 19,285 2/29/2008 21,405 20,431 3/31/2008 20,365 19,142 4/30/2008 21,781 20,423 5/31/2008 22,730 20,643 6/30/2008 20,484 18,333 7/31/2008 19,273 17,490 8/31/2008 17,918 16,070 9/30/2008 14,839 12,933 10/31/2008 9,898 8,365 11/30/2008 8,949 7,452 12/31/2008 9,925 8,318 1/31/2009 8,697 7,402 2/28/2009 8,218 6,942 3/31/2009 9,492 7,937 4/30/2009 10,906 9,358 5/31/2009 13,724 11,602 6/30/2009 13,823 11,928 7/31/2009 15,814 13,651 8/31/2009 16,536 14,352 9/30/2009 17,819 15,554 10/31/2009 18,208 15,927 11/30/2009 19,057 16,385 12/31/2009 19,555 17,040 1/31/2010 18,491 15,950 2/28/2010 18,813 16,150 3/31/2010 20,360 17,481 4/30/2010 20,629 17,970 5/31/2010 17,770 15,257 6/30/2010 17,547 15,170 7/31/2010 19,489 16,713 8/31/2010 19,462 16,676 9/30/2010 22,414 19,180 10/31/2010 23,371 20,031 11/30/2010 23,052 19,764 12/31/2010 25,307 21,758 1/31/2011 24,760 21,126 2/28/2011 24,911 21,241 3/31/2011 25,434 21,893 4/30/2011 26,502 22,779 5/31/2011 25,717 22,257 6/30/2011 24,843 21,466 7/31/2011 25,244 21,783 8/31/2011 23,477 20,268 9/30/2011 19,095 16,583 10/31/2011 22,065 19,299 11/30/2011 21,471 17,983 12/31/2011 20,214 17,407 1/31/2012 22,298 19,214 2/29/2012 23,983 20,708 3/31/2012 23,624 20,060 4/30/2012 23,524 20,168 5/31/2012 20,586 17,550 6/30/2012 21,013 17,796 7/31/2012 21,317 18,381 8/31/2012 22,025 18,675 9/30/2012 23,109 19,668 10/31/2012 23,628 20,074 11/30/2012 23,954 20,272 12/31/2012 25,070 20,781 1/31/2013 26,321 21,882 2/28/2013 26,426 22,142 3/31/2013 26,542 22,197 4/30/2013 26,090 22,021 5/31/2013 24,144 20,400 6/30/2013 22,441 18,656 7/31/2013 23,534 19,402 8/31/2013 23,713 19,570 9/30/2013 25,375 21,075 10/31/2013 26,100 21,445 11/30/2013 25,175 20,539 12/31/2013 25,483 20,636 1/31/2014 24,276 19,680 2/28/2014 25,670 20,739 3/31/2014 26,042 21,122 4/30/2014 26,097 21,260 5/31/2014 26,119 21,434 6/30/2014 26,306 21,550 7/31/2014 26,854 22,019 8/31/2014 27,271 22,189 9/30/2014 24,748 20,150 10/31/2014 25,099 20,388 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------------------- MSCI data copyright MSCI 2014, all -3.84% 6.63% 9.64% 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, 2004-October 31, 2014 [CHART] United Kingdom Small Company MSCI UK Small Cap Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,801 10,809 12/31/2004 11,245 11,432 1/31/2005 11,560 11,689 2/28/2005 11,952 11,965 3/31/2005 11,679 11,816 4/30/2005 11,281 11,282 5/31/2005 11,057 11,182 6/30/2005 11,257 11,354 7/31/2005 11,476 11,691 8/31/2005 12,121 12,257 9/30/2005 11,977 12,278 10/31/2005 11,637 11,904 11/30/2005 12,134 12,499 12/31/2005 12,665 13,039 1/31/2006 13,651 14,100 2/28/2006 13,835 14,321 3/31/2006 14,061 14,611 4/30/2006 14,764 15,384 5/31/2006 14,460 15,043 6/30/2006 14,442 14,915 7/31/2006 14,542 14,799 8/31/2006 15,149 15,332 9/30/2006 15,586 15,781 10/31/2006 16,462 16,685 11/30/2006 17,491 17,766 12/31/2006 18,440 18,600 1/31/2007 18,558 18,557 2/28/2007 18,553 18,615 3/31/2007 19,414 19,385 4/30/2007 20,078 20,347 5/31/2007 20,342 20,477 6/30/2007 19,591 19,881 7/31/2007 19,478 19,770 8/31/2007 19,359 19,045 9/30/2007 18,685 17,966 10/31/2007 20,172 19,940 11/30/2007 17,830 17,633 12/31/2007 16,885 16,747 1/31/2008 15,745 15,400 2/29/2008 15,967 15,922 3/31/2008 15,901 15,721 4/30/2008 16,165 16,014 5/31/2008 16,207 16,090 6/30/2008 14,912 14,990 7/31/2008 14,383 14,392 8/31/2008 14,140 14,015 9/30/2008 11,953 11,438 10/31/2008 8,743 8,264 11/30/2008 8,118 7,498 12/31/2008 7,932 7,308 1/31/2009 7,741 7,267 2/28/2009 7,419 7,027 3/31/2009 7,737 7,434 4/30/2009 9,355 9,142 5/31/2009 10,310 10,107 6/30/2009 10,354 10,179 7/31/2009 11,251 11,115 8/31/2009 12,122 12,187 9/30/2009 12,473 12,468 10/31/2009 12,486 12,486 11/30/2009 12,442 12,356 12/31/2009 12,698 12,661 1/31/2010 12,571 12,603 2/28/2010 12,139 12,038 3/31/2010 13,151 13,099 4/30/2010 13,628 13,622 5/31/2010 12,081 11,985 6/30/2010 12,310 12,036 7/31/2010 13,967 13,484 8/31/2010 13,447 13,118 9/30/2010 14,878 14,563 10/31/2010 15,653 15,184 11/30/2010 14,878 14,552 12/31/2010 16,390 16,074 1/31/2011 16,625 16,230 2/28/2011 17,120 16,658 3/31/2011 16,794 16,370 4/30/2011 18,277 17,871 5/31/2011 18,159 17,645 6/30/2011 17,579 17,050 7/31/2011 17,454 17,003 8/31/2011 15,707 15,269 9/30/2011 14,118 13,659 10/31/2011 15,609 15,151 11/30/2011 15,130 14,563 12/31/2011 14,654 14,077 1/31/2012 15,942 15,505 2/29/2012 17,244 16,945 3/31/2012 17,608 17,001 4/30/2012 17,907 17,290 5/31/2012 15,884 15,148 6/30/2012 16,656 15,869 7/31/2012 16,931 16,158 8/31/2012 17,853 17,014 9/30/2012 18,765 17,922 10/31/2012 19,172 18,293 11/30/2012 19,289 18,299 12/31/2012 20,343 19,141 1/31/2013 20,699 19,644 2/28/2013 20,880 19,755 3/31/2013 21,498 20,287 4/30/2013 22,035 20,794 5/31/2013 22,231 21,075 6/30/2013 21,740 20,315 7/31/2013 23,570 22,008 8/31/2013 23,733 22,309 9/30/2013 25,329 23,983 10/31/2013 26,230 24,827 11/30/2013 26,819 25,412 12/31/2013 28,290 26,640 1/31/2014 27,613 26,073 2/28/2014 30,080 28,602 3/31/2014 29,149 27,570 4/30/2014 28,661 26,911 5/31/2014 28,625 26,963 6/30/2014 28,591 26,899 7/31/2014 27,692 26,139 Past performance is not predictive of 8/31/2014 28,102 26,414 future performance. 9/30/2014 26,496 24,864 The returns shown do not reflect the 10/31/2014 26,423 24,705 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.73% 16.17% 10.20% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Continental Small Company MSCI Europe ex UK Portfolio Small Cap Index (net dividends) ------------------------------- ------------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,066 11,110 12/31/2004 11,634 11,665 1/31/2005 11,799 11,796 2/28/2005 12,548 12,623 3/31/2005 12,202 12,300 4/30/2005 11,873 11,938 5/31/2005 11,898 12,108 6/30/2005 12,220 12,496 7/31/2005 12,973 13,353 8/31/2005 13,404 13,732 9/30/2005 13,743 14,201 10/31/2005 13,062 13,221 11/30/2005 13,104 13,390 12/31/2005 13,775 14,166 1/31/2006 15,096 15,746 2/28/2006 15,521 16,191 3/31/2006 16,518 17,237 4/30/2006 17,655 18,458 5/31/2006 16,795 17,510 6/30/2006 16,484 17,111 7/31/2006 16,438 16,923 8/31/2006 16,867 17,322 9/30/2006 17,086 17,503 10/31/2006 17,938 18,439 11/30/2006 19,175 19,729 12/31/2006 20,087 20,660 1/31/2007 21,013 21,321 2/28/2007 21,032 21,413 3/31/2007 22,258 22,551 4/30/2007 23,425 23,916 5/31/2007 23,869 24,333 6/30/2007 23,601 24,101 7/31/2007 23,465 23,924 8/31/2007 22,619 22,841 9/30/2007 23,116 23,296 10/31/2007 24,230 24,690 11/30/2007 22,432 22,923 12/31/2007 21,984 22,459 1/31/2008 19,887 19,754 2/29/2008 20,736 20,950 3/31/2008 21,390 21,376 4/30/2008 21,635 21,741 5/31/2008 22,045 22,079 6/30/2008 20,179 20,039 7/31/2008 19,107 18,901 8/31/2008 18,577 18,385 9/30/2008 15,338 14,578 10/31/2008 11,242 10,477 11/30/2008 10,362 9,608 12/31/2008 11,442 10,496 1/31/2009 10,141 9,553 2/28/2009 9,260 8,712 3/31/2009 9,926 9,386 4/30/2009 11,542 11,340 5/31/2009 13,220 13,032 6/30/2009 13,050 12,865 7/31/2009 14,085 14,020 8/31/2009 15,258 15,459 9/30/2009 16,561 16,941 10/31/2009 16,089 16,479 11/30/2009 16,571 16,817 12/31/2009 16,514 16,893 1/31/2010 16,234 16,668 2/28/2010 15,890 16,193 3/31/2010 17,062 17,507 4/30/2010 16,901 17,396 5/31/2010 14,493 14,705 6/30/2010 14,391 14,485 7/31/2010 16,114 16,221 8/31/2010 15,372 15,450 9/30/2010 17,496 17,834 10/31/2010 18,479 18,978 11/30/2010 17,038 17,540 12/31/2010 19,251 19,996 1/31/2011 19,788 20,448 2/28/2011 20,118 20,795 3/31/2011 20,798 21,497 4/30/2011 22,192 22,998 5/31/2011 21,435 22,121 6/30/2011 20,738 21,407 7/31/2011 19,557 20,107 8/31/2011 17,553 18,007 9/30/2011 14,893 15,302 10/31/2011 16,429 16,978 11/30/2011 15,330 15,652 12/31/2011 14,731 15,120 1/31/2012 16,126 16,619 2/29/2012 17,149 17,895 3/31/2012 17,183 17,750 4/30/2012 16,778 17,454 5/31/2012 14,482 15,060 6/30/2012 15,104 15,802 7/31/2012 14,955 15,746 8/31/2012 15,622 16,433 9/30/2012 16,444 17,317 10/31/2012 16,732 17,616 11/30/2012 16,940 17,885 12/31/2012 17,962 18,850 1/31/2013 19,318 20,385 2/28/2013 19,121 20,323 3/31/2013 18,692 19,800 4/30/2013 19,445 20,569 5/31/2013 19,805 21,036 6/30/2013 19,143 20,100 7/31/2013 20,805 21,928 8/31/2013 20,828 21,887 9/30/2013 22,638 23,759 10/31/2013 23,925 25,189 11/30/2013 24,350 25,637 12/31/2013 25,027 26,302 1/31/2014 24,873 26,085 2/28/2014 27,051 28,365 3/31/2014 27,181 28,388 4/30/2014 27,429 28,507 5/31/2014 27,536 28,828 6/30/2014 27,291 28,546 7/31/2014 25,682 26,863 Past performance is not predictive of 8/31/2014 25,370 26,647 future performance. 9/30/2014 24,006 25,178 The returns shown do not reflect the 10/31/2014 23,284 24,356 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------------------- MSCI data copyright MSCI 2014, all -2.68% 7.67% 8.82% 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, 2014 [CHART] DFA International Real Estate Securities S&P Global ex U.S. Portfolio 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 8/31/2013 8,162 8,091 9/30/2013 8,861 8,784 10/31/2013 9,128 9,045 11/30/2013 8,845 8,764 12/31/2013 8,807 8,696 1/31/2014 8,649 8,539 2/28/2014 9,158 9,013 3/31/2014 9,140 8,980 4/30/2014 9,526 9,339 5/31/2014 9,807 9,618 6/30/2014 10,018 9,863 7/31/2014 10,000 9,879 Past performance is not predictive of 8/31/2014 10,175 10,042 future performance. 9/30/2014 9,509 9,368 The returns shown do not reflect the 10/31/2014 9,877 9,661 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------------------------------- The S&P data are provided by 8.21% 11.37% -0.16% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL REIT INDEX (NET DIVIDENDS) June 4, 2008-October 31, 2014 [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 8/31/2013 11,316 10,573 9/30/2013 11,908 11,121 10/31/2013 12,346 11,548 11/30/2013 11,805 11,041 12/31/2013 11,804 11,010 1/31/2014 12,005 11,195 2/28/2014 12,659 11,773 3/31/2014 12,699 11,783 4/30/2014 13,180 12,205 5/31/2014 13,527 12,519 6/30/2014 13,714 12,717 7/31/2014 13,714 12,724 Past performance is not predictive of 8/31/2014 14,048 13,028 future performance. 9/30/2014 13,166 12,200 The returns shown do not reflect the 10/31/2014 14,195 13,084 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ---------------------------------------------------------------- The S&P data are provided by 14.98% 15.61% 5.62% Standard & 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, 2004-October 31, 2014 [CHART] DFA International Small Cap Value MSCI World ex USA Portfolio Small Cap Index (net dividends) --------------------------------- ------------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,875 10,800 12/31/2004 11,437 11,303 1/31/2005 11,756 11,477 2/28/2005 12,313 11,965 3/31/2005 12,197 11,770 4/30/2005 11,959 11,439 5/31/2005 11,781 11,466 6/30/2005 12,057 11,770 7/31/2005 12,516 12,281 8/31/2005 13,004 12,658 9/30/2005 13,308 13,171 10/31/2005 12,999 12,691 11/30/2005 13,240 13,114 12/31/2005 14,093 14,134 1/31/2006 15,126 15,141 2/28/2006 15,158 14,951 3/31/2006 15,881 15,654 4/30/2006 16,540 16,383 5/31/2006 15,746 15,477 6/30/2006 15,452 15,101 7/31/2006 15,396 14,732 8/31/2006 15,789 15,162 9/30/2006 15,939 15,122 10/31/2006 16,637 15,722 11/30/2006 17,441 16,398 12/31/2006 18,095 16,884 1/31/2007 18,577 17,228 2/28/2007 18,913 17,530 3/31/2007 19,735 18,112 4/30/2007 20,320 18,810 5/31/2007 20,708 19,088 6/30/2007 20,621 19,046 7/31/2007 20,569 18,929 8/31/2007 19,725 17,931 9/30/2007 20,135 18,336 10/31/2007 20,929 19,574 11/30/2007 19,228 17,964 12/31/2007 18,628 17,438 1/31/2008 17,399 15,748 2/29/2008 17,780 16,496 3/31/2008 17,945 16,313 4/30/2008 18,251 16,710 5/31/2008 18,651 17,048 6/30/2008 17,022 15,732 7/31/2008 16,266 14,938 8/31/2008 15,742 14,386 9/30/2008 13,476 11,855 10/31/2008 10,543 8,929 11/30/2008 9,959 8,496 12/31/2008 10,864 9,063 1/31/2009 9,948 8,536 2/28/2009 8,855 7,757 3/31/2009 9,432 8,255 4/30/2009 10,962 9,527 5/31/2009 12,471 10,937 6/30/2009 12,430 11,069 7/31/2009 13,587 11,958 8/31/2009 14,764 12,880 9/30/2009 15,460 13,604 10/31/2009 14,910 13,394 11/30/2009 14,980 13,498 12/31/2009 15,156 13,669 1/31/2010 14,865 13,489 2/28/2010 14,724 13,412 3/31/2010 15,920 14,409 4/30/2010 16,121 14,693 5/31/2010 13,951 12,928 6/30/2010 13,671 12,807 7/31/2010 15,000 13,905 8/31/2010 14,300 13,544 9/30/2010 15,905 15,080 10/31/2010 16,403 15,702 11/30/2010 15,936 15,290 12/31/2010 17,900 17,019 1/31/2011 18,274 17,108 2/28/2011 18,805 17,595 3/31/2011 18,899 17,578 4/30/2011 19,711 18,450 5/31/2011 19,034 17,939 6/30/2011 18,619 17,551 7/31/2011 18,261 17,455 8/31/2011 16,524 16,076 9/30/2011 14,575 14,231 10/31/2011 15,684 15,386 11/30/2011 15,177 14,613 12/31/2011 14,774 14,329 1/31/2012 16,253 15,512 2/29/2012 17,221 16,391 3/31/2012 17,243 16,282 4/30/2012 16,764 16,197 5/31/2012 14,632 14,294 6/30/2012 15,354 14,787 7/31/2012 15,310 14,901 8/31/2012 15,872 15,329 9/30/2012 16,614 16,056 10/31/2012 16,769 16,134 11/30/2012 17,001 16,217 12/31/2012 18,062 16,833 1/31/2013 18,989 17,643 2/28/2013 19,102 17,706 3/31/2013 19,490 18,051 4/30/2013 20,044 18,575 5/31/2013 19,649 18,139 6/30/2013 19,051 17,422 7/31/2013 20,471 18,511 8/31/2013 20,219 18,478 9/30/2013 22,178 20,029 10/31/2013 23,106 20,621 11/30/2013 23,140 20,648 12/31/2013 23,911 21,134 1/31/2014 23,582 20,769 2/28/2014 25,204 21,946 3/31/2014 25,368 21,864 4/30/2014 25,262 21,796 5/31/2014 25,462 22,069 6/30/2014 25,862 22,570 7/31/2014 24,954 21,985 Past performance is not predictive of 8/31/2014 25,119 22,039 future performance. 9/30/2014 23,657 20,704 The returns shown do not reflect the 10/31/2014 23,136 20,180 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.13% 9.18% 8.75% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL VECTOR EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) August 14, 2008-October 31, 2014 [CHART] International Vector MSCI World ex USA Equity Portfolio Index (net dividends) -------------------- --------------------- 8/14/2008 $10,000 $10,000 8/31/2008 10,050 10,052 9/30/2008 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 1/31/2009 6,065 6,149 2/28/2009 5,392 5,527 3/31/2009 5,903 5,891 4/30/2009 6,919 6,650 5/31/2009 7,985 7,491 6/30/2009 7,932 7,414 7/31/2009 8,715 8,110 8/31/2009 9,274 8,499 9/30/2009 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 1/31/2010 9,377 8,640 2/28/2010 9,357 8,631 3/31/2010 10,099 9,187 4/30/2010 10,120 9,050 5/31/2010 8,870 8,051 6/30/2010 8,736 7,935 7/31/2010 9,659 8,668 8/31/2010 9,254 8,409 9/30/2010 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 1/31/2011 11,660 10,089 2/28/2011 12,050 10,463 3/31/2011 11,881 10,253 4/30/2011 12,482 10,812 5/31/2011 12,071 10,491 6/30/2011 11,823 10,342 7/31/2011 11,545 10,171 8/31/2011 10,519 9,311 9/30/2011 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 1/31/2012 10,238 9,138 2/29/2012 10,780 9,641 3/31/2012 10,780 9,570 4/30/2012 10,514 9,407 5/31/2012 9,219 8,335 6/30/2012 9,745 8,881 7/31/2012 9,700 8,991 8/31/2012 10,038 9,248 9/30/2012 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 1/31/2013 11,755 10,590 2/28/2013 11,652 10,484 3/31/2013 11,784 10,567 4/30/2013 12,218 11,049 5/31/2013 11,944 10,801 6/30/2013 11,564 10,397 7/31/2013 12,305 10,950 8/31/2013 12,213 10,809 9/30/2013 13,183 11,573 10/31/2013 13,648 11,961 11/30/2013 13,682 12,034 12/31/2013 13,989 12,215 1/31/2014 13,612 11,722 2/28/2014 14,448 12,362 3/31/2014 14,414 12,306 4/30/2014 14,555 12,501 5/31/2014 14,685 12,694 6/30/2014 14,923 12,874 7/31/2014 14,493 12,645 8/31/2014 14,553 12,655 9/30/2014 13,757 12,135 Past performance is not predictive of 10/31/2014 13,505 11,942 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.05% 7.51% 4.95% 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, 2014 [CHART] World Ex U.S. MSCI All Country World Value Portfolio ex USA Index (net dividends) ------------------ ----------------------------- 8/23/2010 $10,000 $10,000 8/31/2010 9,890 9,920 9/30/2010 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 1/31/2011 12,122 11,807 2/28/2011 12,385 12,118 3/31/2011 12,311 12,090 4/30/2011 12,899 12,681 5/31/2011 12,433 12,315 6/30/2011 12,238 12,136 7/31/2011 11,920 11,971 8/31/2011 10,670 10,945 9/30/2011 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 1/31/2012 10,422 10,774 2/29/2012 10,984 11,379 3/31/2012 10,811 11,222 4/30/2012 10,436 11,045 5/31/2012 9,177 9,791 6/30/2012 9,755 10,369 7/31/2012 9,703 10,515 8/31/2012 10,041 10,735 9/30/2012 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 1/31/2013 11,720 12,266 2/28/2013 11,442 12,137 3/31/2013 11,460 12,161 4/30/2013 11,899 12,608 5/31/2013 11,696 12,316 6/30/2013 11,154 11,782 7/31/2013 11,796 12,298 8/31/2013 11,666 12,128 9/30/2013 12,556 12,971 10/31/2013 13,026 13,447 11/30/2013 12,993 13,470 12/31/2013 13,201 13,589 1/31/2014 12,652 12,972 2/28/2014 13,289 13,623 3/31/2014 13,361 13,658 4/30/2014 13,527 13,839 5/31/2014 13,760 14,108 6/30/2014 13,969 14,345 7/31/2014 13,778 14,202 8/31/2014 13,857 14,281 9/30/2014 13,101 13,590 Past performance is not predictive of 10/31/2014 12,921 13,455 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. ------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.81% 6.31% 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, 2014 [CHART] World Ex U.S. Targeted MSCI All Country World ex USA Value Portfolio Small Cap Index (net dividends) ----------------------- ---------------------------------- 11/1/2012 $10,000 $10,000 11/30/2012 10,120 10,013 12/31/2012 10,735 10,417 1/31/2013 11,157 10,868 2/28/2013 11,147 10,925 3/31/2013 11,278 11,098 4/30/2013 11,549 11,398 5/31/2013 11,298 11,175 6/30/2013 10,766 10,607 7/31/2013 11,376 11,134 8/31/2013 11,193 11,038 9/30/2013 12,191 11,920 10/31/2013 12,690 12,289 11/30/2013 12,629 12,257 12/31/2013 12,872 12,472 1/31/2014 12,497 12,231 2/28/2014 13,185 12,888 3/31/2014 13,404 12,904 4/30/2014 13,404 12,883 5/31/2014 13,633 13,090 6/30/2014 13,888 13,374 7/31/2014 13,616 13,121 8/31/2014 13,773 13,215 Past performance is not predictive of 9/30/2014 12,908 12,464 future performance. 10/31/2014 12,698 12,170 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all 0.06% 12.70% 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, 2014 [CHART] World Ex U.S. Core MSCI All Country World Equity Portfolio ex USA Index (net dividends) ------------------ ---------------------------- 4/9/2013 $10,000 $10,000 4/30/2013 10,160 10,415 5/31/2013 9,890 10,174 6/30/2013 9,485 9,733 7/31/2013 9,971 10,159 8/31/2013 9,830 10,019 9/30/2013 10,575 10,715 10/31/2013 10,962 11,108 11/30/2013 10,952 11,127 12/31/2013 11,104 11,225 1/31/2014 10,653 10,715 2/28/2014 11,227 11,254 3/31/2014 11,309 11,282 4/30/2014 11,422 11,431 5/31/2014 11,597 11,654 6/30/2014 11,810 11,850 7/31/2014 11,592 11,732 8/31/2014 11,706 11,797 Past performance is not predictive of 9/30/2014 11,072 11,226 future performance. 10/31/2014 10,957 11,115 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. --------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.04% 6.03% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- WORLD CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) March 7, 2012-October 31, 2014 [CHART] MSCI All Country World World Core Equity Portfolio Index (net dividends) ------------------------------- ------------------------- 3/7/2012 $10,000 $10,000 3/31/2012 10,170 10,286 4/30/2012 10,050 10,169 5/31/2012 9,400 9,257 6/30/2012 9,822 9,714 7/31/2012 9,913 9,847 8/31/2012 10,175 10,061 9/30/2012 10,465 10,378 10/31/2012 10,354 10,309 11/30/2012 10,425 10,441 12/31/2012 10,644 10,677 1/31/2013 11,175 11,169 2/28/2013 11,266 11,167 3/31/2013 11,598 11,372 4/30/2013 11,843 11,697 5/31/2013 11,986 11,664 6/30/2013 11,754 11,324 7/31/2013 12,382 11,866 8/31/2013 12,053 11,618 9/30/2013 12,609 12,219 10/31/2013 13,125 12,710 11/30/2013 13,477 12,890 12/31/2013 13,786 13,112 1/31/2014 13,260 12,587 2/28/2014 13,902 13,196 3/31/2014 14,000 13,254 4/30/2014 14,074 13,380 5/31/2014 14,359 13,665 6/30/2014 14,684 13,922 7/31/2014 14,355 13,753 8/31/2014 14,726 14,057 9/30/2014 14,116 13,601 Past performance is not predictive of 10/31/2014 14,222 13,697 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all 8.36% 14.20% rights reserved.
-------------------------------------------------------------------------------- 15 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) November 14, 2011-October 31, 2014 [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 8/31/2013 12,845 12,451 9/30/2013 13,569 13,094 10/31/2013 14,096 13,621 11/30/2013 14,324 13,813 12/31/2013 14,611 14,052 1/31/2014 14,001 13,490 2/28/2014 14,675 14,141 3/31/2014 14,847 14,204 4/30/2014 14,879 14,339 5/31/2014 15,136 14,644 6/30/2014 15,500 14,920 7/31/2014 15,200 14,739 8/31/2014 15,628 15,065 Past performance is not predictive of 9/30/2014 15,061 14,576 future performance. 10/31/2014 15,200 14,679 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Since would pay on fund distributions or the Total Return Year Inception redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 7.83% 15.19% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] MSCI Emerging Markets Emerging Markets Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,870 10,926 12/31/2004 11,566 11,450 1/31/2005 11,658 11,480 2/28/2005 12,527 12,481 3/31/2005 11,665 11,656 4/30/2005 11,384 11,343 5/31/2005 11,721 11,738 6/30/2005 12,069 12,137 7/31/2005 12,843 12,985 8/31/2005 12,921 13,097 9/30/2005 13,945 14,316 10/31/2005 13,245 13,380 11/30/2005 14,202 14,487 12/31/2005 15,020 15,343 1/31/2006 16,449 17,057 2/28/2006 16,399 17,037 3/31/2006 16,622 17,187 4/30/2006 17,612 18,411 5/31/2006 15,574 16,482 6/30/2006 15,550 16,442 7/31/2006 15,834 16,677 8/31/2006 16,329 17,102 9/30/2006 16,549 17,244 10/31/2006 17,533 18,063 11/30/2006 18,649 19,406 12/31/2006 19,400 20,280 1/31/2007 19,682 20,061 2/28/2007 19,371 19,942 3/31/2007 20,253 20,737 4/30/2007 21,538 21,697 5/31/2007 22,978 22,771 6/30/2007 23,352 23,839 7/31/2007 23,905 25,096 8/31/2007 23,486 24,563 9/30/2007 25,556 27,276 10/31/2007 28,346 30,317 11/30/2007 26,496 28,168 12/31/2007 26,388 28,267 1/31/2008 24,082 24,740 2/29/2008 24,845 26,566 3/31/2008 24,070 25,160 4/30/2008 25,781 27,202 5/31/2008 25,930 27,706 6/30/2008 23,262 24,943 7/31/2008 22,952 24,002 8/31/2008 21,585 22,085 9/30/2008 18,573 18,220 10/31/2008 13,679 13,234 11/30/2008 12,436 12,237 12/31/2008 13,405 13,192 1/31/2009 12,380 12,340 2/28/2009 11,569 11,644 3/31/2009 13,241 13,317 4/30/2009 15,197 15,533 5/31/2009 17,786 18,187 6/30/2009 17,629 17,942 7/31/2009 19,639 19,960 8/31/2009 19,706 19,888 9/30/2009 21,432 21,694 10/31/2009 20,983 21,720 11/30/2009 22,231 22,654 12/31/2009 23,026 23,548 1/31/2010 21,765 22,235 2/28/2010 22,027 22,313 3/31/2010 23,864 24,114 4/30/2010 24,000 24,407 5/31/2010 21,761 22,260 6/30/2010 21,794 22,096 7/31/2010 23,708 23,936 8/31/2010 23,153 23,471 9/30/2010 25,778 26,080 10/31/2010 26,551 26,837 11/30/2010 25,949 26,129 12/31/2010 28,049 27,993 1/31/2011 27,317 27,234 2/28/2011 27,116 26,980 3/31/2011 28,617 28,566 4/30/2011 29,614 29,452 5/31/2011 28,790 28,680 6/30/2011 28,440 28,238 7/31/2011 28,210 28,113 8/31/2011 25,919 25,601 9/30/2011 21,995 21,868 10/31/2011 24,740 24,765 11/30/2011 23,869 23,114 12/31/2011 23,165 22,836 1/31/2012 25,650 25,426 2/29/2012 27,034 26,949 3/31/2012 26,322 26,049 4/30/2012 25,845 25,738 5/31/2012 23,058 22,852 6/30/2012 24,185 23,734 7/31/2012 24,381 24,197 8/31/2012 24,528 24,116 9/30/2012 25,898 25,571 10/31/2012 25,750 25,416 11/30/2012 26,086 25,739 12/31/2012 27,602 26,997 1/31/2013 27,743 27,369 2/28/2013 27,412 27,026 3/31/2013 27,015 26,560 4/30/2013 27,306 26,760 5/31/2013 26,413 26,074 6/30/2013 24,751 24,414 7/31/2013 25,105 24,669 8/31/2013 24,508 24,245 9/30/2013 26,255 25,822 10/31/2013 27,445 27,076 11/30/2013 27,028 26,681 12/31/2013 26,741 26,295 1/31/2014 24,877 24,587 2/28/2014 25,773 25,402 3/31/2014 26,669 26,182 4/30/2014 26,824 26,269 5/31/2014 27,730 27,186 6/30/2014 28,493 27,908 7/31/2014 28,824 28,448 8/31/2014 29,714 29,089 9/30/2014 27,519 26,933 Past performance is not predictive of 10/31/2014 27,811 27,250 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------- MSCI data copyright MSCI 2014, all 1.33% 5.80% 10.77% rights reserved.
-------------------------------------------------------------------------------- 16 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Emerging Markets Small Cap MSCI Emerging Markets Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,947 10,926 12/31/2004 11,527 11,450 1/31/2005 11,847 11,480 2/28/2005 12,598 12,481 3/31/2005 11,719 11,656 4/30/2005 11,288 11,343 5/31/2005 11,509 11,738 6/30/2005 11,800 12,137 7/31/2005 12,447 12,985 8/31/2005 12,528 13,097 9/30/2005 13,349 14,316 10/31/2005 12,698 13,380 11/30/2005 13,604 14,487 12/31/2005 14,495 15,343 1/31/2006 15,895 17,057 2/28/2006 16,062 17,037 3/31/2006 16,355 17,187 4/30/2006 17,683 18,411 5/31/2006 15,822 16,482 6/30/2006 15,124 16,442 7/31/2006 15,471 16,677 8/31/2006 16,009 17,102 9/30/2006 16,452 17,244 10/31/2006 17,692 18,063 11/30/2006 19,038 19,406 12/31/2006 19,903 20,280 1/31/2007 20,277 20,061 2/28/2007 20,459 19,942 3/31/2007 21,365 20,737 4/30/2007 22,997 21,697 5/31/2007 24,822 22,771 6/30/2007 25,564 23,839 7/31/2007 26,806 25,096 8/31/2007 25,689 24,563 9/30/2007 27,454 27,276 10/31/2007 29,513 30,317 11/30/2007 27,146 28,168 12/31/2007 27,470 28,267 1/31/2008 24,157 24,740 2/29/2008 24,856 26,566 3/31/2008 23,679 25,160 4/30/2008 25,127 27,202 5/31/2008 24,968 27,706 6/30/2008 22,091 24,943 7/31/2008 21,744 24,002 8/31/2008 20,431 22,085 9/30/2008 16,740 18,220 10/31/2008 11,660 13,234 11/30/2008 10,947 12,237 12/31/2008 12,489 13,192 1/31/2009 11,528 12,340 2/28/2009 10,821 11,644 3/31/2009 12,309 13,317 4/30/2009 14,802 15,533 5/31/2009 18,192 18,187 6/30/2009 18,102 17,942 7/31/2009 20,398 19,960 8/31/2009 20,641 19,888 9/30/2009 22,362 21,694 10/31/2009 22,337 21,720 11/30/2009 23,642 22,654 12/31/2009 24,945 23,548 1/31/2010 23,841 22,235 2/28/2010 24,252 22,313 3/31/2010 26,323 24,114 4/30/2010 26,747 24,407 5/31/2010 24,048 22,260 6/30/2010 24,684 22,096 7/31/2010 26,949 23,936 8/31/2010 27,079 23,471 9/30/2010 30,358 26,080 10/31/2010 31,568 26,837 11/30/2010 30,710 26,129 12/31/2010 32,475 27,993 1/31/2011 31,098 27,234 2/28/2011 30,181 26,980 3/31/2011 31,854 28,566 4/30/2011 33,528 29,452 5/31/2011 32,759 28,680 6/30/2011 32,493 28,238 7/31/2011 32,860 28,113 8/31/2011 29,735 25,601 9/30/2011 24,447 21,868 10/31/2011 27,140 24,765 11/30/2011 25,814 23,114 12/31/2011 25,129 22,836 1/31/2012 27,962 25,426 2/29/2012 30,245 26,949 3/31/2012 29,455 26,049 4/30/2012 28,751 25,738 5/31/2012 26,115 22,852 6/30/2012 27,115 23,734 7/31/2012 26,775 24,197 8/31/2012 27,470 24,116 9/30/2012 29,076 25,571 10/31/2012 28,962 25,416 11/30/2012 29,460 25,739 12/31/2012 31,271 26,997 1/31/2013 31,847 27,369 2/28/2013 32,172 27,026 3/31/2013 32,021 26,560 4/30/2013 32,672 26,760 5/31/2013 32,198 26,074 6/30/2013 29,413 24,414 7/31/2013 29,547 24,669 8/31/2013 28,313 24,245 9/30/2013 30,380 25,822 10/31/2013 31,546 27,076 11/30/2013 31,097 26,681 12/31/2013 30,839 26,295 1/31/2014 29,520 24,587 2/28/2014 30,824 25,402 3/31/2014 31,882 26,182 4/30/2014 32,143 26,269 5/31/2014 33,231 27,186 6/30/2014 34,086 27,908 7/31/2014 34,163 28,448 Past performance is not predictive of 8/31/2014 35,209 29,089 future performance. 9/30/2014 33,456 26,933 The returns shown do not reflect the 10/31/2014 33,162 27,250 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------------------- MSCI data copyright MSCI 2014, all 5.12% 8.22% 12.74% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) January 29, 2008-October 31,2014 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------- MSCI data copyright MSCI 2014, all -1.75% 3.17% 0.46% rights reserved.
-------------------------------------------------------------------------------- 17 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Emerging Markets Value Portfolio - MSCI Emerging Markets Institutional Class Index (net dividends) ----------------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,082 10,926 12/31/2004 11,794 11,450 1/31/2005 11,987 11,480 2/28/2005 13,080 12,481 3/31/2005 12,124 11,656 4/30/2005 11,692 11,343 5/31/2005 11,861 11,738 6/30/2005 12,251 12,137 7/31/2005 13,142 12,985 8/31/2005 13,351 13,097 9/30/2005 14,422 14,316 10/31/2005 13,520 13,380 11/30/2005 14,517 14,487 12/31/2005 15,428 15,343 1/31/2006 16,902 17,057 2/28/2006 16,967 17,037 3/31/2006 17,540 17,187 4/30/2006 19,070 18,411 5/31/2006 17,002 16,482 6/30/2006 16,848 16,442 7/31/2006 17,246 16,677 8/31/2006 17,559 17,102 9/30/2006 17,915 17,244 10/31/2006 19,158 18,063 11/30/2006 20,559 19,406 12/31/2006 21,280 20,280 1/31/2007 21,607 20,061 2/28/2007 21,727 19,942 3/31/2007 22,858 20,737 4/30/2007 24,679 21,697 5/31/2007 26,554 22,771 6/30/2007 27,308 23,839 7/31/2007 28,602 25,096 8/31/2007 27,679 24,563 9/30/2007 30,173 27,276 10/31/2007 33,484 30,317 11/30/2007 31,040 28,168 12/31/2007 30,991 28,267 1/31/2008 27,905 24,740 2/29/2008 29,020 26,566 3/31/2008 28,043 25,160 4/30/2008 30,206 27,202 5/31/2008 30,464 27,706 6/30/2008 26,920 24,943 7/31/2008 26,392 24,002 8/31/2008 24,131 22,085 9/30/2008 19,968 18,220 10/31/2008 13,767 13,234 11/30/2008 12,722 12,237 12/31/2008 14,274 13,192 1/31/2009 12,986 12,340 2/28/2009 11,883 11,644 3/31/2009 13,938 13,317 4/30/2009 16,679 15,533 5/31/2009 20,431 18,187 6/30/2009 20,179 17,942 7/31/2009 22,885 19,960 8/31/2009 23,055 19,888 9/30/2009 25,182 21,694 10/31/2009 24,586 21,720 11/30/2009 26,152 22,654 12/31/2009 27,447 23,548 1/31/2010 25,884 22,235 2/28/2010 26,085 22,313 3/31/2010 28,381 24,114 4/30/2010 28,564 24,407 5/31/2010 25,570 22,260 6/30/2010 25,730 22,096 7/31/2010 28,110 23,936 8/31/2010 27,601 23,471 9/30/2010 30,914 26,080 10/31/2010 31,972 26,837 11/30/2010 30,932 26,129 12/31/2010 33,501 27,993 1/31/2011 32,454 27,234 2/28/2011 31,908 26,980 3/31/2011 33,742 28,566 4/30/2011 34,946 29,452 5/31/2011 33,612 28,680 6/30/2011 32,924 28,238 7/31/2011 32,645 28,113 8/31/2011 29,331 25,601 9/30/2011 24,065 21,868 10/31/2011 27,227 24,765 11/30/2011 25,848 23,114 12/31/2011 24,919 22,836 1/31/2012 28,375 25,426 2/29/2012 30,103 26,949 3/31/2012 28,807 26,049 4/30/2012 27,866 25,738 5/31/2012 24,785 22,852 6/30/2012 25,905 23,734 7/31/2012 25,741 24,197 8/31/2012 26,098 24,116 9/30/2012 27,777 25,571 10/31/2012 27,417 25,416 11/30/2012 27,718 25,739 12/31/2012 29,744 26,997 1/31/2013 30,223 27,369 2/28/2013 29,714 27,026 3/31/2013 29,460 26,560 4/30/2013 29,719 26,760 5/31/2013 28,871 26,074 6/30/2013 26,440 24,414 7/31/2013 26,953 24,669 8/31/2013 26,380 24,245 9/30/2013 28,329 25,822 10/31/2013 29,613 27,076 11/30/2013 28,895 26,681 12/31/2013 28,613 26,295 1/31/2014 26,613 24,587 2/28/2014 27,203 25,402 3/31/2014 28,416 26,182 4/30/2014 28,602 26,269 5/31/2014 29,763 27,186 6/30/2014 30,539 27,908 7/31/2014 31,110 28,448 Past performance is not predictive of 8/31/2014 31,806 29,089 future performance. 9/30/2014 29,197 26,933 The returns shown do not reflect the 10/31/2014 29,166 27,250 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all -1.51% 3.48% 11.30% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS CORE EQUITY PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) April 5, 2005-October 31, 2014 [CHART] Emerging Markets Core Equity MSCI Emerging Markets 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 8/31/2013 21,178 20,694 9/30/2013 22,690 22,040 10/31/2013 23,668 23,111 11/30/2013 23,279 22,773 12/31/2013 23,072 22,444 1/31/2014 21,614 20,986 2/28/2014 22,397 21,681 3/31/2014 23,215 22,347 4/30/2014 23,381 22,422 5/31/2014 24,151 23,204 6/30/2014 24,779 23,821 7/31/2014 25,005 24,281 8/31/2014 25,779 24,828 9/30/2014 23,984 22,988 Past performance is not predictive of 10/31/2014 24,116 23,259 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ------------------------------------------------------------ MSCI data copyright MSCI 2014, all 1.89% 5.94% 9.63% rights reserved.
-------------------------------------------------------------------------------- 18 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index /SM/........ 20.69%
Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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, 2014, 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. For the 12 months ended October 31, 2014, the total returns were 17.18% for the Portfolio and 17.27% 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 net return of the fixed income component was slightly less than 19 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 is designed to capture the returns of U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 920 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, 2014, total returns were 16.19% for the Portfolio and 16.78% for the Russell 1000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio emphasizes mid-cap stocks, value stocks, primarily measured by book-to-market ratio and stocks with high profitability. Stocks with smaller relative capitalization and value stocks generally underperformed during the period and contributed to underperformance in the Portfolio relative to the Index. The Portfolio's exclusion of real estate investment trusts (REITs) detracted from relative performance as REITs outperformed during the period. U.S. Large Cap Value Portfolio The U.S. Large Cap Value Portfolio is designed 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, 2014, the Master Fund held approximately 260 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, 2014, total returns were 15.49% for the Portfolio and 16.46% for the Russell 1000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Master Fund excludes real estate investment trusts (REITs) and highly regulated utilities from eligibility while the Index holds stocks in these sectors. REITs and utilities generally outperformed other sectors during the period, which detracted from the Portfolio's relative performance as compared to the Index. Lower book to market stocks outperformed higher book to market stocks within the index. The Master Fund had less weight than the index in lower book to market stocks, which detracted from relative performance. 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, 2014, the Portfolio held approximately 1,540 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, 2014, total returns were 9.47% for the Portfolio's Class R1 shares, 9.30% for the Portfolio's Class R2 shares, 9.58% for the Portfolio's Institutional Class shares, and 7.89% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. Mid-cap value stocks significantly outperformed small cap value stocks during the period. The Portfolio had a greater weight than the Index in mid-cap value stocks and less weight in small cap value stocks, and these differences were the primary driver of the Portfolio's relative outperformance. U.S. Small Cap Value Portfolio The U.S. Small Cap Value Portfolio is designed to capture the returns of U.S. small company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 1,270 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. 20 For the 12 months ended October 31, 2014, total returns were 9.49% for the Portfolio and 7.89% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation to larger small cap stocks than the Index, and the outperformance of these stocks was a contributor to the Portfolio's relative outperformance. U.S. Core Equity 1 Portfolio The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of securities within the U.S. market with increased exposure to smaller company stocks and value stocks relative to the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,850 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, 2014, total returns were 14.72% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts (REITs) also detracted from the Portfolio's relative performance as REITs outperformed most other sectors during the period. U.S. Core Equity 2 Portfolio The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of securities within the U.S. market with increased exposure to smaller company stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,860 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, 2014, total returns were 13.78% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The portfolio generally excludes real estate investment trusts (REITs), and the resulting lower relative weighting in these companies detracted as REITs outperformed other U.S. stocks during the period. U.S. Vector Equity Portfolio The U.S. Vector Equity Portfolio invests in a broadly diversified group of U.S. stocks with increased exposure to smaller company stocks and value stocks relative to the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 2,720 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, 2014, total returns were 11.91% for the Portfolio and 16.07% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the Index to small cap stocks and less weight in large cap stocks, which contributed to the Portfolio's relative underperformance as small cap stocks strongly underperformed large cap stocks during the period. The portfolio generally excludes real estate investment trusts (REITs), and the resulting lower relative weighting in these companies detracted as REITs outperformed other U.S. stocks during the period. U.S. Small Cap Portfolio The U.S. Small Cap Portfolio is designed to capture the returns of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held 21 approximately 2,110 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, 2014, total returns were 8.67% for the Portfolio and 8.06% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio excluded certain stocks with low profitability that were held by the Index. The resulting higher weight in stocks with higher profitability contributed to the Portfolio's relative outperformance. U.S. Micro Cap Portfolio The U.S. Micro Cap Portfolio is designed 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, 2014, the Portfolio held approximately 1,750 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, 2014, total returns were 7.88% for the Portfolio and 8.06% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad 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 a broader range of small cap stocks including those with the larger relative capitalization. Micro cap stocks generally underperformed companies with larger capitalization within the small cap universe during the period, which detracted from the Portfolio's relative performance. The Portfolio's exclusion of real estate investment trusts (REITs) also detracted from the Portfolio's relative performance as REITs outperformed most other sectors during the period. DFA Real Estate Securities Portfolio The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of U.S. real estate securities. As of October 31, 2014, the Portfolio held approximately 130 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, 2014, total returns were 19.80% for the Portfolio, 20.69% for the Dow Jones U.S. Select REIT Index /SM/, and 17.27% for the S&P 500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in the U.S. real estate securities market rather than the behavior of a limited number of securities. The Portfolio held net lease REITs not eligible in the Dow Jones U.S. Select REIT Index /SM/. These securities -- particularly in specialized REITs, retail REITs and diversified REITs -- generally underperformed the overall Index and were a primary driver of the Portfolio's relative underperformance. International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-U.S. developed markets was generally negative for the period. As a group, only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-U.S. securities in developed markets. 22
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars ------------------------------------------ ------------ ---------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Global Real Estate Market Review 12 Months Ended October 31, 2014 Publicly traded global real estate investment trusts (REITs) produced positive overall returns during the period. In most of the world, REITs outperformed equities and fixed income. The U.S. REIT market, the world's largest, had the highest returns, followed closely by Hong Kong and the U.K. Only a few of the smallest REIT markets failed to deliver positive returns. As measured by the S&P Global REIT Index, residential REITs and hotel and resort REITs had the biggest gains. Diversified REITs had the weakest performance but still delivered positive returns. 23
12 Months Ended October 31, 2014 Return in U.S. Dollars - ---------------------- S&P Global ex U.S. REIT Index (net dividends). 6.81% S&P Global REIT Index (net dividends)......... 13.30%
---------- Source: Standard and Poor's. Copyright S&P, 2014. 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, 2014, 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, 2014, total returns were 0.47% for the Portfolio and -0.15% 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 trends in the international equity markets rather than by the behavior of a limited number of stocks. For the period, the Portfolio's relative outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Core Equity Portfolio The International Core Equity Portfolio invests in a broadly diversified group of international stocks, with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Portfolio held approximately 4,800 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, 2014, total returns were -0.55% for the Portfolio and -0.15% 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 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 underperformed international large cap and mid-cap stocks during the period, and the Portfolio's exposure to small cap stocks detracted from the Portfolio's performance relative to the Index. The Portfolio's greater exposure than the Index to value stocks also detracted from the Portfolio's relative performance as value stocks generally underperformed during the period. In particular, the Portfolio's emphasis on value stocks resulted in a lower allocation to healthcare stocks, which was the best performing sector and detracted from the Portfolio's relative performance. International Small Company Portfolio The International Small Company Portfolio is designed 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, 2014, the Master Funds collectively held approximately 4,150 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. 24 For the 12 months ended October 31, 2014, total returns were -1.09% for the Portfolio and -2.14% 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 trends in international equity markets rather than the behavior of a limited number of stocks. The Master Funds excluded a number of growth-oriented small cap stocks with low profitability that were held by the Index. These stocks generally underperformed, contributing to the Portfolio's relative outperformance. This was partially offset by the Master Funds' exclusion of real estate investment trusts (REITs) which outperformed and detracted from the Portfolio's relative performance. Differences in the valuation timing and methodology between the Master Funds and the Index also generally contributed to the Portfolio's relative performance. The Master Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Japanese Small Company Portfolio The Japanese Small Company Portfolio is designed 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, 2014, 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, 2014, total returns were 2.00% for the Portfolio and -0.24% for the MSCI Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in the Japanese equity market, rather than the behavior of a limited number of stocks. The Master Fund's greater exposure than the Index to micro cap stocks contributed to relative outperformance as micro caps generally outperformed during the period. This was partially offset by the Master Fund's exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Portfolio's relative performance. Differences in the valuation timing and methodology between the Master Fund and the Index also benefited 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. Asia Pacific Small Company Portfolio The Asia Pacific Small Company Portfolio is designed 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, 2014, the Master Fund held approximately 880 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, 2014, total returns were -3.84% for the Portfolio and -4.93% 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 trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. The Master Fund's exclusion of growth-oriented small cap stocks with low profitability contributed to relative performance as these stocks generally underperformed. This was partially offset by the Master Fund's exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Master Fund's relative performance. In addition, differences in the valuation timing and methodology between the Master Fund and the Index benefited 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. 25 United Kingdom Small Company Portfolio The United Kingdom Small Company Portfolio is designed 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, 2014, the Master Fund held approximately 320 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, 2014, total returns were 0.73% for the Portfolio and -0.49% 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 trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Master Fund excludes a number of growth-oriented small cap stocks with low profitability that were held by the Index. These stocks generally underperformed, contributing to the Portfolio's relative outperformance. Continental Small Company Portfolio The Continental Small Company Portfolio is designed 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, 2014, the Master Fund held approximately 1,180 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, 2014, total returns were -2.68% for the Portfolio and -3.31% 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 trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the period, the Portfolio's relative outperformance was primarily attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund 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, 2014, the Portfolio held approximately 240 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, 2014, total returns were 8.21% for the Portfolio and 6.81% 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 broad trends in international real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's relative outperformance. The Portfolio excludes certain securities from eligibility that the Index holds, such as initial public offerings and companies with a limited operating history. These securities generally underperformed and the exclusion of these securities by the Portfolio had a beneficial impact on the relative performance in the Portfolio. 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, 2014, 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 370 securities in 26 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. For the 12 months ended October 31, 2014, total returns were 14.98% for the Portfolio and 13.30% for the S&P Global REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was principally determined by broad trends in global real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index were a primary driver of the Portfolio's relative outperformance. The Portfolio excludes certain securities from eligibility that the Index holds, such as initial public offerings and companies with a limited operating history. These securities generally underperformed and the exclusion of these securities by the Portfolio had a beneficial impact on the relative performance in the Portfolio. DFA International Small Cap Value Portfolio The DFA International Small Cap Value Portfolio is designed to capture the returns of international small 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, 2014, the Portfolio held approximately 2,160 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, 2014, total returns were 0.13% for the Portfolio and -2.14% 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 trends in international equity markets rather than the behavior of a limited number of stocks. The Portfolio held a number of companies within the United Kingdom that were not in the Index due to differences in construction methodology. These companies outperformed, contributing to the Portfolio's relative outperformance. Within the small cap universe, the Portfolio's greater exposure to stocks with smaller capitalization within small cap universe also contributed to the Portfolio's relative outperformance as these stocks generally outperformed during the period. Differences in the valuation timing and methodology between the Portfolio and the Index also generally contributed to the Portfolio's relative outperformance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Vector Equity Portfolio The International Vector Equity Portfolio is designed to capture the returns of a broadly diversified basket of international stocks with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, 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, 2014, total returns were -1.05% for the Portfolio and -0.15% 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 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, other than growth-oriented mega cap securities, while the Index primarily holds large cap and mid-cap stocks. International small cap stocks generally underperformed international large cap and mid-cap stocks during the period, and the Portfolio's exposure to small cap stocks contributed to underperformance relative to the Index. The Portfolio's greater exposure than the Index to value stocks, particularly those in Canada, also detracted from relative performance as value stocks generally underperformed during the period. World ex U.S. Value Portfolio The World ex U.S. Value Portfolio is designed 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 27 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, 2014, the Underlying Funds collectively held approximately 4,800 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, 2014, total returns were -0.81% for the Portfolio and 0.06% 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 trends in the international and emerging equity markets rather than the behavior of a limited number of stocks. Underlying Funds, had greater exposure than the Index to value stocks. Value stocks, as measured by book-to-market ratios, generally underperformed during the period, which detracted from the Portfolio's relative performance. 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 underperformed large and mid-caps during the period, and the Portfolio's greater exposure to small caps detracted from the Portfolio's relative performance. The Underlying Funds' exclusion of real estate investment trusts (REITs) also detracted from the Portfolio's relative performance as REITs outperformed during the period. World ex U.S. Targeted Value Portfolio The World ex U.S. Targeted Value Portfolio is designed to capture the returns of small and mid-cap value stocks in international developed and emerging markets. The Portfolio may pursue its objective by holding direct securities, by purchasing shares of 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"), or by a combination of securities and Underlying Funds. For the 12 months ended October 31, 2014, the Portfolio only held Underlying Funds. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 8,300 securities. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2014, total returns were 0.06% for the Portfolio and -0.97% 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 trends in the international equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds' greater exposure than the Index to mid-cap stocks and value stocks, particularly in the United Kingdom, contributed to the Portfolio's relative outperformance. Due to differences in methodology, the two emerging markets Underlying Funds had a greater exposure than the Index to India, the highest-performing eligible market during the period, which contributed to relative performance. World ex U.S. Core Equity Portfolio The World ex U.S. Core Equity Portfolio is designed to capture the returns of a broadly diversified basket of international stocks in developed and emerging markets, with increased exposure to smaller company stocks and those with value characteristics as measured by book-to-market ratio. The Portfolio may pursue its objective by holding direct securities, by purchasing shares of funds managed by Dimensional: The International Core Equity Portfolio and the Emerging Markets Core Equity Portfolio (the "Underlying Funds"), or a combination of securities and Underlying Funds. For the 12 months ended October 31, 2014, the Portfolio only held Underlying Funds. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 8,800 securities in 43 eligible developed and emerging markets. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2014, total returns were -0.04% for the Portfolio and 0.06% 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 trends in the international equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds invest across all size categories while the Index primarily holds large and mid-cap stocks. Small cap stocks generally underperformed during the period, and the Underlying Funds' exposure to small cap stocks, particularly in Canada, contributed to the Portfolio's relative underperformance. The Underlying Funds' greater exposure than the Index to value stocks, as measured by book-to-market ratios also detracted from the Portfolio's relative performance as value stocks underperformed during the period. 28 World Core Equity Portfolio The World Core Equity Portfolio seeks long-term capital appreciation generally by investing in a combination of mutual funds managed by Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"). As of October 31, 2014, the Portfolio's investments include the U.S. Core Equity 1 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (collectively, the "Underlying Funds"). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 11,700 equity securities in 44 countries. For the 12 months ended October 31, 2014, total returns were 8.36% for the Portfolio and 7.77% 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 trends in global equity markets rather than the behavior of a limited group of stocks. The Underlying Funds had greater exposure than the Index to U.S. stocks, which was the primary contributor to relative outperformance as the U.S. was among the best-performing world markets during the period. The Underlying Funds had less exposure than the Index to emerging markets, which benefited relative performance as emerging markets generally 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 October 31, 2014, the mutual funds invested in by the Portfolio include the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Underlying Funds collectively held approximately 11,700 equity securities in 44 countries. For the 12 months ended October 31, 2014, total returns were 7.83% for the Portfolio and 7.77% 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 trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. The Portfolio's currency hedging in Japanese yen, euro, Swiss franc, and Danish krone benefited the Portfolio's performance relative to the Index. This was somewhat offset by the Portfolio's greater exposure than the Index to small cap stocks and emerging markets, which underperformed during the period and detracted from the Portfolio's relative performance. Emerging Markets Portfolio The Emerging Markets Portfolio is designed to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Master Fund held approximately 1,100 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, 2014, total returns were 1.33% for the Portfolio and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by broad trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio's relative performance benefited from the Master Fund's lower weight than the Index in Russia, among the lowest performing emerging markets during the period, and higher weight in India and Taiwan, among the best performing emerging markets during the period. The Master Fund excludes certain countries from eligibility that the Index holds, such as the UAE and Qatar. Both of these countries underperformed, and their exclusion contributed to the Portfolio's relative outperformance. Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Portfolio is designed 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 managed by Dimensional that invests in such securities. The Master Fund's investment strategy is process driven, 29 emphasizing broad diversification. As of October 31, 2014, the Master Fund held approximately 3,200 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, 2014, total returns were 5.12% for the Portfolio and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was principally determined by broad 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 outperformed emerging markets large caps over the period, and the Master Fund's greater exposure to small cap stocks, particularly those in India, contributed to relative outperformance. During the year ended October 31, 2014, the Master Fund did not invest in certain countries that the Index holds, such as the UAE, Qatar, and Russia. Russia underperformed significantly and, as it was excluded from the Master Fund, contributed to the Portfolio's relative performance. Emerging Markets Value Portfolio The Emerging Markets Value Portfolio is designed 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, a Master Fund managed by Dimensional 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, 2014, 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, 2014, total returns were -1.75% for the Portfolio's Class R2 shares, -1.51% for the Portfolio's Institutional Class shares, and 0.64% 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 trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund invests primarily in value stocks, as measured by book-to-market ratios, while the Index is neutral with regard to value stocks. Emerging markets value stocks generally underperformed during the period, which was the primary driver of the Portfolio's relative underperformance. Emerging Markets Core Equity Portfolio The Emerging Markets Core Equity Portfolio is designed 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, 2014, the Portfolio held approximately 4,000 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 Portfolio's assets. For the 12 months ended October 31, 2014, total returns were 1.89% for the Portfolio and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Portfolio's diversified approach, performance was generally determined by broad 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, particularly those in India, contributed to the Portfolio's relative outperformance. The Portfolio's smaller allocation than the Index to Russia, among the lowest performing emerging markets during the period, also contributed to the Portfolio's relative outperformance. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,081.40 0.23% $1.21 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.05 0.23% $1.17
31 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Equity Portfolio ------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,070.80 0.19% $0.99 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.25 0.19% $0.97 U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,056.10 0.27% $1.40 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 $1,018.80 0.47% $2.39 Class R2 Shares................. $1,000.00 $1,018.20 0.62% $3.15 Institutional Class Shares...... $1,000.00 $1,018.90 0.37% $1.88 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.84 0.47% $2.40 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 $1,021.90 0.52% $2.65 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 $1,062.50 0.19% $0.99 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 $1,054.20 0.22% $1.14 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 $1,042.80 0.32% $1.65 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63
32 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,039.60 0.37% $1.90 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.34 0.37% $1.89 U.S. Micro Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,032.70 0.52% $2.66 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 $1,104.30 0.18% $0.95 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 $ 957.20 0.28% $1.38 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 $ 938.50 0.38% $1.86 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 $ 919.10 0.53% $2.56 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 $1,047.00 0.54% $2.79 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 $ 961.70 0.55% $2.72 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80
33 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 921.90 0.58% $2.81 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.28 0.58% $2.96 Continental Small Company Portfolio** ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 848.90 0.55% $2.56 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.43 0.55% $2.80 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,036.80 0.38% $1.95 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.29 0.38% $1.94 DFA Global Real Estate Securities Portfolio*** ---------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,077.00 0.32% $1.68 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 $ 915.80 0.68% $3.28 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.78 0.68% $3.47 International Vector Equity Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 927.80 0.49% $2.38 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.74 0.49% $2.50 World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 955.20 0.54% $2.66 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.48 0.54% $2.75 World ex U.S. Targeted Value Portfolio*** ----------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 947.30 0.68% $3.34 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.78 0.68% $3.47
34 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- World ex U.S. Core Equity Portfolio*** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $ 959.30 0.47% $2.32 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.84 0.47% $2.40 World Core Equity Portfolio*** ------------------------------ Actual Fund Return Institutional Class Shares................... $1,000.00 $1,010.60 0.35% $1.77 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.44 0.35% $1.79 Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,021.60 0.40% $2.04 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 $1,036.80 0.56% $2.87 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.38 0.56% $2.85 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,031.70 0.72% $3.69 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.58 0.72% $3.67 Emerging Markets Value Portfolio** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $1,018.90 0.80% $4.07 Institutional Class Shares................... $1,000.00 $1,019.70 0.55% $2.80 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,021.17 0.80% $4.08 Institutional Class Shares................... $1,000.00 $1,022.43 0.55% $2.80
35 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,031.50 0.61% $3.12 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). 36 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 29, 2014. 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 Company's holdings which reflect the investments by category or country. FEEDER FUNDS
Affiliated Investment Companies ------------------------------- U.S. Large Cap Value Portfolio......... 100.0% Japanese Small Company Portfolio....... 100.0% Asia Pacific Small Company Portfolio... 100.0% United Kingdom Small Company Portfolio. 100.0% Continental Small Company Portfolio.... 100.0% Emerging Markets Portfolio............. 100.0% Emerging Markets Small Cap Portfolio... 100.0% Emerging Markets Value Portfolio....... 100.0%
37 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% World Core Equity Portfolio................. 100.0% Selectively Hedged Global Equity Portfolio.. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO Enhanced U.S Large Company Portfolio Corporate.................................... 20.8% Government................................... 40.8% Foreign Corporate............................ 15.7% Foreign Government........................... 16.0% Supranational................................ 6.7% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Large Cap Equity Portfolio Consumer Discretionary....................... 13.6% Consumer Staples............................. 8.5% Energy....................................... 10.5% Financials................................... 13.4% Health Care.................................. 12.9% Industrials.................................. 12.8% Information Technology....................... 18.3% Materials.................................... 4.5% Other........................................ -- Telecommunication Services................... 3.0% Utilities.................................... 2.5% ----- 100.0%
U.S. Targeted Value Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 2.8% Energy....................................... 8.7% Financials................................... 25.4% Health Care.................................. 6.6% Industrials.................................. 18.0% Information Technology....................... 14.2% Materials.................................... 7.9% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.4% Utilities.................................... 0.7% ----- 100.0%
U.S. Small Cap Value Portfolio Consumer Discretionary....................... 14.8% Consumer Staples............................. 3.1% Energy....................................... 9.8% Financials................................... 26.2% Health Care.................................. 5.9% Industrials.................................. 18.4% Information Technology....................... 14.8% Materials.................................... 6.4% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.4% Utilities.................................... 0.1% ----- 100.0%
U.S. Core Equity 1 Portfolio Consumer Discretionary....................... 14.9% Consumer Staples............................. 7.6% Energy....................................... 9.4% Financials................................... 14.8% Health Care.................................. 11.6% Industrials.................................. 13.4% Information Technology....................... 17.8% Materials.................................... 5.0% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.6% Utilities.................................... 2.9% ----- 100.0%
U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 6.1% Energy....................................... 11.1% Financials................................... 17.0% Health Care.................................. 10.9% Industrials.................................. 14.4% Information Technology....................... 16.1% Materials.................................... 5.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.8% Utilities.................................... 2.0% ----- 100.0%
U.S. Vector Equity Portfolio Consumer Discretionary....................... 14.0% Consumer Staples............................. 4.4% Energy....................................... 11.1% Financials................................... 23.5% Health Care.................................. 8.2% Industrials.................................. 14.8% Information Technology....................... 13.9% Materials.................................... 6.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.7% Utilities.................................... 1.3% ----- 100.0%
38 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED U.S. Small Cap Portfolio Consumer Discretionary....................... 17.1% Consumer Staples............................. 3.9% Energy....................................... 4.9% Financials................................... 17.5% Health Care.................................. 9.9% Industrials.................................. 17.7% Information Technology....................... 18.8% Materials.................................... 5.7% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.7% Utilities.................................... 3.7% ----- 100.0%
U.S. Micro Cap Portfolio Consumer Discretionary....................... 18.6% Consumer Staples............................. 4.0% Energy....................................... 4.4% Financials................................... 17.6% Health Care.................................. 10.1% Industrials.................................. 18.8% Information Technology....................... 17.9% Materials.................................... 5.5% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.3% Utilities.................................... 1.8% ----- 100.0%
DFA Real Estate Securities Portfolio Real Estate Investment Trusts................ 100.0% ----- 100.0%
Large Cap International Portfolio Consumer Discretionary....................... 12.0% Consumer Staples............................. 10.2% Energy....................................... 8.4% Financials................................... 24.2% Health Care.................................. 9.9% Industrials.................................. 12.9% Information Technology....................... 4.4% Materials.................................... 9.3% Other........................................ -- Telecommunication Services................... 4.8% Utilities.................................... 3.9% ----- 100.0%
International Core Equity Portfolio Consumer Discretionary....................... 14.9% Consumer Staples............................. 7.8% Energy....................................... 8.9% Financials................................... 21.6% Health Care.................................. 6.3% Industrials.................................. 16.6% Information Technology....................... 5.7% Materials.................................... 11.2% Other........................................ -- Telecommunication Services................... 3.7% Utilities.................................... 3.3% ----- 100.0%
DFA International Real Estate Securities Portfolio Consumer Staples............................. -- Financials................................... 0.3% Real Estate Investment Trusts................ 99.7% ----- 100.0%
DFA International Small Cap Value Portfolio Consumer Discretionary....................... 21.4% Consumer Staples............................. 3.8% Energy....................................... 4.2% Financials................................... 21.2% Health Care.................................. 1.7% Industrials.................................. 25.7% Information Technology....................... 5.6% Materials.................................... 15.7% Other........................................ -- Telecommunication Services................... 0.2% Utilities.................................... 0.5% ----- 100.0%
International Vector Equity Portfolio Consumer Discretionary....................... 15.0% Consumer Staples............................. 6.4% Energy....................................... 8.1% Financials................................... 23.4% Health Care.................................. 5.2% Industrials.................................. 18.0% Information Technology....................... 6.4% Materials.................................... 12.3% Other........................................ -- Telecommunication Services................... 2.7% Utilities.................................... 2.5% ----- 100.0%
Emerging Markets Core Equity Portfolio Consumer Discretionary....................... 11.4% Consumer Staples............................. 7.7% Energy....................................... 7.3% Financials................................... 24.5% Health Care.................................. 2.9% Industrials.................................. 10.7% Information Technology....................... 16.1% Materials.................................... 10.5% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 5.1% Utilities.................................... 3.8% ----- 100.0%
39 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Face Amount^ Value+ ------- ------ (000) BONDS -- (54.2%) AUSTRALIA -- (1.3%) Commonwealth Bank of Australia 3.875%, 12/14/15............................. GBP 1,015 $ 1,675,810 Rio Tinto Finance USA, Ltd. 2.250%, 09/20/16............................. 1,000 1,022,383 ------------ TOTAL AUSTRALIA.................................. 2,698,193 ------------ CANADA -- (10.8%) Export Development Canada 1.250%, 10/26/16............................. 3,135 3,170,914 Ontario, Province of Canada 1.000%, 07/22/16............................. 4,000 4,018,316 1.600%, 09/21/16............................. 2,000 2,032,196 Royal Bank of Canada 3.360%, 01/11/16............................. CAD 5,000 4,528,504 1.450%, 09/09/16............................. 1,000 1,009,830 Toronto-Dominion Bank (The) 2.375%, 10/19/16............................. 5,900 6,084,806 TransAlta Corp. 4.750%, 01/15/15............................. 925 932,264 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 1,500 1,524,264 ------------ TOTAL CANADA..................................... 23,301,094 ------------ FINLAND -- (1.4%) Municipality Finance P.L.C. 2.375%, 05/16/16............................. 3,000 3,085,152 ------------ FRANCE -- (2.1%) Reseau Ferre de France 2.375%, 12/23/15............................. GBP 2,784 4,535,156 ------------ GERMANY -- (2.3%) KFW 1.750%, 01/22/16............................. GBP 3,000 4,859,666 ------------ JAPAN -- (0.3%) Nomura Holdings, Inc. # 2.000%, 09/13/16............................. 540 546,794 ------------ NETHERLANDS -- (5.4%) Bank Nederlandse Gemeenten NV 1.125%, 09/12/16............................. 5,000 5,042,350 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 2.125%, 10/13/15............................. 5,469 5,556,952 Deutsche Telekom International Finance BV 5.750%, 03/23/16............................. 880 937,510 ------------ TOTAL NETHERLANDS................................ 11,536,812 ------------
Face Amount^ Value+ ------- ------ (000) NORWAY -- (2.3%) Kommunalbanken A.S. 0.875%, 10/03/16............................. $ 5,000 $ 5,020,770 ------------ SPAIN -- (0.3%) Telefonica Emisiones SAU 6.421%, 06/20/16............................. 584 633,693 ------------ SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.6%) Council Of Europe Development Bank 1.250%, 09/22/16............................. 5,000 5,058,340 European Bank for Reconstruction & Development 1.375%, 10/20/16............................. 4,000 4,060,444 European Investment Bank 1.250%, 10/14/16............................. 5,000 5,060,200 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 14,178,984 ------------ SWEDEN -- (2.7%) Nordea Bank AB 3.875%, 12/15/15............................. GBP 2,000 3,302,671 Svenska Handelsbanken AB 3.125%, 07/12/16............................. 2,391 2,483,446 ------------ TOTAL SWEDEN..................................... 5,786,117 ------------ UNITED KINGDOM -- (2.3%) Barclays Bank P.L.C. 5.000%, 09/22/16............................. 1,000 1,073,523 Ensco P.L.C. 3.250%, 03/15/16............................. 1,155 1,187,634 Network Rail Infrastructure Finance P.L.C. 1.250%, 08/31/16............................. 2,000 2,023,264 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 700 709,989 ------------ TOTAL UNITED KINGDOM............................. 4,994,410 ------------ UNITED STATES -- (16.4%) Amgen, Inc. 4.850%, 11/18/14............................. 1,600 1,602,565 Anadarko Petroleum Corp. 5.950%, 09/15/16............................. 1,000 1,086,737 AT&T, Inc. # 2.950%, 05/15/16............................. 1,489 1,535,874 Bank of America Corp. 3.625%, 03/17/16............................. 1,000 1,035,379
40 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Baxter International, Inc. 5.900%, 09/01/16............................. $ 1,000 $ 1,088,986 Boston Scientific Corp. 6.400%, 06/15/16............................. 1,000 1,083,028 Citigroup, Inc. 1.300%, 04/01/16............................. 1,000 1,004,578 CNA Financial Corp. 5.850%, 12/15/14............................. 1,000 1,005,676 Comerica, Inc. 3.000%, 09/16/15............................. 1,000 1,020,384 Constellation Energy Group, Inc. 4.550%, 06/15/15............................. 1,000 1,022,547 Daimler Finance North America LLC 1.450%, 08/01/16............................. 1,000 1,006,505 EOG Resources, Inc. 2.500%, 02/01/16............................. 1,000 1,021,145 Express Scripts Holding Co. 2.100%, 02/12/15............................. 1,000 1,004,031 Ford Motor Credit Co. LLC 3.984%, 06/15/16............................. 1,000 1,044,426 Freeport-McMoRan, Inc. 1.400%, 02/13/15............................. 500 500,796 Goldman Sachs Group, Inc. (The) # 5.125%, 01/15/15............................. 894 901,501 Hewlett-Packard Co. 3.000%, 09/15/16............................. 1,000 1,032,813 HSBC USA, Inc. 2.375%, 02/13/15............................. 1,000 1,005,554 International Paper Co. 5.300%, 04/01/15............................. 517 526,569 Johnson Controls, Inc. 5.500%, 01/15/16............................. 1,000 1,056,351 JPMorgan Chase & Co. 1.125%, 02/26/16............................. 1,500 1,503,768 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 800 829,645 MetLife, Inc. # 6.750%, 06/01/16............................. 1,000 1,091,509 Mondelez International, Inc. 4.125%, 02/09/16............................. 689 716,961 Morgan Stanley 4.200%, 11/20/14............................. 1,500 1,502,515 National City Corp. 4.900%, 01/15/15............................. 1,500 1,512,616 NextEra Energy Capital Holdings, Inc. 1.200%, 06/01/15............................. 1,000 1,004,222 Prudential Financial, Inc. 3.000%, 05/12/16............................. 710 732,328 Quest Diagnostics, Inc. 3.200%, 04/01/16............................. 500 514,806 Stryker Corp. 2.000%, 09/30/16............................. 1,000 1,021,826 Waste Management, Inc. 2.600%, 09/01/16............................. 605 623,142
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Wells Fargo & Co. 3.676%, 06/15/16............................. $ 1,500 $ 1,567,908 Williams Partners L.P. 3.800%, 02/15/15............................. 1,000 1,008,246 Xerox Corp. 4.250%, 02/15/15............................. 1,000 1,010,372 ------------ TOTAL UNITED STATES................................ 35,225,309 ------------ TOTAL BONDS........................................ 116,402,150 ------------ AGENCY OBLIGATIONS -- (2.4%) Federal Home Loan Bank 0.625%, 10/14/16............................. 2,000 2,001,630 Federal National Mortgage Association 5.250%, 09/15/16............................. 3,000 3,260,085 ------------ TOTAL AGENCY OBLIGATIONS........................... 5,261,715 ------------ U.S. TREASURY OBLIGATIONS -- (38.0%) U.S. Treasury Notes 0.625%, 08/15/16............................. 27,700 27,795,232 ^^ 1.000%, 08/31/16............................. 13,500 13,633,947 1.000%, 09/30/16............................. 17,000 17,163,353 0.625%, 10/15/16............................. 23,000 23,057,500 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................... 81,650,032 ------------ Shares ------ - EXCHANGE-TRADED FUNDS -- (4.1%) UNITED STATES -- (4.1%) SPDR S&P 500 ETF Trust....................... 44,100 8,893,206 ------------ SECURITIES LENDING COLLATERAL -- (1.3%) (S)@ DFA Short Term Investment Fund............... 238,351 2,757,720 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $210,691,819).............................. $214,964,823 ============
41 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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.............................. -- $ 2,698,193 -- $ 2,698,193 Canada................................. -- 23,301,094 -- 23,301,094 Finland................................ -- 3,085,152 -- 3,085,152 France................................. -- 4,535,156 -- 4,535,156 Germany................................ -- 4,859,666 -- 4,859,666 Japan.................................. -- 546,794 -- 546,794 Netherlands............................ -- 11,536,812 -- 11,536,812 Norway................................. -- 5,020,770 -- 5,020,770 Spain.................................. -- 633,693 -- 633,693 Supranational Organization Obligations. -- 14,178,984 -- 14,178,984 Sweden................................. -- 5,786,117 -- 5,786,117 United Kingdom......................... -- 4,994,410 -- 4,994,410 United States.......................... -- 35,225,309 -- 35,225,309 Agency Obligations....................... -- 5,261,715 -- 5,261,715 U.S. Treasury Obligations................ -- 81,650,032 -- 81,650,032 Exchange-Traded Funds.................... $ 8,893,206 -- -- 8,893,206 Securities Lending Collateral............ -- 2,757,720 -- 2,757,720 Futures Contracts**...................... 7,062,050 -- -- 7,062,050 Forward Currency Contracts**............. -- 205,165 -- 205,165 ----------- ------------ -- ------------ TOTAL.................................... $15,955,256 $206,276,782 -- $222,232,038 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 42 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (96.1%) Consumer Discretionary -- (13.1%) * Amazon.com, Inc................... 4,446 $ 1,358,075 0.5% Comcast Corp. Class A............. 36,774 2,035,441 0.7% Home Depot, Inc. (The)............ 17,150 1,672,468 0.6% McDonald's Corp................... 11,845 1,110,232 0.4% Walt Disney Co. (The)............. 18,805 1,718,401 0.6% Other Securities.................. 27,867,546 10.2% ------------- ------ Total Consumer Discretionary.......... 35,762,163 13.0% ------------- ------ Consumer Staples -- (8.2%) Altria Group, Inc................. 24,603 1,189,309 0.4% Coca-Cola Co. (The)............... 42,618 1,784,842 0.6% CVS Health Corp................... 13,994 1,200,825 0.4% PepsiCo, Inc...................... 19,005 1,827,711 0.7% Philip Morris International, Inc.. 14,261 1,269,372 0.5% Procter & Gamble Co. (The)........ 27,067 2,362,137 0.9% Wal-Mart Stores, Inc.............. 22,938 1,749,481 0.6% Other Securities.................. 10,931,996 4.0% ------------- ------ Total Consumer Staples................ 22,315,673 8.1% ------------- ------ Energy -- (10.1%) Chevron Corp...................... 23,416 2,808,749 1.0% ConocoPhillips.................... 18,400 1,327,560 0.5% Exxon Mobil Corp.................. 62,574 6,051,532 2.2% Occidental Petroleum Corp......... 11,668 1,037,635 0.4% Schlumberger, Ltd................. 14,816 1,461,747 0.5% Other Securities.................. 14,788,147 5.4% ------------- ------ Total Energy.......................... 27,475,370 10.0% ------------- ------ Financials -- (12.8%) American Express Co............... 11,888 1,069,326 0.4% Bank of America Corp.............. 86,309 1,481,062 0.5% * Berkshire Hathaway, Inc. Class B.. 17,818 2,497,371 0.9% Citigroup, Inc.................... 29,395 1,573,514 0.6% JPMorgan Chase & Co............... 33,159 2,005,456 0.7% Wells Fargo & Co.................. 61,070 3,242,206 1.2% Other Securities.................. 23,217,243 8.5% ------------- ------ Total Financials...................... 35,086,178 12.8% ------------- ------ Health Care -- (12.4%) AbbVie, Inc....................... 20,088 1,274,785 0.5% Amgen, Inc........................ 7,761 1,258,679 0.5% * Celgene Corp...................... 9,989 1,069,722 0.4% * Gilead Sciences, Inc.............. 19,245 2,155,440 0.8% Johnson & Johnson................. 33,864 3,649,862 1.3% Merck & Co., Inc.................. 33,588 1,946,089 0.7% Pfizer, Inc....................... 76,538 2,292,313 0.8% UnitedHealth Group, Inc........... 14,297 1,358,358 0.5% Other Securities.................. 18,776,664 6.8% ------------- ------ Total Health Care..................... 33,781,912 12.3% ------------- ------ Industrials -- (12.3%) 3M Co............................. 7,847 1,206,633 0.4% Boeing Co. (The).................. 8,269 1,032,881 0.4% General Electric Co............... 89,353 2,306,201 0.8%
43 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Union Pacific Corp................................. 14,231 $ 1,657,200 0.6% United Technologies Corp........................... 9,890 1,058,230 0.4% Other Securities................................... 26,347,846 9.6% ------------- ------ Total Industrials........................................ 33,608,991 12.2% ------------- ------ Information Technology -- (17.6%) Apple, Inc......................................... 70,637 7,628,796 2.8% Cisco Systems, Inc................................. 59,304 1,451,169 0.5% * Facebook, Inc. Class A............................. 19,266 1,444,757 0.5% * Google, Inc. Class A............................... 2,280 1,294,744 0.5% Hewlett-Packard Co................................. 34,381 1,233,590 0.5% Intel Corp......................................... 84,793 2,883,810 1.1% International Business Machines Corp............... 11,603 1,907,533 0.7% MasterCard, Inc. Class A........................... 12,582 1,053,742 0.4% Microsoft Corp..................................... 90,359 4,242,355 1.6% Oracle Corp........................................ 48,032 1,875,650 0.7% QUALCOMM, Inc...................................... 16,646 1,306,877 0.5% Visa, Inc. Class A................................. 4,507 1,088,125 0.4% Other Securities................................... 20,674,968 7.3% ------------- ------ Total Information Technology............................. 48,086,116 17.5% ------------- ------ Materials -- (4.3%) Other Securities................................... 11,708,514 4.2% ------------- ------ Telecommunication Services -- (2.9%) AT&T, Inc.......................................... 98,170 3,420,243 1.2% Verizon Communications, Inc........................ 62,067 3,118,867 1.1% Other Securities................................... 1,379,894 0.6% ------------- ------ Total Telecommunication Services......................... 7,919,004 2.9% ------------- ------ Utilities -- (2.4%) Other Securities................................... 6,503,570 2.4% ------------- ------ TOTAL COMMON STOCKS...................................... 262,247,491 95.4% ------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 165 0.0% ------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077%. 1,461,806 1,461,806 0.5% ------------- ------ SECURITIES LENDING COLLATERAL -- (3.4%) (S)@ DFA Short Term Investment Fund..................... 803,831 9,300,329 3.4% ------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $237,614,016).................................. $ 273,009,791 99.3% ============= ======
44 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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...... $ 35,762,163 -- -- $ 35,762,163 Consumer Staples............ 22,315,673 -- -- 22,315,673 Energy...................... 27,475,370 -- -- 27,475,370 Financials.................. 35,086,178 -- -- 35,086,178 Health Care................. 33,781,912 -- -- 33,781,912 Industrials................. 33,608,991 -- -- 33,608,991 Information Technology...... 48,086,116 -- -- 48,086,116 Materials................... 11,708,514 -- -- 11,708,514 Telecommunication Services.. 7,919,004 -- -- 7,919,004 Utilities................... 6,503,570 -- -- 6,503,570 Rights/Warrants............... -- $ 165 -- 165 Temporary Cash Investments.... 1,461,806 -- -- 1,461,806 Securities Lending Collateral. -- 9,300,329 -- 9,300,329 ------------ ---------- -- ------------ TOTAL......................... $263,709,297 $9,300,494 -- $273,009,791 ============ ========== == ============
See accompanying Notes to Financial Statements. 45 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company..................... $15,138,175,654 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $9,823,414,415)............................. $15,138,175,654 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 46 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.3%) Consumer Discretionary -- (12.0%) # Dillard's, Inc. Class A................ 211,147 $ 22,330,907 0.4% # GameStop Corp. Class A................. 635,798 27,186,722 0.5% Graham Holdings Co. Class B............ 31,543 24,717,095 0.4% Lear Corp.............................. 248,685 23,003,362 0.4% * Live Nation Entertainment, Inc......... 924,308 24,032,008 0.4% PulteGroup, Inc........................ 1,118,270 21,459,601 0.4% # Wendy's Co. (The)...................... 2,361,897 18,942,414 0.3% Other Securities....................... 634,414,099 11.4% -------------- ------ Total Consumer Discretionary............... 796,086,208 14.2% -------------- ------ Consumer Staples -- (2.4%) Other Securities....................... 156,066,914 2.8% -------------- ------ Energy -- (7.3%) Nabors Industries, Ltd................. 1,097,257 19,586,037 0.4% Tesoro Corp............................ 315,473 22,527,927 0.4% Other Securities....................... 444,064,376 7.9% -------------- ------ Total Energy............................... 486,178,340 8.7% -------------- ------ Financials -- (21.4%) Allied World Assurance Co. Holdings AG. 518,010 19,684,380 0.4% American Financial Group, Inc.......... 465,774 27,867,258 0.5% Assurant, Inc.......................... 471,974 32,198,066 0.6% Axis Capital Holdings, Ltd............. 606,646 29,203,938 0.5% CNO Financial Group, Inc............... 1,174,038 21,285,309 0.4% * E*TRADE Financial Corp................. 1,292,524 28,823,285 0.5% * Genworth Financial, Inc. Class A....... 1,716,485 24,013,625 0.4% Legg Mason, Inc........................ 731,595 38,042,940 0.7% # NASDAQ OMX Group, Inc. (The)........... 858,799 37,151,645 0.7% # New York Community Bancorp, Inc........ 1,321,540 21,078,563 0.4% PartnerRe, Ltd......................... 321,083 37,146,092 0.7% # People's United Financial, Inc......... 1,543,963 22,572,739 0.4% Protective Life Corp................... 427,997 29,822,831 0.5% Reinsurance Group of America, Inc...... 325,844 27,452,357 0.5% Zions Bancorporation................... 948,371 27,474,308 0.5% Other Securities....................... 990,191,759 17.6% -------------- ------ Total Financials........................... 1,414,009,095 25.3% -------------- ------ Health Care -- (5.6%) * Community Health Systems, Inc.......... 490,559 26,966,028 0.5% Omnicare, Inc.......................... 597,354 39,777,803 0.7% Other Securities....................... 302,719,333 5.4% -------------- ------ Total Health Care.......................... 369,463,164 6.6% -------------- ------ Industrials -- (15.1%) # ADT Corp. (The)........................ 528,226 18,931,620 0.3% Alaska Air Group, Inc.................. 430,272 22,903,379 0.4% AMERCO................................. 84,246 22,840,776 0.4% * Avis Budget Group, Inc................. 665,365 37,094,099 0.7% Owens Corning.......................... 624,093 20,008,422 0.4% * Quanta Services, Inc................... 631,307 21,514,943 0.4% Ryder System, Inc...................... 309,611 27,391,285 0.5% # Trinity Industries, Inc................ 970,590 34,659,769 0.6% Other Securities....................... 796,454,228 14.2% -------------- ------ Total Industrials.......................... 1,001,798,521 17.9% -------------- ------
47 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Information Technology -- (12.0%) * AOL, Inc........................................... 435,272 $ 18,947,390 0.4% * Arrow Electronics, Inc............................. 510,838 29,046,249 0.5% Avnet, Inc......................................... 659,675 28,530,944 0.5% Brocade Communications Systems, Inc................ 1,765,119 18,939,727 0.4% #* First Solar, Inc................................... 629,345 37,068,421 0.7% * Ingram Micro, Inc. Class A......................... 789,039 21,177,807 0.4% Marvell Technology Group, Ltd...................... 1,483,327 19,935,915 0.4% #* TriQuint Semiconductor, Inc........................ 976,471 21,121,068 0.4% Other Securities................................... 596,069,380 10.5% -------------- ------ Total Information Technology............................. 790,836,901 14.2% -------------- ------ Materials -- (6.7%) MeadWestvaco Corp.................................. 537,108 23,724,060 0.4% Reliance Steel & Aluminum Co....................... 417,707 28,186,868 0.5% Rock-Tenn Co. Class A.............................. 434,562 22,227,846 0.4% Steel Dynamics, Inc................................ 945,483 21,755,564 0.4% # United States Steel Corp........................... 669,436 26,804,218 0.5% Other Securities................................... 319,063,796 5.7% -------------- ------ Total Materials.......................................... 441,762,352 7.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 2,114,063 0.0% -------------- ------ Telecommunication Services -- (1.2%) # Frontier Communications Corp....................... 3,065,958 20,051,365 0.4% Windstream Holdings, Inc........................... 1,773,692 18,588,292 0.3% Other Securities................................... 40,119,949 0.7% -------------- ------ Total Telecommunication Services......................... 78,759,606 1.4% -------------- ------ Utilities -- (0.6%) UGI Corp........................................... 674,196 25,410,447 0.5% Other Securities................................... 11,648,079 0.2% -------------- ------ Total Utilities.......................................... 37,058,526 0.7% -------------- ------ TOTAL COMMON STOCKS...................................... 5,574,133,690 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 684,400 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.077%. 14,280,341 14,280,341 0.3% -------------- ------ SECURITIES LENDING COLLATERAL -- (15.5%) (S)@ DFA Short Term Investment Fund..................... 88,553,047 1,024,558,755 18.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,163,316,060)................................ $6,613,657,186 118.3% ============== ======
48 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 796,086,208 -- -- $ 796,086,208 Consumer Staples.............. 156,066,914 -- -- 156,066,914 Energy........................ 486,178,340 -- -- 486,178,340 Financials.................... 1,413,977,485 $ 31,610 -- 1,414,009,095 Health Care................... 369,362,357 100,807 -- 369,463,164 Industrials................... 1,001,796,859 1,662 -- 1,001,798,521 Information Technology........ 790,836,901 -- -- 790,836,901 Materials..................... 441,762,352 -- -- 441,762,352 Other......................... -- -- -- -- Real Estate Investment Trusts. 2,114,063 -- -- 2,114,063 Telecommunication Services.... 78,759,606 -- -- 78,759,606 Utilities..................... 37,058,526 -- -- 37,058,526 Rights/Warrants................. -- 684,400 -- 684,400 Temporary Cash Investments...... 14,280,341 -- -- 14,280,341 Securities Lending Collateral... -- 1,024,558,755 -- 1,024,558,755 -------------- -------------- -- -------------- TOTAL........................... $5,588,279,952 $1,025,377,234 -- $6,613,657,186 ============== ============== == ==============
See accompanying Notes to Financial Statements. 49 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.7%) Consumer Discretionary -- (12.6%) DeVry Education Group, Inc.................. 1,167,715 $ 56,529,083 0.5% # Group 1 Automotive, Inc..................... 725,621 61,989,802 0.5% #* Iconix Brand Group, Inc..................... 1,920,147 76,825,081 0.7% * Live Nation Entertainment, Inc.............. 2,423,838 63,019,788 0.6% Penske Automotive Group, Inc................ 1,250,616 56,577,868 0.5% # Rent-A-Center, Inc.......................... 1,897,433 58,763,500 0.5% #* Skechers U.S.A., Inc. Class A............... 1,138,657 62,341,471 0.6% Other Securities............................ 1,263,610,471 10.9% ---------------- ------ Total Consumer Discretionary.................... 1,699,657,064 14.8% ---------------- ------ Consumer Staples -- (2.6%) # Fresh Del Monte Produce, Inc................ 1,715,825 55,095,141 0.5% * Seaboard Corp............................... 18,588 57,118,507 0.5% Other Securities............................ 247,049,561 2.1% ---------------- ------ Total Consumer Staples.......................... 359,263,209 3.1% ---------------- ------ Energy -- (8.3%) # Bristow Group, Inc.......................... 1,356,710 100,260,869 0.9% Delek US Holdings, Inc...................... 1,710,914 57,982,875 0.5% # Exterran Holdings, Inc...................... 2,454,125 96,520,736 0.8% * Helix Energy Solutions Group, Inc........... 3,813,585 101,593,904 0.9% Other Securities............................ 764,433,406 6.6% ---------------- ------ Total Energy.................................... 1,120,791,790 9.7% ---------------- ------ Financials -- (22.2%) # American Equity Investment Life Holding Co.. 2,251,258 58,104,969 0.5% # Argo Group International Holdings, Ltd...... 1,019,162 56,869,240 0.5% Aspen Insurance Holdings, Ltd............... 1,361,886 59,419,086 0.5% CNO Financial Group, Inc.................... 8,472,447 153,605,464 1.3% Endurance Specialty Holdings, Ltd........... 1,449,804 84,016,142 0.7% # First American Financial Corp............... 2,056,410 62,350,351 0.5% # Hanover Insurance Group, Inc. (The)......... 1,202,555 80,499,032 0.7% # Kemper Corp................................. 1,693,849 62,418,336 0.5% * MBIA, Inc................................... 6,839,686 66,755,335 0.6% # Montpelier Re Holdings, Ltd................. 1,977,273 65,526,827 0.6% Platinum Underwriters Holdings, Ltd......... 978,955 61,311,952 0.5% StanCorp Financial Group, Inc............... 765,879 53,274,543 0.5% Susquehanna Bancshares, Inc................. 6,432,807 63,105,837 0.6% Umpqua Holdings Corp........................ 4,077,772 71,768,787 0.6% # Washington Federal, Inc..................... 2,520,952 55,032,382 0.5% # Webster Financial Corp...................... 2,558,326 80,177,937 0.7% # Wintrust Financial Corp..................... 1,440,940 66,744,341 0.6% Other Securities............................ 1,797,834,756 15.6% ---------------- ------ Total Financials................................ 2,998,815,317 26.0% ---------------- ------ Health Care -- (5.0%) * LifePoint Hospitals, Inc.................... 1,892,213 132,454,910 1.2% Other Securities............................ 543,509,310 4.7% ---------------- ------ Total Health Care............................... 675,964,220 5.9% ---------------- ------
50 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (15.6%) AMERCO............................................. 343,691 $ 93,181,504 0.8% * Avis Budget Group, Inc............................. 1,480,212 82,521,819 0.7% # Covanta Holding Corp............................... 2,570,277 56,726,013 0.5% #* Esterline Technologies Corp........................ 1,145,345 134,131,353 1.2% # GATX Corp.......................................... 1,763,892 111,830,753 1.0% #* JetBlue Airways Corp............................... 10,893,799 125,714,440 1.1% Other Securities................................... 1,509,828,968 13.1% ---------------- ------ Total Industrials........................................ 2,113,934,850 18.4% ---------------- ------ Information Technology -- (12.6%) * Benchmark Electronics, Inc......................... 2,299,623 54,547,058 0.5% * CACI International, Inc. Class A................... 845,691 69,591,912 0.6% # Convergys Corp..................................... 3,909,664 78,857,923 0.7% #* Fairchild Semiconductor International, Inc......... 4,155,476 63,786,557 0.6% * International Rectifier Corp....................... 1,786,838 71,062,547 0.6% * Sanmina Corp....................................... 2,283,569 57,249,075 0.5% # SYNNEX Corp........................................ 1,287,443 89,065,307 0.8% * Tech Data Corp..................................... 1,092,101 65,220,272 0.6% * TriQuint Semiconductor, Inc........................ 3,614,088 78,172,723 0.7% # Vishay Intertechnology, Inc........................ 4,997,422 67,515,171 0.6% Other Securities................................... 1,006,245,740 8.6% ---------------- ------ Total Information Technology............................. 1,701,314,285 14.8% ---------------- ------ Materials -- (5.4%) * Century Aluminum Co................................ 2,669,590 78,165,595 0.7% * Graphic Packaging Holding Co....................... 5,789,957 70,232,178 0.6% #* Louisiana-Pacific Corp............................. 5,449,807 79,567,182 0.7% Other Securities................................... 499,052,510 4.3% ---------------- ------ Total Materials.......................................... 727,017,465 6.3% ---------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 6,698,817 0.1% ---------------- ------ Telecommunication Services -- (0.3%)..................... Other Securities................................... 45,160,722 0.4% ---------------- ------ Utilities -- (0.1%) Other Securities................................... 14,950,957 0.1% ---------------- ------ TOTAL COMMON STOCKS...................................... 11,463,568,696 99.6% ---------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 2,469,350 0.0% ---------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077%. 60,521,987 60,521,987 0.5% ---------------- ------ SECURITIES LENDING COLLATERAL -- (14.9%) (S)@ DFA Short Term Investment Fund..................... 173,376,578 2,005,967,006 17.4% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,254,873,984)............................... $ 13,532,527,039 117.5% ================ ======
51 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 1,699,657,064 -- -- $ 1,699,657,064 Consumer Staples.............. 359,263,209 -- -- 359,263,209 Energy........................ 1,120,791,790 -- -- 1,120,791,790 Financials.................... 2,998,605,317 $ 210,000 -- 2,998,815,317 Health Care................... 675,878,642 85,578 -- 675,964,220 Industrials................... 2,113,925,345 9,505 -- 2,113,934,850 Information Technology........ 1,701,314,285 -- -- 1,701,314,285 Materials..................... 727,017,465 -- -- 727,017,465 Other......................... -- -- -- -- Real Estate Investment Trusts. 6,698,817 -- -- 6,698,817 Telecommunication Services.... 45,160,722 -- -- 45,160,722 Utilities..................... 14,950,957 -- -- 14,950,957 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 2,469,350 -- 2,469,350 Temporary Cash Investments...... 60,521,987 -- -- 60,521,987 Securities Lending Collateral... -- 2,005,967,006 -- 2,005,967,006 --------------- -------------- -- --------------- TOTAL........................... $11,523,785,600 $2,008,741,439 -- $13,532,527,039 =============== ============== == ===============
See accompanying Notes to Financial Statements. 52 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (89.6%) Consumer Discretionary -- (13.3%) * Amazon.com, Inc................... 149,526 $ 45,674,212 0.4% Comcast Corp. Class A............. 974,084 53,915,549 0.5% Home Depot, Inc. (The)............ 626,547 61,100,863 0.6% McDonald's Corp................... 454,169 42,569,260 0.4% Walt Disney Co. (The)............. 510,608 46,659,359 0.4% Other Securities.................. 1,347,531,566 12.5% ---------------- ------ Total Consumer Discretionary.......... 1,597,450,809 14.8% ---------------- ------ Consumer Staples -- (6.8%) Altria Group, Inc................. 906,345 43,812,717 0.4% Coca-Cola Co. (The)............... 1,535,652 64,313,106 0.6% CVS Health Corp................... 420,555 36,087,825 0.3% PepsiCo, Inc...................... 703,432 67,649,055 0.6% Philip Morris International, Inc.. 477,515 42,503,610 0.4% Procter & Gamble Co. (The)........ 655,390 57,195,885 0.5% Wal-Mart Stores, Inc.............. 707,960 53,996,109 0.5% Other Securities.................. 453,293,802 4.3% ---------------- ------ Total Consumer Staples................ 818,852,109 7.6% ---------------- ------ Energy -- (8.4%) Chevron Corp...................... 731,435 87,735,628 0.8% ConocoPhillips.................... 562,318 40,571,244 0.4% EOG Resources, Inc................ 365,806 34,769,860 0.3% Exxon Mobil Corp.................. 1,900,383 183,786,040 1.7% Occidental Petroleum Corp......... 424,457 37,746,961 0.4% Schlumberger, Ltd................. 396,427 39,111,488 0.4% Other Securities.................. 586,689,198 5.4% ---------------- ------ Total Energy.......................... 1,010,410,419 9.4% ---------------- ------ Financials -- (13.3%) American Express Co............... 440,616 39,633,409 0.4% Bank of America Corp.............. 3,795,646 65,133,285 0.6% * Berkshire Hathaway, Inc. Class B.. 582,608 81,658,337 0.8% Citigroup, Inc.................... 1,092,668 58,490,518 0.6% JPMorgan Chase & Co............... 1,455,716 88,041,704 0.8% Wells Fargo & Co.................. 1,814,636 96,339,025 0.9% Other Securities.................. 1,163,708,954 10.7% ---------------- ------ Total Financials...................... 1,593,005,232 14.8% ---------------- ------ Health Care -- (10.4%) AbbVie, Inc....................... 728,519 46,231,816 0.4% Amgen, Inc........................ 236,350 38,331,243 0.4% * Celgene Corp...................... 360,073 38,560,218 0.4% * Gilead Sciences, Inc.............. 697,050 78,069,600 0.7% Johnson & Johnson................. 877,748 94,603,679 0.9% Merck & Co., Inc.................. 855,685 49,578,389 0.5% Pfizer, Inc....................... 2,180,998 65,320,890 0.6% UnitedHealth Group, Inc........... 363,224 34,509,912 0.3% Other Securities.................. 806,029,516 7.4% ---------------- ------ Total Health Care..................... 1,251,235,263 11.6% ---------------- ------ Industrials -- (12.0%) 3M Co............................. 282,916 43,503,993 0.4% Boeing Co. (The).................. 316,118 39,486,299 0.4%
53 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 2,771,119 $ 71,522,581 0.7% Union Pacific Corp................................. 440,988 51,353,053 0.5% Other Securities................................... 1,231,261,767 11.3% ---------------- ------ Total Industrials........................................ 1,437,127,693 13.3% ---------------- ------ Information Technology -- (15.9%) Apple, Inc......................................... 2,331,646 251,817,768 2.4% Cisco Systems, Inc................................. 1,778,262 43,514,071 0.4% * Facebook, Inc. Class A............................. 614,053 46,047,834 0.4% * Google, Inc. Class A............................... 68,974 39,168,265 0.4% * Google, Inc. Class C............................... 68,974 38,561,984 0.4% Hewlett-Packard Co................................. 1,245,191 44,677,453 0.4% Intel Corp......................................... 2,321,362 78,949,522 0.7% International Business Machines Corp............... 434,334 71,404,510 0.7% MasterCard, Inc. Class A........................... 457,872 38,346,780 0.4% Microsoft Corp..................................... 2,983,192 140,060,864 1.3% Oracle Corp........................................ 1,380,511 53,908,955 0.5% Visa, Inc. Class A................................. 152,055 36,710,639 0.4% Other Securities................................... 1,028,619,370 9.3% ---------------- ------ Total Information Technology............................. 1,911,788,015 17.7% ---------------- ------ Materials -- (4.5%) Other Securities................................... 532,177,083 4.9% ---------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 264,041 0.0% ---------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 3,470,117 120,898,876 1.1% Verizon Communications, Inc........................ 1,937,013 97,334,903 0.9% Other Securities................................... 66,541,900 0.7% ---------------- ------ Total Telecommunication Services......................... 284,775,679 2.7% ---------------- ------ Utilities -- (2.6%) Other Securities................................... 309,329,353 2.9% ---------------- ------ TOTAL COMMON STOCKS...................................... 10,746,415,696 99.7% ---------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 145,379 0.0% ---------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 68,557,782 68,557,782 0.6% ---------------- ------ SECURITIES LENDING COLLATERAL -- (9.8%) (S)@ DFA Short Term Investment Fund..................... 102,239,059 1,182,905,915 11.0% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,664,802,325).............................. $ 11,998,024,772 111.3% ================ ======
54 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 1,597,450,809 -- -- $ 1,597,450,809 Consumer Staples.............. 818,852,109 -- -- 818,852,109 Energy........................ 1,010,410,419 -- -- 1,010,410,419 Financials.................... 1,592,998,317 $ 6,915 -- 1,593,005,232 Health Care................... 1,251,174,357 60,906 -- 1,251,235,263 Industrials................... 1,437,127,437 256 -- 1,437,127,693 Information Technology........ 1,911,788,015 -- -- 1,911,788,015 Materials..................... 532,177,083 -- -- 532,177,083 Other......................... -- -- -- -- Real Estate Investment Trusts. 264,041 -- -- 264,041 Telecommunication Services.... 284,775,679 -- -- 284,775,679 Utilities..................... 309,329,353 -- -- 309,329,353 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 145,379 -- 145,379 Temporary Cash Investments...... 68,557,782 -- -- 68,557,782 Securities Lending Collateral... -- 1,182,905,915 -- 1,182,905,915 --------------- -------------- -- --------------- TOTAL........................... $10,814,905,401 $1,183,119,371 -- $11,998,024,772 =============== ============== == ===============
See accompanying Notes to Financial Statements. 55 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (88.6%) Consumer Discretionary -- (12.7%) Comcast Corp. Class A................ 1,577,147 $ 87,295,086 0.7% Ford Motor Co........................ 2,440,086 34,380,812 0.3% Time Warner, Inc..................... 517,992 41,164,824 0.3% Walt Disney Co. (The)................ 830,524 75,893,283 0.6% Other Securities..................... 1,601,655,653 12.3% ---------------- ------ Total Consumer Discretionary............. 1,840,389,658 14.2% ---------------- ------ Consumer Staples -- (5.4%) Coca-Cola Co. (The).................. 863,072 36,145,455 0.3% CVS Health Corp...................... 680,040 58,354,232 0.5% Mondelez International, Inc. Class A. 938,871 33,104,591 0.3% PepsiCo, Inc......................... 395,385 38,024,175 0.3% Procter & Gamble Co. (The)........... 646,219 56,395,532 0.4% Wal-Mart Stores, Inc................. 773,229 58,974,176 0.5% Other Securities..................... 503,989,119 3.8% ---------------- ------ Total Consumer Staples................... 784,987,280 6.1% ---------------- ------ Energy -- (9.8%) Anadarko Petroleum Corp.............. 422,817 38,806,144 0.3% Chevron Corp......................... 1,126,532 135,127,513 1.1% ConocoPhillips....................... 925,168 66,750,871 0.5% EOG Resources, Inc................... 548,973 52,179,884 0.4% Exxon Mobil Corp..................... 3,041,760 294,168,610 2.3% Occidental Petroleum Corp............ 592,054 52,651,362 0.4% Schlumberger, Ltd.................... 403,889 39,847,689 0.3% Other Securities..................... 751,831,712 5.8% ---------------- ------ Total Energy............................. 1,431,363,785 11.1% ---------------- ------ Financials -- (15.1%) American International Group, Inc.... 789,495 42,293,247 0.3% Bank of America Corp................. 4,303,562 73,849,124 0.6% * Berkshire Hathaway, Inc. Class B..... 311,601 43,673,996 0.3% Citigroup, Inc....................... 1,297,954 69,479,478 0.5% Goldman Sachs Group, Inc. (The)...... 185,924 35,323,701 0.3% JPMorgan Chase & Co.................. 1,554,077 93,990,577 0.7% U.S. Bancorp......................... 1,031,884 43,958,258 0.4% Wells Fargo & Co..................... 2,946,809 156,446,090 1.2% Other Securities..................... 1,627,776,216 12.6% ---------------- ------ Total Financials......................... 2,186,790,687 16.9% ---------------- ------ Health Care -- (9.7%) * Actavis P.L.C........................ 166,039 40,304,307 0.3% Amgen, Inc........................... 233,507 37,870,165 0.3% * Express Scripts Holding Co........... 462,397 35,521,338 0.3% * Gilead Sciences, Inc................. 289,862 32,464,544 0.3% Johnson & Johnson.................... 765,223 82,475,735 0.6% Merck & Co., Inc..................... 1,331,605 77,153,194 0.6% Pfizer, Inc.......................... 3,831,803 114,762,500 0.9% UnitedHealth Group, Inc.............. 576,403 54,764,049 0.4% Other Securities..................... 927,852,529 7.2% ---------------- ------ Total Health Care........................ 1,403,168,361 10.9% ---------------- ------ Industrials -- (12.7%) FedEx Corp........................... 214,708 35,942,119 0.3%
56 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 4,061,967 $ 104,839,368 0.8% Union Pacific Corp................................. 582,662 67,850,990 0.5% Other Securities................................... 1,641,438,599 12.7% ---------------- ------ Total Industrials........................................ 1,850,071,076 14.3% ---------------- ------ Information Technology -- (14.2%) Apple, Inc......................................... 2,232,888 241,151,904 1.9% Cisco Systems, Inc................................. 3,101,253 75,887,661 0.6% EMC Corp........................................... 1,136,231 32,643,917 0.3% Hewlett-Packard Co................................. 1,806,885 64,831,034 0.5% Intel Corp......................................... 3,577,014 121,654,246 1.0% International Business Machines Corp............... 186,013 30,580,537 0.2% * Micron Technology, Inc............................. 1,086,356 35,947,520 0.3% Microsoft Corp..................................... 1,737,915 81,595,109 0.6% Oracle Corp........................................ 1,022,019 39,909,842 0.3% QUALCOMM, Inc...................................... 393,081 30,860,789 0.3% Visa, Inc. Class A................................. 136,797 33,026,900 0.3% Other Securities................................... 1,276,645,797 9.7% ---------------- ------ Total Information Technology............................. 2,064,735,256 16.0% ---------------- ------ Materials -- (4.7%) Dow Chemical Co. (The)............................. 754,020 37,248,588 0.3% Other Securities................................... 640,874,719 5.0% ---------------- ------ Total Materials.......................................... 678,123,307 5.3% ---------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 593,324 0.0% ---------------- ------ Telecommunication Services -- (2.5%) AT&T, Inc.......................................... 5,301,166 184,692,623 1.4% Verizon Communications, Inc........................ 1,840,744 92,497,386 0.7% Other Securities................................... 86,537,531 0.7% ---------------- ------ Total Telecommunication Services......................... 363,727,540 2.8% ---------------- ------ Utilities -- (1.8%) Other Securities................................... 259,558,443 2.0% ---------------- ------ TOTAL COMMON STOCKS...................................... 12,863,508,717 99.6% ---------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 252,082 0.0% ---------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 94,206,014 94,206,014 0.7% ---------------- ------ SECURITIES LENDING COLLATERAL -- (10.8%) (S)@ DFA Short Term Investment Fund..................... 135,602,661 1,568,922,783 12.1% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,169,853,055)............................. $ 14,526,889,596 112.4% ================ ======
57 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 1,840,389,658 -- -- $ 1,840,389,658 Consumer Staples.............. 784,987,280 -- -- 784,987,280 Energy........................ 1,431,363,785 -- -- 1,431,363,785 Financials.................... 2,186,774,436 $ 16,251 -- 2,186,790,687 Health Care................... 1,403,030,086 138,275 -- 1,403,168,361 Industrials................... 1,850,070,433 643 -- 1,850,071,076 Information Technology........ 2,064,735,256 -- -- 2,064,735,256 Materials..................... 678,123,307 -- -- 678,123,307 Other......................... -- -- -- -- Real Estate Investment Trusts. 593,324 -- -- 593,324 Telecommunication Services.... 363,727,540 -- -- 363,727,540 Utilities..................... 259,558,443 -- -- 259,558,443 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 252,082 -- 252,082 Temporary Cash Investments...... 94,206,014 -- -- 94,206,014 Securities Lending Collateral... -- 1,568,922,783 -- 1,568,922,783 --------------- -------------- -- --------------- TOTAL........................... $12,957,559,562 $1,569,330,034 -- $14,526,889,596 =============== ============== == ===============
See accompanying Notes to Financial Statements. 58 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (86.5%) Consumer Discretionary -- (12.1%) Comcast Corp. Class A......................... 376,209 $ 20,823,168 0.6% Royal Caribbean Cruises, Ltd.................. 124,720 8,477,218 0.3% Time Warner, Inc.............................. 97,900 7,780,113 0.2% Walt Disney Co. (The)......................... 118,253 10,805,959 0.3% Other Securities.............................. 441,023,946 12.6% --------------- ------ Total Consumer Discretionary...................... 488,910,404 14.0% --------------- ------ Consumer Staples -- (3.8%) CVS Health Corp............................... 113,204 9,714,035 0.3% Mondelez International, Inc. Class A.......... 196,387 6,924,606 0.2% Procter & Gamble Co. (The).................... 105,525 9,209,167 0.3% Wal-Mart Stores, Inc.......................... 102,008 7,780,150 0.2% Other Securities.............................. 119,884,682 3.4% --------------- ------ Total Consumer Staples............................ 153,512,640 4.4% --------------- ------ Energy -- (9.6%) Anadarko Petroleum Corp....................... 78,236 7,180,500 0.2% Chesapeake Energy Corp........................ 444,198 9,852,312 0.3% Chevron Corp.................................. 304,598 36,536,530 1.1% ConocoPhillips................................ 228,045 16,453,447 0.5% Exxon Mobil Corp.............................. 436,562 42,219,911 1.2% Marathon Oil Corp............................. 194,277 6,877,406 0.2% Occidental Petroleum Corp..................... 145,981 12,982,090 0.4% Tesoro Corp................................... 131,157 9,365,921 0.3% Other Securities.............................. 246,404,013 6.9% --------------- ------ Total Energy...................................... 387,872,130 11.1% --------------- ------ Financials -- (20.3%) American Financial Group, Inc................. 113,571 6,794,953 0.2% American International Group, Inc............. 128,798 6,899,709 0.2% Bank of America Corp.......................... 1,204,998 20,677,766 0.6% Citigroup, Inc................................ 374,753 20,060,528 0.6% Fifth Third Bancorp........................... 469,063 9,376,569 0.3% Goldman Sachs Group, Inc. (The)............... 52,050 9,888,979 0.3% Hartford Financial Services Group, Inc. (The). 257,997 10,211,521 0.3% JPMorgan Chase & Co........................... 438,800 26,538,624 0.8% # M&T Bank Corp................................. 59,225 7,236,110 0.2% Principal Financial Group, Inc................ 157,281 8,236,806 0.2% Wells Fargo & Co.............................. 479,911 25,478,475 0.7% Other Securities.............................. 666,128,875 18.9% --------------- ------ Total Financials.................................. 817,528,915 23.3% --------------- ------ Health Care -- (7.1%) * Community Health Systems, Inc................. 139,365 7,660,894 0.2% Johnson & Johnson............................. 90,092 9,710,116 0.3% Merck & Co., Inc.............................. 149,737 8,675,762 0.3% Pfizer, Inc................................... 459,005 13,747,200 0.4% UnitedHealth Group, Inc....................... 73,101 6,945,326 0.2% Other Securities.............................. 237,840,156 6.7% --------------- ------ Total Health Care................................. 284,579,454 8.1% --------------- ------ Industrials -- (12.8%) * Avis Budget Group, Inc........................ 124,765 6,955,649 0.2% CSX Corp...................................... 254,141 9,055,044 0.3%
59 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 600,239 $ 15,492,169 0.5% Ryder System, Inc.................................. 84,178 7,447,228 0.2% Southwest Airlines Co.............................. 457,205 15,764,428 0.5% Union Pacific Corp................................. 76,102 8,862,078 0.3% Other Securities................................... 450,368,535 12.7% -------------- ------ Total Industrials........................................ 513,945,131 14.7% -------------- ------ Information Technology -- (12.0%) Apple, Inc......................................... 308,343 33,301,044 1.0% Cisco Systems, Inc................................. 296,995 7,267,468 0.2% Hewlett-Packard Co................................. 265,841 9,538,375 0.3% Intel Corp......................................... 534,019 18,161,986 0.5% * Micron Technology, Inc............................. 569,578 18,847,336 0.6% Visa, Inc. Class A................................. 29,003 7,002,194 0.2% Xerox Corp......................................... 731,469 9,713,908 0.3% Other Securities................................... 379,126,950 10.7% -------------- ------ Total Information Technology............................. 482,959,261 13.8% -------------- ------ Materials -- (5.3%) Alcoa, Inc......................................... 555,703 9,313,582 0.3% Other Securities................................... 203,498,776 5.8% -------------- ------ Total Materials.......................................... 212,812,358 6.1% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 331,286 0.0% -------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 1,356,088 47,246,106 1.4% # Frontier Communications Corp....................... 1,416,600 9,264,564 0.3% Verizon Communications, Inc........................ 259,639 13,046,860 0.4% Other Securities................................... 25,696,436 0.6% -------------- ------ Total Telecommunication Services......................... 95,253,966 2.7% -------------- ------ Utilities -- (1.1%) UGI Corp........................................... 220,072 8,294,514 0.3% Other Securities................................... 37,638,733 1.0% -------------- ------ Total Utilities.......................................... 45,933,247 1.3% -------------- ------ TOTAL COMMON STOCKS...................................... 3,483,638,792 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 106,905 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.077%. 24,721,165 24,721,165 0.7% -------------- ------ SECURITIES LENDING COLLATERAL -- (12.9%) (S)@ DFA Short Term Investment Fund..................... 44,982,839 520,451,452 14.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,903,882,897).............................. $4,028,918,314 115.1% ============== ======
60 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 488,910,404 -- -- $ 488,910,404 Consumer Staples.............. 153,512,640 -- -- 153,512,640 Energy........................ 387,872,130 -- -- 387,872,130 Financials.................... 817,520,648 $ 8,267 -- 817,528,915 Health Care................... 284,498,197 81,257 -- 284,579,454 Industrials................... 513,944,646 485 -- 513,945,131 Information Technology........ 482,959,261 -- -- 482,959,261 Materials..................... 212,812,358 -- -- 212,812,358 Other......................... -- -- -- -- Real Estate Investment Trusts. 331,286 -- -- 331,286 Telecommunication Services.... 95,253,966 -- -- 95,253,966 Utilities..................... 45,933,247 -- -- 45,933,247 Rights/Warrants................. -- 106,905 -- 106,905 Temporary Cash Investments...... 24,721,165 -- -- 24,721,165 Securities Lending Collateral... -- 520,451,452 -- 520,451,452 -------------- ------------ -- -------------- TOTAL........................... $3,508,269,948 $520,648,366 -- $4,028,918,314 ============== ============ == ==============
See accompanying Notes to Financial Statements. 61 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (80.3%) Consumer Discretionary -- (13.7%) * Bally Technologies, Inc........................ 257,968 $ 20,740,627 0.2% Brinker International, Inc..................... 379,132 20,336,640 0.2% #* Buffalo Wild Wings, Inc........................ 162,131 24,202,916 0.3% CST Brands, Inc................................ 532,474 20,367,130 0.2% #* Deckers Outdoor Corp........................... 257,054 22,481,943 0.3% DeVry Education Group, Inc..................... 412,952 19,991,006 0.2% Jack in the Box, Inc........................... 308,443 21,911,791 0.2% #* Office Depot, Inc.............................. 3,809,109 19,883,549 0.2% Vail Resorts, Inc.............................. 245,102 21,167,009 0.2% Other Securities............................... 1,382,129,791 15.0% -------------- ------ Total Consumer Discretionary....................... 1,573,212,402 17.0% -------------- ------ Consumer Staples -- (3.1%) # Casey's General Stores, Inc.................... 251,413 20,583,182 0.2% #* TreeHouse Foods, Inc........................... 239,572 20,404,347 0.2% Other Securities............................... 317,916,909 3.5% -------------- ------ Total Consumer Staples............................. 358,904,438 3.9% -------------- ------ Energy -- (4.0%) SemGroup Corp. Class A......................... 263,275 20,206,356 0.2% Western Refining, Inc.......................... 468,468 21,357,456 0.2% Other Securities............................... 410,824,870 4.5% -------------- ------ Total Energy....................................... 452,388,682 4.9% -------------- ------ Financials -- (14.0%) Hanover Insurance Group, Inc. (The)............ 296,712 19,861,901 0.2% PacWest Bancorp................................ 526,842 22,475,080 0.3% PRA Group, Inc................................. 343,533 21,728,462 0.2% Primerica, Inc................................. 389,301 19,912,746 0.2% # Webster Financial Corp......................... 636,653 19,952,705 0.2% Other Securities............................... 1,502,713,168 16.3% -------------- ------ Total Financials................................... 1,606,644,062 17.4% -------------- ------ Health Care -- (7.9%) #* Acadia Healthcare Co., Inc..................... 315,944 19,604,325 0.2% #* Akorn, Inc..................................... 616,939 27,484,632 0.3% * Charles River Laboratories International, Inc.. 354,585 22,395,589 0.2% * Health Net, Inc................................ 485,957 23,087,817 0.3% #* Myriad Genetics, Inc........................... 502,527 19,844,791 0.2% #* PAREXEL International Corp..................... 364,006 19,769,166 0.2% STERIS Corp.................................... 354,414 21,902,785 0.2% * Team Health Holdings, Inc...................... 313,378 19,598,660 0.2% * VCA, Inc....................................... 609,114 27,757,325 0.3% Other Securities............................... 709,508,725 7.7% -------------- ------ Total Health Care.................................. 910,953,815 9.8% -------------- ------ Industrials -- (14.2%) AMERCO......................................... 73,355 19,888,008 0.2% * Avis Budget Group, Inc......................... 435,404 24,273,773 0.3% # Deluxe Corp.................................... 349,991 21,279,453 0.2% * Esterline Technologies Corp.................... 177,418 20,777,422 0.2% #* JetBlue Airways Corp........................... 2,047,846 23,632,143 0.3% # Landstar System, Inc........................... 301,440 22,309,574 0.2%
62 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * Spirit Airlines, Inc............................... 478,914 $ 35,013,403 0.4% Other Securities................................... 1,465,256,854 15.9% --------------- ------ Total Industrials........................................ 1,632,430,630 17.7% --------------- ------ Information Technology -- (15.1%) Belden, Inc........................................ 276,789 19,704,609 0.2% #* Euronet Worldwide, Inc............................. 365,226 19,601,679 0.2% # Lexmark International, Inc. Class A................ 459,716 19,841,343 0.2% * Manhattan Associates, Inc.......................... 530,401 21,274,384 0.2% MAXIMUS, Inc....................................... 410,048 19,870,926 0.2% #* RF Micro Devices, Inc.............................. 2,363,583 30,750,215 0.3% #* SunEdison, Inc..................................... 1,101,380 21,487,924 0.2% * TriQuint Semiconductor, Inc........................ 972,167 21,027,972 0.2% #* Tyler Technologies, Inc............................ 193,221 21,625,294 0.2% * Verint Systems, Inc................................ 375,753 21,602,040 0.2% * Zebra Technologies Corp. Class A................... 299,973 22,123,009 0.2% Other Securities................................... 1,495,177,591 16.4% --------------- ------ Total Information Technology............................. 1,734,086,986 18.7% --------------- ------ Materials -- (4.6%) * KapStone Paper and Packaging Corp.................. 691,634 21,274,662 0.2% PolyOne Corp....................................... 529,913 19,612,080 0.2% Sensient Technologies Corp......................... 344,921 20,412,425 0.2% Other Securities................................... 463,837,105 5.1% --------------- ------ Total Materials.......................................... 525,136,272 5.7% --------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 6,833,308 0.1% --------------- ------ Telecommunication Services -- (0.6%) Other Securities................................... 66,162,824 0.7% --------------- ------ Utilities -- (3.0%) # IDACORP, Inc....................................... 340,628 21,537,908 0.2% # Portland General Electric Co....................... 536,212 19,523,479 0.2% Other Securities................................... 300,094,187 3.3% --------------- ------ Total Utilities.......................................... 341,155,574 3.7% --------------- ------ TOTAL COMMON STOCKS...................................... 9,207,908,993 99.6% --------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 649,334 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077%. 60,668,500 60,668,500 0.7% --------------- ------ SECURITIES LENDING COLLATERAL -- (19.2%) (S)@ DFA Short Term Investment Fund..................... 189,974,372 2,198,003,488 23.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,932,593,064)................................ $11,467,230,315 124.0% =============== ======
63 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $1,573,212,400 $ 2 -- $ 1,573,212,402 Consumer Staples.............. 358,904,438 -- -- 358,904,438 Energy........................ 452,346,657 42,025 -- 452,388,682 Financials.................... 1,606,582,081 61,981 -- 1,606,644,062 Health Care................... 910,730,859 222,956 -- 910,953,815 Industrials................... 1,632,425,904 4,726 -- 1,632,430,630 Information Technology........ 1,734,086,986 -- -- 1,734,086,986 Materials..................... 525,136,272 -- -- 525,136,272 Other......................... -- -- -- -- Real Estate Investment Trusts. 6,833,308 -- -- 6,833,308 Telecommunication Services.... 66,162,824 -- -- 66,162,824 Utilities..................... 341,155,574 -- -- 341,155,574 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 649,334 -- 649,334 Temporary Cash Investments...... 60,668,500 -- -- 60,668,500 Securities Lending Collateral... -- 2,198,003,488 -- 2,198,003,488 -------------- -------------- -- --------------- TOTAL........................... $9,268,245,803 $2,198,984,512 -- $11,467,230,315 ============== ============== == ===============
See accompanying Notes to Financial Statements. 64 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (83.1%) Consumer Discretionary -- (15.5%) * American Axle & Manufacturing Holdings, Inc.. 680,737 $ 13,158,646 0.3% * Asbury Automotive Group, Inc................. 267,366 18,726,315 0.4% * Barnes & Noble, Inc.......................... 568,814 12,411,521 0.3% * Fiesta Restaurant Group, Inc................. 292,642 16,139,206 0.3% Finish Line, Inc. (The) Class A.............. 589,373 15,600,703 0.3% #* G-III Apparel Group, Ltd..................... 193,446 15,349,940 0.3% #* Gentherm, Inc................................ 334,287 13,939,768 0.3% * Grand Canyon Education, Inc.................. 367,324 17,594,820 0.4% #* Krispy Kreme Doughnuts, Inc.................. 695,719 13,163,003 0.3% La-Z-Boy, Inc................................ 590,026 13,487,994 0.3% # Nexstar Broadcasting Group, Inc. Class A..... 281,414 12,697,400 0.3% # Papa John's International, Inc............... 394,891 18,465,103 0.4% #* Pinnacle Entertainment, Inc.................. 540,950 13,864,549 0.3% * Skechers U.S.A., Inc. Class A................ 270,836 14,828,271 0.3% #* Sonic Corp................................... 668,078 16,842,246 0.3% Other Securities............................. 706,781,303 13.8% ------------ ------ Total Consumer Discretionary..................... 933,050,788 18.6% ------------ ------ Consumer Staples -- (3.3%) Andersons, Inc. (The)........................ 269,438 17,171,284 0.4% # Cal-Maine Foods, Inc......................... 193,250 16,965,417 0.3% J&J Snack Foods Corp......................... 159,784 16,462,545 0.3% #* Revlon, Inc. Class A......................... 378,632 12,987,078 0.3% #* USANA Health Sciences, Inc................... 141,615 16,141,278 0.3% Other Securities............................. 121,056,784 2.4% ------------ ------ Total Consumer Staples........................... 200,784,386 4.0% ------------ ------ Energy -- (3.7%) # EnLink Midstream LLC......................... 393,707 14,921,495 0.3% Other Securities............................. 207,038,617 4.1% ------------ ------ Total Energy..................................... 221,960,112 4.4% ------------ ------ Financials -- (14.6%) #* Encore Capital Group, Inc.................... 304,239 13,845,917 0.3% # FBL Financial Group, Inc. Class A............ 271,426 13,457,301 0.3% Horace Mann Educators Corp................... 426,348 12,965,243 0.3% Interactive Brokers Group, Inc. Class A...... 531,116 13,713,415 0.3% * Western Alliance Bancorp..................... 615,654 16,388,709 0.3% Other Securities............................. 809,367,891 16.0% ------------ ------ Total Financials................................. 879,738,476 17.5% ------------ ------ Health Care -- (8.4%) * Amsurg Corp.................................. 250,349 13,521,349 0.3% Cantel Medical Corp.......................... 297,616 12,618,918 0.3% * Greatbatch, Inc.............................. 248,195 12,456,907 0.3% * NuVasive, Inc................................ 346,328 14,164,815 0.3% * Prestige Brands Holdings, Inc................ 348,415 12,340,859 0.3% Other Securities............................. 439,265,444 8.5% ------------ ------ Total Health Care................................ 504,368,292 10.0% ------------ ------ Industrials -- (15.6%) # Apogee Enterprises, Inc...................... 317,666 13,945,537 0.3% #* EnPro Industries, Inc........................ 210,828 13,604,731 0.3% # Greenbrier Cos., Inc. (The).................. 233,628 14,611,095 0.3%
65 U.S. MICRO CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) H&E Equipment Services, Inc........................ 339,346 $ 12,688,147 0.3% * Huron Consulting Group, Inc........................ 179,182 12,472,859 0.3% Mueller Water Products, Inc. Class A............... 1,527,697 15,078,369 0.3% Other Securities................................... 858,642,440 16.9% -------------- ------ Total Industrials........................................ 941,043,178 18.7% -------------- ------ Information Technology -- (14.9%) #* Electronics for Imaging, Inc....................... 305,091 13,948,761 0.3% # Heartland Payment Systems, Inc..................... 346,861 17,915,371 0.4% * Integrated Device Technology, Inc.................. 1,015,649 16,666,800 0.3% * Manhattan Associates, Inc.......................... 380,234 15,251,186 0.3% Methode Electronics, Inc........................... 463,289 18,244,321 0.4% #* SunEdison, Inc..................................... 1,009,218 19,689,843 0.4% Tessera Technologies, Inc.......................... 421,657 12,814,156 0.3% * TriQuint Semiconductor, Inc........................ 757,922 16,393,853 0.3% #* Unisys Corp........................................ 544,766 13,967,800 0.3% Other Securities................................... 751,678,217 14.8% -------------- ------ Total Information Technology............................. 896,570,308 17.8% -------------- ------ Materials -- (4.6%) * Century Aluminum Co................................ 535,169 15,669,748 0.3% * Clearwater Paper Corp.............................. 193,931 12,479,460 0.3% Other Securities................................... 249,382,985 4.9% -------------- ------ Total Materials.......................................... 277,532,193 5.5% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 2,396,667 0.1% -------------- ------ Telecommunication Services -- (1.0%) Other Securities................................... 63,026,319 1.3% -------------- ------ Utilities -- (1.5%) American States Water Co........................... 369,652 13,226,148 0.3% # MGE Energy, Inc.................................... 294,935 13,115,759 0.3% Other Securities................................... 62,966,045 1.2% -------------- ------ Total Utilities.......................................... 89,307,952 1.8% -------------- ------ TOTAL COMMON STOCKS...................................... 5,009,778,671 99.7% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 269,653 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.077%. 16,819,521 16,819,521 0.3% -------------- ------ SECURITIES LENDING COLLATERAL -- (16.6%) (S)@ DFA Short Term Investment Fund..................... 86,521,072 1,001,048,800 19.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,367,248,025)................................ $6,027,916,645 119.9% ============== ======
66 U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 933,050,787 $ 1 -- $ 933,050,788 Consumer Staples.............. 200,784,386 -- -- 200,784,386 Energy........................ 221,805,032 155,080 -- 221,960,112 Financials.................... 879,666,150 72,326 -- 879,738,476 Health Care................... 504,182,595 185,697 -- 504,368,292 Industrials................... 941,039,023 4,155 -- 941,043,178 Information Technology........ 896,570,308 -- -- 896,570,308 Materials..................... 277,532,193 -- -- 277,532,193 Other......................... -- -- -- -- Real Estate Investment Trusts. 2,396,667 -- -- 2,396,667 Telecommunication Services.... 63,026,319 -- -- 63,026,319 Utilities..................... 89,307,952 -- -- 89,307,952 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 269,653 -- 269,653 Temporary Cash Investments...... 16,819,521 -- -- 16,819,521 Securities Lending Collateral... -- 1,001,048,800 -- 1,001,048,800 -------------- -------------- -- -------------- TOTAL........................... $5,026,180,933 $1,001,735,712 -- $6,027,916,645 ============== ============== == ==============
See accompanying Notes to Financial Statements. 67 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.0%) Real Estate Investment Trusts -- (90.0%) Alexandria Real Estate Equities, Inc.......... 791,699 $ 65,711,017 1.0% # American Campus Communities, Inc.............. 1,153,808 45,310,040 0.7% # American Realty Capital Properties, Inc....... 5,321,381 47,200,649 0.7% Apartment Investment & Management Co. Class A. 1,624,363 58,135,952 0.9% # AvalonBay Communities, Inc.................... 1,431,583 223,097,895 3.4% # BioMed Realty Trust, Inc...................... 2,139,472 46,469,332 0.7% Boston Properties, Inc........................ 1,673,636 212,133,363 3.2% Camden Property Trust......................... 947,053 72,610,554 1.1% # CBL & Associates Properties, Inc.............. 1,839,671 35,192,906 0.5% CubeSmart..................................... 1,589,488 33,458,722 0.5% # DDR Corp...................................... 3,339,854 60,584,952 0.9% # Digital Realty Trust, Inc..................... 1,494,005 103,071,405 1.6% Douglas Emmett, Inc........................... 1,494,511 42,040,594 0.6% Duke Realty Corp.............................. 3,643,400 69,078,864 1.0% # EPR Properties................................ 597,214 33,503,705 0.5% Equity Lifestyle Properties, Inc.............. 859,740 42,213,234 0.6% # Equity Residential............................ 3,771,256 262,328,567 4.0% # Essex Property Trust, Inc..................... 685,289 138,263,909 2.1% # Extra Space Storage, Inc...................... 1,217,347 70,800,902 1.1% # Federal Realty Investment Trust............... 728,119 95,966,084 1.5% General Growth Properties, Inc................ 5,802,509 150,343,008 2.3% HCP, Inc...................................... 5,063,898 222,659,595 3.4% Health Care REIT, Inc......................... 3,459,746 246,022,538 3.7% # Highwoods Properties, Inc..................... 997,646 42,769,084 0.6% # Home Properties, Inc.......................... 621,337 39,958,182 0.6% Hospitality Properties Trust.................. 1,637,839 48,496,413 0.7% Host Hotels & Resorts, Inc.................... 8,279,024 192,984,049 2.9% # Kilroy Realty Corp............................ 911,462 61,742,436 0.9% # Kimco Realty Corp............................. 4,516,480 112,686,176 1.7% # LaSalle Hotel Properties...................... 1,141,367 44,753,000 0.7% Liberty Property Trust........................ 1,633,481 56,796,134 0.9% # Macerich Co. (The)............................ 1,539,214 108,514,587 1.6% # Mid-America Apartment Communities, Inc........ 819,830 57,929,188 0.9% # National Retail Properties, Inc............... 1,384,837 52,789,986 0.8% # Omega Healthcare Investors, Inc............... 1,382,991 52,774,937 0.8% Prologis, Inc................................. 5,512,059 229,577,257 3.5% Public Storage................................ 1,571,862 289,757,041 4.4% # Realty Income Corp............................ 2,420,743 111,426,800 1.7% # Regency Centers Corp.......................... 1,007,704 61,167,633 0.9% RLJ Lodging Trust............................. 1,128,833 36,370,999 0.5% # Senior Housing Properties Trust............... 2,260,850 51,072,602 0.8% Simon Property Group, Inc..................... 3,371,761 604,253,289 9.1% # SL Green Realty Corp.......................... 1,058,736 122,495,755 1.9% Sunstone Hotel Investors, Inc................. 2,212,797 33,877,922 0.5% Tanger Factory Outlet Centers, Inc............ 1,069,184 38,244,712 0.6% Taubman Centers, Inc.......................... 695,179 52,868,363 0.8% # UDR, Inc...................................... 2,771,443 83,780,722 1.3% # Ventas, Inc................................... 3,262,593 223,520,246 3.4% Vornado Realty Trust.......................... 1,850,466 202,589,018 3.1% # Weingarten Realty Investors................... 1,269,483 46,018,759 0.7% Other Securities.............................. 1,148,616,643 17.4% -------------- ------ TOTAL COMMON STOCKS............................... 6,584,029,720 99.7% -------------- ------
68 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.077%. 27,425,306 $ 27,425,306 0.4% -------------- ------ SECURITIES LENDING COLLATERAL -- (9.6%) (S)@ DFA Short Term Investment Fund..................... 60,664,727 701,890,889 10.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,122,699,751)................................ $7,313,345,915 110.7% ============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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. $6,584,029,720 -- -- $6,584,029,720 Temporary Cash Investments...... 27,425,306 -- -- 27,425,306 Securities Lending Collateral... -- $701,890,889 -- 701,890,889 -------------- ------------ -- -------------- TOTAL........................... $6,611,455,026 $701,890,889 -- $7,313,345,915 ============== ============ == ==============
See accompanying Notes to Financial Statements. 69 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (94.2%) AUSTRALIA -- (6.6%) Australia & New Zealand Banking Group, Ltd.. 526,856 $ 15,589,969 0.5% BHP Billiton, Ltd........................... 571,441 17,095,701 0.6% Commonwealth Bank of Australia.............. 314,221 22,344,073 0.7% National Australia Bank, Ltd................ 454,011 14,045,173 0.5% # Westpac Banking Corp........................ 453,022 13,905,175 0.5% Other Securities............................ 134,310,814 4.1% ------------ ------ TOTAL AUSTRALIA................................. 217,290,905 6.9% ------------ ------ AUSTRIA -- (0.2%) Other Securities............................ 7,427,701 0.2% ------------ ------ BELGIUM -- (1.2%) Anheuser-Busch InBev NV..................... 144,598 16,035,104 0.5% Other Securities............................ 22,572,524 0.7% ------------ ------ TOTAL BELGIUM................................... 38,607,628 1.2% ------------ ------ CANADA -- (9.3%) Bank of Nova Scotia (The)................... 196,436 12,029,646 0.4% Canadian National Railway Co................ 152,460 10,748,832 0.4% # Royal Bank of Canada........................ 225,667 16,020,245 0.5% Suncor Energy, Inc.......................... 296,232 10,518,792 0.3% # Toronto-Dominion Bank (The)................. 301,119 14,820,169 0.5% Other Securities............................ 242,622,337 7.7% ------------ ------ TOTAL CANADA.................................... 306,760,021 9.8% ------------ ------ CHINA -- (0.0%) Other Securities............................ 3,494 0.0% ------------ ------ DENMARK -- (1.5%) Novo Nordisk A.S. Class B................... 330,597 14,943,883 0.5% Other Securities............................ 34,075,141 1.1% ------------ ------ TOTAL DENMARK................................... 49,019,024 1.6% ------------ ------ FINLAND -- (0.9%) Other Securities............................ 29,928,767 1.0% ------------ ------ FRANCE -- (8.1%) BNP Paribas SA.............................. 203,287 12,774,973 0.4% GDF Suez.................................... 405,920 9,855,705 0.3% Sanofi...................................... 182,023 16,516,773 0.5% Total SA.................................... 344,554 20,570,996 0.7% Total SA Sponsored ADR...................... 157,489 9,432,016 0.3% Other Securities............................ 197,427,518 6.3% ------------ ------ TOTAL FRANCE.................................... 266,577,981 8.5% ------------ ------ GERMANY -- (6.9%) Allianz SE.................................. 62,165 9,885,610 0.3% BASF SE..................................... 181,171 16,008,296 0.5% Bayer AG.................................... 148,280 21,207,267 0.7% Daimler AG.................................. 228,081 17,783,242 0.6% Deutsche Telekom AG......................... 651,915 9,826,521 0.3% SAP SE...................................... 139,819 9,526,626 0.3%
70 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GERMANY -- (Continued) Siemens AG............................ 130,441 $ 14,712,887 0.5% Other Securities...................... 129,566,943 4.1% ------------ ------ TOTAL GERMANY............................. 228,517,392 7.3% ------------ ------ HONG KONG -- (2.8%) AIA Group, Ltd........................ 2,277,800 12,711,091 0.4% Other Securities...................... 79,404,008 2.5% ------------ ------ TOTAL HONG KONG........................... 92,115,099 2.9% ------------ ------ IRELAND -- (0.3%) Other Securities...................... 10,902,224 0.4% ------------ ------ ISRAEL -- (0.5%) Other Securities...................... 16,449,184 0.5% ------------ ------ ITALY -- (2.0%) Other Securities...................... 64,765,328 2.1% ------------ ------ JAPAN -- (18.6%) Softbank Corp......................... 209,500 15,251,477 0.5% Sumitomo Mitsui Financial Group, Inc.. 286,140 11,669,620 0.4% Toyota Motor Corp..................... 378,600 22,783,080 0.7% # Toyota Motor Corp. Sponsored ADR...... 105,729 12,830,214 0.4% Other Securities...................... 553,051,651 17.7% ------------ ------ TOTAL JAPAN............................... 615,586,042 19.7% ------------ ------ NETHERLANDS -- (2.4%) Unilever NV........................... 266,779 10,339,940 0.3% Other Securities...................... 68,414,087 2.2% ------------ ------ TOTAL NETHERLANDS......................... 78,754,027 2.5% ------------ ------ NEW ZEALAND -- (0.1%) Other Securities...................... 3,501,854 0.1% ------------ ------ NORWAY -- (0.8%) Other Securities...................... 26,556,960 0.9% ------------ ------ PORTUGAL -- (0.1%) Other Securities...................... 4,838,531 0.2% ------------ ------ SINGAPORE -- (1.4%) Other Securities...................... 45,340,958 1.5% ------------ ------ SPAIN -- (2.9%) Banco Santander SA.................... 1,186,769 10,485,725 0.3% Other Securities...................... 84,238,910 2.7% ------------ ------ TOTAL SPAIN............................... 94,724,635 3.0% ------------ ------ SWEDEN -- (2.7%) Other Securities...................... 90,294,870 2.9% ------------ ------ SWITZERLAND -- (7.7%) Nestle SA............................. 676,440 49,606,116 1.6% Novartis AG........................... 316,879 29,407,276 0.9% Roche Holding AG...................... 154,264 45,523,518 1.5%
71 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) UBS AG.................................. 590,475 $ 10,267,258 0.3% Other Securities........................ 121,195,401 3.9% -------------- ------ TOTAL SWITZERLAND............................. 255,999,569 8.2% -------------- ------ UNITED KINGDOM -- (17.2%) AstraZeneca P.L.C....................... 135,231 9,878,401 0.3% BG Group P.L.C.......................... 671,968 11,199,040 0.4% BP P.L.C. Sponsored ADR................. 574,678 24,975,506 0.8% British American Tobacco P.L.C.......... 312,442 17,708,463 0.6% Diageo P.L.C. Sponsored ADR............. 84,093 9,920,451 0.3% GlaxoSmithKline P.L.C................... 551,788 12,478,114 0.4% GlaxoSmithKline P.L.C. Sponsored ADR.... 251,446 11,438,278 0.4% HSBC Holdings P.L.C..................... 1,656,444 16,888,049 0.5% HSBC Holdings P.L.C. Sponsored ADR...... 376,440 19,205,968 0.6% * Lloyds Banking Group P.L.C.............. 10,257,881 12,667,343 0.4% Reckitt Benckiser Group P.L.C........... 128,515 10,823,979 0.3% Royal Dutch Shell P.L.C. ADR(780259107). 236,955 17,693,430 0.6% Royal Dutch Shell P.L.C. ADR(780259206). 214,807 15,420,994 0.5% SABMiller P.L.C......................... 165,893 9,383,398 0.3% Vodafone Group P.L.C. Sponsored ADR..... 316,816 10,524,640 0.3% Other Securities........................ 357,097,125 11.4% -------------- ------ TOTAL UNITED KINGDOM.......................... 567,303,179 18.1% -------------- ------ TOTAL COMMON STOCKS........................... 3,111,265,373 99.5% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities........................ 1,582,057 0.1% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 63,660 0.0% -------------- ------ TOTAL PREFERRED STOCKS........................ 1,645,717 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 100,270 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities........................ 12,601 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities........................ 226,054 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 338,925 0.0% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (5.7%) (S)@ DFA Short Term Investment Fund.......... 16,325,035 188,880,651 6.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,750,017,138)..................... $3,302,130,666 105.6% ============== ======
72 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 8,253,899 $ 209,037,006 -- $ 217,290,905 Austria..................... 36,240 7,391,461 -- 7,427,701 Belgium..................... 3,743,401 34,864,227 -- 38,607,628 Canada...................... 306,760,021 -- -- 306,760,021 China....................... -- 3,494 -- 3,494 Denmark..................... 5,265,955 43,753,069 -- 49,019,024 Finland..................... 1,828,828 28,099,939 -- 29,928,767 France...................... 14,281,625 252,296,356 -- 266,577,981 Germany..................... 20,097,451 208,419,941 -- 228,517,392 Hong Kong................... 942,735 91,172,364 -- 92,115,099 Ireland..................... 2,411,937 8,490,287 -- 10,902,224 Israel...................... 9,386,887 7,062,297 -- 16,449,184 Italy....................... 5,549,475 59,215,853 -- 64,765,328 Japan....................... 41,929,430 573,656,612 -- 615,586,042 Netherlands................. 13,454,571 65,299,456 -- 78,754,027 New Zealand................. -- 3,501,854 -- 3,501,854 Norway...................... 2,043,769 24,513,191 -- 26,556,960 Portugal.................... 33,089 4,805,442 -- 4,838,531 Singapore................... -- 45,340,958 -- 45,340,958 Spain....................... 20,154,651 74,569,984 -- 94,724,635 Sweden...................... 694,698 89,600,172 -- 90,294,870 Switzerland................. 18,961,389 237,038,180 -- 255,999,569 United Kingdom.............. 179,901,050 387,402,129 -- 567,303,179 Preferred Stocks Germany..................... -- 1,582,057 -- 1,582,057 United Kingdom.............. -- 63,660 -- 63,660 Rights/Warrants France...................... -- 100,270 -- 100,270 Germany..................... -- 12,601 -- 12,601 Spain....................... -- 226,054 -- 226,054 Securities Lending Collateral. -- 188,880,651 -- 188,880,651 ------------ -------------- -- -------------- TOTAL......................... $655,731,101 $2,646,399,565 -- $3,302,130,666 ============ ============== == ==============
See accompanying Notes to Financial Statements. 73 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.3%) AUSTRALIA -- (6.1%) # Australia & New Zealand Banking Group, Ltd.. 1,174,816 $ 34,763,475 0.3% BHP Billiton, Ltd........................... 1,834,078 54,869,794 0.5% # BHP Billiton, Ltd. Sponsored ADR............ 530,936 31,558,836 0.3% # Commonwealth Bank of Australia.............. 466,598 33,179,512 0.3% National Australia Bank, Ltd................ 1,331,618 41,194,608 0.4% # Westpac Banking Corp........................ 980,394 30,092,469 0.3% Other Securities............................ 600,034,640 4.6% -------------- ---- TOTAL AUSTRALIA................................. 825,693,334 6.7% -------------- ---- AUSTRIA -- (0.4%) Other Securities............................ 54,090,008 0.4% -------------- ---- BELGIUM -- (1.3%) Anheuser-Busch InBev NV..................... 322,414 35,753,896 0.3% Other Securities............................ 143,017,571 1.2% -------------- ---- TOTAL BELGIUM................................... 178,771,467 1.5% -------------- ---- CANADA -- (8.4%) Suncor Energy, Inc.(867224107).............. 812,323 28,869,959 0.3% Suncor Energy, Inc.(B3NB1P2)................ 729,529 25,904,573 0.2% # Toronto-Dominion Bank (The)................. 701,544 34,527,879 0.3% Other Securities............................ 1,050,879,382 8.5% -------------- ---- TOTAL CANADA.................................... 1,140,181,793 9.3% -------------- ---- CHINA -- (0.0%) Other Securities............................ 423,278 0.0% -------------- ---- DENMARK -- (1.4%) Other Securities............................ 185,872,965 1.5% -------------- ---- FINLAND -- (1.4%) # Nokia Oyj................................... 3,385,926 28,292,441 0.2% Other Securities............................ 160,415,860 1.3% -------------- ---- TOTAL FINLAND................................... 188,708,301 1.5% -------------- ---- FRANCE -- (6.8%) BNP Paribas SA.............................. 431,572 27,120,869 0.2% GDF Suez.................................... 1,783,905 43,313,070 0.4% Orange SA................................... 2,068,708 32,934,599 0.3% Total SA.................................... 1,517,702 90,611,752 0.7% # Total SA Sponsored ADR...................... 595,142 35,643,054 0.3% Other Securities............................ 692,177,521 5.6% -------------- ---- TOTAL FRANCE.................................... 921,800,865 7.5% -------------- ---- GERMANY -- (5.8%) Bayerische Motoren Werke AG................. 414,948 44,498,071 0.4% Daimler AG.................................. 529,376 41,274,905 0.3% Deutsche Telekom AG......................... 2,378,113 35,846,051 0.3% Fresenius SE & Co. KGaA..................... 612,582 31,521,025 0.3% RWE AG...................................... 793,387 28,150,774 0.2% Other Securities............................ 599,975,595 4.9% -------------- ---- TOTAL GERMANY................................... 781,266,421 6.4% -------------- ----
74 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.0%) Other Securities................................... $ -- 0.0% -------------- ----- HONG KONG -- (2.7%) Other Securities................................... 361,323,579 2.9% -------------- ----- IRELAND -- (0.4%) Other Securities................................... 51,166,064 0.4% -------------- ----- ISRAEL -- (0.6%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 588,403 33,227,117 0.3% Other Securities................................... 54,097,308 0.4% -------------- ----- TOTAL ISRAEL........................................... 87,324,425 0.7% -------------- ----- ITALY -- (2.2%) Eni SpA............................................ 1,478,324 31,495,536 0.3% Other Securities................................... 269,095,017 2.1% -------------- ----- TOTAL ITALY............................................ 300,590,553 2.4% -------------- ----- JAPAN -- (19.1%) Honda Motor Co., Ltd............................... 825,300 26,384,206 0.2% Sumitomo Mitsui Financial Group, Inc............... 754,470 30,769,477 0.3% Toyota Motor Corp.................................. 1,137,986 68,480,785 0.6% # Toyota Motor Corp. Sponsored ADR................... 396,641 48,132,385 0.4% Other Securities................................... 2,413,924,440 19.5% -------------- ----- TOTAL JAPAN............................................ 2,587,691,293 21.0% -------------- ----- NETHERLANDS -- (2.3%) Other Securities................................... 305,642,445 2.5% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities................................... 38,675,624 0.3% -------------- ----- NORWAY -- (0.9%) Other Securities................................... 122,185,630 1.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities................................... 37,236,707 0.3% -------------- ----- RUSSIA -- (0.0%) Other Securities................................... 106,452 0.0% -------------- ----- SINGAPORE -- (1.3%) Other Securities................................... 171,323,820 1.4% -------------- ----- SPAIN -- (2.5%) Banco Santander SA................................. 4,404,667 38,917,538 0.3% Iberdrola SA....................................... 3,664,318 25,939,399 0.2% Other Securities................................... 276,645,107 2.3% -------------- ----- TOTAL SPAIN............................................ 341,502,044 2.8% -------------- ----- SWEDEN -- (2.8%) Other Securities................................... 381,446,780 3.1% -------------- ----- SWITZERLAND -- (6.2%) ABB, Ltd........................................... 1,199,336 26,311,835 0.2% Credit Suisse Group AG............................. 1,122,531 29,908,488 0.3%
75 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Nestle SA............................... 2,189,299 $ 160,550,262 1.3% Novartis AG ADR......................... 818,651 75,880,761 0.6% Roche Holding AG........................ 142,703 42,111,851 0.4% Swiss Re AG............................. 365,604 29,563,037 0.3% Zurich Insurance Group AG............... 107,594 32,561,006 0.3% Other Securities........................ 445,138,708 3.5% --------------- ----- TOTAL SWITZERLAND........................... 842,025,948 6.9% --------------- ----- UNITED KINGDOM -- (17.1%) Anglo American P.L.C.................... 1,402,287 29,607,257 0.2% AstraZeneca P.L.C. Sponsored ADR........ 466,782 34,047,079 0.3% Aviva P.L.C............................. 3,728,348 31,184,842 0.3% # Barclays P.L.C. Sponsored ADR........... 2,072,823 31,921,474 0.3% BG Group P.L.C.......................... 2,660,297 44,336,595 0.4% # BHP Billiton P.L.C. ADR................. 545,653 28,395,782 0.2% BP P.L.C. Sponsored ADR................. 2,024,872 88,000,934 0.7% HSBC Holdings P.L.C. Sponsored ADR...... 1,620,604 82,683,216 0.7% * Lloyds Banking Group P.L.C.............. 48,291,922 59,635,155 0.5% # Prudential P.L.C. ADR................... 599,353 27,768,024 0.2% # Rio Tinto P.L.C. Sponsored ADR.......... 874,782 41,963,293 0.3% # Royal Dutch Shell P.L.C. ADR(780259206). 437,648 31,418,750 0.3% # Royal Dutch Shell P.L.C. ADR(780259107). 1,398,074 104,394,186 0.9% Vodafone Group P.L.C. Sponsored ADR..... 1,234,928 41,024,299 0.3% Other Securities........................ 1,642,525,645 13.3% --------------- ----- TOTAL UNITED KINGDOM........................ 2,318,906,531 18.9% --------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 1,427,849 0.0% --------------- ----- TOTAL COMMON STOCKS......................... 12,225,384,176 99.4% --------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities........................ 4,578,826 0.1% --------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 135,079 0.0% --------------- ----- TOTAL PREFERRED STOCKS...................... 4,713,905 0.1% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 331 0.0% --------------- ----- AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% --------------- ----- FRANCE -- (0.0%) Other Securities........................ 323,603 0.0% --------------- ----- GERMANY -- (0.0%) Other Securities........................ 152,593 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities........................ 3,274 0.0% --------------- ----- ITALY -- (0.0%) Other Securities........................ 126,221 0.0% --------------- -----
76 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- PORTUGAL -- (0.0%) Other Securities................ $ -- 0.0% --------------- ------ SINGAPORE -- (0.0%) Other Securities................ 203 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities................ 885,988 0.0% --------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 327,476 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 1,819,689 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (9.7%) (S)@ DFA Short Term Investment Fund.. 113,487,730 1,313,053,034 10.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,383,347,936)............. $13,544,970,804 110.2% =============== ======
77 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 51,305,653 $ 774,387,681 -- $ 825,693,334 Austria..................... 63,420 54,026,588 -- 54,090,008 Belgium..................... 17,745,914 161,025,553 -- 178,771,467 Canada...................... 1,140,163,277 18,516 -- 1,140,181,793 China....................... -- 423,278 -- 423,278 Denmark..................... 8,989,736 176,883,229 -- 185,872,965 Finland..................... 2,879,754 185,828,547 -- 188,708,301 France...................... 87,511,112 834,289,753 -- 921,800,865 Germany..................... 74,885,190 706,381,231 -- 781,266,421 Greece...................... -- -- -- -- Hong Kong................... 1,178,781 360,144,798 -- 361,323,579 Ireland..................... 11,115,124 40,050,940 -- 51,166,064 Israel...................... 35,879,323 51,445,102 -- 87,324,425 Italy....................... 15,954,887 284,635,666 -- 300,590,553 Japan....................... 119,241,147 2,468,450,146 -- 2,587,691,293 Netherlands................. 50,645,185 254,997,260 -- 305,642,445 New Zealand................. 103,194 38,572,430 -- 38,675,624 Norway...................... 19,664,949 102,520,681 -- 122,185,630 Portugal.................... 309,758 36,926,949 -- 37,236,707 Russia...................... -- 106,452 -- 106,452 Singapore................... 14,607 171,309,213 -- 171,323,820 Spain....................... 40,201,547 301,300,497 -- 341,502,044 Sweden...................... 7,291,377 374,155,403 -- 381,446,780 Switzerland................. 115,089,398 726,936,550 -- 842,025,948 United Kingdom.............. 660,083,143 1,658,823,388 -- 2,318,906,531 United States............... 1,397,183 30,666 -- 1,427,849 Preferred Stocks Germany..................... -- 4,578,826 -- 4,578,826 United Kingdom.............. -- 135,079 -- 135,079 Rights/Warrants Australia................... -- 331 -- 331 Austria..................... -- -- -- -- France...................... -- 323,603 -- 323,603 Germany..................... -- 152,593 -- 152,593 Hong Kong................... -- 3,274 -- 3,274 Italy....................... -- 126,221 -- 126,221 Portugal.................... -- -- -- -- Singapore................... -- 203 -- 203 Spain....................... -- 885,988 -- 885,988 United Kingdom.............. 312,720 14,756 -- 327,476 Securities Lending Collateral. -- 1,313,053,034 -- 1,313,053,034 -------------- --------------- -- --------------- TOTAL......................... $2,462,026,379 $11,082,944,425 -- $13,544,970,804 ============== =============== == ===============
See accompanying Notes to Financial Statements. 78 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $2,968,704,905 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 1,996,995,740 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 1,943,503,950 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 1,089,493,908 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 832,859,362 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $7,805,376,341)............................... 8,831,557,865 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,805,376,341)............................... $8,831,557,865 ==============
Summary of the Portfolio's investments as of October 31, 2014, 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. $8,831,557,865 -- -- $8,831,557,865 -------------- -- -- -------------- TOTAL........................... $8,831,557,865 -- -- $8,831,557,865 ============== == == ==============
See accompanying Notes to Financial Statements. 79 SCHEDULES OF INVESTMENTS October 31, 2014 JAPANESE SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company..................... $508,412,814 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $492,146,590)............................... $508,412,814 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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..................... $364,292,333 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $360,079,976)............................... $364,292,333 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 80 SCHEDULES OF INVESTMENTS October 31, 2014 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....................... $35,056,995 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $23,694,187)........................................... $35,056,995 ===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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.............................. $169,046,143 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $144,331,374).......................................... $169,046,143 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 81 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (93.9%) AUSTRALIA -- (19.9%) CFS Retail Property Trust Group. 18,583,289 $ 34,564,786 1.1% # Dexus Property Group............ 46,210,345 49,389,908 1.6% Federation Centres.............. 12,347,359 29,650,888 1.0% # Goodman Group................... 14,756,829 72,045,696 2.3% GPT Group (The)................. 14,160,152 51,470,344 1.7% # Investa Office Fund............. 5,292,776 16,699,243 0.5% #* Scentre Group................... 44,164,851 140,883,146 4.6% Stockland....................... 20,140,623 75,301,288 2.4% * Westfield Corp.................. 16,671,147 117,148,020 3.8% Other Securities................ 64,037,833 2.1% ------------ ----- TOTAL AUSTRALIA..................... 651,191,152 21.1% ------------ ----- BELGIUM -- (1.5%) # Cofinimmo SA.................... 157,224 18,261,633 0.6% Other Securities................ 29,674,061 1.0% ------------ ----- TOTAL BELGIUM....................... 47,935,694 1. 6% ------------ ----- CANADA -- (5.3%) H&R REIT........................ 1,103,860 21,968,489 0.7% # RioCan REIT..................... 1,231,999 29,022,291 0.9% Other Securities................ 121,715,937 4.0% ------------ ----- TOTAL CANADA........................ 172,706,717 5.6% ------------ ----- CHINA -- (0.2%) Other Securities................ 4,982,005 0.2% ------------ ----- FRANCE -- (4.0%) Fonciere Des Regions............ 257,388 23,663,104 0.8% Gecina SA....................... 208,873 28,268,746 0.9% ICADE........................... 335,700 26,711,749 0.9% Klepierre....................... 905,121 39,175,341 1.3% Other Securities................ 13,559,987 0.4% ------------ ----- TOTAL FRANCE........................ 131,378,927 4.3% ------------ ----- GERMANY -- (0.4%) Other Securities................ 12,143,621 0.4% ------------ ----- GREECE -- (0.0%) Other Securities................ 1,044,767 0.0% ------------ ----- HONG KONG -- (4.3%) Link REIT (The)................. 19,435,805 114,419,536 3.7% Other Securities................ 26,685,286 0.9% ------------ ----- TOTAL HONG KONG..................... 141,104,822 4.6% ------------ ----- ISRAEL -- (0.2%) Other Securities................ 7,565,685 0.2% ------------ ----- ITALY -- (0.3%) Other Securities................ 10,637,538 0.3% ------------ -----
82 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- JAPAN -- (17.6%) # Advance Residence Investment Corp.............. 11,195 $ 26,247,032 0.9% Frontier Real Estate Investment Corp........... 4,130 19,022,847 0.6% # Japan Hotel REIT Investment Corp............... 23,536 14,598,992 0.5% Japan Logistics Fund, Inc...................... 7,530 16,920,060 0.5% Japan Prime Realty Investment Corp............. 6,863 25,274,243 0.8% Japan Real Estate Investment Corp.............. 10,905 59,424,068 1.9% Japan Retail Fund Investment Corp.............. 20,401 41,076,269 1.3% # Kenedix Office Investment Corp................. 3,498 18,705,207 0.6% # Mori Hills REIT Investment Corp................ 11,966 16,710,243 0.5% # Mori Trust Sogo Reit, Inc...................... 9,857 17,611,418 0.6% Nippon Accommodations Fund, Inc................ 4,065 14,870,892 0.5% # Nippon Building Fund, Inc...................... 12,309 68,987,575 2.2% # Orix JREIT, Inc................................ 18,506 24,673,376 0.8% # United Urban Investment Corp................... 21,590 34,073,425 1.1% Other Securities............................... 174,753,743 5.7% ------------ ----- TOTAL JAPAN........................................ 572,949,390 18.5% ------------ ----- MALAYSIA -- (0.7%) Other Securities............................... 23,886,457 0.8% ------------ ----- MEXICO -- (1.9%) # Fibra Uno Administracion S.A. de C.V........... 13,210,601 45,852,668 1.5% Other Securities............................... 15,524,460 0.5% ------------ ----- TOTAL MEXICO....................................... 61,377,128 2.0% ------------ ----- NETHERLANDS -- (8.7%) Corio NV....................................... 617,119 30,038,041 1.0% Unibail-Rodamco SE............................. 829,287 212,635,326 6.9% Wereldhave NV.................................. 191,004 15,659,030 0.5% Other Securities............................... 25,689,873 0.8% ------------ ----- TOTAL NETHERLANDS.................................. 284,022,270 9.2% ------------ ----- NEW ZEALAND -- (0.7%) Other Securities............................... 21,664,115 0.7% ------------ ----- SINGAPORE -- (7.3%) Ascendas REIT.................................. 17,145,000 29,780,279 1.0% # CapitaCommercial Trust......................... 17,525,000 22,787,274 0.7% CapitaMall Trust............................... 20,595,300 31,588,897 1.0% # Suntec REIT.................................... 20,476,000 28,447,758 0.9% Other Securities............................... 124,234,624 4.1% ------------ ----- TOTAL SINGAPORE.................................... 236,838,832 7.7% ------------ ----- SOUTH AFRICA -- (3.9%) Growthpoint Properties, Ltd.................... 16,151,406 39,213,098 1.3% Redefine Properties, Ltd....................... 21,537,673 19,515,849 0.6% Other Securities............................... 67,596,797 2.2% ------------ ----- TOTAL SOUTH AFRICA................................. 126,325,744 4.1% ------------ ----- TAIWAN -- (0.4%) Other Securities............................... 13,945,781 0.4% ------------ ----- TURKEY -- (1.0%) # Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.. 19,840,694 22,284,885 0.7% Other Securities............................... 10,751,800 0.4% ------------ ----- TOTAL TURKEY....................................... 33,036,685 1.1% ------------ -----
83 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (15.6%) British Land Co. P.L.C. (The)... 8,315,595 $ 97,098,752 3.1% Derwent London P.L.C............ 814,790 38,765,810 1.2% Great Portland Estates P.L.C.... 2,866,484 31,548,662 1.0% Hammerson P.L.C................. 6,180,158 60,713,819 2.0% Intu Properties P.L.C........... 7,913,628 43,170,585 1.4% Land Securities Group P.L.C..... 6,756,959 119,895,804 3.9% Segro P.L.C..................... 6,175,812 37,624,807 1.2% Shaftesbury P.L.C............... 2,310,809 26,472,834 0.9% Other Securities................ 55,390,765 1.8% -------------- ------ TOTAL UNITED KINGDOM................... 510,681,838 16.5% -------------- ------ TOTAL COMMON STOCKS.................... 3,065,419,168 99.3% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (6.1%) (S)@ DFA Short Term Investment Fund.. 17,183,072 198,808,147 6.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%).......... (Cost $2,897,109,357).............. $3,264,227,315 105.7% ============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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................... -- $ 651,191,152 -- $ 651,191,152 Belgium..................... -- 47,935,694 -- 47,935,694 Canada...................... $172,706,717 -- -- 172,706,717 China....................... -- 4,982,005 -- 4,982,005 France...................... 93,236 131,285,691 -- 131,378,927 Germany..................... -- 12,143,621 -- 12,143,621 Greece...................... -- 1,044,767 -- 1,044,767 Hong Kong................... -- 141,104,822 -- 141,104,822 Israel...................... -- 7,565,685 -- 7,565,685 Italy....................... -- 10,637,538 -- 10,637,538 Japan....................... -- 572,949,390 -- 572,949,390 Malaysia.................... -- 23,886,457 -- 23,886,457 Mexico...................... 61,377,128 -- -- 61,377,128 Netherlands................. -- 284,022,270 -- 284,022,270 New Zealand................. -- 21,664,115 -- 21,664,115 Singapore................... -- 236,838,832 -- 236,838,832 South Africa................ 21,650,697 104,675,047 -- 126,325,744 Taiwan...................... -- 13,945,781 -- 13,945,781 Turkey...................... -- 33,036,685 -- 33,036,685 United Kingdom.............. -- 510,681,838 -- 510,681,838 Securities Lending Collateral. -- 198,808,147 -- 198,808,147 ------------ -------------- -- -------------- TOTAL......................... $255,827,778 $3,008,399,537 -- $3,264,227,315 ============ ============== == ==============
See accompanying Notes to Financial Statements. 84 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ ----------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.7%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 63,428,427 $2,044,932,484 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 222,954,469 1,255,233,660 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $2,628,854,364).......................................... 3,300,166,144 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.077% (Cost $8,924,902)................................................. 8,924,902 8,924,902 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,637,779,266).......................................... $3,309,091,046 ==============
Summary of the Portfolio's investments as of October 31, 2014, 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. $3,300,166,144 -- -- $3,300,166,144 Temporary Cash Investments...... 8,924,902 -- -- 8,924,902 -------------- -- -- -------------- TOTAL........................... $3,309,091,046 -- -- $3,309,091,046 ============== == == ==============
See accompanying Notes to Financial Statements. 85 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (91.6%) AUSTRALIA -- (5.0%) Primary Health Care, Ltd..... 10,511,594 $ 43,076,867 0.4% Other Securities............. 593,827,515 5.0% -------------- ---- TOTAL AUSTRALIA.................. 636,904,382 5.4% -------------- ---- AUSTRIA -- (0.7%) Other Securities............. 83,565,476 0.7% -------------- ---- BELGIUM -- (0.8%) Other Securities............. 103,554,907 0.9% -------------- ---- CANADA -- (7.9%) * Canfor Corp.................. 1,709,447 39,799,378 0.4% * Celestica, Inc............... 4,266,945 46,869,952 0.4% RONA, Inc.................... 3,166,544 38,631,809 0.3% West Fraser Timber Co., Ltd.. 1,107,322 58,094,982 0.5% Other Securities............. 821,935,286 7.0% -------------- ---- TOTAL CANADA..................... 1,005,331,407 8.6% -------------- ---- CHINA -- (0.0%) Other Securities............. 2,698,400 0.0% -------------- ---- DENMARK -- (1.6%) * Vestas Wind Systems A.S...... 2,910,693 97,144,292 0.8% Other Securities............. 110,946,585 1.0% -------------- ---- TOTAL DENMARK.................... 208,090,877 1.8% -------------- ---- FINLAND -- (2.1%) Huhtamaki Oyj................ 1,740,823 44,173,657 0.4% Other Securities............. 219,070,337 1.9% -------------- ---- TOTAL FINLAND.................... 263,243,994 2.3% -------------- ---- FRANCE -- (3.4%) Havas SA..................... 4,936,605 39,930,886 0.4% * Peugeot SA................... 3,646,402 43,335,736 0.4% Other Securities............. 349,882,507 2.9% -------------- ---- TOTAL FRANCE..................... 433,149,129 3.7% -------------- ---- GERMANY -- (4.6%) Aareal Bank AG............... 1,199,589 51,540,648 0.5% Aurubis AG................... 993,104 51,842,435 0.5% TUI AG....................... 3,423,151 52,422,124 0.5% Other Securities............. 423,677,812 3.5% -------------- ---- TOTAL GERMANY.................... 579,483,019 5.0% -------------- ---- GREECE -- (0.0%) Other Securities............. 25,337 0.0% -------------- ---- HONG KONG -- (2.4%) Other Securities............. 300,028,695 2.6% -------------- ----
86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.4%) Smurfit Kappa Group P.L.C............. 2,055,977 $ 42,480,051 0.4% Other Securities...................... 7,511,030 0.0% -------------- ----- TOTAL IRELAND............................. 49,991,081 0.4% -------------- ----- ISRAEL -- (0.7%) Other Securities...................... 83,951,496 0.7% -------------- ----- ITALY -- (3.6%) * Banca Popolare dell'Emilia Romagna SC. 9,396,426 71,701,123 0.6% #* Banca Popolare di Milano Scarl........ 110,262,326 83,107,298 0.7% * Banco Popolare SC..................... 7,116,853 103,381,009 0.9% Other Securities...................... 197,935,036 1.7% -------------- ----- TOTAL ITALY............................... 456,124,466 3.9% -------------- ----- JAPAN -- (22.4%) # Fujikura, Ltd......................... 9,669,000 40,615,669 0.4% Other Securities...................... 2,795,500,479 23.9% -------------- ----- TOTAL JAPAN............................... 2,836,116,148 24.3% -------------- ----- NETHERLANDS -- (2.0%) #* APERAM................................ 1,753,419 50,449,201 0.4% Delta Lloyd NV........................ 2,460,680 56,086,880 0.5% Other Securities...................... 145,390,828 1.3% -------------- ----- TOTAL NETHERLANDS......................... 251,926,909 2.2% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities...................... 44,837,058 0.4% -------------- ----- NORWAY -- (0.8%) Other Securities...................... 108,746,243 0.9% -------------- ----- PORTUGAL -- (0.7%) #* Banco Comercial Portugues SA.......... 516,415,630 58,368,713 0.5% Other Securities...................... 25,444,499 0.2% -------------- ----- TOTAL PORTUGAL............................ 83,813,212 0.7% -------------- ----- RUSSIA -- (0.0%) Other Securities...................... 547,872 0.0% -------------- ----- SINGAPORE -- (1.4%) Other Securities...................... 177,759,393 1.5% -------------- ----- SPAIN -- (2.5%) Bankinter SA.......................... 8,991,387 74,381,317 0.7% * Gamesa Corp. Tecnologica SA........... 6,939,007 68,509,030 0.6% Other Securities...................... 169,291,735 1.4% -------------- ----- TOTAL SPAIN............................... 312,182,082 2.7% -------------- ----- SWEDEN -- (3.3%) BillerudKorsnas AB.................... 3,504,601 51,117,323 0.4% Holmen AB Class B..................... 1,382,044 45,742,308 0.4% Trelleborg AB Class B................. 5,269,972 90,223,713 0.8% Other Securities...................... 232,132,103 2.0% -------------- ----- TOTAL SWEDEN.............................. 419,215,447 3.6% -------------- -----
87 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (3.8%) Helvetia Holding AG.................. 159,664 $ 75,922,724 0.7% Swiss Life Holding AG................ 175,357 40,234,036 0.4% Other Securities..................... 370,257,438 3.1% --------------- ----- TOTAL SWITZERLAND........................ 486,414,198 4.2% --------------- ----- UNITED KINGDOM -- (21.2%) Amlin P.L.C.......................... 11,064,118 80,751,776 0.7% Ashtead Group P.L.C.................. 7,730,038 129,510,847 1.1% Barratt Developments P.L.C........... 21,380,562 143,728,193 1.2% Beazley P.L.C........................ 12,470,827 52,380,139 0.5% Bellway P.L.C........................ 3,448,205 96,725,996 0.8% Bodycote P.L.C....................... 5,021,077 50,254,417 0.4% Bovis Homes Group P.L.C.............. 3,801,855 51,345,061 0.4% Catlin Group, Ltd.................... 9,089,700 78,087,662 0.7% Close Brothers Group P.L.C........... 1,724,250 40,463,125 0.4% CSR P.L.C............................ 4,886,688 65,673,331 0.6% Dixons Carphone P.L.C................ 11,398,297 72,376,637 0.6% DS Smith P.L.C....................... 15,172,280 64,440,510 0.6% # Greene King P.L.C.................... 4,957,978 63,741,992 0.6% Hiscox, Ltd.......................... 8,547,223 93,222,509 0.8% Home Retail Group P.L.C.............. 16,459,487 48,301,027 0.4% Inchcape P.L.C....................... 8,858,210 98,683,203 0.9% Millennium & Copthorne Hotels P.L.C.. 4,813,561 43,911,265 0.4% Mondi P.L.C.......................... 3,867,542 65,363,271 0.6% Persimmon P.L.C...................... 7,668,009 180,084,568 1.5% Taylor Wimpey P.L.C.................. 74,080,800 140,721,013 1.2% * Thomas Cook Group P.L.C.............. 24,698,963 49,209,419 0.4% Travis Perkins P.L.C................. 4,401,386 116,620,284 1.0% Vesuvius P.L.C....................... 5,951,466 40,633,041 0.4% Other Securities..................... 825,369,548 6.8% --------------- ----- TOTAL UNITED KINGDOM..................... 2,691,598,834 23.0% --------------- ----- TOTAL COMMON STOCKS...................... 11,619,300,062 99.5% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities..................... 1,706 0.0% --------------- ----- AUSTRIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- FRANCE -- (0.0%) Other Securities..................... 1,469,043 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... 22,154 0.0% --------------- ----- ISRAEL -- (0.0%) Other Securities..................... 10,062 0.0% --------------- ----- ITALY -- (0.0%) Other Securities..................... 95,467 0.0% --------------- ----- SPAIN -- (0.0%) Other Securities..................... 2,218 0.0% --------------- -----
88 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (0.0%) Other Securities................ $ 1,154 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 1,601,804 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (8.4%) (S)@ DFA Short Term Investment Fund.. 91,962,199 1,064,002,644 9.1% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $11,124,184,844)............. $12,684,904,510 108.6% =============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 10,888,717 $ 626,015,665 -- $ 636,904,382 Austria..................... -- 83,565,476 -- 83,565,476 Belgium..................... -- 103,554,907 -- 103,554,907 Canada...................... 1,004,947,054 384,353 -- 1,005,331,407 China....................... -- 2,698,400 -- 2,698,400 Denmark..................... -- 208,090,877 -- 208,090,877 Finland..................... -- 263,243,994 -- 263,243,994 France...................... 1,125,211 432,023,918 -- 433,149,129 Germany..................... 1,649,140 577,833,879 -- 579,483,019 Greece...................... -- 25,337 -- 25,337 Hong Kong................... 16,897 300,011,798 -- 300,028,695 Ireland..................... -- 49,991,081 -- 49,991,081 Israel...................... -- 83,951,496 -- 83,951,496 Italy....................... -- 456,124,466 -- 456,124,466 Japan....................... 15,666,766 2,820,449,382 -- 2,836,116,148 Netherlands................. -- 251,926,909 -- 251,926,909 New Zealand................. 1,190,287 43,646,771 -- 44,837,058 Norway...................... -- 108,746,243 -- 108,746,243 Portugal.................... -- 83,813,212 -- 83,813,212 Russia...................... -- 547,872 -- 547,872 Singapore................... 963,844 176,795,549 -- 177,759,393 Spain....................... 27,916 312,154,166 -- 312,182,082 Sweden...................... -- 419,215,447 -- 419,215,447 Switzerland................. -- 486,414,198 -- 486,414,198 United Kingdom.............. 1,148,986 2,690,449,848 -- 2,691,598,834 Rights/Warrants Australia................... -- 1,706 -- 1,706 Austria..................... -- -- -- -- France...................... -- 1,469,043 -- 1,469,043 Hong Kong................... -- 22,154 -- 22,154 Israel...................... -- 10,062 -- 10,062 Italy....................... -- 95,467 -- 95,467 Spain....................... -- 2,218 -- 2,218 United Kingdom.............. -- 1,154 -- 1,154 Securities Lending Collateral. -- 1,064,002,644 -- 1,064,002,644 -------------- --------------- -- --------------- TOTAL......................... $1,037,624,818 $11,647,279,692 -- $12,684,904,510 ============== =============== == ===============
See accompanying Notes to Financial Statements. 89 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.0%) AUSTRALIA -- (6.4%) # Australia & New Zealand Banking Group, Ltd.. 122,194 $ 3,615,790 0.3% # BHP Billiton, Ltd........................... 109,768 3,283,910 0.3% National Australia Bank, Ltd................ 90,701 2,805,904 0.2% Origin Energy, Ltd.......................... 180,805 2,271,403 0.2% Other Securities............................ 79,986,697 6.0% ------------ ---- TOTAL AUSTRALIA................................. 91,963,704 7.0% ------------ ---- AUSTRIA -- (0.5%) Other Securities............................ 6,584,288 0.5% ------------ ---- BELGIUM -- (1.4%) Delhaize Group SA........................... 33,045 2,259,447 0.2% Other Securities............................ 18,234,813 1.4% ------------ ---- TOTAL BELGIUM................................... 20,494,260 1.6% ------------ ---- CANADA -- (8.5%) Suncor Energy, Inc.......................... 82,938 2,947,616 0.2% Other Securities............................ 119,497,072 9.2% ------------ ---- TOTAL CANADA.................................... 122,444,688 9.4% ------------ ---- CHINA -- (0.0%) Other Securities............................ 74,706 0.0% ------------ ---- DENMARK -- (1.4%) Other Securities............................ 20,644,331 1.6% ------------ ---- FINLAND -- (1.9%) Fortum Oyj.................................. 107,420 2,491,261 0.2% Nokia Oyj................................... 340,765 2,847,396 0.2% UPM-Kymmene Oyj............................. 170,168 2,699,292 0.2% Other Securities............................ 19,384,098 1.5% ------------ ---- TOTAL FINLAND................................... 27,422,047 2.1% ------------ ---- FRANCE -- (6.0%) BNP Paribas SA.............................. 44,274 2,782,269 0.2% Cie de St-Gobain............................ 72,210 3,103,936 0.3% GDF Suez.................................... 142,877 3,469,042 0.3% Orange SA................................... 177,688 2,828,859 0.2% Renault SA.................................. 30,047 2,235,084 0.2% Total SA.................................... 79,639 4,754,708 0.4% Other Securities............................ 67,065,060 5.0% ------------ ---- TOTAL FRANCE.................................... 86,238,958 6.6% ------------ ---- GERMANY -- (5.2%) Allianz SE.................................. 20,504 3,260,590 0.3% Bayerische Motoren Werke AG................. 31,783 3,408,336 0.3% Daimler AG.................................. 35,601 2,775,774 0.2% RWE AG...................................... 85,573 3,036,281 0.2% Other Securities............................ 62,738,998 4.7% ------------ ---- TOTAL GERMANY................................... 75,219,979 5.7% ------------ ----
90 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.0%) Other Securities................................... $ -- 0.0% ------------ ----- HONG KONG -- (2.8%) Other Securities................................... 40,258,385 3.1% ------------ ----- IRELAND -- (0.5%) Other Securities................................... 6,871,293 0.5% ------------ ----- ISRAEL -- (0.7%) Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 55,754 3,148,428 0.3% Other Securities................................... 6,909,385 0.5% ------------ ----- TOTAL ISRAEL........................................... 10,057,813 0.8% ------------ ----- ITALY -- (2.4%) Unione di Banche Italiane SCPA..................... 339,391 2,665,405 0.2% Other Securities................................... 32,149,174 2.5% ------------ ----- TOTAL ITALY............................................ 34,814,579 2.7% ------------ ----- JAPAN -- (19.7%) Mitsubishi UFJ Financial Group, Inc................ 740,600 4,317,115 0.4% Mizuho Financial Group, Inc........................ 1,369,660 2,495,953 0.2% Sumitomo Mitsui Financial Group, Inc............... 73,541 2,999,216 0.3% Toyota Motor Corp. Sponsored ADR................... 20,242 2,456,367 0.2% Other Securities................................... 271,843,890 20.6% ------------ ----- TOTAL JAPAN............................................ 284,112,541 21.7% ------------ ----- NETHERLANDS -- (2.2%) Aegon NV........................................... 267,671 2,181,639 0.2% Other Securities................................... 29,787,913 2.2% ------------ ----- TOTAL NETHERLANDS...................................... 31,969,552 2.4% ------------ ----- NEW ZEALAND -- (0.4%) Other Securities................................... 6,098,591 0.5% ------------ ----- NORWAY -- (0.9%) Other Securities................................... 12,606,921 1.0% ------------ ----- PORTUGAL -- (0.3%) Other Securities................................... 4,739,339 0.4% ------------ ----- RUSSIA -- (0.0%) Other Securities................................... 41,460 0.0% ------------ ----- SINGAPORE -- (1.3%) Other Securities................................... 17,906,031 1.4% ------------ ----- SPAIN -- (2.3%) Banco Santander SA................................. 514,893 4,549,349 0.4% Iberdrola SA....................................... 400,479 2,834,957 0.2% Other Securities................................... 26,109,666 2.0% ------------ ----- TOTAL SPAIN............................................ 33,493,972 2.6% ------------ ----- SWEDEN -- (2.8%) Other Securities................................... 39,595,979 3.0% ------------ -----
91 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (5.9%) Aryzta AG............................... 25,690 $ 2,191,397 0.2% Clariant AG............................. 127,828 2,229,708 0.2% Credit Suisse Group AG.................. 94,484 2,517,412 0.2% Julius Baer Group, Ltd.................. 56,140 2,461,050 0.2% Lonza Group AG.......................... 19,866 2,188,965 0.2% Nestle SA............................... 92,984 6,818,898 0.5% Novartis AG............................. 53,863 4,998,640 0.4% Swiss Re AG............................. 49,846 4,030,588 0.3% Zurich Insurance Group AG............... 15,572 4,712,530 0.4% Other Securities........................ 52,893,358 3.9% -------------- ----- TOTAL SWITZERLAND........................... 85,042,546 6.5% -------------- ----- UNITED KINGDOM -- (16.5%) Anglo American P.L.C.................... 214,596 4,530,883 0.4% Barratt Developments P.L.C.............. 440,009 2,957,906 0.2% BG Group P.L.C.......................... 132,145 2,202,333 0.2% BP P.L.C................................ 311,879 2,243,939 0.2% BP P.L.C. Sponsored ADR................. 139,975 6,083,313 0.5% Friends Life Group, Ltd................. 461,924 2,395,548 0.2% # HSBC Holdings P.L.C. Sponsored ADR...... 186,519 9,516,199 0.7% * Lloyds Banking Group P.L.C.............. 2,860,531 3,532,438 0.3% Old Mutual P.L.C........................ 807,532 2,507,852 0.2% Royal Dutch Shell P.L.C. ADR(780259206). 80,746 5,796,755 0.4% # Royal Dutch Shell P.L.C. ADR(780259107). 80,780 6,031,843 0.5% * RSA Insurance Group P.L.C............... 287,221 2,222,416 0.2% Vodafone Group P.L.C. Sponsored ADR..... 100,243 3,330,079 0.3% Other Securities........................ 185,172,377 14.0% -------------- ----- TOTAL UNITED KINGDOM........................ 238,523,881 18.3% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 257,208 0.0% -------------- ----- TOTAL COMMON STOCKS......................... 1,297,477,052 99.4% -------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities........................ 165,949 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 10,532 0.0% -------------- ----- TOTAL PREFERRED STOCKS...................... 176,481 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........................ 111,443 0.0% -------------- ----- GERMANY -- (0.0%) Other Securities........................ 27,664 0.0% -------------- -----
92 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities................ $ 106 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................ 23,841 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 107,522 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 62,254 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 332,830 0.0% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (10.0%) (S)@ DFA Short Term Investment Fund.. 12,484,902 144,450,312 11.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,286,589,117)............... $1,442,436,675 110.5% ============== ======
93 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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................... $ 2,066,649 $ 89,897,055 -- $ 91,963,704 Austria..................... -- 6,584,288 -- 6,584,288 Belgium..................... 934,668 19,559,592 -- 20,494,260 Canada...................... 122,439,760 4,928 -- 122,444,688 China....................... -- 74,706 -- 74,706 Denmark..................... -- 20,644,331 -- 20,644,331 Finland..................... -- 27,422,047 -- 27,422,047 France...................... 1,635,850 84,603,108 -- 86,238,958 Germany..................... 3,636,537 71,583,442 -- 75,219,979 Greece...................... -- -- -- -- Hong Kong................... 377,181 39,881,204 -- 40,258,385 Ireland..................... 1,510,705 5,360,588 -- 6,871,293 Israel...................... 3,514,247 6,543,566 -- 10,057,813 Italy....................... 932,201 33,882,378 -- 34,814,579 Japan....................... 5,424,818 278,687,723 -- 284,112,541 Netherlands................. 4,863,241 27,106,311 -- 31,969,552 New Zealand................. 3,791 6,094,800 -- 6,098,591 Norway...................... 782,276 11,824,645 -- 12,606,921 Portugal.................... -- 4,739,339 -- 4,739,339 Russia...................... -- 41,460 -- 41,460 Singapore................... -- 17,906,031 -- 17,906,031 Spain....................... 1,223,825 32,270,147 -- 33,493,972 Sweden...................... -- 39,595,979 -- 39,595,979 Switzerland................. 4,863,620 80,178,926 -- 85,042,546 United Kingdom.............. 41,468,468 197,055,413 -- 238,523,881 United States............... 221,853 35,355 -- 257,208 Preferred Stocks Germany..................... -- 165,949 -- 165,949 United Kingdom.............. -- 10,532 -- 10,532 Rights/Warrants Australia................... -- -- -- -- Austria..................... -- -- -- -- France...................... -- 111,443 -- 111,443 Germany..................... -- 27,664 -- 27,664 Hong Kong................... -- 106 -- 106 Italy....................... -- 23,841 -- 23,841 Portugal.................... -- -- -- -- Spain....................... -- 107,522 -- 107,522 United Kingdom.............. 60,121 2,133 -- 62,254 Securities Lending Collateral. -- 144,450,312 -- 144,450,312 ------------ -------------- -- -------------- TOTAL......................... $195,959,811 $1,246,476,864 -- $1,442,436,675 ============ ============== == ==============
See accompanying Notes to Financial Statements. 94 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ ------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company........................... $ 77,633,954 Investment in Dimensional Emerging Markets Value Fund........ 26,567,397 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 490,444 9,588,177 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $104,616,352)..................................... 113,789,528 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $104,616,352)..................................... $113,789,528 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $113,789,528 -- -- $113,789,528 ------------ -- -- ------------ TOTAL........................... $113,789,528 -- -- $113,789,528 ============ == == ============
See accompanying Notes to Financial Statements. 95 WORLD EX U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 4,787,335 $ 93,592,398 Investment in Dimensional Emerging Markets Value Fund........ 34,756,718 Investment in International Vector Equity Portfolio of DFA Investment Dimensions Group Inc........................ 1,205,268 13,571,316 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................... 9,043,760 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $144,053,325)..................................... 150,964,192 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $144,053,325)..................................... $150,964,192 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $150,964,192 -- -- $150,964,192 ------------ -- -- ------------ TOTAL........................... $150,964,192 -- -- $150,964,192 ============ == == ============
See accompanying Notes to Financial Statements. 96 WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ ---------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 25,721,741 $312,519,151 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 4,644,337 93,258,277 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $407,876,986)................................. 405,777,428 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $407,876,986)................................. $405,777,428 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $405,777,428 -- -- $405,777,428 ------------ -- -- ------------ TOTAL........................... $405,777,428 -- -- $405,777,428 ============ == == ============
See accompanying Notes to Financial Statements. 97 WORLD CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc.................... 2,165,013 $38,342,379 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 2,403,932 29,207,774 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 403,210 8,096,465 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $78,254,054).................................. 75,646,618 ----------- TEMPORARY CASH INVESTMENTS -- (0.0%) State Street Institutional Liquid Reserves, 0.077% (Cost $35,161)......................................... 35,161 35,161 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $78,289,215).................................. $75,681,779 ===========
Summary of the Fund's investments as of October 31, 2014, 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. $75,646,618 -- -- $75,646,618 Temporary Cash Investments...... 35,161 -- -- 35,161 ----------- -- -- ----------- TOTAL........................... $75,681,779 -- -- $75,681,779 =========== == == ===========
See accompanying Notes to Financial Statements. 98 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 3,703,600 $ 64,220,425 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 4,374,226 53,146,850 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 1,190,179 23,898,796 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $124,892,002)................................. 141,266,071 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $124,892,002)................................. $141,266,071 ============
Summary of the Portfolio's investments as of October 31, 2014, 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. $141,266,071 -- -- $141,266,071 Futures Contracts**............. 51,312 -- -- 51,312 Forward Currency Contracts**.... -- $638,471 -- 638,471 ------------ -------- -- ------------ TOTAL........................... $141,317,383 $638,471 -- $141,955,854 ============ ======== == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 99 SCHEDULES OF INVESTMENTS October 31, 2014 EMERGING MARKETS PORTFOLIO
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company..................... $4,080,491,363 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,936,204,861)............................. $4,080,491,363 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, 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..................... $4,861,063,765 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $4,385,025,944)............................. $4,861,063,765 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS VALUE PORTFOLIO
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund.. $18,743,741,686 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $18,506,989,599)............................ $18,743,741,686 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 100 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.8%) BRAZIL -- (6.2%) AMBEV SA ADR........................................ 9,300,659 $ 62,128,402 0.4% Banco do Brasil SA.................................. 3,629,612 40,618,726 0.3% BM&FBovespa SA...................................... 9,686,489 42,623,863 0.3% Petroleo Brasileiro SA ADR.......................... 3,836,209 44,883,645 0.3% Other Securities.................................... 875,869,697 5.5% -------------- ----- TOTAL BRAZIL............................................ 1,066,124,333 6.8% -------------- ----- CHILE -- (1.3%) Other Securities.................................... 224,236,416 1.4% -------------- ----- CHINA -- (14.1%) Bank of China, Ltd. Class H......................... 157,471,702 75,373,982 0.5% China Construction Bank Corp. Class H............... 195,696,302 146,008,799 0.9% China Mobile, Ltd................................... 3,987,000 49,711,104 0.3% # China Mobile, Ltd. Sponsored ADR.................... 1,861,391 115,573,767 0.7% CNOOC, Ltd.......................................... 31,447,000 49,161,651 0.3% # CNOOC, Ltd. ADR..................................... 239,300 37,419,341 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 200,441,725 132,825,859 0.9% Tencent Holdings, Ltd............................... 9,231,600 148,372,706 1.0% Other Securities.................................... 1,659,270,901 10.5% -------------- ----- TOTAL CHINA............................................. 2,413,718,110 15.4% -------------- ----- COLOMBIA -- (0.5%) Other Securities.................................... 77,013,599 0.5% -------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 38,214,099 0.2% -------------- ----- EGYPT -- (0.1%) Other Securities.................................... 11,209,468 0.1% -------------- ----- GREECE -- (0.4%) Other Securities.................................... 75,174,054 0.5% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 180,757 0.0% -------------- ----- HUNGARY -- (0.2%) Other Securities.................................... 33,286,857 0.2% -------------- ----- INDIA -- (8.7%) HDFC Bank, Ltd...................................... 2,994,559 44,629,222 0.3% # Infosys, Ltd. Sponsored ADR......................... 875,587 58,541,747 0.4% Reliance Industries, Ltd............................ 3,980,031 64,496,597 0.4% Tata Consultancy Services, Ltd...................... 972,691 41,495,249 0.3% Other Securities.................................... 1,288,652,946 8.1% -------------- ----- TOTAL INDIA............................................. 1,497,815,761 9.5% -------------- ----- INDONESIA -- (2.8%) Astra International Tbk PT.......................... 72,654,500 40,738,177 0.3% Other Securities.................................... 438,370,964 2.7% -------------- ----- TOTAL INDONESIA......................................... 479,109,141 3.0% -------------- -----
101 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.3%) Malayan Banking Bhd....................... 16,366,740 $ 48,283,910 0.3% Other Securities.......................... 681,135,791 4.3% -------------- ----- TOTAL MALAYSIA................................ 729,419,701 4.6% -------------- ----- MEXICO -- (5.0%) Alfa S.A.B. de C.V. Class A............... 12,848,389 41,017,525 0.3% # America Movil S.A.B. de C.V. Series L ADR. 3,035,166 74,088,401 0.5% #* Cemex S.A.B. de C.V. Sponsored ADR........ 6,484,813 79,763,198 0.5% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR............................ 599,632 57,708,584 0.4% Grupo Financiero Banorte S.A.B. de C.V.... 8,504,555 54,502,411 0.3% # Grupo Mexico S.A.B. de C.V. Series B...... 16,098,780 55,411,005 0.4% Grupo Televisa S.A.B. Sponsored ADR....... 1,810,392 65,427,567 0.4% Other Securities.......................... 437,898,901 2.7% -------------- ----- TOTAL MEXICO.................................. 865,817,592 5.5% -------------- ----- PERU -- (0.1%) Other Securities.......................... 23,298,299 0.2% -------------- ----- PHILIPPINES -- (1.3%) Other Securities.......................... 228,026,975 1.5% -------------- ----- POLAND -- (1.8%) Other Securities.......................... 307,892,448 2.0% -------------- ----- RUSSIA -- (1.7%) Gazprom OAO Sponsored ADR................. 11,798,088 78,171,913 0.5% Other Securities.......................... 206,406,811 1.3% -------------- ----- TOTAL RUSSIA.................................. 284,578,724 1.8% -------------- ----- SOUTH AFRICA -- (7.3%) Bidvest Group, Ltd. (The)................. 1,505,451 41,432,531 0.3% FirstRand, Ltd............................ 10,566,034 45,257,744 0.3% MTN Group, Ltd............................ 4,967,624 109,998,339 0.7% Naspers, Ltd. Class N..................... 654,201 81,597,924 0.5% Sanlam, Ltd............................... 8,139,212 51,432,006 0.3% Sasol, Ltd................................ 994,736 49,672,340 0.3% Sasol, Ltd. Sponsored ADR................. 983,103 49,341,940 0.3% # Standard Bank Group, Ltd.................. 4,181,964 52,662,521 0.3% # Steinhoff International Holdings, Ltd..... 9,553,168 48,874,104 0.3% Other Securities.......................... 720,543,679 4.7% -------------- ----- TOTAL SOUTH AFRICA............................ 1,250,813,128 8.0% -------------- ----- SOUTH KOREA -- (13.4%) Hana Financial Group, Inc................. 1,140,149 39,483,163 0.3% Hyundai Motor Co.......................... 364,834 57,892,430 0.4% # Naver Corp................................ 60,144 42,559,210 0.3% POSCO ADR................................. 511,345 36,591,848 0.3% Samsung Electronics Co., Ltd.............. 348,260 406,120,741 2.6% #* SK Hynix, Inc............................. 1,223,154 54,545,683 0.4% Other Securities.......................... 1,667,152,633 10.4% -------------- ----- TOTAL SOUTH KOREA............................. 2,304,345,708 14.7% -------------- ----- SPAIN -- (0.0%) Other Securities.......................... 710,343 0.0% -------------- -----
102 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (13.3%) Hon Hai Precision Industry Co., Ltd.................... 44,256,377 $ 140,071,295 0.9% # Taiwan Semiconductor Manufacturing Co., Ltd............ 40,714,652 176,492,743 1.1% Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR................................................... 3,587,659 79,000,251 0.5% Other Securities....................................... 1,888,459,319 12.0% --------------- ----- TOTAL TAIWAN............................................... 2,284,023,608 14.5% --------------- ----- THAILAND -- (3.1%) PTT PCL................................................ 3,548,380 40,092,227 0.3% Other Securities....................................... 485,581,506 3.0% --------------- ----- TOTAL THAILAND............................................. 525,673,733 3.3% --------------- ----- TURKEY -- (2.0%) Other Securities....................................... 350,405,567 2.2% --------------- ----- TOTAL COMMON STOCKS........................................ 15,071,088,421 95.9% --------------- ----- PREFERRED STOCKS -- (3.1%) BRAZIL -- (3.0%) Banco Bradesco SA...................................... 2,851,473 42,951,675 0.3% # Banco Bradesco SA ADR.................................. 5,097,969 76,367,571 0.5% Itau Unibanco Holding SA............................... 3,529,263 52,373,393 0.4% Itau Unibanco Holding SA ADR........................... 6,110,461 90,190,404 0.6% Petroleo Brasileiro SA Sponsored ADR................... 5,128,535 62,721,983 0.4% Other Securities....................................... 193,832,482 1.1% --------------- ----- TOTAL BRAZIL............................................... 518,437,508 3.3% --------------- ----- CHILE -- (0.0%) Other Securities....................................... 1,292,018 0.0% --------------- ----- COLOMBIA -- (0.1%) Other Securities....................................... 17,751,681 0.1% --------------- ----- TOTAL PREFERRED STOCKS..................................... 537,481,207 3.4% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities....................................... 1,578 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities....................................... 589,439 0.0% --------------- ----- INDONESIA -- (0.0%) Other Securities....................................... 4,004 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities....................................... -- 0.0% --------------- ----- POLAND -- (0.0%) Other Securities....................................... 4,672 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities....................................... 12,479 0.0% --------------- ----- TAIWAN -- (0.0%) Other Securities....................................... 1,231 0.0% --------------- -----
103 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- THAILAND -- (0.0%) Other Securities............... $ 141,300 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 754,703 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund. 134,800,951 1,559,646,998 9.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $15,821,830,424)............. $17,168,971,329 109.2% =============== ======
Summary of the Portfolio's investments as of October 31, 2014, 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...................... $ 336,497,923 $ 729,626,410 -- $ 1,066,124,333 Chile....................... 63,360,193 160,876,223 -- 224,236,416 China....................... 256,973,549 2,156,744,561 -- 2,413,718,110 Colombia.................... 77,013,599 -- -- 77,013,599 Czech Republic.............. -- 38,214,099 -- 38,214,099 Egypt....................... -- 11,209,468 -- 11,209,468 Greece...................... 1,939,009 73,235,045 -- 75,174,054 Hong Kong................... -- 180,757 -- 180,757 Hungary..................... 245,839 33,041,018 -- 33,286,857 India....................... 154,248,766 1,343,566,995 -- 1,497,815,761 Indonesia................... 18,275,402 460,833,739 -- 479,109,141 Malaysia.................... 2,543 729,417,158 -- 729,419,701 Mexico...................... 865,718,529 99,063 -- 865,817,592 Peru........................ 23,298,299 -- -- 23,298,299 Philippines................. 5,515,795 222,511,180 -- 228,026,975 Poland...................... -- 307,892,448 -- 307,892,448 Russia...................... 8,164,696 276,414,028 -- 284,578,724 South Africa................ 94,442,565 1,156,370,563 -- 1,250,813,128 South Korea................. 112,829,958 2,191,515,750 -- 2,304,345,708 Spain....................... 710,343 -- -- 710,343 Taiwan...................... 107,784,054 2,176,239,554 -- 2,284,023,608 Thailand.................... 525,673,733 -- -- 525,673,733 Turkey...................... 5,503,487 344,902,080 -- 350,405,567 Preferred Stocks Brazil...................... 264,637,009 253,800,499 -- 518,437,508 Chile....................... -- 1,292,018 -- 1,292,018 Colombia.................... 17,751,681 -- -- 17,751,681 Rights/Warrants Brazil...................... -- 1,578 -- 1,578 Hong Kong................... -- 589,439 -- 589,439 Indonesia................... -- 4,004 -- 4,004 Malaysia.................... -- -- -- -- Poland...................... -- 4,672 -- 4,672 South Korea................. -- 12,479 -- 12,479 Taiwan...................... -- 1,231 -- 1,231 Thailand.................... -- 141,300 -- 141,300 Securities Lending Collateral. -- 1,559,646,998 -- 1,559,646,998 -------------- --------------- -- --------------- TOTAL......................... $2,940,586,972 $14,228,384,357 -- $17,168,971,329 ============== =============== == ===============
See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts)
Enhanced U.S. Large U.S. Large Cap Company Equity U.S. Large Cap Portfolio Portfolio* Value Portfolio ------------- -------------- --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- -- $ 15,138,176 Investments at Value (including $2,693, $9,261, $0 and $1,036,309 of securities on loan, respectively).................... $ 212,207 $ 262,248 -- Temporary Cash Investments at Value & Cost.......................... -- 1,462 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 2,758 9,300 -- Cash................................................................ 8,088 65 -- Receivables: Investment Securities/Affiliated Investment Company Sold.......... -- -- -- Dividends, Interest and Tax Reclaims.............................. 1,005 259 -- Securities Lending Income......................................... -- 4 -- Fund Shares Sold.................................................. 189 12,685 18,115 Futures Margin Variation.......................................... 2,343 -- -- Unrealized Gain on Forward Currency Contracts....................... 244 -- -- Prepaid Expenses and Other Assets................................... 12 11 100 ------------ ------------ -------------- Total Assets.................................................... 226,846 286,034 15,156,391 ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 2,758 9,300 -- Investment Securities/Affiliated Investment Company Purchased........................................................ 7,159 1,505 -- Fund Shares Redeemed.............................................. 120 226 6,970 Due to Advisor.................................................... 35 26 1,832 Unrealized Loss on Forward Currency Contracts....................... 39 -- -- Accrued Expenses and Other Liabilities.............................. 16 22 608 ------------ ------------ -------------- Total Liabilities............................................... 10,127 11,079 9,410 ------------ ------------ -------------- NET ASSETS.......................................................... $ 216,719 $ 274,955 $ 15,146,981 ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $16,971 and shares outstanding of 0; 0; 0 and 731,895, 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 $82,977 and shares outstanding of 0; 0; 0 and 3,589,366, 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 $216,719; $274,955; $15,146,981 and $5,490,959 and shares outstanding of 15,874,939; 21,735,115; 448,845,985 and 237,045,635, respectively.......................................... $ 13.65 $ 12.65 $ 33.75 ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000 ============ ============ ============== Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 9,823,414 ============ ============ ============== Investments at Cost................................................. $ 207,934 $ 226,852 $ -- ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 184,906 $ 238,506 $ 9,713,491 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 149 502 32,662 Accumulated Net Realized Gain (Loss)................................ 20,138 551 86,066 Net Unrealized Foreign Exchange Gain (Loss)......................... 191 -- -- Net Unrealized Appreciation (Depreciation).......................... 11,335 35,396 5,314,762 ------------ ------------ -------------- NET ASSETS.......................................................... $ 216,719 $ 274,955 $ 15,146,981 ============ ============ ==============
U.S. Targeted Value Portfolio* ---------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- Investments at Value (including $2,693, $9,261, $0 and $1,036,309 of securities on loan, respectively).................... $ 5,574,818 Temporary Cash Investments at Value & Cost.......................... 14,280 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 1,024,559 Cash................................................................ 15,714 Receivables: Investment Securities/Affiliated Investment Company Sold.......... 7,515 Dividends, Interest and Tax Reclaims.............................. 2,171 Securities Lending Income......................................... 373 Fund Shares Sold.................................................. 5,112 Futures Margin Variation.......................................... -- Unrealized Gain on Forward Currency Contracts....................... -- Prepaid Expenses and Other Assets................................... 46 ------------ Total Assets.................................................... 6,644,588 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 1,024,559 Investment Securities/Affiliated Investment Company Purchased........................................................ 17,070 Fund Shares Redeemed.............................................. 10,140 Due to Advisor.................................................... 1,558 Unrealized Loss on Forward Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 354 ------------ Total Liabilities............................................... 1,053,681 ------------ NET ASSETS.......................................................... $ 5,590,907 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $16,971 and shares outstanding of 0; 0; 0 and 731,895, respectively....................................................... $ 23.19 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Class R2 Shares -- based on net assets of $0; $0; $0 and $82,977 and shares outstanding of 0; 0; 0 and 3,589,366, respectively....................................................... $ 23.12 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Institutional Class Shares -- based on net assets of $216,719; $274,955; $15,146,981 and $5,490,959 and shares outstanding of 15,874,939; 21,735,115; 448,845,985 and 237,045,635, respectively.......................................... $ 23.16 ============ NUMBER OF SHARES AUTHORIZED......................................... 700,000,000 ============ Investments in Affiliated Investment Company at Cost................ $ -- ============ Investments at Cost................................................. $ 4,124,477 ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 3,887,976 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 6,119 Accumulated Net Realized Gain (Loss)................................ 246,471 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... 1,450,341 ------------ NET ASSETS.......................................................... $ 5,590,907 ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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 $2,011,364, $1,201,148, $1,605,031 and $534,724 of securities on loan, respectively).............................. $ 11,466,038 $ 10,746,561 $ 12,863,761 $ 3,483,746 Temporary Cash Investments at Value & Cost........... 60,522 68,558 94,206 24,721 Collateral from Securities on Loan Invested in Affiliate at Value & Cost........................... 2,005,967 1,182,906 1,568,923 520,451 Cash................................................. -- 3,201 5,546 3,396 Receivables: Investment Securities Sold......................... 17,503 806 751 410 Dividends, Interest and Tax Reclaims............... 3,553 9,614 10,701 2,253 Securities Lending Income.......................... 432 455 651 237 Fund Shares Sold................................... 6,427 9,293 8,801 2,879 Prepaid Expenses and Other Assets.................... 77 78 99 34 -------------- -------------- -------------- -------------- Total Assets.................................... 13,560,519 12,021,472 14,553,439 4,038,127 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Due to Custodian................................... 32 -- -- -- Upon Return of Securities Loaned................... 2,005,967 1,182,906 1,568,923 520,451 Investment Securities Purchased.................... 27,902 49,810 57,486 13,935 Fund Shares Redeemed............................... 9,062 5,936 5,177 1,410 Due to Advisor..................................... 4,574 1,463 2,068 841 Accrued Expenses and Other Liabilities............... 676 527 609 171 -------------- -------------- -------------- -------------- Total Liabilities............................... 2,048,213 1,240,642 1,634,263 536,808 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 11,512,306 $ 10,780,830 $ 12,919,176 $ 3,501,319 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,512,306; $10,780,830; $12,919,176 and $3,501,319 and shares outstanding of 321,354,700; 608,690,638; 744,868,065 and 205,523,101, respectively........................... $ 35.82 $ 17.71 $ 17.34 $ 17.04 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 8,188,385 $ 7,413,339 $ 8,506,724 $ 2,358,710 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 7,812,217 $ 7,378,936 $ 8,453,183 $ 2,263,224 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 3,960 19,703 22,013 4,499 Accumulated Net Realized Gain (Loss)................. 418,476 48,969 86,943 108,560 Net Unrealized Appreciation (Depreciation)........... 3,277,653 3,333,222 4,357,037 1,125,036 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 11,512,306 $ 10,780,830 $ 12,919,176 $ 3,501,319 ============== ============== ============== ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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 $2,183,092, $991,236, $733,454 and $187,140 of securities on loan, respectively).............................................. $ 9,208,558 $ 5,010,048 $ 6,584,030 $ 3,113,250 Temporary Cash Investments at Value & Cost.................. 60,668 16,820 27,425 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 2,198,003 1,001,049 701,891 188,881 Foreign Currencies at Value................................. -- -- -- 887 Cash........................................................ 8 1 -- 7,480 Receivables: Investment Securities Sold................................ 19,798 13,926 33 -- Dividends, Interest and Tax Reclaims...................... 2,711 1,636 4,986 6,468 Securities Lending Income................................. 1,076 668 114 140 Fund Shares Sold.......................................... 3,939 7,461 5,045 2,363 Prepaid Expenses and Other Assets........................... 53 36 54 21 -------------- -------------- ------------ ------------ Total Assets........................................... 11,494,814 6,051,645 7,323,578 3,319,490 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 2,198,003 1,001,049 701,891 188,881 Investment Securities Purchased........................... 41,472 15,934 10,641 67 Fund Shares Redeemed...................................... 4,586 3,370 2,093 1,827 Due to Advisor............................................ 2,556 1,994 830 639 Accrued Expenses and Other Liabilities...................... 481 271 364 229 -------------- -------------- ------------ ------------ Total Liabilities...................................... 2,247,098 1,022,618 715,819 191,643 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,247,716 $ 5,029,027 $ 6,607,759 $ 3,127,847 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $9,247,716; $5,029,027; $6,607,759 and $3,127,847 and shares outstanding of 294,721,795; 250,206,560; 204,979,714 and 144,898,247, respectively.................. $ 31.38 $ 20.10 $ 32.24 $ 21.59 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 6,673,921 $ 3,349,380 $ 4,393,384 $ 2,561,136 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 890 ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 6,457,485 $ 3,093,645 $ 4,621,934 $ 2,809,203 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 5,881 2,541 23,541 7,583 Accumulated Net Realized Gain (Loss)........................ 249,713 272,173 (228,362) (240,860) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- (190) Net Unrealized Appreciation (Depreciation).................. 2,534,637 1,660,668 2,190,646 552,111 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,247,716 $ 5,029,027 $ 6,607,759 $ 3,127,847 ============== ============== ============ ============
---------- * 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, 2014 (Amounts in thousands, except share and per share amounts)
International International Japanese Small Core Equity Small Company Portfolio* Company Portfolio ASSETS: Investments in Affiliated Investment Companies at Value.................... -- $ 8,831,558 $ 508,413 Investments at Value (including $1,270,773, $0, $0 and $0 of securities on loan, respectively)....................................................... $ 12,231,918 -- -- Temporary Cash............................................................. -- 9,752 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost... 1,313,053 -- -- Foreign Currencies at Value................................................ 5,615 -- -- Cash....................................................................... 74,244 -- -- Receivables: Investment Securities Sold............................................... 435 -- -- Dividends, Interest and Tax Reclaims..................................... 25,473 -- -- Securities Lending Income................................................ 939 -- -- Fund Shares Sold......................................................... 22,866 12,543 83 Unrealized Gain on Foreign Currency Contracts.............................. 4 -- -- Prepaid Expenses and Other Assets.......................................... 120 45 8 -------------- -------------- ------------ Total Assets........................................................... 13,674,667 8,853,898 508,504 -------------- -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned......................................... 1,313,053 -- -- Investment Securities Purchased.......................................... 55,267 -- -- Fund Shares Redeemed..................................................... 7,207 6,012 119 Due to Advisor........................................................... 3,502 2,942 169 Unrealized Loss on Foreign Currency Contracts............................ 185 -- -- Accrued Expenses and Other Liabilities..................................... 911 427 26 -------------- -------------- ------------ Total Liabilities...................................................... 1,380,125 9,381 314 -------------- -------------- ------------ NET ASSETS................................................................. $ 12,294,542 $ 8,844,517 $ 508,190 ============== ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,294,542; $8,844,517; $508,190 and $364,117 and shares outstanding of 1,011,887,141; 484,820,150; 26,534,841 and 15,916,240, respectively....... $ 12.15 $ 18.24 $ 19.15 ============== ============== ============ NUMBER OF SHARES AUTHORIZED................................................ 2,000,000,000 1,500,000,000 100,000,000 ============== ============== ============ Investments in Affiliated Investment Companies at Cost..................... $ -- $ 7,805,376 $ 492,147 ============== ============== ============ Investments at Cost........................................................ $ 11,070,295 $ -- $ -- ============== ============== ============ Foreign Currencies at Cost................................................. $ 5,656 $ -- $ -- ============== ============== ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................ $ 11,399,671 $ 7,513,994 $ 551,447 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................................ 40,713 36,226 2,523 Accumulated Net Realized Gain (Loss)....................................... (306,816) 268,704 (61,922) Net Unrealized Foreign Exchange Gain (Loss)................................ (608) (589) (124) Net Unrealized Appreciation (Depreciation)................................. 1,161,582 1,026,182 16,266 -------------- -------------- ------------ NET ASSETS................................................................. $ 12,294,542 $ 8,844,517 $ 508,190 ============== ============== ============
Asia Pacific Small Company ASSETS: Investments in Affiliated Investment Companies at Value.................... $ 364,292 Investments at Value (including $1,270,773, $0, $0 and $0 of securities on loan, respectively)....................................................... -- Temporary Cash............................................................. -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost... -- Foreign Currencies at Value................................................ -- Cash....................................................................... -- Receivables: Investment Securities Sold............................................... -- Dividends, Interest and Tax Reclaims..................................... -- Securities Lending Income................................................ -- Fund Shares Sold......................................................... 58 Unrealized Gain on Foreign Currency Contracts.............................. -- Prepaid Expenses and Other Assets.......................................... 9 ------------ Total Assets........................................................... 364,359 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned......................................... -- Investment Securities Purchased.......................................... -- Fund Shares Redeemed..................................................... 101 Due to Advisor........................................................... 122 Unrealized Loss on Foreign Currency Contracts............................ -- Accrued Expenses and Other Liabilities..................................... 19 ------------ Total Liabilities...................................................... 242 ------------ NET ASSETS................................................................. $ 364,117 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,294,542; $8,844,517; $508,190 and $364,117 and shares outstanding of 1,011,887,141; 484,820,150; 26,534,841 and 15,916,240, respectively....... $ 22.88 ============ NUMBER OF SHARES AUTHORIZED................................................ 100,000,000 ============ Investments in Affiliated Investment Companies at Cost..................... $ 360,080 ============ Investments at Cost........................................................ $ -- ============ Foreign Currencies at Cost................................................. $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................ $ 380,034 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................................ 7,045 Accumulated Net Realized Gain (Loss)....................................... (27,173) Net Unrealized Foreign Exchange Gain (Loss)................................ (1) Net Unrealized Appreciation (Depreciation)................................. 4,212 ------------ NET ASSETS................................................................. $ 364,117 ============
---------- * 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, 2014 (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....... $ 35,057 $ 169,046 -- $ 3,300,166 Investments at Value (including $0, $0, $190,837, $0 and $988,066 of securities on loan, respectively)................ -- -- $ 3,065,419 -- Temporary Cash Investments at Value & Cost.................... -- -- -- 8,925 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................. -- -- 198,808 -- Foreign Currencies at Value................................... -- -- 717 -- Cash.......................................................... -- -- 20,031 -- Receivables: Investment Securities/Affiliated Investment Company Sold....................................................... -- -- 283 -- Dividends, Interest and Tax Reclaims........................ -- -- 9,292 1 Securities Lending Income................................... -- -- 130 -- Fund Shares Sold............................................ -- 99 4,324 4,904 Unrealized Gain on Foreign Currency Contracts................. -- -- 1 -- Prepaid Expenses and Other Assets............................. 7 10 27 40 ------------ ------------ ------------ ------------ Total Assets.............................................. 35,064 169,155 3,299,032 3,314,036 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned............................ -- -- 198,808 -- Investment Securities/Affiliated Investment Company Purchased.................................................. -- -- 10,145 5,300 Fund Shares Redeemed........................................ -- 128 455 3,034 Due to Advisor.............................................. 10 56 875 51 Unrealized Loss on Foreign Currency Contracts................. -- -- 151 -- Accrued Expenses and Other Liabilities........................ 4 10 222 179 ------------ ------------ ------------ ------------ Total Liabilities......................................... 14 194 210,656 8,564 ------------ ------------ ------------ ------------ NET ASSETS.................................................... $ 35,050 $ 168,961 $ 3,088,376 $ 3,305,472 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $35,050; $168,961; $3,088,376; $3,305,472 and $11,684,771 and shares outstanding of 975,775; 8,734,430; 548,726,426; 310,892,904 and 597,749,808, respectively.................... $ 35.92 $ 19.34 $ 5.63 $ 10.63 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED................................... 100,000,000 100,000,000 700,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost........ $ 23,694 $ 144,331 $ -- $ 2,628,854 ============ ============ ============ ============ Investments at Cost........................................... $ -- $ -- $ 2,698,301 $ -- ============ ============ ============ ============ Foreign Currencies at Cost.................................... $ -- $ -- $ 721 $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................... $ 21,546 $ 165,175 $ 3,113,303 $ 2,649,228 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................... 106 119 (153,170) 21,784 Accumulated Net Realized Gain (Loss).......................... 2,032 (21,168) (238,590) (36,852) Net Unrealized Foreign Exchange Gain (Loss)................... 3 120 (281) -- Net Unrealized Appreciation (Depreciation).................... 11,363 24,715 367,114 671,312 ------------ ------------ ------------ ------------ NET ASSETS.................................................... $ 35,050 $ 168,961 $ 3,088,376 $ 3,305,472 ============ ============ ============ ============
DFA International Small Cap Value Portfolio* ---------------- ASSETS: Investments in Affiliated Investment Companies at Value....... -- Investments at Value (including $0, $0, $190,837, $0 and $988,066 of securities on loan, respectively)................ $ 11,620,902 Temporary Cash Investments at Value & Cost.................... -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................. 1,064,003 Foreign Currencies at Value................................... 28,811 Cash.......................................................... 11,527 Receivables: Investment Securities/Affiliated Investment Company Sold....................................................... 9,978 Dividends, Interest and Tax Reclaims........................ 29,193 Securities Lending Income................................... 1,089 Fund Shares Sold............................................ 7,407 Unrealized Gain on Foreign Currency Contracts................. 2 Prepaid Expenses and Other Assets............................. 85 -------------- Total Assets.............................................. 12,772,997 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................ 1,064,003 Investment Securities/Affiliated Investment Company Purchased.................................................. 12,746 Fund Shares Redeemed........................................ 4,200 Due to Advisor.............................................. 6,300 Unrealized Loss on Foreign Currency Contracts................. 191 Accrued Expenses and Other Liabilities........................ 786 -------------- Total Liabilities......................................... 1,088,226 -------------- NET ASSETS.................................................... $ 11,684,771 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $35,050; $168,961; $3,088,376; $3,305,472 and $11,684,771 and shares outstanding of 975,775; 8,734,430; 548,726,426; 310,892,904 and 597,749,808, respectively.................... $ 19.55 ============== NUMBER OF SHARES AUTHORIZED................................... 2,300,000,000 ============== Investments in Affiliated Investment Companies at Cost........ $ -- ============== Investments at Cost........................................... $ 10,060,182 ============== Foreign Currencies at Cost.................................... $ 29,123 ============== NET ASSETS CONSIST OF: Paid-In Capital............................................... $ 9,902,122 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................... 20,577 Accumulated Net Realized Gain (Loss).......................... 202,416 Net Unrealized Foreign Exchange Gain (Loss)................... (752) Net Unrealized Appreciation (Depreciation).................... 1,560,408 -------------- NET ASSETS.................................................... $ 11,684,771 ==============
---------- * 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, 2014 (Amounts in thousands, except share and per share amounts)
International World ex U.S. World ex U.S. Vector Equity World ex U.S. Targeted Value Core Equity Portfolio* Value Portfolio Portfolio Portfolio ------------- --------------- -------------- ------------- ASSETS: Investments in Affiliated Investment Companies at Value............. -- $ 113,790 $ 150,964 $ 405,777 Investments at Value (including $139,049, $0, $0, $0 and $0 of securities on loan, respectively).................................. $ 1,297,986 -- -- -- Temporary Cash Investments at Value & Cost.......................... -- -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 144,450 -- -- -- Foreign Currencies at Value......................................... 759 -- -- -- Cash................................................................ 5,192 124 107 1,539 Receivables: Investment Securities Sold........................................ 34 -- -- -- Dividends, Interest and Tax Reclaims.............................. 2,867 -- -- -- Securities Lending Income......................................... 109 -- -- -- Fund Shares Sold.................................................. 2,203 97 119 677 From Advisor...................................................... -- -- -- 23 Prepaid Expenses and Other Assets................................... 21 11 19 16 ------------ ------------ ------------ ------------ Total Assets.................................................... 1,453,621 114,022 151,209 408,032 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 144,450 -- -- -- Investment Securities Purchased................................... 2,523 17 32 1,339 Fund Shares Redeemed.............................................. 511 10 50 9 Due to Advisor.................................................... 482 39 16 -- Unrealized Loss on Foreign Currency Contracts....................... 2 -- -- -- Accrued Expenses and Other Liabilities.............................. 100 5 15 36 ------------ ------------ ------------ ------------ Total Liabilities............................................... 148,068 71 113 1,384 ------------ ------------ ------------ ------------ NET ASSETS.......................................................... $ 1,305,553 $ 113,951 $ 151,096 $ 406,648 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $1,305,553; $113,951; $151,096; $406,648 and $75,707 and shares outstanding of 115,931,127; 9,967,506; 12,511,669; 38,752,388 and 5,680,133, respectively............................. $ 11.26 $ 11.43 $ 12.08 $ 10.49 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED......................................... 500,000,000 100,000,000 100,000,000 100,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost.............. $ -- $ 104,616 $ 144,053 $ 407,877 ============ ============ ============ ============ Investments at Cost................................................. $ 1,142,139 $ -- $ -- $ -- ============ ============ ============ ============ Foreign Currencies at Cost.......................................... $ 763 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 1,133,748 $ 106,315 $ 145,500 $ 409,000 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 4,680 343 218 (2) Accumulated Net Realized Gain (Loss)................................ 11,355 (1,837) (1,533) (250) Net Unrealized Foreign Exchange Gain (Loss)......................... (73) (44) -- -- Net Unrealized Appreciation (Depreciation).......................... 155,843 9,174 6,911 (2,100) ------------ ------------ ------------ ------------ NET ASSETS.......................................................... $ 1,305,553 $ 113,951 $ 151,096 $ 406,648 ============ ============ ============ ============
World Core Equity Portfolio ------------ ASSETS: Investments in Affiliated Investment Companies at Value............. $ 75,647 Investments at Value (including $139,049, $0, $0, $0 and $0 of securities on loan, respectively).................................. -- Temporary Cash Investments at Value & Cost.......................... 35 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- Foreign Currencies at Value......................................... -- Cash................................................................ -- Receivables: Investment Securities Sold........................................ -- Dividends, Interest and Tax Reclaims.............................. -- Securities Lending Income......................................... -- Fund Shares Sold.................................................. -- From Advisor...................................................... 28 Prepaid Expenses and Other Assets................................... 7 ------------ Total Assets.................................................... 75,717 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- Investment Securities Purchased................................... -- Fund Shares Redeemed.............................................. -- Due to Advisor.................................................... -- Unrealized Loss on Foreign Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 10 ------------ Total Liabilities............................................... 10 ------------ NET ASSETS.......................................................... $ 75,707 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $1,305,553; $113,951; $151,096; $406,648 and $75,707 and shares outstanding of 115,931,127; 9,967,506; 12,511,669; 38,752,388 and 5,680,133, respectively............................. $ 13.33 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Investments in Affiliated Investment Companies at Cost.............. $ 78,254 ============ Investments at Cost................................................. $ -- ============ Foreign Currencies at Cost.......................................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 78,074 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. -- Accumulated Net Realized Gain (Loss)................................ 240 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... (2,607) ------------ NET ASSETS.......................................................... $ 75,707 ============
---------- * 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, 2014 (Amounts in thousands, except share and per share amounts)
Selectively Emerging Hedged Global Emerging Markets Equity Markets Small Cap Portfolio Portfolio Portfolio ------------- ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value.................. $ 141,266 $ 4,080,491 $ 4,861,064 Investments at Value (including $0, $0, $0, $0 and $2,020,097 of securities on loan, respectively)....................................... -- -- -- Temporary Cash........................................................... 5,756 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost. -- -- -- Segregated Cash for Futures Contracts.................................... 235 -- -- Foreign Currencies at Value.............................................. -- -- -- Cash..................................................................... -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.............. -- -- -- Dividends, Interest and Tax Reclaims.................................... -- -- -- Securities Lending Income............................................... -- -- -- Fund Shares Sold........................................................ -- 5,607 2,337 From Advisor............................................................ 2 -- -- Futures Margin Variation................................................ 58 -- -- Unrealized Gain on Forward Currency Contracts............................ 638 -- -- Prepaid Expenses and Other Assets........................................ 13 30 50 ------------ ------------ ------------ Total Assets......................................................... 147,968 4,086,128 4,863,451 ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned........................................ -- -- -- Investment Securities/Affiliated Investment Companies Purchased......... 300 -- -- Fund Shares Redeemed.................................................... 383 10,866 810 Due to Advisor.......................................................... -- 1,349 1,835 Unrealized Loss on Foreign Currency Contracts............................ -- -- -- Accrued Expenses and Other Liabilities................................... 9 215 203 ------------ ------------ ------------ Total Liabilities.................................................... 692 12,430 2,848 ------------ ------------ ------------ NET ASSETS............................................................... $ 147,276 $ 4,073,698 $ 4,860,603 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $99,066 and $0 and shares outstanding of 0; 0; 0; 3,564,838 and 0, respectively........ N/A N/A N/A ============ ============ ============ Institutional Class Shares -- based on net assets of $147,276; $4,073,698; $4,860,603; $18,647,276 and $15,727,547 and shares outstanding of 10,370,147; 152,931,698; 226,969,296; 670,453,061 and 783,404,911, respectively........................................... $ 14.20 $ 26.64 $ 21.42 ============ ============ ============ NUMBER OF SHARES AUTHORIZED.............................................. 100,000,000 500,000,000 500,000,000 ============ ============ ============ Investments in Affiliated Investment Companies at Cost................... $ 124,892 $ 2,936,205 $ 4,385,026 ============ ============ ============ Investments at Cost...................................................... $ -- $ -- $ -- ============ ============ ============ Foreign Currencies at Cost............................................... $ -- $ -- $ -- ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................................... $ 125,440 $ 2,949,124 $ 4,296,559 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................... 3,031 6,653 7,565 Accumulated Net Realized Gain (Loss)..................................... 1,742 (26,314) 80,669 Net Unrealized Foreign Exchange Gain (Loss).............................. 638 (51) (228) Net Unrealized Appreciation (Depreciation)............................... 16,425 1,144,286 476,038 ------------ ------------ ------------ NET ASSETS............................................................... $ 147,276 $ 4,073,698 $ 4,860,603 ============ ============ ============
Emerging Emerging Markets Core Markets Value Equity Portfolio Portfolio* -------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value.................. $ 18,743,742 -- Investments at Value (including $0, $0, $0, $0 and $2,020,097 of securities on loan, respectively)....................................... -- $ 15,609,324 Temporary Cash........................................................... -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost. -- 1,559,647 Segregated Cash for Futures Contracts.................................... -- -- Foreign Currencies at Value.............................................. -- 17,742 Cash..................................................................... -- 91,653 Receivables: Investment Securities/Affiliated Investment Companies Sold.............. -- 1,250 Dividends, Interest and Tax Reclaims.................................... -- 13,732 Securities Lending Income............................................... -- 3,328 Fund Shares Sold........................................................ 17,245 18,176 From Advisor............................................................ -- -- Futures Margin Variation................................................ -- -- Unrealized Gain on Forward Currency Contracts............................ -- -- Prepaid Expenses and Other Assets........................................ 68 91 -------------- -------------- Total Assets......................................................... 18,761,055 17,314,943 -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned........................................ -- 1,559,647 Investment Securities/Affiliated Investment Companies Purchased......... -- 10,304 Fund Shares Redeemed.................................................... 7,771 8,693 Due to Advisor.......................................................... 6,275 7,152 Unrealized Loss on Foreign Currency Contracts............................ -- 15 Accrued Expenses and Other Liabilities................................... 667 1,585 -------------- -------------- Total Liabilities.................................................... 14,713 1,587,396 -------------- -------------- NET ASSETS............................................................... $ 18,746,342 $ 15,727,547 ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $99,066 and $0 and shares outstanding of 0; 0; 0; 3,564,838 and 0, respectively........ $ 27.79 N/A ============== ============== Institutional Class Shares -- based on net assets of $147,276; $4,073,698; $4,860,603; $18,647,276 and $15,727,547 and shares outstanding of 10,370,147; 152,931,698; 226,969,296; 670,453,061 and 783,404,911, respectively........................................... $ 27.81 $ 20.08 ============== ============== NUMBER OF SHARES AUTHORIZED.............................................. 1,500,000,000 1,000,000,000 ============== ============== Investments in Affiliated Investment Companies at Cost................... $ 18,506,990 $ -- ============== ============== Investments at Cost...................................................... $ -- $ 14,262,183 ============== ============== Foreign Currencies at Cost............................................... $ -- $ 17,745 ============== ============== NET ASSETS CONSIST OF: Paid-In Capital.......................................................... $ 19,017,206 $ 14,516,502 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................... 37,443 28,530 Accumulated Net Realized Gain (Loss)..................................... (545,118) (164,363) Net Unrealized Foreign Exchange Gain (Loss).............................. 59 (260) Net Unrealized Appreciation (Depreciation)............................... 236,752 1,347,138 -------------- -------------- NET ASSETS............................................................... $ 18,746,342 $ 15,727,547 ============== ==============
---------- * 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, 2014 (Amounts in thousands)
Enhanced U.S. Large U.S. Large U.S. Large U.S. Targeted Company Cap Equity Cap Value Value Portfolio Portfolio Portfolio* Portfolio ---------- ---------- ---------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends................................................................... -- -- $ 272,418 -- Interest.................................................................... -- -- 20 -- Income from Securities Lending.............................................. -- -- 2,502 -- Expenses Allocated from Affiliated Investment Company....................... -- -- (14,920) -- ------- ------- ---------- -------- Total Net Investment Income Received from Affiliated Investment Company.... -- -- 260,020 -- ------- ------- ---------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $8, respectively). $ 162 $ 3,773 -- $ 59,301 Interest..................................................................... 1,451 1 -- 12 Income from Securities Lending............................................... -- 54 -- 3,332 ------- ------- ---------- -------- Total Investment Income.................................................... 1,613 3,828 -- 62,645 ------- ------- ---------- -------- Fund Expenses Investment Advisory Services Fees............................................ 103 297 -- 4,941 Administrative Services Fees................................................. 310 -- 20,484 12,352 Accounting & Transfer Agent Fees............................................. 15 17 107 285 S&P 500(R) Fees.............................................................. 8 -- -- -- Shareholder Servicing Fees -- Class R1 Shares............................................................. -- -- -- 12 Class R2 Shares............................................................. -- -- -- 166 Custodian Fees............................................................... 8 15 -- 78 Filing Fees.................................................................. 22 33 319 218 Shareholders' Reports........................................................ 4 6 298 142 Directors'/Trustees' Fees & Expenses......................................... 1 1 96 35 Professional Fees............................................................ 5 6 65 109 Organizational & Offering Costs.............................................. -- 28 -- -- Other........................................................................ 3 3 76 43 ------- ------- ---------- -------- Total Expenses............................................................. 479 406 21,445 18,381 ------- ------- ---------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)............................................... -- (29) -- -- Fees Paid Indirectly......................................................... (2) -- -- -- ------- ------- ---------- -------- Net Expenses................................................................. 477 377 21,445 18,381 ------- ------- ---------- -------- Net Investment Income (Loss)................................................. 1,136 3,451 238,575 44,264 ------- ------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................................. 643 563 600,495 262,739 Futures..................................................................... 31,175 -- -- -- Foreign Currency Transactions............................................... (151) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 332 24,836 1,088,709 116,751 Futures..................................................................... (852) -- -- -- Translation of Foreign Currency Denominated Amounts......................... 408 -- -- -- ------- ------- ---------- -------- Net Realized and Unrealized Gain (Loss)...................................... 31,555 25,399 1,689,204 379,490 ------- ------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ $32,691 $28,850 $1,927,779 $423,754 ======= ======= ========== ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $38, $46, $34 and $6, respectively)..................................................... $120,663 $ 159,836 $ 195,784 $ 48,388 Interest........................................................... 25 22 22 4 Income from Securities Lending..................................... 5,060 4,124 6,170 2,310 -------- ---------- ---------- -------- Total Investment Income......................................... 125,748 163,982 201,976 50,702 -------- ---------- ---------- -------- Expenses Investment Advisory Services Fees.................................. 21,412 15,551 22,906 9,637 Administrative Services Fees....................................... 32,118 -- -- -- Accounting & Transfer Agent Fees................................... 606 518 647 184 Custodian Fees..................................................... 148 129 148 54 Filing Fees........................................................ 336 439 377 112 Shareholders' Reports.............................................. 213 128 168 80 Directors'/Trustees' Fees & Expenses............................... 76 64 80 23 Professional Fees.................................................. 254 189 243 69 Other.............................................................. 95 79 99 33 -------- ---------- ---------- -------- Total Expenses.................................................. 55,258 17,097 24,668 10,192 -------- ---------- ---------- -------- Net Investment Income (Loss)....................................... 70,490 146,885 177,308 40,510 -------- ---------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold....................................... 462,894 51,551 91,185 115,011 Futures.......................................................... (12,757) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................ 404,462 1,034,068 1,187,562 197,283 -------- ---------- ---------- -------- Net Realized and Unrealized Gain (Loss)............................ 854,599 1,085,619 1,278,747 312,294 -------- ---------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...... $925,089 $1,232,504 $1,456,055 $352,804 ======== ========== ========== ========
See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $22, $12, $0 and $7,592, respectively)........................................ $ 92,975 $ 51,716 $ 143,591 $105,069 Interest...................................................... 11 3 9 -- Income from Securities Lending................................ 10,024 6,741 1,285 3,427 -------- -------- ---------- -------- Total Investment Income.................................... 103,010 58,460 144,885 108,496 -------- -------- ---------- -------- Expenses Investment Advisory Services Fees............................. 2,525 4,842 9,263 7,471 Administrative Services Fees.................................. 26,929 19,369 -- -- Accounting & Transfer Agent Fees.............................. 478 277 309 182 Custodian Fees................................................ 140 82 64 319 Filing Fees................................................... 286 113 219 95 Shareholders' Reports......................................... 194 105 158 121 Directors'/Trustees' Fees & Expenses.......................... 60 35 37 21 Professional Fees............................................. 207 123 111 111 Other......................................................... 74 49 42 39 -------- -------- ---------- -------- Total Expenses............................................. 30,893 24,995 10,203 8,359 -------- -------- ---------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................... -- -- (396) -- Fees Paid Indirectly.......................................... -- -- -- (9) -------- -------- ---------- -------- Net Expenses............................................... 30,893 24,995 9,807 8,350 -------- -------- ---------- -------- Net Investment Income (Loss).................................... 72,117 33,465 135,078 100,146 -------- -------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 281,378 293,787 51,264 (5,883) Futures..................................................... -- (692) (553) -- Foreign Currency Transactions............................... -- -- -- (1,034) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 332,001 40,078 857,969 (85,773) Translation of Foreign Currency Denominated Amounts......... -- -- -- (232) -------- -------- ---------- -------- Net Realized and Unrealized Gain (Loss)....................... 613,379 333,173 908,680 (92,922) -------- -------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................................... $685,496 $366,638 $1,043,758 $ 7,224 ======== ======== ========== ========
See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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, $18,245, $804 and $310, respectively)........................................... -- $ 223,629 $ 7,253 $ 14,113 Interest........................................................... -- 1 -- -- Income from Securities Lending..................................... -- 19,367 641 1,067 Expenses Allocated from Affiliated Investment Companies............ -- (11,216) (562) (490) --------- --------- ------- -------- Total Net Investment Income Received from Affiliated Investment Companies............................................. -- 231,781 7,332 14,690 --------- --------- ------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $26,542, $0, $0 and $0, respectively)....................................................... $ 361,812 -- -- -- Interest............................................................. -- 31 -- -- Income from Securities Lending....................................... 15,893 -- -- -- --------- --------- ------- -------- Total Investment Income........................................... 377,705 31 -- -- --------- --------- ------- -------- Fund Expenses Investment Advisory Services Fees.................................... 39,037 -- -- -- Administrative Services Fees......................................... -- 36,252 1,757 1,488 Accounting & Transfer Agent Fees..................................... 641 95 25 25 Custodian Fees....................................................... 1,505 2 -- -- Filing Fees.......................................................... 553 197 34 29 Shareholders' Reports................................................ 234 212 4 5 Directors'/Trustees' Fees & Expenses................................. 78 64 3 3 Professional Fees.................................................... 269 73 5 7 Other................................................................ 131 53 3 1 --------- --------- ------- -------- Total Expenses.................................................... 42,448 36,948 1,831 1,558 --------- --------- ------- -------- Fees Paid Indirectly................................................. (49) -- -- -- --------- --------- ------- -------- Net Expenses......................................................... 42,399 36,948 1,831 1,558 --------- --------- ------- -------- Net Investment Income (Loss)......................................... 335,306 194,864 5,501 13,132 --------- --------- ------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**....................................... (183,788) 303,846 9,738 227 Futures............................................................ -- (945) -- -- Foreign Currency Transactions...................................... (1,661) (909) (118) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................... (293,395) (612,635) (8,349) (25,748) Futures............................................................ -- -- -- -- Translation of Foreign Currency Denominated Amounts................ (699) (606) (112) (4) --------- --------- ------- -------- Net Realized and Unrealized Gain (Loss).............................. (479,543) (311,249) 1,159 (25,525) --------- --------- ------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................................ $(144,237) $(116,385) $ 6,660 $(12,393) ========= ========= ======= ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $1, $601, $0, $0 and $0, respectively).......................................... $ 1,170 $ 4,009 -- -- Income Distributions Received from Affiliated Investment Companies...................................................... -- -- -- $ 84,335 Income from Securities Lending.................................. 5 585 -- -- Expenses Allocated from Affiliated Investment Company........... (44) (231) -- -- ------- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company........................................... 1,131 4,363 -- 84,335 ------- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $12,355, $0 and $20,887, respectively)...................................... -- -- $113,687 -- Interest......................................................... -- 1 -- 4 Income from Securities Lending................................... -- -- 1,921 -- ------- -------- -------- -------- Total Fund Investment Income.................................. -- 1 115,608 4 ------- -------- -------- -------- Fund Expenses Investment Advisory Services Fees................................ -- -- 8,947 6,955 Administrative Services Fees..................................... 153 728 -- -- Accounting & Transfer Agent Fees................................. 17 24 157 55 Custodian Fees................................................... -- -- 376 1 Filing Fees...................................................... 16 18 154 213 Shareholders' Reports............................................ 1 4 73 114 Directors'/Trustees' Fees & Expenses............................. -- 1 18 17 Professional Fees................................................ 3 4 57 20 Other............................................................ 1 1 31 9 ------- -------- -------- -------- Total Expenses................................................ 191 780 9,813 7,384 ------- -------- -------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................... (12) -- -- (5,839) Fees Paid Indirectly............................................. -- -- (14) -- ------- -------- -------- -------- Net Expenses..................................................... 179 780 9,799 1,545 ------- -------- -------- -------- Net Investment Income (Loss)..................................... 952 3,584 105,809 82,794 ------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.................................... 2,353 5,664 3,629 (2,790) Futures......................................................... -- (53) -- -- Foreign Currency Transactions................................... (4) (20) (581) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (2,920) (13,937) 99,706 305,008 Futures......................................................... -- -- -- -- Translation of Foreign Currency Denominated Amounts............. (1) (9) (267) -- ------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).......................... (572) (8,355) 102,487 302,218 ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $ 380 $ (4,771) $208,296 $385,012 ======= ======== ======== ========
DFA International Small Cap Value Portfolio ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $1, $601, $0, $0 and $0, respectively).......................................... -- Income Distributions Received from Affiliated Investment Companies...................................................... -- Income from Securities Lending.................................. -- Expenses Allocated from Affiliated Investment Company........... -- --------- Total Net Investment Income Received from Affiliated Investment Company........................................... -- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $12,355, $0 and $20,887, respectively)...................................... $ 275,245 Interest......................................................... -- Income from Securities Lending................................... 19,108 --------- Total Fund Investment Income.................................. 294,353 --------- Fund Expenses Investment Advisory Services Fees................................ 77,966 Administrative Services Fees..................................... -- Accounting & Transfer Agent Fees................................. 690 Custodian Fees................................................... 1,463 Filing Fees...................................................... 235 Shareholders' Reports............................................ 246 Directors'/Trustees' Fees & Expenses............................. 85 Professional Fees................................................ 324 Other............................................................ 146 --------- Total Expenses................................................ 81,155 --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................... -- Fees Paid Indirectly............................................. (16) --------- Net Expenses..................................................... 81,139 --------- Net Investment Income (Loss)..................................... 213,214 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.................................... 220,979 Futures......................................................... -- Foreign Currency Transactions................................... (2,193) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... (457,867) Futures......................................................... -- Translation of Foreign Currency Denominated Amounts............. (878) --------- Net Realized and Unrealized Gain (Loss).......................... (239,959) --------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $ (26,745) =========
---------- * Investment Income and a portion of 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, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands)
World ex U.S. International World ex U.S. Targeted World ex U.S. World Core Vector Equity Value Value Core Equity Equity Portfolio Portfolio* Portfolio* Portfolio Portfolio* ------------- ------------- ------------- ------------- ---------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $310, $147, $0 and $0, respectively)............................ -- $ 4,469 $ 1,133 -- $ 1 Income Distributions Received from Affiliated Investment Companies................................................. -- 182 1,680 $ 6,170 351 Income from Securities Lending............................. -- 128 81 -- -- Expenses Allocated from Affiliated Investment Companies................................................. -- (216) (71) -- -- -------- ------- ------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies.................................... -- 4,563 2,823 6,170 352 -------- ------- ------- -------- ------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $2,855, $0, $0, $0 and $0, respectively)............................... $ 37,256 -- -- -- -- Income from Securities Lending.............................. 1,876 -- -- -- -- -------- ------- ------- -------- ------- Total Investment Income.................................. 39,132 -- -- -- -- -------- ------- ------- -------- ------- Fund Expenses Investment Advisory Services Fees........................... 5,621 554 813 938 81 Accounting & Transfer Agent Fees............................ 84 20 31 28 33 Custodian Fees.............................................. 266 2 4 4 1 Filing Fees................................................. 75 21 48 49 27 Shareholders' Reports....................................... 54 2 2 2 12 Directors'/Trustees' Fees & Expenses........................ 9 1 1 2 -- Professional Fees........................................... 48 10 12 12 21 Organizational & Offering Costs............................. -- -- -- 16 -- Other....................................................... 21 2 3 3 1 -------- ------- ------- -------- ------- Total Expenses........................................... 6,178 612 914 1,054 176 -------- ------- ------- -------- ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................. -- (224) (668) (967) (165) Fees Paid Indirectly........................................ (4) -- -- (1) -- -------- ------- ------- -------- ------- Net Expenses................................................ 6,174 388 246 86 11 -------- ------- ------- -------- ------- Net Investment Income (Loss)................................ 32,958 4,175 2,577 6,084 341 -------- ------- ------- -------- ------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies....................................... -- 157 983 -- 3 Net Realized Gain (Loss) on: Investment Securities Sold**............................... 14,492 1,007 (2,175) (107) 247 Futures.................................................... -- 1 1 -- -- Foreign Currency Transactions.............................. (376) (40) (9) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. (66,559) (6,120) (4,735) (13,820) (2,851) Futures.................................................... -- 1 -- -- -- Translation of Foreign Currency Denominated Amounts................................................... (93) (12) -- -- -- -------- ------- ------- -------- ------- Net Realized and Unrealized Gain (Loss)..................... (52,536) (5,006) (5,935) (13,927) (2,601) -------- ------- ------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... $(19,578) $ (831) $(3,358) $ (7,843) $(2,260) ======== ======= ======= ======== =======
---------- * Investment Income and a portion of 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, $3, $0 and $0, respectively. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands)
Selectively Emerging Emerging Hedged Emerging Markets Markets Global Equity Markets Small Cap Value Portfolio Portfolio* Portfolio* Portfolio* ------------- ---------- ---------- ---------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $12,913, $11,001, $69,599 and $0, respectively).......................................... -- $ 98,189 $101,164 $ 528,265 Income Distributions Received from Affiliated Investment Companies.............................................................. $2,199 -- -- -- Interest................................................................ -- 5 5 8 Income from Securities Lending.......................................... -- 4,707 19,756 24,637 Expenses Allocated from Affiliated Investment Companies................. -- (5,798) (11,646) (28,263) ------ -------- -------- --------- Total Net Investment Income Received from Affiliated Investment Companies............................................................ 2,199 97,103 109,279 524,647 ------ -------- -------- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $46,703, respectively)........................................................... -- -- -- -- Interest................................................................. 3 -- -- -- Income from Securities Lending........................................... -- -- -- -- ------ -------- -------- --------- Total Fund Investment Income.......................................... 3 -- -- -- ------ -------- -------- --------- Fund Expenses Investment Advisory Services Fees........................................ 329 -- -- -- Administrative Services Fees............................................. -- 15,438 19,823 76,112 Accounting & Transfer Agent Fees......................................... 18 47 49 141 Shareholder Servicing Fees -- Class R2 Shares......................................................... -- -- -- 250 Custodian Fees........................................................... 2 -- -- -- Filing Fees.............................................................. 28 138 159 227 Shareholders' Reports.................................................... 2 152 77 261 Directors'/Trustees' Fees & Expenses..................................... 1 27 31 135 Professional Fees........................................................ 9 26 29 115 Other.................................................................... 1 22 26 115 ------ -------- -------- --------- Total Expenses........................................................ 390 15,850 20,194 77,356 ------ -------- -------- --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................... (315) -- -- -- Fees Paid Indirectly..................................................... -- -- -- -- ------ -------- -------- --------- Net Expenses............................................................. 75 15,850 20,194 77,356 ------ -------- -------- --------- Net Investment Income (Loss)............................................. 2,127 81,253 89,085 447,291 ------ -------- -------- --------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies............................................................... 342 -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold**............................................ 1,409 (24,604) 98,856 (519,942) Futures................................................................. 572 -- -- 499 Foreign Currency Transactions........................................... 1,469 (658) (968) (4,493) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 1,003 12,634 21,383 (179,006) Futures................................................................. (82) -- (4) -- Translation of Foreign Currency Denominated Amounts..................... 610 (12) (137) (29) ------ -------- -------- --------- Net Realized and Unrealized Gain (Loss).................................. 5,323 (12,640) 119,130 (702,971) ------ -------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations............ $7,450 $ 68,613 $208,215 $(255,680) ====== ======== ======== =========
Emerging Markets Core Equity Portfolio ----------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $12,913, $11,001, $69,599 and $0, respectively).......................................... -- Income Distributions Received from Affiliated Investment Companies.............................................................. -- Interest................................................................ -- Income from Securities Lending.......................................... -- Expenses Allocated from Affiliated Investment Companies................. -- --------- Total Net Investment Income Received from Affiliated Investment Companies............................................................ -- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $46,703, respectively)........................................................... $ 357,701 Interest................................................................. 2 Income from Securities Lending........................................... 32,636 --------- Total Fund Investment Income.......................................... 390,339 --------- Fund Expenses Investment Advisory Services Fees........................................ 79,177 Administrative Services Fees............................................. -- Accounting & Transfer Agent Fees......................................... 823 Shareholder Servicing Fees -- Class R2 Shares......................................................... -- Custodian Fees........................................................... 6,018 Filing Fees.............................................................. 527 Shareholders' Reports.................................................... 329 Directors'/Trustees' Fees & Expenses..................................... 100 Professional Fees........................................................ 391 Other.................................................................... 169 --------- Total Expenses........................................................ 87,534 --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................... -- Fees Paid Indirectly..................................................... (75) --------- Net Expenses............................................................. 87,459 --------- Net Investment Income (Loss)............................................. 302,880 --------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies............................................................... -- Net Realized Gain (Loss) on: Investment Securities Sold**............................................ (111,516) Futures................................................................. -- Foreign Currency Transactions........................................... (2,722) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 123,834 Futures................................................................. -- Translation of Foreign Currency Denominated Amounts..................... (212) --------- Net Realized and Unrealized Gain (Loss).................................. 9,384 --------- Net Increase (Decrease) in Net Assets Resulting from Operations............ $ 312,264 =========
---------- * 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, $1,357, $0 and $960, 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 June 25, Year Year Year 2013(a) Year Year Ended Ended Ended to Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 -------- -------- -------- -------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................... $ 1,136 $ 1,274 $ 3,451 $ 591 $ 238,575 $ 183,780 Net Realized Gain (Loss) on: Investment Securities Sold...................... 643 (238) 563 37 600,495 819,592 Futures......................................... 31,175 40,444 -- -- -- -- Foreign Currency Transactions................... (151) (934) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...... 332 1,803 24,836 10,560 1,088,709 2,030,120 Futures......................................... (852) 5,088 -- -- -- -- Translation of Foreign Currency Denominated Amounts........................................ 408 946 -- -- -- -- -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 32,691 48,383 28,850 11,188 1,927,779 3,033,492 -------- -------- -------- -------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares...................... (903) (1,597) (3,170) (321) (230,364) (180,943) Net Short-Term Gains: Institutional Class Shares...................... -- -- (40) -- -- -- -------- -------- -------- -------- ----------- ----------- Total Distributions............................ (903) (1,597) (3,210) (321) (230,364) (180,943) -------- -------- -------- -------- ----------- ----------- Capital Share Transactions (1): Shares Issued..................................... 36,703 49,190 134,371 127,286 3,477,302 2,669,600 Shares Issued in Lieu of Cash Distributions....... 757 1,381 3,180 321 209,934 165,830 Shares Redeemed................................... (65,369) (74,528) (23,643) (3,067) (2,200,742) (2,059,492) -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................................. (27,909) (23,957) 113,908 124,540 1,486,494 775,938 -------- -------- -------- -------- ----------- ----------- Total Increase (Decrease) in Net Assets........ 3,879 22,829 139,548 135,407 3,183,909 3,628,487 Net Assets Beginning of Period............................... 212,840 190,011 135,407 -- 11,963,072 8,334,585 -------- -------- -------- -------- ----------- ----------- End of Period..................................... $216,719 $212,840 $274,955 $135,407 $15,146,981 $11,963,072 ======== ======== ======== ======== =========== =========== (1) Shares Issued and Redeemed: Shares Issued..................................... 2,890 4,732 11,205 12,483 108,157 102,131 Shares Issued in Lieu of Cash Distributions....... 60 142 265 30 6,479 6,512 Shares Redeemed................................... (5,263) (7,146) (1,962) (286) (68,360) (79,135) -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.................................. (2,313) (2,272) 9,508 12,227 46,276 29,508 ======== ======== ======== ======== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ $ 149 $ 200 $ 502 $ 281 $ 32,662 $ 28,203
---------- See page 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 U.S. Core Equity 1 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, 2014 2013 2014 2013 2014 2013 ---------- ----------- ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................... $ 44,264 $ 45,589 $ 70,490 $ 104,594 $ 146,885 $ 109,577 Net Realized Gain (Loss) on: Investment Securities Sold....................... 262,739 274,964 462,894 467,388 51,551 48,730 Futures.......................................... -- 4,864 (12,757) 4,175 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................ 116,751 903,746 404,462 2,087,253 1,034,068 1,549,261 ---------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 423,754 1,229,163 925,089 2,663,410 1,232,504 1,707,568 ---------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares.................................. (80) (604) -- -- -- -- Class R2 Shares.................................. (330) (171) -- -- -- -- Institutional Class Shares....................... (37,254) (44,723) (63,952) (97,302) (135,714) (105,633) Net Short-Term Gains: Class R1 Shares.................................. (32) (162) -- -- -- -- Class R2 Shares.................................. (84) (43) -- -- -- -- Institutional Class Shares....................... (13,954) (9,669) (2,510) (15,668) -- -- Net Long-Term Gains: Class R1 Shares.................................. (544) (2,657) -- -- -- -- Class R2 Shares.................................. (1,417) (709) -- -- -- -- Institutional Class Shares....................... (235,328) (158,843) (443,795) (380,218) (34,892) -- ---------- ----------- ----------- ----------- ----------- ----------- Total Distributions............................ (289,023) (217,581) (510,257) (493,188) (170,606) (105,633) ---------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued..................................... 1,893,177 1,069,213 2,936,905 1,700,691 3,297,271 2,012,312 Shares Issued in Lieu of Cash Distributions....... 271,172 193,793 463,121 448,519 161,062 95,895 Shares Redeemed................................... (921,922) (1,112,648) (1,829,533) (1,880,921) (1,305,580) (1,020,936) ---------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions............................ 1,242,427 150,358 1,570,493 268,289 2,152,753 1,087,271 ---------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets........ 1,377,158 1,161,940 1,985,325 2,438,511 3,214,651 2,689,206 Net Assets Beginning of Year................................. 4,213,749 3,051,809 9,526,981 7,088,470 7,566,179 4,876,973 ---------- ----------- ----------- ----------- ----------- ----------- End of Year....................................... $5,590,907 $ 4,213,749 $11,512,306 $ 9,526,981 $10,780,830 $ 7,566,179 ========== =========== =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued..................................... 83,026 54,473 83,520 56,681 195,985 144,586 Shares Issued in Lieu of Cash Distributions....... 12,467 11,549 13,724 17,521 9,673 7,046 Shares Redeemed................................... (40,542) (56,250) (52,171) (64,686) (77,540) (73,616) ---------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.................................. 54,951 9,772 45,073 9,516 128,118 78,016 ========== =========== =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ $ 6,119 $ 484 $ 3,960 $ 1,366 $ 19,703 $ 14,478
See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Vector U.S. Core Equity 2 Portfolio Equity Portfolio 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, 2014 2013 2014 2013 2014 2013 ----------- ----------- ---------- ---------- ----------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 177,308 $ 146,563 $ 40,510 $ 36,935 $ 72,117 $ 76,179 Net Realized Gain (Loss) on: Investment Securities Sold................. 91,185 106,205 115,011 42,264 281,378 252,589 Futures.................................... -- -- -- (48) -- (331) Foreign Currency Transactions.............. -- -- -- -- -- 1 Change in Unrealized Appreciation (Depreciation) of: Investment Securities...................... 1,187,562 2,176,008 197,283 684,534 332,001 1,551,354 ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 1,456,055 2,428,776 352,804 763,685 685,496 1,879,792 ----------- ----------- ---------- ---------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................. (165,687) (143,640) (37,709) (34,959) (65,689) (74,990) Net Short-Term Gains: Institutional Class Shares................. (4,518) -- (1,492) -- (19,821) (8,279) Net Long-Term Gains: Institutional Class Shares................. (98,745) (55,772) (38,966) (3,507) (218,795) (228,672) ----------- ----------- ---------- ---------- ----------- ---------- Total Distributions....................... (268,950) (199,412) (78,167) (38,466) (304,305) (311,941) ----------- ----------- ---------- ---------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................ 2,965,961 1,993,887 798,485 590,251 2,450,541 2,025,365 Shares Issued in Lieu of Cash Distributions............................... 265,683 194,014 77,784 37,851 285,840 287,893 Shares Redeemed.............................. (1,489,137) (1,351,685) (543,429) (468,656) (1,316,683) (997,627) ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 1,742,507 836,216 332,840 159,446 1,419,698 1,315,631 ----------- ----------- ---------- ---------- ----------- ---------- Total Increase (Decrease) in Net Assets................................... 2,929,612 3,065,580 607,477 884,665 1,800,889 2,883,482 Net Assets Beginning of Year............................ 9,989,564 6,923,984 2,893,842 2,009,177 7,446,827 4,563,345 ----------- ----------- ---------- ---------- ----------- ---------- End of Year.................................. $12,919,176 $ 9,989,564 $3,501,319 $2,893,842 $ 9,247,716 $7,446,827 =========== =========== ========== ========== =========== ========== (1) Shares Issued and Redeemed: Shares Issued................................ 178,876 145,060 48,426 43,824 80,252 76,522 Shares Issued in Lieu of Cash Distributions............................... 16,353 14,935 4,849 2,932 9,623 12,811 Shares Redeemed.............................. (89,926) (98,040) (33,059) (34,484) (43,155) (38,832) ----------- ----------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 105,303 61,955 20,216 12,272 46,720 50,501 =========== =========== ========== ========== =========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 22,013 $ 14,455 $ 4,499 $ 3,096 $ 5,881 $ 3,164
See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Large Cap International U.S. Micro Cap Portfolio Securities 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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 33,465 $ 46,722 $ 135,078 $ 103,396 $ 100,146 $ 68,706 Capital Gain Distributions Received from Investment Securities........................ -- -- -- 15,455 -- -- Net Realized Gain (Loss) on: Investment Securities Sold*................. 293,787 227,715 51,264 15,023 (5,883) (15,210) Futures..................................... (692) (423) (553) -- -- -- Foreign Currency Transactions............... -- -- -- -- (1,034) (394) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 40,078 1,117,408 857,969 254,603 (85,773) 476,010 Translation of Foreign Currency Denominated Amounts........................ -- -- -- -- (232) 154 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 366,638 1,391,422 1,043,758 388,477 7,224 529,266 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (30,943) (46,915) (156,934) (102,731) (98,177) (70,787) Net Short-Term Gains: Institutional Class Shares.................. (12,783) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares.................. (200,738) (176,365) -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (244,464) (223,280) (156,934) (102,731) (98,177) (70,787) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................. 732,739 605,885 1,531,390 1,428,666 711,014 631,372 Shares Issued in Lieu of Cash Distributions... 228,631 207,612 154,320 99,760 89,712 66,684 Shares Redeemed............................... (750,348) (723,766) (642,193) (853,143) (337,040) (457,180) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................ 211,022 89,731 1,043,517 675,283 463,686 240,876 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.... 333,196 1,257,873 1,930,341 961,029 372,733 699,355 Net Assets Beginning of Year............................. 4,695,831 3,437,958 4,677,418 3,716,389 2,755,114 2,055,759 ---------- ---------- ---------- ---------- ---------- ---------- End of Year................................... $5,029,027 $4,695,831 $6,607,759 $4,677,418 $3,127,847 $2,755,114 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................. 37,333 36,865 53,449 51,717 31,887 31,421 Shares Issued in Lieu of Cash Distributions... 11,975 14,570 5,604 3,726 3,956 3,350 Shares Redeemed............................... (38,226) (43,945) (22,496) (30,873) (15,048) (22,837) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 11,082 7,490 36,557 24,570 20,795 11,934 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................. $ 2,541 $ 1,656 $ 23,541 $ 32,390 $ 7,583 $ 6,579
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 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, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ----------- -------- --------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 335,306 $ 218,030 $ 194,864 $ 180,481 $ 5,501 $ 6,101 Net Realized Gain (Loss) on: Investment Securities Sold*................. (183,788) (10,392) 303,846 262,518 9,738 5,783 Futures..................................... -- -- (945) (29) -- -- Foreign Currency Transactions............... (1,661) (2,185) (909) (2,035) (118) (468) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... (293,395) 1,736,462 (612,635) 1,540,906 (8,349) 94,197 Futures..................................... -- -- -- 30 -- -- Translation of Foreign Currency Denominated Amounts........................ (699) 312 (606) 438 (112) 26 ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................. (144,237) 1,942,227 (116,385) 1,982,309 6,660 105,639 ----------- ----------- ----------- ----------- -------- --------- Distributions From: Net Investment Income: Institutional Class Shares.................. (320,068) (214,687) (190,299) (159,066) (11,539) (2,836) Net Short-Term Gains: Institutional Class Shares.................. -- -- (27,834) -- -- -- Net Long-Term Gains: Institutional Class Shares.................. -- -- (211,626) (39,012) -- -- ----------- ----------- ----------- ----------- -------- --------- Total Distributions........................ (320,068) (214,687) (429,759) (198,078) (11,539) (2,836) ----------- ----------- ----------- ----------- -------- --------- Capital Share Transactions (1): Shares Issued................................. 4,323,558 2,415,089 1,513,008 1,229,487 176,108 142,226 Shares Issued in Lieu of Cash Distributions... 309,979 206,673 418,230 188,769 10,648 2,638 Shares Redeemed............................... (1,383,156) (1,323,574) (1,061,294) (1,104,930) (87,819) (127,503) ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) from Capital Share Transactions........................ 3,250,381 1,298,188 869,944 313,326 98,937 17,361 ----------- ----------- ----------- ----------- -------- --------- Total Increase (Decrease) in Net Assets.... 2,786,076 3,025,728 323,800 2,097,557 94,058 120,164 Net Assets Beginning of Year............................. 9,508,466 6,482,738 8,520,717 6,423,160 414,132 293,968 ----------- ----------- ----------- ----------- -------- --------- End of Year................................... $12,294,542 $ 9,508,466 $ 8,844,517 $ 8,520,717 $508,190 $ 414,132 =========== =========== =========== =========== ======== ========= (1) Shares Issued and Redeemed: Shares Issued................................. 340,141 213,883 78,077 72,452 9,215 8,814 Shares Issued in Lieu of Cash Distributions... 23,911 18,646 22,420 11,691 579 173 Shares Redeemed............................... (108,799) (117,963) (54,917) (65,368) (4,681) (7,179) ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 255,253 114,566 45,580 18,775 5,113 1,808 =========== =========== =========== =========== ======== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................. $ 40,713 $ 27,329 $ 36,226 $ 27,083 $ 2,523 $ 6,178
---------- * Net of foreign capital gain taxes withheld of $0, $14, $0, $27, $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, 2014 2013 2014 2013 2014 2013 -------- -------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................... $ 13,132 $ 11,525 $ 952 $ 933 $ 3,584 $ 2,635 Net Realized Gain (Loss) on:........................... Investment Securities Sold*.......................... 227 (255) 2,353 2,545 5,664 2,298 Futures.............................................. -- -- -- -- (53) 29 Foreign Currency Transactions........................ -- 9 (4) -- (20) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........... (25,748) 17,462 (2,920) 7,107 (13,937) 41,299 Futures.............................................. -- -- -- -- -- (29) Translation of Foreign Currency Denominated Amounts............................................. (4) (1) (1) -- (9) 7 -------- -------- ------- ------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... (12,393) 28,740 380 10,585 (4,771) 46,236 -------- -------- ------- ------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares........................... (12,860) (7,603) (919) (953) (3,660) (2,834) Net Long-Term Gains: Institutional Class Shares........................... -- -- (406) -- -- -- -------- -------- ------- ------- -------- -------- Total Distributions................................. (12,860) (7,603) (1,325) (953) (3,660) (2,834) -------- -------- ------- ------- -------- -------- Capital Share Transactions (1): Shares Issued.......................................... 80,887 96,294 5,784 2,464 23,560 32,191 Shares Issued in Lieu of Cash Distributions............ 12,189 7,183 1,013 729 3,003 2,141 Shares Redeemed........................................ (34,872) (31,639) (7,898) (7,045) (19,977) (13,244) -------- -------- ------- ------- -------- -------- Net Increase (Decrease) from Capital Share Transactions....................................... 58,204 71,838 (1,101) (3,852) 6,586 21,088 -------- -------- ------- ------- -------- -------- Total Increase (Decrease) in Net Assets............. 32,951 92,975 (2,046) 5,780 (1,845) 64,490 Net Assets Beginning of Year...................................... 331,166 238,191 37,096 31,316 170,806 106,316 -------- -------- ------- ------- -------- -------- End of Year............................................ $364,117 $331,166 $35,050 $37,096 $168,961 $170,806 ======== ======== ======= ======= ======== ======== (1) Shares Issued and Redeemed: Shares Issued.......................................... 3,484 4,135 151 78 1,098 1,806 Shares Issued in Lieu of Cash Distributions............ 549 309 27 24 133 128 Shares Redeemed........................................ (1,459) (1,362) (206) (224) (926) (834) -------- -------- ------- ------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 2,574 3,082 (28) (122) 305 1,100 ======== ======== ======= ======= ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 7,045 $ 6,418 $ 106 $ 129 $ 119 $ 92
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $1, 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 DFA Global Real Estate DFA International Small Estate Securities 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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 105,809 $ 72,994 $ 82,794 $ 84,342 $ 213,214 $ 208,592 Net Realized Gain (Loss) on: Investment Securities Sold*................ 3,629 (19,009) (2,790) (3,169) 220,979 179,935 Futures.................................... -- 888 -- -- -- -- Foreign Currency Transactions.............. (581) (860) -- -- (2,193) (2,311) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 99,706 105,321 305,008 60,459 (457,867) 2,722,774 Translation of Foreign Currency Denominated Amounts....................... (267) 18 -- -- (878) 666 ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 208,296 159,352 385,012 141,632 (26,745) 3,109,656 ---------- ---------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................. (106,263) (181,848) (72,036) (84,341) (201,006) (198,381) Net Short-Term Gains: Institutional Class Shares................. -- -- -- -- (38,805) -- Net Long-Term Gains: Institutional Class Shares................. -- -- -- -- (127,501) (117,102) ---------- ---------- ---------- ---------- ----------- ----------- Total Distributions....................... (106,263) (181,848) (72,036) (84,341) (367,312) (315,483) ---------- ---------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................ 1,020,832 842,458 1,203,232 932,289 2,122,914 1,644,691 Shares Issued in Lieu of Cash Distributions.. 105,300 180,122 70,668 82,056 335,987 292,218 Shares Redeemed.............................. (298,766) (372,815) (364,111) (304,476) (1,528,972) (1,848,793) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 827,366 649,765 909,789 709,869 929,929 88,116 ---------- ---------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets................................... 929,399 627,269 1,222,765 767,160 535,872 2,882,289 Net Assets Beginning of Year............................ 2,158,977 1,531,708 2,082,707 1,315,547 11,148,899 8,266,610 ---------- ---------- ---------- ---------- ----------- ----------- End of Year.................................. $3,088,376 $2,158,977 $3,305,472 $2,082,707 $11,684,771 $11,148,899 ========== ========== ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................ 190,067 159,658 123,414 99,632 102,419 96,297 Shares Issued in Lieu of Cash Distributions.. 21,490 35,387 8,208 9,335 16,875 18,141 Shares Redeemed.............................. (56,784) (71,419) (37,911) (32,860) (74,184) (106,982) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 154,773 123,626 93,711 76,107 45,110 7,456 ========== ========== ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (153,170) $ (147,973) $ 21,784 $ 11,624 $ 20,577 $ 15,456
---------- * Net of foreign capital gain taxes withheld of $0, $7, $0, $0, $0 and $6, respectively. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Vector World ex U.S. Value World ex U.S. Targeted Equity Portfolio Portfolio Value Portfolio ---------------------- ------------------ --------------------- Period Nov. 1, Year Year Year Year Year 2012(a) Ended Ended Ended Ended Ended to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 ---------- ---------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................... $ 32,958 $ 18,816 $ 4,175 $ 2,186 $ 2,577 $ 1,009 Capital Gain Distributions Received from Affiliated Investment Companies.................................. -- -- 157 64 983 191 Net Realized Gain (Loss) on: Investment Securities Sold*........................... 14,492 8,277 1,007 3,077 (2,175) 947 Futures............................................... -- -- 1 (12) 1 1 Foreign Currency Transactions......................... (376) (71) (40) (14) (9) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ (66,559) 172,846 (6,120) 13,382 (4,735) 11,646 Futures............................................... -- -- 1 (1) -- -- Translation of Foreign Currency Denominated Amounts.............................................. (93) 46 (12) (15) -- -- ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... (19,578) 199,914 (831) 18,667 (3,358) 13,791 ---------- ---------- -------- -------- -------- ------- Distributions From: Net Investment Income: Institutional Class Shares............................ (31,342) (17,456) (4,113) (2,334) (2,482) (993) Net Short-Term Gains: Institutional Class Shares............................ (571) -- -- -- (48) -- Net Long-Term Gains: Institutional Class Shares............................ (7,322) (2,044) -- -- (1,147) -- ---------- ---------- -------- -------- -------- ------- Total Distributions................................. (39,235) (19,500) (4,113) (2,334) (3,677) (993) ---------- ---------- -------- -------- -------- ------- Capital Share Transactions (1): Shares Issued.......................................... 399,996 419,905 10,506 53,066 99,296 87,917 Shares Issued in Lieu of Cash Distributions............ 38,822 18,898 4,102 2,232 3,678 993 Shares Redeemed........................................ (165,226) (89,842) (13,300) (11,241) (40,853) (5,698) ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) from Capital Share Transactions....................................... 273,592 348,961 1,308 44,057 62,121 83,212 ---------- ---------- -------- -------- -------- ------- Total Increase (Decrease) in Net Assets............. 214,779 529,375 (3,636) 60,390 55,086 96,010 Net Assets Beginning of Period.................................... 1,090,774 561,399 117,587 57,197 96,010 -- ---------- ---------- -------- -------- -------- ------- End of Period.......................................... $1,305,553 $1,090,774 $113,951 $117,587 $151,096 $96,010 ========== ========== ======== ======== ======== ======= (1) Shares Issued and Redeemed: Shares Issued.......................................... 33,823 39,490 889 4,923 7,921 8,136 Shares Issued in Lieu of Cash Distributions............ 3,246 1,856 340 209 299 90 Shares Redeemed........................................ (13,983) (8,665) (1,114) (1,036) (3,412) (522) ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 23,086 32,681 115 4,096 4,808 7,704 ========== ========== ======== ======== ======== ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... $ 4,680 $ 2,486 $ 343 $ 187 $ 218 $ 15
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $3 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 World Core Equity Selectively Hedged Equity Portfolio Portfolio Global Equity Portfolio ------------------ ---------------- ---------------------- Period April 9, Year 2013(a) Year Year Year Year Ended to Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 2014 2013 -------- -------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................... $ 6,084 $ 1,160 $ 341 $ 23 $ 2,127 $ 1,317 Capital Gain Distributions Received from Affiliated Investment Companies............... -- -- 3 -- 342 115 Net Realized Gain (Loss) on: Investment Securities Sold*................... (107) (30) 247 21 1,409 (81) Futures....................................... -- -- -- -- 572 545 Foreign Currency Transactions................. -- -- -- -- 1,469 237 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.... (13,820) 11,720 (2,851) 228 1,003 12,814 Futures....................................... -- -- -- -- (82) 150 Translation of Foreign Currency Denominated Amounts...................................... -- -- -- -- 610 121 -------- -------- ------- ------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (7,843) 12,850 (2,260) 272 7,450 15,218 -------- -------- ------- ------- -------- ------- Distributions From: Net Investment Income: Institutional Class Shares.................... (6,099) (1,171) (348) (23) (1,858) (330) Net Short-Term Gains: Institutional Class Shares.................... (64) -- (10) -- (281) (43) Net Long-Term Gains: Institutional Class Shares.................... -- -- (14) -- (539) (56) -------- -------- ------- ------- -------- ------- Total Distributions.......................... (6,163) (1,171) (372) (23) (2,678) (429) -------- -------- ------- ------- -------- ------- Capital Share Transactions (1): Shares Issued.................................. 312,847 125,005 79,069 2,383 71,131 43,832 Shares Issued in Lieu of Cash Distributions.... 6,153 1,169 372 23 2,678 429 Shares Redeemed................................ (28,066) (8,133) (2,830) (1,118) (22,653) (2,652) -------- -------- ------- ------- -------- ------- Net Increase (Decrease) from Capital Share Transactions.......................... 290,934 118,041 76,611 1,288 51,156 41,609 -------- -------- ------- ------- -------- ------- Total Increase (Decrease) in Net Assets...... 276,928 129,720 73,979 1,537 55,928 56,398 Net Assets Beginning of Period............................ 129,720 -- 1,728 191 91,348 34,950 -------- -------- ------- ------- -------- ------- End of Period.................................. $406,648 $129,720 $75,707 $ 1,728 $147,276 $91,348 ======== ======== ======= ======= ======== ======= (1) Shares Issued and Redeemed: Shares Issued.................................. 28,743 12,721 5,733 212 5,123 3,666 Shares Issued in Lieu of Cash Distributions.... 556 117 27 2 205 39 Shares Redeemed................................ (2,595) (790) (216) (97) (1,662) (217) -------- -------- ------- ------- -------- ------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 26,704 12,048 5,544 117 3,666 3,488 ======== ======== ======= ======= ======== ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ (2) $ (1) $ -- $ -- $ 3,031 $ 1,390
Emerging Markets Portfolio ---------------------- Year Year Ended Ended Oct. 31, Oct. 31, 2014 2013 ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................... $ 81,253 $ 61,645 Capital Gain Distributions Received from Affiliated Investment Companies............... -- -- Net Realized Gain (Loss) on: Investment Securities Sold*................... (24,604) 22,235 Futures....................................... -- -- Foreign Currency Transactions................. (658) (124) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.... 12,634 143,306 Futures....................................... -- -- Translation of Foreign Currency Denominated Amounts...................................... (12) (6) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 68,613 227,056 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................... (77,881) (59,866) Net Short-Term Gains: Institutional Class Shares.................... -- -- Net Long-Term Gains: Institutional Class Shares.................... (21,358) (30,527) ---------- ---------- Total Distributions.......................... (99,239) (90,393) ---------- ---------- Capital Share Transactions (1): Shares Issued.................................. 1,057,534 1,304,374 Shares Issued in Lieu of Cash Distributions.... 92,820 84,860 Shares Redeemed................................ (701,770) (667,334) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......................... 448,584 721,900 ---------- ---------- Total Increase (Decrease) in Net Assets...... 417,958 858,563 Net Assets Beginning of Period............................ 3,655,740 2,797,177 ---------- ---------- End of Period.................................. $4,073,698 $3,655,740 ========== ========== (1) Shares Issued and Redeemed: Shares Issued.................................. 40,611 50,466 Shares Issued in Lieu of Cash Distributions.... 3,453 3,233 Shares Redeemed................................ (26,688) (25,465) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 17,376 28,234 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 6,653 $ 6,855
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and $0, 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 Emerging Markets Core Cap Portfolio Portfolio Equity 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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 89,085 $ 69,684 $ 447,291 $ 342,372 $ 302,880 $ 211,992 Net Realized Gain (Loss) on: Investment Securities Sold*.................. 98,856 64,325 (519,942) 296,735 (111,516) (9,977) Futures...................................... -- 452 499 -- -- -- Foreign Currency Transactions................ (968) (1,227) (4,493) (2,807) (2,722) (2,207) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... 21,383 146,169 (179,006) 717,140 123,834 581,086 Futures...................................... (4) 4 -- -- -- -- Translation of Foreign Currency Denominated Amounts......................... (137) (42) (29) 7 (212) (79) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 208,215 279,365 (255,680) 1,353,447 312,264 780,815 ---------- ---------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares.............................. -- -- (1,989) (1,837) -- -- Institutional Class Shares................... (83,100) (67,721) (405,752) (355,664) (287,956) (205,400) Net Short-Term Gains: Class R2 Shares.............................. -- -- (62) -- -- -- Institutional Class Shares................... -- (3,428) (11,122) -- -- -- Net Long-Term Gains: Class R2 Shares.............................. -- -- (1,472) (2,090) -- -- Institutional Class Shares................... (63,095) (92,100) (262,348) (342,441) -- -- ---------- ---------- ----------- ----------- ----------- ----------- Total Distributions........................ (146,195) (163,249) (682,745) (702,032) (287,956) (205,400) ---------- ---------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................. 1,042,130 1,458,450 3,257,115 4,240,153 4,643,693 5,406,041 Shares Issued in Lieu of Cash Distributions... 135,989 142,712 647,473 656,583 266,070 187,871 Shares Redeemed............................... (421,399) (583,088) (3,488,728) (2,967,974) (2,227,486) (1,743,072) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions........................ 756,720 1,018,074 415,860 1,928,762 2,682,277 3,850,840 ---------- ---------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets.... 818,740 1,134,190 (522,565) 2,580,177 2,706,585 4,426,255 Net Assets Beginning of Year............................. 4,041,863 2,907,673 19,268,907 16,688,730 13,020,962 8,594,707 ---------- ---------- ----------- ----------- ----------- ----------- End of Year................................... $4,860,603 $4,041,863 $18,746,342 $19,268,907 $15,727,547 $13,020,962 ========== ========== =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................. 49,106 69,669 116,998 148,957 235,819 276,461 Shares Issued in Lieu of Cash Distributions... 6,569 6,956 23,036 22,991 12,932 9,689 Shares Redeemed............................... (20,277) (28,076) (124,198) (105,179) (113,406) (90,412) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 35,398 48,549 15,836 66,769 135,345 195,738 ========== ========== =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................ $ 7,565 $ 8,340 $ 37,443 $ 14,817 $ 28,530 $ 31,355
---------- * Net of foreign capital gain taxes withheld of $1,357, $1, $0, $0, $960 and $0, respectively. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio ------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.07 0.07 0.07 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized). 1.94 2.42 1.20 0.56 1.05 -------- -------- -------- -------- -------- Total from Investment Operations......................... 2.01 2.49 1.27 0.63 1.12 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.06) (0.08) (0.13) (0.01) (0.07) Net Realized Gains......................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions...................................... (0.06) (0.08) (0.13) (0.01) (0.07) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 13.65 $ 11.70 $ 9.29 $ 8.15 $ 7.53 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 17.18% 26.99% 15.84% 8.41% 17.40% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $216,719 $212,840 $190,011 $171,128 $157,730 Ratio of Expenses to Average Net Assets..................... 0.23% 0.24% 0.25% 0.26% 0.26% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.23% 0.24% 0.25% 0.26% 0.26% Ratio of Net Investment Income to Average Net Assets........ 0.55% 0.63% 0.80% 0.86% 0.98% Portfolio Turnover Rate..................................... 202% 139% 76% 140% 78% ---------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity Portfolio ------------------- Period Year June 25, Ended 2013(a) to Oct. 31, Oct. 31, 2014 2013 --------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 11.07 $ 10.00 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.21 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 1.57 1.04 -------- -------- Total from Investment Operations......................... 1.78 1.10 --------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.03) Net Realized Gains......................................... -- -- -------- -------- Total Distributions...................................... (0.20) (0.03) --------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.65 $ 11.07 =========================================================== ======== ========== Total Return................................................ 16.19% 11.01%(D) --------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $274,955 $135,407 Ratio of Expenses to Average Net Assets..................... 0.19% 0.19%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.20% 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.75% 1.58%(C)(E) Portfolio Turnover Rate..................................... 1% 0%(D) ---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio ------------------------------------------------------------- Year Year Year Year Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 29.72 $ 22.34 $ 19.29 $ 18.58 ----------- ----------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.56 0.47 0.41 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 4.02 7.38 3.04 0.70 ----------- ----------- ---------- ---------- Total from Investment Operations......................... 4.58 7.85 3.45 1.03 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.55) (0.47) (0.40) (0.32) Net Realized Gains......................................... -- -- -- -- ----------- ----------- ---------- ---------- Total Distributions...................................... (0.55) (0.47) (0.40) (0.32) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 33.75 $ 29.72 $ 22.34 $ 19.29 =========================================================== =========== =========== ========== ========== Total Return................................................ 15.49% 35.52% 18.14% 5.53% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $15,146,981 $11,963,072 $8,334,585 $7,340,344 Ratio of Expenses to Average Net Assets..................... 0.27%(B) 0.27%(B) 0.27%(B) 0.28%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.27%(B) 0.27%(B) 0.27%(B) 0.28%(B) Ratio of Net Investment Income to Average Net Assets........ 1.75% 1.82% 1.99% 1.63% ---------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2010 --------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 15.81 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 2.76 ---------- Total from Investment Operations......................... 3.09 --------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) Net Realized Gains......................................... -- ---------- Total Distributions...................................... (0.32) --------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 18.58 =========================================================== ========== Total Return................................................ 19.72% --------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $6,921,036 Ratio of Expenses to Average Net Assets..................... 0.28%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.28%(B) Ratio of Net Investment Income to Average Net Assets........ 1.86% ---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 22.63 $17.28 $ 15.32 $ 14.75 $ 11.73 ------- ------ ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.18 0.27 0.15 0.10 0.07 Net Gains (Losses) on Securities (Realized and Unrealized). 1.86 6.28 2.06 0.60 3.07 ------- ------ ------- ------- ------- Total from Investment Operations.......................... 2.04 6.55 2.21 0.70 3.14 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.16) (0.22) (0.13) (0.10) (0.12) Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- ------- ------ ------- ------- ------- Total Distributions....................................... (1.48) (1.20) (0.25) (0.13) (0.12) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 23.19 $22.63 $ 17.28 $ 15.32 $ 14.75 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 9.47% 40.39% 14.67% 4.69% 26.93% ------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $16,971 $9,470 $49,423 $45,132 $41,316 Ratio of Expenses to Average Net Assets...................... 0.47% 0.47% 0.48% 0.48% 0.49% Ratio of Net Investment Income to Average Net Assets......... 0.79% 1.42% 0.93% 0.61% 0.59% Portfolio Turnover Rate...................................... 10% 16% 20% 23% 20% -------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 22.57 $ 17.26 $ 15.31 $ 14.76 $11.74 ------- ------- ------- ------- ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.15 0.19 0.13 0.07 0.05 Net Gains (Losses) on Securities (Realized and Unrealized). 1.84 6.31 2.05 0.60 3.07 ------- ------- ------- ------- ------ Total from Investment Operations.......................... 1.99 6.50 2.18 0.67 3.12 ------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.12) (0.21) (0.11) (0.09) (0.10) Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- ------- ------- ------- ------- ------ Total Distributions....................................... (1.44) (1.19) (0.23) (0.12) (0.10) ------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 23.12 $ 22.57 $ 17.26 $ 15.31 $14.76 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 9.30% 40.10% 14.46% 4.50% 26.66% ------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $82,977 $23,305 $12,754 $10,918 $5,967 Ratio of Expenses to Average Net Assets...................... 0.62% 0.62% 0.63% 0.63% 0.64% Ratio of Net Investment Income to Average Net Assets......... 0.64% 0.95% 0.78% 0.42% 0.44% Portfolio Turnover Rate...................................... 10% 16% 20% 23% 20% ------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 2014 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 34.48 ---------- ---------- ---------- ---------- ---------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.21 0.24 0.17 0.12 0.09 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 1.85 6.31 2.06 0.59 3.06 2.93 ---------- ---------- ---------- ---------- ---------- ----------- Total from Investment Operations.................. 2.06 6.55 2.23 0.71 3.15 3.16 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.18) (0.25) (0.15) (0.12) (0.09) (0.22) Net Realized Gains................................. (1.32) (0.98) (0.12) (0.03) -- (1.60) ---------- ---------- ---------- ---------- ---------- ----------- Total Distributions............................... (1.50) (1.23) (0.27) (0.15) (0.09) (1.82) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 23.16 $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 35.82 ===================================================== ========== ========== ========== ========== ========== =========== Total Return......................................... 9.58% 40.40% 14.78% 4.76% 27.02% 9.49% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $5,490,959 $4,180,974 $2,989,632 $2,487,929 $2,223,982 $11,512,306 Ratio of Expenses to Average Net Assets.............. 0.37% 0.37% 0.38% 0.38% 0.38% 0.52% Ratio of Net Investment Income to Average Net Assets. 0.90% 1.25% 1.03% 0.71% 0.69% 0.66% Portfolio Turnover Rate.............................. 10% 16% 20% 23% 20% 9% -------------------------------------------------------------------------------------------------------------------------------
U.S. Small 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 Year................... $ 26.57 $ 23.50 $ 22.49 $ 17.69 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.39 0.20 0.16 0.09 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 9.41 3.38 1.00 4.79 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 9.80 3.58 1.16 4.88 ----------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.37) (0.18) (0.15) (0.08) Net Realized Gains................................. (1.52) (0.33) -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (1.89) (0.51) (0.15) (0.08) ----------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 34.48 $ 26.57 $ 23.50 $ 22.49 ===================================================== ========== ========== ========== ========== Total Return......................................... 39.35% 15.60% 5.13% 27.69% ----------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $9,526,981 $7,088,470 $6,540,863 $6,555,277 Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets. 1.28% 0.78% 0.62% 0.43% Portfolio Turnover Rate.............................. 14% 15% 14% 19% -----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 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, 2014 2013 2012 2011 2010 2014 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 15.62 ----------- ---------- ---------- ---------- ---------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.27 0.25 0.21 0.17 0.15 0.26 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 2.02 3.62 1.32 0.59 1.61 1.86 ----------- ---------- ---------- ---------- ---------- ----------- Total from Investment Operations.................. 2.29 3.87 1.53 0.76 1.76 2.12 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.25) (0.24) (0.20) (0.16) (0.12) (0.24) Net Realized Gains................................. (0.07) -- -- -- -- (0.16) ----------- ---------- ---------- ---------- ---------- ----------- Total Distributions............................... (0.32) (0.24) (0.20) (0.16) (0.12) (0.40) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 17.34 ===================================================== =========== ========== ========== ========== ========== =========== Total Return......................................... 14.72% 32.32% 14.29% 7.47% 20.80% 13.78% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $10,780,830 $7,566,179 $4,876,973 $3,731,411 $2,897,409 $12,919,176 Ratio of Expenses to Average Net Assets.............. 0.19% 0.19% 0.19% 0.20% 0.20% 0.22% Ratio of Net Investment Income to Average Net Assets. 1.61% 1.79% 1.79% 1.49% 1.53% 1.55% Portfolio Turnover Rate.............................. 5% 1% 3% 5% 4% 6% --------------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 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................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.24 0.20 0.16 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 3.73 1.36 0.54 1.64 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 3.97 1.56 0.70 1.78 ----------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.24) (0.18) (0.15) (0.11) Net Realized Gains................................. (0.10) -- -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (0.34) (0.18) (0.15) (0.11) ----------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 15.62 $ 11.99 $ 10.61 $ 10.06 ===================================================== ========== ========== ========== ========== Total Return......................................... 33.66% 14.81% 6.98% 21.41% ----------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $9,989,564 $6,923,984 $5,819,906 $4,990,367 Ratio of Expenses to Average Net Assets.............. 0.22% 0.22% 0.22% 0.23% Ratio of Net Investment Income to Average Net Assets. 1.74% 1.74% 1.42% 1.47% Portfolio Turnover Rate.............................. 3% 5% 9% 7% -----------------------------------------------------------------------------------------------------
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 ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year.......................... $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.21 0.20 0.16 0.12 0.10 Net Gains (Losses) on Securities (Realized and Unrealized). 1.62 4.03 1.32 0.46 1.79 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.83 4.23 1.48 0.58 1.89 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.19) (0.20) (0.15) (0.12) (0.10) Net Realized Gains......................................... (0.22) (0.02) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.41) (0.22) (0.15) (0.12) (0.10) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................ $ 17.04 $ 15.62 $ 11.61 $ 10.28 $ 9.82 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 11.91% 36.80% 14.55% 5.86% 23.65% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)......................... $3,501,319 $2,893,842 $2,009,177 $1,851,895 $1,558,423 Ratio of Expenses to Average Net Assets..................... 0.32% 0.32% 0.32% 0.33% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)................................. 0.32% 0.32% 0.32% 0.33% 0.33% Ratio of Net Investment Income to Average Net Assets........ 1.26% 1.50% 1.45% 1.11% 1.13% Portfolio Turnover Rate..................................... 10% 3% 9% 10% 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 Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.26 0.35 0.25 0.18 0.13 Net Gains (Losses) on Securities (Realized and Unrealized). 2.27 8.13 2.53 1.49 4.17 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 2.53 8.48 2.78 1.67 4.30 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.36) (0.22) (0.18) (0.13) Net Realized Gains......................................... (0.94) (1.20) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.18) (1.56) (0.22) (0.18) (0.13) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 19.06 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 8.67% 39.03% 13.61% 8.76% 28.99% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,247,716 $7,446,827 $4,563,345 $3,770,323 $3,391,457 Ratio of Expenses to Average Net Assets...................... 0.37% 0.37% 0.37% 0.37% 0.37% Ratio of Net Investment Income to Average Net Assets......... 0.86% 1.33% 1.14% 0.84% 0.76% Portfolio Turnover Rate...................................... 9% 10% 16% 23% 19% --------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 19.64 $ 14.84 $ 13.24 $ 12.25 $ 9.57 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.14 0.19 0.14 0.09 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 1.35 5.57 1.59 0.99 2.68 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.49 5.76 1.73 1.08 2.74 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.13) (0.20) (0.13) (0.09) (0.06) Net Realized Gains......................................... (0.90) (0.76) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.03) (0.96) (0.13) (0.09) (0.06) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 20.10 $ 19.64 $ 14.84 $ 13.24 $ 12.25 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 7.88% 41.34% 13.13% 8.85% 28.77% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $5,029,027 $4,695,831 $3,437,958 $3,257,719 $3,178,286 Ratio of Expenses to Average Net Assets...................... 0.52% 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets......... 0.69% 1.16% 0.99% 0.69% 0.58% Portfolio Turnover Rate...................................... 12% 11% 15% 14% 9% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.72 0.67 0.57 0.40 0.58 Net Gains (Losses) on Securities (Realized and Unrealized). 4.62 1.95 2.74 1.93 5.92 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 5.34 2.62 3.31 2.33 6.50 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.87) (0.68) (0.73) (0.32) (0.55) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.87) (0.68) (0.73) (0.32) (0.55) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 21.24 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 19.80% 10.28% 14.45% 11.09% 43.21% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $6,607,759 $4,677,418 $3,716,389 $3,098,647 $2,689,552 Ratio of Expenses to Average Net Assets...................... 0.18% 0.18% 0.22% 0.32% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.19% 0.19% 0.23% 0.32% 0.33% Ratio of Net Investment Income to Average Net Assets......... 2.48% 2.42% 2.29% 1.76% 3.13% Portfolio Turnover Rate...................................... 0% 1% 0% 3% 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 22.20 $ 18.33 $ 17.91 $ 19.42 $ 18.02 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.75 0.58 0.60 0.63 0.48 Net Gains (Losses) on Securities (Realized and Unrealized). (0.62) 3.90 0.40 (1.53) 1.43 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 0.13 4.48 1.00 (0.90) 1.91 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.74) (0.61) (0.58) (0.61) (0.51) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.74) (0.61) (0.58) (0.61) (0.51) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 21.59 $ 22.20 $ 18.33 $ 17.91 $ 19.42 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 0.47% 24.85% 5.89% (4.86)% 10.99% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,127,847 $2,755,114 $2,055,759 $1,704,149 $1,616,686 Ratio of Expenses to Average Net Assets...................... 0.28% 0.29% 0.30% 0.30% 0.30% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.28% 0.29% 0.30% 0.30% 0.30% Ratio of Net Investment Income to Average Net Assets......... 3.35% 2.90% 3.38% 3.19% 2.65% Portfolio Turnover Rate...................................... 4% 5% 4% 3% 7% --------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.38 0.31 0.31 0.33 0.23 Net Gains (Losses) on Securities (Realized and Unrealized). (0.43) 2.47 0.20 (0.89) 0.96 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... (0.05) 2.78 0.51 (0.56) 1.19 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.37) (0.31) (0.30) (0.33) (0.20) ----------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.37) (0.31) (0.30) (0.33) (0.20) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 12.15 $ 12.57 $ 10.10 $ 9.89 $ 10.78 =========================================================== =========== ========== ========== ========== ========== Total Return................................................ (0.55)% 27.98% 5.49% (5.49)% 12.48% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $12,294,542 $9,508,466 $6,482,738 $5,395,884 $4,866,989 Ratio of Expenses to Average Net Assets..................... 0.38% 0.39% 0.40% 0.40% 0.40% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.38% 0.39% 0.40% 0.40% 0.40% Ratio of Net Investment Income to Average Net Assets........ 3.01% 2.80% 3.18% 2.96% 2.31% Portfolio Turnover Rate..................................... 7% 3% 5% 3% 2% ---------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................................. $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................. 0.42 0.42 0.38 0.40 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.62) 4.16 0.39 (0.83) 2.13 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................................ (0.20) 4.58 0.77 (0.43) 2.41 ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................ (0.42) (0.37) (0.42) (0.50) (0.26) Net Realized Gains............................................... (0.54) (0.09) (0.28) -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............................................. (0.96) (0.46) (0.70) (0.50) (0.26) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................................... $ 18.24 $ 19.40 $ 15.28 $ 15.21 $ 16.14 =================================================================== ========== ========== ========== ========== ========== Total Return....................................................... (1.09)% 30.66% 5.63% (2.92)% 17.61% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................ $8,844,517 $8,520,717 $6,423,160 $5,834,015 $5,511,594 Ratio of Expenses to Average Net Assets (B)........................ 0.53% 0.54% 0.56% 0.55% 0.56% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................................... 0.53% 0.54% 0.56% 0.55% 0.56% Ratio of Net Investment Income to Average Net Assets............... 2.15% 2.47% 2.58% 2.37% 1.94% ----------------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio ------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................................. $ 19.33 $ 14.99 $ 15.24 $ 14.13 $ 14.32 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................. 0.24 0.26 0.29 0.27 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.13 4.21 (0.26) 1.08 (0.18) -------- -------- -------- -------- -------- Total from Investment Operations................................ 0.37 4.47 0.03 1.35 0.04 --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................ (0.55) (0.13) (0.28) (0.24) (0.23) Net Realized Gains............................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions............................................. (0.55) (0.13) (0.28) (0.24) (0.23) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................................... $ 19.15 $ 19.33 $ 14.99 $ 15.24 $ 14.13 =================================================================== ======== ======== ======== ======== ======== Total Return....................................................... 2.00% 30.06% 0.20% 9.57% 0.33% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................ $508,190 $414,132 $293,968 $163,120 $114,933 Ratio of Expenses to Average Net Assets (B)........................ 0.55% 0.56% 0.57% 0.56% 0.57% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................................... 0.55% 0.56% 0.57% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets............... 1.25% 1.51% 1.88% 1.74% 1.52% ---------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.83 1.01 0.87 0.85 0.69 Net Gains (Losses) on Securities (Realized and Unrealized). (1.81) 1.37 0.58 (2.16) 4.99 -------- -------- -------- -------- -------- Total from Investment Operations......................... (0.98) 2.38 1.45 (1.31) 5.68 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.96) (0.78) (1.27) (1.29) (0.63) Net Realized Gains......................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions...................................... (0.96) (0.78) (1.27) (1.29) (0.63) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 25.64 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ (3.84)% 10.46% 7.09% (5.59)% 28.36% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $364,117 $331,166 $238,191 $139,262 $131,511 Ratio of Expenses to Average Net Assets (B)................. 0.55% 0.57% 0.59% 0.60% 0.63% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.55% 0.57% 0.59% 0.60% 0.61% Ratio of Net Investment Income to Average Net Assets........ 3.53% 4.26% 3.91% 3.34% 3.14% -----------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.95 0.88 0.69 0.82 0.50 Net Gains (Losses) on Securities (Realized and Unrealized). (0.65) 9.17 4.47 (0.85) 4.41 ------- ------- ------- ------- ------- Total from Investment Operations......................... 0.30 10.05 5.16 (0.03) 4.91 ---------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.93) (0.90) (0.79) (0.77) (0.50) Net Realized Gains......................................... (0.41) -- -- -- -- ------- ------- ------- ------- ------- Total Distributions...................................... (1.34) (0.90) (0.79) (0.77) (0.50) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 35.92 $ 36.96 $ 27.81 $ 23.44 $ 24.24 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 0.73% 36.81% 22.82% (0.28)% 25.37% ---------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $35,050 $37,096 $31,316 $33,869 $33,751 Ratio of Expenses to Average Net Assets (B)................. 0.58% 0.59% 0.60% 0.60% 0.60% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.62% 0.63% 0.63% 0.62% 0.64% Ratio of Net Investment Income to Average Net Assets........ 2.50% 2.79% 2.83% 3.26% 2.39% ----------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.42 0.37 0.39 0.39 0.27 Net Gains (Losses) on Securities (Realized and Unrealized). (0.90) 5.78 (0.17) (2.20) 1.89 -------- -------- -------- -------- -------- Total from Investment Operations.......................... (0.48) 6.15 0.22 (1.81) 2.16 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.44) (0.40) (0.37) (0.46) (0.25) -------- -------- -------- -------- -------- Total Distributions....................................... (0.44) (0.40) (0.37) (0.46) (0.25) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 19.34 $ 20.26 $ 14.51 $ 14.66 $ 16.93 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. (2.68)% 42.99% 1.85% (11.09)% 14.85% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $168,961 $170,806 $106,316 $117,452 $128,106 Ratio of Expenses to Average Net Assets...................... 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) Ratio of Net Investment Income to Average Net Assets......... 1.97% 2.16% 2.78% 2.25% 1.78% 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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.22 0.22 0.27 0.30 0.31 Net Gains (Losses) on Securities (Realized and Unrealized). 0.19 0.25 0.75 (0.33) 0.58 ---------- ---------- ---------- ---------- -------- Total from Investment Operations.......................... 0.41 0.47 1.02 (0.03) 0.89 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.26) (0.66) (0.25) (0.65) (0.55) ---------- ---------- ---------- ---------- -------- Total Distributions....................................... (0.26) (0.66) (0.25) (0.65) (0.55) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 5.63 $ 5.48 $ 5.67 $ 4.90 $ 5.58 ============================================================= ========== ========== ========== ========== ======== Total Return................................................. 8.21% 9.24% 22.34% (0.43)% 18.96% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $3,088,376 $2,158,977 $1,531,708 $1,060,156 $958,554 Ratio of Expenses to Average Net Assets...................... 0.38% 0.39% 0.41% 0.42% 0.41% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.38% 0.39% 0.41% 0.42% 0.41% Ratio of Net Investment Income to Average Net Assets......... 4.14% 4.07% 5.45% 5.73% 6.42% Portfolio Turnover Rate...................................... 1% 5% 3% 7% 6% ------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................. $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.31 0.49 0.29 0.41 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.05 0.37 1.07 0.06 1.60 ---------- ---------- ---------- -------- -------- Total from Investment Operations................ 1.36 0.86 1.36 0.47 2.00 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.32) (0.60) (0.24) (0.54) (0.47) Net Realized Gains............................... -- -- -- -- -- ---------- ---------- ---------- -------- -------- Total Distributions............................. (0.32) (0.60) (0.24) (0.54) (0.47) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................... $ 10.63 $ 9.59 $ 9.33 $ 8.21 $ 8.28 =================================================== ========== ========== ========== ======== ======== Total Return....................................... 14.98% 9.74% 17.33% 6.17% 31.38% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................ $3,305,472 $2,082,707 $1,315,547 $869,348 $695,461 Ratio of Expenses to Average Net Assets............ 0.32%(B) 0.32%(B) 0.34%(B) 0.41%(B) 0.41%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)............................. 0.55%(B) 0.55%(B) 0.60%(B) 0.73%(B) 0.73%(B) Ratio of Net Investment Income to Average Net Assets............................................ 3.21% 5.18% 3.38% 5.01% 5.59% 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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................. $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.37 0.37 0.34 0.34 0.24 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... (0.34) 5.21 0.61 (0.98) 1.22 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations................ 0.03 5.58 0.95 (0.64) 1.46 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................ (0.35) (0.36) (0.36) (0.38) (0.22) Net Realized Gains............................... (0.30) (0.21) (0.28) (0.29) -- ----------- ----------- ---------- ---------- ---------- Total Distributions............................. (0.65) (0.57) (0.64) (0.67) (0.22) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year....................... $ 19.55 $ 20.17 $ 15.16 $ 14.85 $ 16.16 =================================================== =========== =========== ========== ========== ========== Total Return....................................... 0.13% 37.79% 6.92% (4.39)% 10.01% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)................ $11,684,771 $11,148,899 $8,266,610 $7,459,144 $7,655,318 Ratio of Expenses to Average Net Assets............ 0.68% 0.69% 0.71% 0.70% 0.70% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)............................. 0.68% 0.69% 0.71% 0.70% 0.70% Ratio of Net Investment Income to Average Net Assets............................................ 1.78% 2.16% 2.30% 2.05% 1.57% Portfolio Turnover Rate............................ 8% 9% 18% 16% 18% ------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 ---------- ---------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................ 0.32 0.26 0.27 0.29 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.43) 2.44 0.14 (0.87) 1.05 ---------- ---------- -------- -------- -------- Total from Investment Operations............................... (0.11) 2.70 0.41 (0.58) 1.23 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................... (0.30) (0.25) (0.27) (0.29) (0.17) Net Realized Gains.............................................. (0.08) (0.03) (0.15) (0.07) -- ---------- ---------- -------- -------- -------- Total Distributions............................................ (0.38) (0.28) (0.42) (0.36) (0.17) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................................... $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.28 ================================================================== ========== ========== ======== ======== ======== Total Return...................................................... (1.05)% 29.52% 4.90% (5.99)% 13.62% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................. $1,305,553 $1,090,774 $561,399 $410,580 $363,123 Ratio of Expenses to Average Net Assets........................... 0.49% 0.51% 0.54% 0.54% 0.54% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................... 0.49% 0.51% 0.54% 0.54% 0.53% Ratio of Net Investment Income to Average Net Assets.............. 2.64% 2.51% 2.94% 2.73% 1.91% Portfolio Turnover Rate........................................... 8% 2% 5% 10% 5% ---------------------------------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio ------------------------------------------------- Year Year Year Year Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 --------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 11.93 $ 9.94 $ 9.96 $ 11.35 -------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................ 0.42 0.29 0.29 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.50) 2.02 (0.05) (1.35) -------- -------- ------- ------- Total from Investment Operations............................... (0.08) 2.31 0.24 (1.05) --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................... (0.42) (0.32) (0.26) (0.26) Net Realized Gains.............................................. -- -- -- (0.08) -------- -------- ------- ------- Total Distributions............................................ (0.42) (0.32) (0.26) (0.34) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................................... $ 11.43 $ 11.93 $ 9.94 $ 9.96 ================================================================== ======== ======== ======== ======== Total Return...................................................... (0.81)% 23.61% 2.70% (9.59)% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................. $113,951 $117,587 $57,197 $47,165 Ratio of Expenses to Average Net Assets........................... 0.57%(B) 0.60%(B) 0.60%(B) 0.60%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................... 0.76%(B) 0.76%(B) 0.84%(B) 0.91%(B) Ratio of Net Investment Income to Average Net Assets.............. 3.54% 2.61% 2.97% 2.64% Portfolio Turnover Rate........................................... N/A N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------
--------- Period Aug. 23, 2010(a) to Oct. 31, 2010 ------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 10.00 ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................ 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)...... 1.33 ------- Total from Investment Operations............................... 1.35 ------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................... -- Net Realized Gains.............................................. -- ------- Total Distributions............................................ -- ------------------------------------------------------------------------------------- Net Asset Value, End of Period.................................... $ 11.35 ================================================================== ========== Total Return...................................................... 13.50%(D) ------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................. $29,616 Ratio of Expenses to Average Net Assets........................... 0.90%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................... 1.37%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets.............. 0.76%(C)(E) Portfolio Turnover Rate........................................... 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 U.S. Targeted World ex U.S. Core Value Portfolio Equity Portfolio ------------------ -------------------- Period Period Year Nov. 1, Year April 9, Ended 2012(a) to Ended 2013(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2014 2013 ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................ $ 12.46 $ 10.00 $ 10.77 $ 10.00 -------- ------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.23 0.20 0.28 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). (0.22) 2.46 (0.27) 0.77 -------- ------- -------- -------- Total from Investment Operations......................... 0.01 2.66 0.01 0.95 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.20) (0.28) (0.18) Net Realized Gains......................................... (0.15) -- (0.01) -- -------- ------- -------- -------- Total Distributions...................................... (0.39) (0.20) (0.29) (0.18) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 12.08 $ 12.46 $ 10.49 $ 10.77 =========================================================== ======== ========== ======== ========== Total Return................................................ 0.06% 26.90%(D) (0.04)% 9.62%(D) ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $151,096 $96,010 $406,648 $129,720 Ratio of Expenses to Average Net Assets (B)(B).............. 0.69% 0.79%(C)(E) 0.47% 0.47%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)(B).......................... 1.17% 1.27%(C)(E) 0.88% 0.97%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.84% 1.78%(C)(E) 2.59% 3.12%(C)(E) ------------------------------------------------------------------------------------------------------------------
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)
World Core Equity Portfolio ------------------------- Year Period Year Ended March 7, Ended Oct. 2012(a) to Oct. 31, 31, Oct. 31, 2014 2013 2012 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 12.71 $10.24 $10.00 ------- ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.17 0.23 0.16 Net Gains (Losses) on Securities (Realized and Unrealized). 0.87 2.47 0.19 ------- ------ ------ Total from Investment Operations......................... 1.04 2.70 0.35 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.23) (0.11) Net Realized Gains......................................... (0.18) -- (0.00) ------- ------ ------ Total Distributions...................................... (0.42) (0.23) (0.11) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 13.33 $12.71 $10.24 =========================================================== ======== ====== ========== Total Return................................................ 8.36% 26.77% 3.54%(D) ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $75,707 $1,728 $ 191 Ratio of Expenses to Average Net Assets (B)................. 0.35% 0.40% 0.40%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.97% 5.71% 52.27%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.27% 2.01% 2.40%(C)(E) -------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio --------------------------- Period Year Year Nov. 14, Ended Ended 2011(a) to Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 ----------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 13.63 $ 10.87 $ 10.00 -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.27 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized). 0.76 2.65 0.87 -------- ------- ------- Total from Investment Operations......................... 1.03 2.89 1.09 ----------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) (0.10) (0.22) Net Realized Gains......................................... (0.14) (0.03) -- -------- ------- ------- Total Distributions...................................... (0.46) (0.13) (0.22) ----------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 14.20 $ 13.63 $ 10.87 =========================================================== ======== ======== ========== Total Return................................................ 7.83% 26.86% 11.11%(D) ----------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $147,276 $91,348 $34,950 Ratio of Expenses to Average Net Assets (B)................. 0.40% 0.40% 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)............................. 0.69% 0.72% 1.00%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.94% 1.93% 2.13%(C)(E) -----------------------------------------------------------------------------------------------
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 Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.56 0.52 0.55 0.61 0.48 Net Gains (Losses) on Securities (Realized and Unrealized). (0.20) 1.17 0.37 (2.53) 6.07 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 0.36 1.69 0.92 (1.92) 6.55 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.53) (0.50) (0.50) (0.53) (0.46) Net Realized Gains......................................... (0.16) (0.28) (1.04) (1.77) (0.42) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.69) (0.78) (1.54) (2.30) (0.88) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 30.90 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 1.33% 6.58% 4.08% (6.82)% 26.53% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $4,073,698 $3,655,740 $2,797,177 $2,313,035 $2,372,498 Ratio of Expenses to Average Net Assets (B)................. 0.56% 0.57% 0.61% 0.61% 0.60% Ratio of Net Investment Income to Average Net Assets........ 2.11% 1.97% 2.14% 2.07% 1.76% --------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 21.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.43 0.40 0.40 0.42 0.34 Net Gains (Losses) on Securities (Realized and Unrealized). 0.62 1.37 0.83 (3.67) 6.79 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.05 1.77 1.23 (3.25) 7.13 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.40) (0.39) (0.35) (0.40) (0.32) Net Realized Gains......................................... (0.33) (0.61) (0.40) (0.76) -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.73) (1.00) (0.75) (1.16) (0.32) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 21.42 $ 21.10 $ 20.33 $ 19.85 $ 24.26 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 5.12% 8.92% 6.71% (14.03)% 41.33% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $4,860,603 $4,041,863 $2,907,673 $1,832,745 $1,833,038 Ratio of Expenses to Average Net Assets (B)................. 0.72% 0.75% 0.82% 0.79% 0.78% Ratio of Net Investment Income to Average Net Assets........ 2.02% 1.91% 2.01% 1.86% 1.70% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 145 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, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year..................... $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.84 ------- -------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.59 0.47 0.50 0.20 0.56 Net Gains (Losses) on Securities (Realized and Unrealized)......................................... (1.10) 1.68 (0.45) (5.45) 9.18 ------- -------- ------- ------- ------- Total from Investment Operations.................... (0.51) 2.15 0.05 (5.25) 9.74 ---------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.55) (0.50) (0.47) (0.45) (7.12) Net Realized Gains.................................... (0.42) (0.59) (0.39) (1.63) (13.11) ------- -------- ------- ------- ------- Total Distributions................................. (0.97) (1.09) (0.86) (2.08) (20.23) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year........................... $ 27.79 $ 29.27 $ 28.21 $ 29.02 $ 36.35 ====================================================== ======== ======== ======== ======== ======== Total Return........................................... (1.75)% 7.75% 0.43% (15.24)% 29.71% ---------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $99,066 $106,070 $99,111 $78,157 $39,668 Ratio of Expenses to Average Net Assets (B)............ 0.80% 0.82% 0.86% 0.86% 0.86% Ratio of Net Investment Income to Average Net Assets... 2.09% 1.65% 1.78% 1.56% 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year..................... $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 ----------- ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.66 0.55 0.57 0.64 0.45 Net Gains (Losses) on Securities (Realized and Unrealized)......................................... (1.10) 1.67 (0.44) (5.72) 8.01 ----------- ----------- ----------- ----------- ----------- Total from Investment Operations.................... (0.44) 2.22 0.13 (5.08) 8.46 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.61) (0.57) (0.54) (0.54) (0.39) Net Realized Gains.................................... (0.42) (0.59) (0.39) (1.63) (0.70) ----------- ----------- ----------- ----------- ----------- Total Distributions................................. (1.03) (1.16) (0.93) (2.17) (1.09) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year........................... $ 27.81 $ 29.28 $ 28.22 $ 29.02 $ 36.27 ====================================================== =========== =========== =========== =========== =========== Total Return........................................... (1.51)% 8.01% 0.70% (14.84)% 30.04% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $18,647,276 $19,162,837 $16,589,619 $13,730,213 $11,542,870 Ratio of Expenses to Average Net Assets (B)............ 0.55% 0.57% 0.61% 0.61% 0.60% Ratio of Net Investment Income to Average Net Assets... 2.35% 1.91% 2.03% 1.88% 1.40% --------------------------------------------------------------------------------------------------------------------------
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. 146 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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.42 0.39 0.41 0.43 0.30 Net Gains (Losses) on Securities (Realized and Unrealized). (0.03) 1.07 0.23 (2.65) 4.81 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations......................... 0.39 1.46 0.64 (2.22) 5.11 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.40) (0.37) (0.37) (0.36) (0.29) ----------- ----------- ---------- ---------- ---------- Total Distributions...................................... (0.40) (0.37) (0.37) (0.36) (0.29) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 20.08 $ 20.09 $ 19.00 $ 18.73 $ 21.31 =========================================================== =========== =========== ========== ========== ========== Total Return................................................ 1.89% 7.75% 3.55% (10.59)% 31.30% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $15,727,547 $13,020,962 $8,594,707 $5,367,473 $4,179,882 Ratio of Expenses to Average Net Assets..................... 0.61% 0.63% 0.68% 0.67% 0.65% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........ 0.61% 0.63% 0.68% 0.68% 0.65% Ratio of Net Investment Income to Average Net Assets........ 2.10% 1.97% 2.18% 2.04% 1.63% Portfolio Turnover Rate..................................... 2% 1% 1% 1% 4% ---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 147 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-seven operational portfolios, of which thirty-one (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. World Core Equity Portfolio invests in six portfolios within the Fund, Dimensional Investment Group Inc. ("DIG") and DFAITC. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund.
Percentage Ownership Feeder Funds Master Funds at 10/31/14 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 82% Japanese Small Company Portfolio The Japanese Small Company Series 20% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 25% 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 80% The United Kingdom Small Company Series 98% The Asia Pacific Small Company Series 75% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 31% DFA International Real Estate Securities Portfolio 41% 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 3% Emerging Markets Core Equity Portfolio 1% World Core Equity Portfolio U.S. Core Equity 1 Portfolio --* U.S. Large Company Portfolio --* Large Cap International Portfolio --* International Core Equity Portfolio --* Emerging Markets Core Equity Portfolio --*
148
Percentage Ownership Fund of Funds Master Funds at 10/31/14 ------------- ------------ ----------- The Emerging Markets Series --* Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio --* International Core Equity Portfolio --* Emerging Markets Core Equity Portfolio --*
* Amounts designated as -- are less than 1%. Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World 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 and Selectively Hedged Global Equity Portfolio engage 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 June 27, 2014, the Dimensional Retirement Equity Fund II changed its name to the World Core Equity Portfolio. 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 ask prices which approximates fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, 149 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) 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 shares of The DFA International Value Series and DEM), World ex U.S. Targeted Value Portfolio (except shares of The Emerging Markets Small Cap Series and DEM), World ex U.S. Core Equity Portfolio, World Core Equity Portfolio (except shares of The Emerging Markets Series), 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, World ex U.S. Targeted Value 150 Portfolio and World Core Equity Portfolio's investments in Series of DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolios. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fixed Income Portfolio, the International Equity Portfolios and Selectively Hedged Global Equity Portfolio 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 Fixed Income 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, the Fixed Income Portfolio and Selectively Hedged Global Equity Portfolio do 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, Fixed Income Portfolio and Selectively Hedged Global Equity 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 selecting a different distribution date). As of October 31, 2014, 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 151 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 and International Small Company Portfolio, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. For the year ended October 31, 2014, 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% 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%
152 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% World Core Equity Portfolio................. 0.30% Selectively Hedged Global Equity Portfolio.. 0.30% Emerging Markets Core Equity Portfolio...... 0.55%
For the year ended October 31, 2014, 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, U.S. Micro Cap Portfolio and International Small Company 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%
* Prior to February 28, 2014, the Portfolios and the U.S. Targeted Value Portfolio each were provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for each of these Portfolios were combined into an investment management agreement that provides for an investment management fee, equal to each Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for 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. The Investment Management Agreements became effective on February 28, 2014. The nature and level of services to each Portfolio under the Investment Management Agreements are the same as under the Previous Agreements. As of February 28, 2014, the Portfolios pay the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by each Portfolio to the Advisor under the Previous Agreements. 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, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2014, 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). 153 Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ Expense of Previously Expenses Assumed Limitation Waived Fees/ Subject to Future Institutional Class Shares Amount Expenses Assumed Recovery -------------------------- ---------- ---------------- ----------------- U.S. Large Cap Equity Portfolio (1)............. 0.19% $ 2 $ 53 U.S. Targeted Value Portfolio (2)............... 0.50% -- -- U.S. Core Equity 1 Portfolio (1)................ 0.23% -- -- U.S. Core Equity 2 Portfolio (1)................ 0.26% -- -- U.S. Vector Equity Portfolio (1)................ 0.36% -- -- DFA Real Estate Securities Portfolio (1)........ 0.18% -- 1,237 International Core Equity Portfolio (1)......... 0.49% -- -- International Small Company Portfolio (3)....... 0.45% -- -- Japanese Small Company Portfolio (4)............ 0.47% -- -- Asia Pacific Small Company Portfolio (4)........ 0.47% -- -- United Kingdom Small Company Portfolio (4)...... 0.47% -- 36 Continental Small Company Portfolio (4)......... 0.47% -- -- DFA International Real Estate Securities Portfolio (1)................................. 0.65% -- -- DFA Global Real Estate Securities Portfolio (5). 0.32% -- 12,371 International Vector Equity Portfolio (1)....... 0.60% -- -- World ex U.S. Value Portfolio (6)............... 0.60% 51 554 World ex U.S. Targeted Value Portfolio (7)...... 0.80% -- 938 World ex U.S. Core Equity Portfolio (8)......... 0.47% -- 1,123 World Core Equity Portfolio (9)................. 0.35% -- 126 Selectively Hedged Global Equity Portfolio (10). 0.40% 41 628 Emerging Markets Core Equity Portfolio (1)...... 0.85% -- -- Class R1 Shares --------------- U.S. Targeted Value Portfolio (11).............. 0.62% -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (11).............. 0.77% -- -- Emerging Markets Value Portfolio (12)........... 0.96% -- --
(1) 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. (2) The Advisor has contractually agreed to waive its management 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 154 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. (3) The Advisor has contractually agreed to waive its administration fee and to assume the other direct expenses of the Portfolio (excluding expenses incurred through its investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the rate listed above as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. (4) The Advisor has contractually agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund. At any time that the direct expenses of a Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's direct expenses to exceed the Expense Limitation Amount, as listed above. (5) Effective February 28, 2012, the Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of 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 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 its Master Funds but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to 0.55% of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio were less than 0.55% of average net assets on an annualized basis, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery did not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount then in effect. The Advisor voluntarily agreed to waive all or a portion of its advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly and indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.35% of the Portfolio's average net assets on an annualized basis. (6) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.47% to the extent necessary to offset the proportionate share of the advisory fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the advisory fee that remains payable by the Portfolio (i.e., the advisory fee remaining after the proportionate share of the Master Funds' advisory services fees have been offset (the "Remaining Management Fee")) to the extent necessary to reduce the Portfolio's ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to 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 155 fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above. (7) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.58% to the extent necessary to offset the proportionate share of the advisory fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the advisory fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (8) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master Funds but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed 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, 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) Effective June 27, 2014, 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 (including the Portfolio's proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor has also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of a class of the Portfolio so that such Portfolio Expenses do not exceed 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 shares of 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 annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. Prior to June 27, 2014, the Advisor 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 (including the Portfolio's proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of such class of the Portfolio so that the Portfolio Expenses did not exceed 0.40% of the average net assets of such class of the Portfolio on an annualized basis. (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 Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio to 156 the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") 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 reduce all or a portion of its management fee and to assume the direct and indirect expenses of the Class R1 shares and Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R1 shares and Class R2 shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Class R1 shares or Class R2 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. (12) 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 of the Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") 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 Class R2 shares 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 annualized Portfolio Expenses of the Class R2 shares of the Portfolio 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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly - ---------- Enhanced U.S. Large Company Portfolio.............. $ 2 Large Cap International Portfolio.................. 9 International Core Equity Portfolio................ 49 DFA International Real Estate Securities Portfolio. 14 DFA International Small Cap Value Portfolio........ 16 International Vector Equity Portfolio.............. 4 World ex U.S. Value Portfolio...................... -- World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ 1 Emerging Markets Core Equity Portfolio............. 75
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, 2014, the total related amounts paid by 157 the Fund to the CCO were $262 (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, 2014, 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.............. $ 8 U.S. Large Cap Equity Portfolio.................... 1 U.S. Large Cap Value Portfolio..................... 315 U.S. Targeted Value Portfolio...................... 92 U.S. Small Cap Value Portfolio..................... 288 U.S. Core Equity 1 Portfolio....................... 142 U.S. Core Equity 2 Portfolio....................... 221 U.S. Vector Equity Portfolio....................... 67 U.S. Small Cap Portfolio........................... 154 U.S. Micro Cap Portfolio........................... 143 DFA Real Estate Securities Portfolio............... 114 Large Cap International Portfolio.................. 72 International Core Equity Portfolio................ 207 International Small Company Portfolio.............. 219 Japanese Small Company Portfolio................... 9 Asia Pacific Small Company Portfolio............... 6 United Kingdom Small Company Portfolio............. 1 Continental Small Company Portfolio................ 5 DFA International Real Estate Securities Portfolio. 43 DFA Global Real Estate Securities Portfolio........ 32 DFA International Small Cap Value Portfolio........ 321 International Vector Equity Portfolio.............. 17 World ex U.S. Value Portfolio...................... 1 World ex U.S. Targeted Value Portfolio............. 1 World ex U.S. Core Equity Portfolio................ 1 World Core Equity Portfolio........................ -- Selectively Hedged Global Equity Portfolio......... 1 Emerging Markets Portfolio......................... 98 Emerging Markets Small Cap Portfolio............... 75 Emerging Markets Value Portfolio................... 424 Emerging Markets Core Equity Portfolio............. 207
E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $284,240 $284,126 $ 136,465 $130,055 U.S. Large Cap Equity Portfolio....... -- -- 105,635 2,673 U.S. Targeted Value Portfolio......... -- -- 1,600,291 468,623 U.S. Small Cap Value Portfolio........ -- -- 2,314,774 933,389 U.S. Core Equity 1 Portfolio.......... -- -- 2,642,774 444,763 U.S. Core Equity 2 Portfolio.......... -- -- 2,417,443 694,222 U.S. Vector Equity Portfolio.......... -- -- 642,248 313,857
158
U.S. Government Other Investment Securities Securities --------------- ------------------- Purchases Sales Purchases Sales --------- ----- ---------- -------- U.S. Small Cap Portfolio........................... -- -- $2,066,573 $719,322 U.S. Micro Cap Portfolio........................... -- -- 719,550 558,944 DFA Real Estate Securities Portfolio............... -- -- 1,106,381 8,256 Large Cap International Portfolio.................. -- -- 567,276 118,540 International Core Equity Portfolio................ -- -- 4,016,566 748,175 DFA International Real Estate Securities Portfolio. -- -- 846,116 29,337 DFA International Small Cap Value Portfolio........ -- -- 1,840,016 913,850 International Vector Equity Portfolio.............. -- -- 367,063 96,902 Emerging Markets Core Equity Portfolio............. -- -- 3,024,471 327,277
For the year ended October 31, 2014, 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 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio..... $1,235,206 $2,044,932 $564,393 $14,000 $43,175 -- DFA International Real Estate Securities Portfolio.............................. 842,644 1,255,234 382,205 12,500 41,160 -- ---------- ---------- -------- ------- ------- ---- Total.................................... $2,077,850 $3,300,166 $946,598 $26,500 $84,335 -- ========== ========== ======== ======= ======= ==== World ex U.S. Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio.............................. $ 10,626 $ 9,588 $ 1,893 $ 2,663 $ 182 $157 World ex U.S. Targeted Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio.............................. $ 59,508 $ 93,592 $ 52,059 $12,519 $ 1,360 $919 International Vector Equity Portfolio.... 8,639 13,571 7,607 1,786 320 64 ---------- ---------- -------- ------- ------- ---- Total.................................... $ 68,147 $ 107,163 $ 59,666 $14,305 $ 1,680 $983 ========== ========== ======== ======= ======= ==== World ex U.S. Core Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- International Core Equity Portfolio...... $ 99,732 $ 312,519 $235,743 $ 8,931 $ 5,073 -- Emerging Markets Core Equity Portfolio... 29,703 93,258 66,717 3,258 1,097 -- ---------- ---------- -------- ------- ------- ---- Total.................................... $ 129,435 $ 405,777 $302,460 $12,189 $ 6,170 -- ========== ========== ======== ======= ======= ==== World Core Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 1 Portfolio............. $ 639 $ 38,342 $ 38,394 $ 1,100 $ 143 $ 3 International Core Equity Portfolio...... 96 29,208 32,105 178 120 -- Emerging Markets Core Equity Portfolio... 30 8,097 8,546 189 70 -- Large Cap International Portfolio........ 258 -- 322 595 8 -- U.S. Large Company Portfolio............. 641 -- 761 1,477 10 -- ---------- ---------- -------- ------- ------- ---- Total.................................... $ 1,664 $ 75,647 $ 80,128 $ 3,539 $ 351 $ 3 ========== ========== ======== ======= ======= ====
159
Selectively Hedged Global Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 10/31/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 2 Portfolio........... $37,594 $ 64,220 $28,980 $ 7,200 $ 670 $342 International Core Equity Portfolio.... 34,847 53,147 26,181 5,580 1,166 -- Emerging Markets Core Equity Portfolio. 15,187 23,899 11,446 2,600 363 -- ------- -------- ------- ------- ------ ---- Total.................................. $87,628 $141,266 $66,607 $15,380 $2,199 $342 ======= ======== ======= ======= ====== ====
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, 2014, 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, distributions received from real estate investment trusts 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.............. $ 2,841 $ (284) $ (2,557) U.S. Large Cap Equity Portfolio.................... 69 (60) (9) U.S. Large Cap Value Portfolio..................... 5,129 (3,752) (1,377) U.S. Targeted Value Portfolio...................... 16,408 (965) (15,443) U.S. Small Cap Value Portfolio..................... 27,492 (3,944) (23,548) U.S. Core Equity 1 Portfolio....................... 7,962 (5,946) (2,016) U.S. Core Equity 2 Portfolio....................... 5,976 (4,163) (1,813) U.S. Vector Equity Portfolio....................... 7,287 (1,398) (5,889) U.S. Small Cap Portfolio........................... 17,302 (3,711) (13,591) U.S. Micro Cap Portfolio........................... 15,490 (1,637) (13,853) DFA Real Estate Securities Portfolio............... 5,762 13,007 (18,769) Large Cap International Portfolio.................. -- (965) 965 International Core Equity Portfolio................ 7,711 (1,854) (5,857) International Small Company Portfolio.............. 19,380 4,578 (23,958) Japanese Small Company Portfolio................... -- 2,383 (2,383) Asia Pacific Small Company Portfolio............... -- 355 (355) United Kingdom Small Company Portfolio............. 196 (56) (140) Continental Small Company Portfolio................ -- 103 (103) DFA International Real Estate Securities Portfolio. 5,952 (4,743) (1,209) DFA Global Real Estate Securities Portfolio........ 598 (598) -- DFA International Small Cap Value Portfolio........ 18,832 (7,087) (11,745) International Vector Equity Portfolio.............. 1,317 578 (1,895) World ex U.S. Value Portfolio...................... -- 94 (94)
160
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- World ex U.S. Targeted Value Portfolio..... $ 128 $ 108 $ (236) World ex U.S. Core Equity Portfolio........ 34 14 (48) World Core Equity Portfolio................ -- 7 (7) Selectively Hedged Global Equity Portfolio. 174 1,372 (1,546) Emerging Markets Portfolio................. 2,916 (3,574) 658 Emerging Markets Small Cap Portfolio....... 11,484 (6,760) (4,724) Emerging Markets Value Portfolio........... 22,724 (16,924) (5,800) Emerging Markets Core Equity Portfolio..... 15,015 (17,749) 2,734
The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 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 2013.................................. $ 1,597 -- $ 1,597 2014.................................. 903 -- 903 U.S. Large Cap Equity Portfolio 2013.................................. 321 -- 321 2014.................................. 3,209 -- 3,209 U.S. Large Cap Value Portfolio 2013.................................. 180,943 -- 180,943 2014.................................. 230,364 -- 230,364 U.S. Targeted Value Portfolio 2013.................................. 55,372 $162,209 217,581 2014.................................. 51,735 237,290 289,025 U.S. Small Cap Value Portfolio 2013.................................. 112,970 380,218 493,188 2014.................................. 66,463 443,795 510,258 U.S. Core Equity 1 Portfolio 2013.................................. 105,633 -- 105,633 2014.................................. 135,714 34,892 170,606 U.S. Core Equity 2 Portfolio 2013.................................. 143,640 55,772 199,412 2014.................................. 170,204 98,745 268,949 U.S. Vector Equity Portfolio 2013.................................. 34,959 3,507 38,466 2014.................................. 39,201 38,966 78,167 U.S. Small Cap Portfolio 2013.................................. 83,270 228,671 311,941 2014.................................. 85,510 218,795 304,305 U.S. Micro Cap Portfolio 2013.................................. 46,915 176,365 223,280 2014.................................. 43,726 200,738 244,464 DFA Real Estate Securities Portfolio 2013.................................. 102,731 -- 102,731 2014.................................. 156,934 -- 156,934
161
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Large Cap International Portfolio 2013............................................... $ 70,787 -- $ 70,787 2014............................................... 98,177 -- 98,177 International Core Equity Portfolio 2013............................................... 214,687 -- 214,687 2014............................................... 320,068 -- 320,068 International Small Company Portfolio 2013............................................... 159,066 $ 39,012 198,078 2014............................................... 218,133 211,626 429,759 Japanese Small Company Portfolio 2013............................................... 2,836 -- 2,836 2014............................................... 11,539 -- 11,539 Asia Pacific Small Company Portfolio 2013............................................... 7,603 -- 7,603 2014............................................... 12,860 -- 12,860 United Kingdom Small Company Portfolio 2013............................................... 953 -- 953 2014............................................... 919 406 1,325 Continental Small Company Portfolio 2013............................................... 2,834 -- 2,834 2014............................................... 3,660 -- 3,660 DFA International Real Estate Securities Portfolio 2013............................................... 181,848 -- 181,848 2014............................................... 106,263 -- 106,263 DFA Global Real Estate Securities Portfolio 2013............................................... 84,341 -- 84,341 2014............................................... 72,036 -- 72,036 DFA International Small Cap Value Portfolio 2013............................................... 198,381 117,102 315,483 2014............................................... 239,810 127,501 367,311 International Vector Equity Portfolio 2013............................................... 17,456 2,044 19,500 2014............................................... 31,913 7,322 39,235 World ex U.S. Value Portfolio 2013............................................... 2,334 -- 2,334 2014............................................... 4,113 -- 4,113 World ex U.S. Targeted Value Portfolio 2013............................................... 993 -- 993 2014............................................... 2,537 1,141 3,678 World ex U.S. Core Equity Portfolio 2013............................................... 1,171 -- 1,171 2014............................................... 6,163 -- 6,163 World Core Equity Portfolio 2013............................................... 24 -- 24 2014............................................... 358 14 372 Selectively Hedged Global Equity Portfolio 2013............................................... 373 56 429 2014............................................... 2,139 539 2,678
162
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Emerging Markets Portfolio 2013................................... $ 59,866 $ 30,527 $ 90,393 2014................................... 78,253 20,987 99,240 Emerging Markets Small Cap Portfolio 2013................................... 71,149 92,100 163,249 2014................................... 83,100 63,095 146,195 Emerging Markets Value Portfolio 2013................................... 357,501 344,531 702,032 2014................................... 418,693 264,053 682,746 Emerging Markets Core Equity Portfolio 2013................................... 205,400 -- 205,400 2014................................... 287,956 -- 287,956
At October 31, 2014, 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....... $ 1,183 $ 1,658 $ 2,841 U.S. Large Cap Equity Portfolio............. 60 4 64 U.S. Large Cap Value Portfolio.............. 3,752 1,377 5,129 U.S. Targeted Value Portfolio............... 2,906 13,502 16,408 U.S. Small Cap Value Portfolio.............. 3,731 23,761 27,492 U.S. Core Equity 1 Portfolio................ 2,994 1,051 4,045 U.S. Core Equity 2 Portfolio................ 3,939 2,037 5,976 U.S. Vector Equity Portfolio................ 1,899 5,388 7,287 U.S. Small Cap Portfolio.................... 3,514 13,788 17,302 U.S. Micro Cap Portfolio.................... 1,587 13,903 15,490 DFA Real Estate Securities Portfolio........ 1,721 -- 1,721 International Core Equity Portfolio......... 3,892 -- 3,892 International Small Company Portfolio....... 9,273 10,107 19,380 United Kingdom Small Company Portfolio...... 60 136 196 DFA Global Real Estate Securities Portfolio. 395 -- 395 DFA International Small Cap Value Portfolio. 9,738 9,094 18,832 International Vector Equity Portfolio....... 991 326 1,317 World ex U.S.Targeted Value Portfolio....... 112 16 128 World ex U.S. Core Equity Portfolio......... 23 -- 23 Selectively Hedged Global Equity Portfolio.. 122 52 174 Emerging Markets Portfolio.................. 2,916 -- 2,916 Emerging Markets Small Cap Portfolio........ 2,631 2,358 4,989 Emerging Markets Value Portfolio............ 22,724 -- 22,724 Emerging Markets Core Equity Portfolio...... 8,118 -- 8,118
163 At October 31, 2014, 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 Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- Enhanced U.S. Large Company Portfolio.............................. $ 10,953 $ 16,610 -- $ 4,258 $ 31,821 U.S. Large Cap Equity Portfolio.......... 789 266 -- 35,396 36,451 U.S. Large Cap Value Portfolio........... 33,189 86,219 -- 5,314,609 5,434,017 U.S. Targeted Value Portfolio............ 16,494 237,909 -- 1,448,620 1,703,023 U.S. Small Cap Value Portfolio........... 19,593 427,114 -- 3,253,670 3,700,377 U.S. Core Equity 1 Portfolio............. 20,278 49,463 -- 3,332,295 3,402,036 U.S. Core Equity 2 Portfolio............. 23,510 89,850 -- 4,352,855 4,466,215 U.S. Vector Equity Portfolio............. 4,696 109,043 -- 1,124,422 1,238,161 U.S. Small Cap Portfolio................. 8,376 268,311 -- 2,513,699 2,790,386 U.S. Micro Cap Portfolio................. 5,283 278,651 -- 1,651,592 1,935,526 DFA Real Estate Securities Portfolio..... 23,652 -- $(135,249) 2,132,640 2,021,043 Large Cap International Portfolio........ 10,646 -- (217,917) 525,987 318,716 International Core Equity Portfolio...... 51,510 -- (301,210) 1,144,778 895,078 International Small Company Portfolio.... 131,822 250,319 -- 948,743 1,330,884 Japanese Small Company Portfolio......... 7,630 -- (59,307) 8,436 (43,241) Asia Pacific Small Company Portfolio..... 14,404 -- (26,743) (3,568) (15,907) United Kingdom Small Company Portfolio.............................. 481 2,151 -- 10,875 13,507 Continental Small Company Portfolio...... 310 -- (21,040) 24,524 3,794 DFA International Real Estate Securities Portfolio.............................. 141,014 -- (206,244) 40,344 (24,886) DFA Global Real Estate Securities Portfolio.............................. 21,815 -- (774) 635,235 656,276 DFA International Small Cap Value Portfolio.............................. 127,903 207,078 -- 1,447,990 1,782,971 International Vector Equity Portfolio.... 7,404 10,948 -- 153,470 171,822 World ex U.S. Value Portfolio............ 632 -- (1,648) 8,666 7,650 World ex U.S. Targeted Value Portfolio.............................. 425 410 -- 4,762 5,597 World ex U.S. Core Equity Portfolio...... -- -- -- (2,352) (2,352) World Core Equity Portfolio.............. 12 232 -- (2,611) (2,367) Selectively Hedged Global Equity Portfolio.............................. 4,023 1,915 -- 15,899 21,837 Emerging Markets Portfolio............... 17,907 -- (24,940) 1,131,763 1,124,730 Emerging Markets Small Cap Portfolio..... 43,338 88,624 -- 432,216 564,178 Emerging Markets Value Portfolio......... 193,147 -- (527,781) 64,633 (270,001) Emerging Markets Core Equity Portfolio.............................. 73,738 -- (161,804) 1,299,327 1,211,261
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 164 enactment. As of October 31, 2014, 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, ---------------------------------------------------------- 2015 2016 2017 2018 2019 Unlimited Total ------ ------- -------- ------- ------- --------- -------- 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............... -- $ 1,368 $ 62,969 $44,388 $26,523 -- $135,248 Large Cap International Portfolio.................. -- 19,004 135,392 14,311 12,549 $ 36,660 217,916 International Core Equity Portfolio................ -- -- 53,176 -- -- 248,034 301,210 International Small Company Portfolio.............. -- -- -- -- -- -- -- Japanese Small Company Portfolio................... $4,547 23,057 13,952 12,208 5,543 -- 59,307 Asia Pacific Small Company Portfolio............... -- 16,317 8,261 -- -- 2,165 26,743 United Kingdom Small Company Portfolio............. -- -- -- -- -- -- -- Continental Small Company Portfolio................ -- 8,564 7,224 5,252 -- -- 21,040 DFA International Real Estate Securities Portfolio. 46 13,446 34,576 38,689 69,466 50,022 206,245 DFA Global Real Estate Securities Portfolio........ -- -- -- 774 -- -- 774 DFA International Small Cap Value Portfolio........ -- -- -- -- -- -- -- International Vector Equity Portfolio.............. -- -- -- -- -- -- -- World ex U.S. Value Portfolio...................... -- -- -- -- 1,648 -- 1,648 World ex U.S. Targeted Value Portfolio............. -- -- -- -- -- -- -- World ex U.S. Core Equity Portfolio................ -- -- -- -- -- -- -- World Core Equity Portfolio........................ -- -- -- -- -- -- -- Selectively Hedged Global Equity Portfolio......... -- -- -- -- -- -- -- Emerging Markets Portfolio......................... -- -- -- -- -- 24,940 24,940 Emerging Markets Small Cap Portfolio............... -- -- -- -- -- -- -- Emerging Markets Value Portfolio................... -- -- -- -- -- 527,781 527,781 Emerging Markets Core Equity Portfolio............. -- 7,080 26,444 -- -- 128,280 161,804
During the year ended October 31, 2014, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Enhanced U.S. Large Company Portfolio.............. $ 1,059 U.S. Large Cap Value Portfolio..................... 512,898 DFA Real Estate Securities Portfolio............... 39,893 Japanese Small Company Portfolio................... 7,238 Continental Small Company Portfolio................ 5,494 DFA International Real Estate Securities Portfolio. 453 DFA Global Real Estate Securities Portfolio........ 34 World ex U.S. Value Portfolio...................... 1,066
165 At October 31, 2014, 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, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Enhanced U.S. Large Company Portfolio.............. $ 210,692 $ 5,022 $ (749) $ 4,273 U.S. Large Cap Equity Portfolio.................... 237,614 38,887 (3,491) 35,396 U.S. Large Cap Value Portfolio..................... 9,823,567 5,314,609 -- 5,314,609 U.S. Targeted Value Portfolio...................... 5,165,038 1,685,110 (236,491) 1,448,619 U.S. Small Cap Value Portfolio..................... 10,278,857 4,008,701 (755,031) 3,253,670 U.S. Core Equity 1 Portfolio....................... 8,665,729 3,497,101 (164,805) 3,332,296 U.S. Core Equity 2 Portfolio....................... 10,174,035 4,623,538 (270,683) 4,352,855 U.S. Vector Equity Portfolio....................... 2,904,496 1,250,886 (126,464) 1,124,422 U.S. Small Cap Portfolio........................... 8,953,532 2,915,579 (401,882) 2,513,697 U.S. Micro Cap Portfolio........................... 4,376,325 2,023,663 (372,071) 1,651,592 DFA Real Estate Securities Portfolio............... 5,215,811 2,157,356 (59,821) 2,097,535 Large Cap International Portfolio.................. 2,775,950 746,735 (220,554) 526,181 International Core Equity Portfolio................ 12,399,582 2,136,680 (991,291) 1,145,389 International Small Company Portfolio.............. 7,882,227 949,331 -- 949,331 Japanese Small Company Portfolio................... 499,853 8,560 -- 8,560 Asia Pacific Small Company Portfolio............... 367,859 (3,566) (1) (3,567) United Kingdom Small Company Portfolio............. 24,185 10,872 -- 10,872 Continental Small Company Portfolio................ 144,642 24,404 -- 24,404 DFA International Real Estate Securities Portfolio. 3,223,748 102,962 (62,483) 40,479 DFA Global Real Estate Securities Portfolio........ 2,673,856 635,235 -- 635,235 DFA International Small Cap Value Portfolio........ 11,236,026 3,233,676 (1,784,797) 1,448,879 International Vector Equity Portfolio.............. 1,288,889 244,755 (91,208) 153,547 World ex U.S. Value Portfolio...................... 105,080 8,710 -- 8,710 World ex U.S. Targeted Value Portfolio............. 146,202 4,762 -- 4,762 World ex U.S. Core Equity Portfolio................ 408,129 2,247 (4,599) (2,352) World Core Equity Portfolio........................ 78,292 486 (3,096) (2,610) Selectively Hedged Global Equity Portfolio......... 125,380 15,886 -- 15,886 Emerging Markets Portfolio......................... 2,948,677 1,131,865 (51) 1,131,814 Emerging Markets Small Cap Portfolio............... 4,428,625 432,439 -- 432,439 Emerging Markets Value Portfolio................... 18,679,167 64,575 -- 64,575 Emerging Markets Core Equity Portfolio............. 15,869,382 3,057,569 (1,757,980) 1,299,589
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 Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 166 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Year Ended Year Ended Oct. 31, 2014 Oct. 31, 2013 --------------------- --------------------- Amount Shares Amount Shares ----------- -------- ----------- -------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued........................................ $ 9,171 406 $ 9,003 477 Shares Issued in Lieu of Cash Distributions.......... 657 30 3,423 205 Shares Redeemed...................................... (2,817) (123) (61,998) (3,124) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R1 Shares............ $ 7,011 313 $ (49,572) (2,442) =========== ======== =========== ======== Class R2 Shares Shares Issued........................................ $ 77,620 3,429 $ 10,505 520 Shares Issued in Lieu of Cash Distributions.......... 1,832 84 923 55 Shares Redeemed...................................... (21,767) (957) (5,597) (281) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 57,685 2,556 $ 5,831 294 =========== ======== =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,806,386 79,191 $ 1,049,705 53,476 Shares Issued in Lieu of Cash Distributions.......... 268,683 12,353 189,447 11,289 Shares Redeemed...................................... (897,338) (39,462) (1,045,053) (52,845) ----------- -------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 1,177,731 52,082 $ 194,099 11,920 =========== ======== =========== ======== Emerging Markets Value Portfolio Class R2 Shares Shares Issued........................................ $ 38,565 1,378 $ 27,484 947 Shares Issued in Lieu of Cash Distributions.......... 3,524 126 3,927 137 Shares Redeemed...................................... (43,702) (1,563) (27,940) (973) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ (1,613) (59) $ 3,471 111 =========== ======== =========== ======== Institutional Class Shares Shares Issued........................................ $ 3,218,550 115,620 $ 4,212,669 148,010 Shares Issued in Lieu of Cash Distributions.......... 643,949 22,910 652,656 22,854 Shares Redeemed...................................... (3,445,026) (122,635) (2,940,034) (104,206) ----------- -------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 417,473 15,895 $ 1,925,291 66,658 =========== ======== =========== ========
On October 29, 2010, the Board of Directors of the Fund 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 167 shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares had a higher net asset value per share. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. The per share data in the financial highlights prior to the year ended October 31, 2011 have been retroactively restated to reflect the conversion. 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. 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. 2. 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, 2014, The 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, 2014 Gain (Loss) ---------- -------- ------------------ -------- ---------------- ----------- 12/15/14 (5,183) Canadian Dollar (1) $ (4,609) $ (4,594) $ 15 11/14/14 3,162 UK Pound Sterling (1) 5,096 5,057 (39) 11/14/14 (12,356) UK Pound Sterling (2) (19,993) (19,764) 229 -------- -------- ---- $(19,506) $(19,301) $205 ======== ======== ====
168 Selectively Hedged Global Equity Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount October 31, 2014 Gain (Loss) ---------- ---------- -------------- -------- ---------------- ----------- 11/24/14 (439) Denmark Krone (1) $ (76) $ (75) $ 1 11/24/14 (3,659) Denmark Krone (1) (628) (616) 12 11/26/14 (9,274) Euro (3) (11,726) (11,623) 103 01/28/15 (1,028,433) Japanese Yen (4) (9,544) (9,165) 379 12/03/14 (2,848) Swiss Franc (2) (3,103) (2,960) 143 -------- -------- ---- $(25,077) $(24,439) $638 ======== ======== ====
Counterparties: (1)Citibank, N.A. (2)JP Morgan (3)Bank of America Corp. (4)State Street Bank and Trust * During the year ended October 31, 2014, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average contract amount of forward currency contracts was $43,008 and $21,289 (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. 3. 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, U.S. Small Cap Value 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), Russell 2000 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. At October 31, 2014, the following Portfolios had outstanding futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ---------- Enhanced U.S. Large Company Portfolio....... S&P 500 Index(R) 12/18/14 411 $206,671 $7,062 -- Selectively Hedged Global Equity Portfolio........ S&P 500(R) Emini Index 12/19/14 51 5,129 51 $235
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2014, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount of outstanding futures contracts were $191,549 and $3,210 (in thousands), respectively. 169 The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 2014: 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 Receivables: Futures Margin Variation The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of October 31, 2014 (amounts in thousands):
Asset Derivatives Value ----------------------------------- Total Value Foreign at Exchange Equity October 31, 2014 Contracts Contracts - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $7,306 $244 $7,062* Selectively Hedged Global Equity Portfolio. 689 638 51* Liability Derivatives Value ----------------------------------- Total Value Foreign at Exchange Equity October 31, 2014 Contracts Contracts - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ (39) $(39) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements 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, 2014 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts -------- --------- --------- Enhanced U.S. Large Company Portfolio....... $ 31,046 $ (129) $ 31,175 U.S. Small Cap Value Portfolio*............. (12,757) -- (12,757) U.S. Micro Cap Portfolio*................... (692) -- (692) DFA Real Estate Securities Portfolio*....... (553) -- (553) Selectively Hedged Global Equity Portfolio.. 2,041 1,469 572
170
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ----- --------- --------- Enhanced U.S. Large Company Portfolio...... $(430) $422 $(852) Selectively Hedged Global Equity Portfolio. 528 610 (82)
* As of October 31, 2014, there were no futures contracts outstanding. During the year ended October 31, 2014, the Portfolios had limited activity in futures contracts. Offsetting of Derivative Assets and Derivative Liabilities The following tables present the Portfolios' gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of October 31, 2014 (Amounts in thousands):
Gross Amounts Not Gross Amounts Not Offset in the Offset in the Statements of Assets Statements of Assets Gross and Liabilities Gross and Liabilities Amounts of ---------------------- Amounts of ---------------------- Recognized Financial Cash Net Recognized Financial Cash Net Assets Instruments Collateral Amount Liabilities Instruments Collateral Amount Description (a) (b) Received (c) (a) (d) Pledged (e) ----------- ---------- ----------- ---------- ------ ----------- ----------- ---------- ------ Assets Liabilities ---------------------------------------- ----------------------------------------- Selectively Hedged Global Equity Portfolio Forward Currency Contracts................. $638 -- -- $638 -- -- -- -- Enhanced U.S. Large Company Portfolio Forward Currency Contracts................. $244 $(15) -- $229 $39 $(15) -- $24
(a)No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities. (b)Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (c)Represents the net amount due from counterparties in the event of default. (d)Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (e)Represents the net amount due to counterparties in the event of default. Note J contains information regarding securities lending amounts that are subject to netting arrangements. I. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank. Each portfolio is permitted to borrow, subject to its 171 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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. Large Cap Equity Portfolio........ 0.85% $ 377 7 -- $ 800 U.S. Small Cap Value Portfolio......... 0.84% 14,769 25 $ 9 43,715 U.S. Vector Equity Portfolio........... 0.85% 649 3 -- 649 U.S. Small Cap Portfolio............... 0.84% 6,921 1 -- 6,921 U.S. Micro Cap Portfolio............... 0.85% 2,595 32 2 6,726 Large Cap International Portfolio...... 0.84% 4,560 4 -- 11,607 International Small Company Portfolio.. 0.83% 5,142 7 1 12,200 DFA International Small Cap Value Portfolio............................ 0.83% 5,466 17 2 15,323 International Vector Equity Portfolio.. 0.84% 2,959 10 1 10,858 World ex U.S. Value Portfolio.......... 0.84% 206 38 -- 3,715 World ex U.S. Targeted Value Portfolio. 0.84% 724 28 -- 4,483 World ex U.S. Core Equity Portfolio.... 0.83% 1,029 12 -- 6,277 World Core Equity Portfolio............ 0.84% 53 56 -- 224
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2014. J. Securities Lending: As of October 31, 2014, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolios received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value -------- U.S. Large Cap Equity Portfolio.................... $ 51 U.S. Targeted Value Portfolio...................... 21,398 U.S. Small Cap Value Portfolio..................... 29,283 U.S. Core Equity 1 Portfolio....................... 29,505 U.S. Core Equity 2 Portfolio....................... 50,236 U.S. Vector Equity Portfolio....................... 19,332 U.S. Small Cap Portfolio........................... 1,156 U.S. Micro Cap Portfolio........................... 2,399 DFA Real Estate Securities Portfolio............... 43,406 Large Cap International Portfolio.................. 7,310 International Core Equity Portfolio................ 33,745 DFA International Real Estate Securities Portfolio. 3,455 DFA International Small Cap Value Portfolio........ 16,689 International Vector Equity Portfolio.............. 3,210 Emerging Markets Core Equity Portfolio............. 614,348
172 Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. 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. Other: At October 31, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage of Number of Outstanding Shareholders Shares ------------ ------------- Enhanced U.S. Large Company Portfolio-Institutional Class Shares. 5 82% U.S. Large Cap Equity Portfolio-Institutional Class Shares....... 3 96%
173
Approximate Percentage of Number of Outstanding Shareholders Shares ------------ ------------- U.S. Large Cap Value Portfolio-Institutional Class Shares.............. 3 71% U.S. Targeted Value Portfolio-Class R1 Shares.......................... 4 90% U.S. Targeted Value Portfolio-Class R2 Shares.......................... 6 80% U.S. Targeted Value Portfolio-Institutional Class Shares............... 3 57% U.S. Small Cap Value Portfolio-Institutional Class Shares.............. 3 58% U.S. Core Equity 1 Portfolio-Institutional Class Shares................ 5 78% U.S. Core Equity 2 Portfolio-Institutional Class Shares................ 6 82% U.S. Vector Equity Portfolio-Institutional Class Shares................ 5 94% U.S. Small Cap Portfolio-Institutional Class Shares.................... 3 48% U.S. Micro Cap Portfolio-Institutional Class Shares.................... 5 76% DFA Real Estate Securities Portfolio-Institutional Class Shares........ 4 85% Large Cap International Portfolio-Institutional Class Shares........... 3 67% International Core Equity Portfolio.................................... 4 71% Japanese Small Company Portfolio-Institutional Class Shares............ 3 83% Asia Pacific Small Company Portfolio-Institutional Class Shares........ 3 89% United Kingdom Small Company Portfolio-Institutional Class Shares...... 4 97% Continental Small Company Portfolio-Institutional Class Shares......... 5 94% DFA International Real Estate Securities Portfolio-Institutional Class Shares............................................................... 4 93% DFA Global Real Estate Securities Portfolio-Institutional Class Shares. 3 81% 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 82% World ex U.S. Targeted Value Portfolio-Institutional Class Shares...... 3 99% World ex U.S. Core Equity Portfolio-Institutional Class Shares......... 3 95% Selectively Hedged Global Equity Portfolio-Institutional Class Shares.. 3 96% Emerging Markets Portfolio-Institutional Class Shares.................. 4 67% Emerging Markets Small Cap Portfolio-Institutional Class Shares........ 4 55% Emerging Markets Value Portfolio-Class R2 Shares....................... 4 87% Emerging Markets Value Portfolio-Institutional Class Shares............ 2 30% 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, described below, 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. 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 174 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. Oral argument on the appeal was held on November 5, 2014, and the parties await the Second Circuit's ruling. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it 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 quantify the cost of the Lawsuits that could potentially be 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. N. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 175 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of the Portfolios, as defined: 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, World 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, 2014, 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, 2014 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 19, 2014 176 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- DFA COMMODITY STRATEGY PORTFOLIO VS. BLOOMBERG COMMODITY INDEX TOTAL RETURN November 9, 2010-October 31, 2014 [CHART] DFA Commodity Strategy Bloomberg Commodity Index Portfolio 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 8,051 11/30/2013 8,397 7,987 12/31/2013 8,473 8,086 1/31/2014 8,565 8,110 2/28/2014 9,156 8,616 3/31/2014 9,200 8,651 4/30/2014 9,435 8,862 5/31/2014 9,200 8,607 6/30/2014 9,271 8,658 7/31/2014 8,822 8,227 8/31/2014 8,750 8,141 Past performance is not predictive of 9/30/2014 8,208 7,634 future performance. 10/31/2014 8,178 7,573 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Since redemption of fund shares. Total Return Year Inception Dow Jones data provided by Dow Jones ------------------------------------------------------ Indexes. The S&P data are provided by -3.08% -4.93% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- 177 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) Commodity Market Review 12 Months Ended October 31, 2014 During the fiscal year ended October 31, 2014, commodities retreated from an early 2014 rally to end with a -5.94% return as measured by the Bloomberg Commodity Index Total Return. The precious metals sector led the decline. Following closely in terms of decline, grain and energy prices declined significantly in the period. Industrial metals produced near flat returns, and the livestock sector stood apart, producing a double-digit positive return in the period. 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 Bloomberg Commodity Index Total Return. 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, 2014, the total return was -3.08% for the Portfolio and -5.94% for the Bloomberg Commodity Index Total Return. The Portfolio's relative outperformance was attributable to the combination of differences in the 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 Bloomberg Commodity Index, whose returns for the period ranged from +62.41% (coffee) to -31.64% (sugar). While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component duration increased slightly from 1.81 to 1.85 years during the period. The Portfolio benefited from exposure to longer duration relative to its short-term obligations on its derivatives. The Portfolio also benefited from its exposure to lower credit securities 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. 178 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- DFA Commodity Strategy Portfolio -------------------------------- Actual Fund Return............... $1,000.00 $ 866.80 0.33% $1.55 Hypothetical 5% Annual Return.... $1,000.00 $1,023.54 0.33% $1.68
---------- * 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. 179 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 29, 2014. 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.................................... 36.0% Foreign Corporate............................ 22.7% Foreign Government........................... 19.8% Government................................... 13.5% Supranational................................ 8.0% ----- 100.0%
180 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS October 31, 2014
Face Amount^ Value+ ------- ------ (000) BONDS -- (79.2%) AUSTRALIA -- (6.7%) Australia & New Zealand Banking Group, Ltd. 1.250%, 01/10/17............................. $ 12,000 $12,041,136 1.250%, 06/13/17............................. 10,000 9,988,870 BHP Billiton Finance USA, Ltd. 1.625%, 02/24/17............................. 5,000 5,062,535 Commonwealth Bank of Australia 1.125%, 03/13/17............................. 8,737 8,739,464 1.900%, 09/18/17............................. 7,000 7,097,377 National Australia Bank, Ltd. 0.900%, 01/20/16............................. 5,000 5,016,750 1.300%, 07/25/16............................. 7,000 7,063,196 Westpac Banking Corp. 3.000%, 12/09/15............................. 8,500 8,723,014 1.200%, 05/19/17............................. 10,000 9,994,150 2.000%, 08/14/17............................. 3,000 3,055,923 ----------- TOTAL AUSTRALIA.................................. 76,782,415 ----------- CANADA -- (7.3%) Bank of Nova Scotia (The) 2.550%, 01/12/17............................. 5,000 5,153,565 Canadian National Railway Co. 1.450%, 12/15/16............................. 4,275 4,326,642 Enbridge, Inc. 4.900%, 03/01/15............................. 1,500 1,521,063 Export Development Canada 0.875%, 12/07/16............................. GBP 10,000 15,970,451 Ontario, Province of Canada 2.300%, 05/10/16............................. 5,000 5,129,055 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 1,830 1,881,441 Royal Bank of Canada 1.200%, 01/23/17............................. 7,000 7,017,290 1.250%, 06/16/17............................. 15,000 14,990,940 Toronto-Dominion Bank (The) 2.500%, 07/14/16............................. 2,500 2,573,345 2.375%, 10/19/16............................. 19,000 19,595,137 TransAlta Corp. 4.750%, 01/15/15............................. 2,508 2,527,695 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 3,106 3,156,243 ----------- TOTAL CANADA..................................... 83,842,867 ----------- FINLAND -- (1.3%) Municipality Finance P.L.C. 2.375%, 05/16/16............................. 15,000 15,425,760 -----------
Face Amount^ Value+ ------- ------ (000) FRANCE -- (1.7%) Agence Francaise de Developpement 2.500%, 07/15/15............................. $ 3,000 $ 3,045,600 BNP Paribas SA 3.250%, 03/11/15............................. 4,035 4,075,064 Orange SA 2.125%, 09/16/15............................. 500 505,467 2.750%, 09/14/16............................. 4,000 4,119,840 Societe Generale SA 2.750%, 10/12/17............................. 5,000 5,146,085 Total Capital International SA 1.550%, 06/28/17............................. 3,040 3,060,219 ----------- TOTAL FRANCE..................................... 19,952,275 ----------- GERMANY -- (3.2%) Deutsche Bank AG 3.250%, 01/11/16............................. 1,000 1,029,137 6.000%, 09/01/17............................. 3,000 3,362,445 KFW 5.500%, 12/07/15............................. GBP 4,000 6,732,666 Landeskreditbank Baden- Wuerttemberg Foerderbank 2.250%, 07/15/16............................. 10,000 10,285,320 Landwirtschaftliche Rentenbank 3.250%, 12/07/16............................. GBP 9,000 15,056,989 ----------- TOTAL GERMANY.................................... 36,466,557 ----------- JAPAN -- (2.9%) Japan Bank for International Cooperation 1.125%, 07/19/17............................. 15,000 15,044,085 Japan Finance Organization for Municipalities 1.500%, 09/12/17............................. 13,000 13,100,490 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 3,500 3,545,861 2.000%, 09/13/16............................. 1,000 1,012,581 Sumitomo Mitsui Banking Corp. 1.300%, 01/10/17............................. 1,000 1,000,350 ----------- TOTAL JAPAN...................................... 33,703,367 ----------- NETHERLANDS -- (4.3%) Aegon NV 4.625%, 12/01/15............................. 3,489 3,631,902 Bank Nederlandse Gemeenten NV 1.375%, 09/27/17............................. 10,000 10,064,900
181 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) NETHERLANDS -- (Continued) Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 3.125%, 02/05/15............................. CAD 7,000 $ 6,237,301 Deutsche Telekom International Finance BV 5.750%, 03/23/16............................. 880 937,510 Nederlandse Waterschapsbank NV 2.125%, 09/07/16............................. GBP 10,000 16,336,622 2.125%, 02/09/17............................. 4,000 4,113,104 Shell International Finance BV 1.125%, 08/21/17............................. 8,000 7,998,120 ----------- TOTAL NETHERLANDS................................ 49,319,459 ----------- NORWAY -- (1.3%) Kommunalbanken A.S. 1.125%, 12/15/16............................. GBP 9,000 14,417,893 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.8%) Asian Development Bank 1.000%, 12/15/16............................. GBP 14,000 22,402,750 Council Of Europe Development Bank 1.750%, 12/19/16............................. GBP 14,000 22,753,468 European Bank for Reconstruction & Development 0.750%, 09/01/17............................. 5,000 4,967,670 European Investment Bank 3.250%, 12/07/16............................. GBP 9,000 15,062,979 4.875%, 01/17/17............................. 4,000 4,358,144 Nordic Investment Bank 7.500%, 04/15/15............................. NZD 11,000 8,711,887 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 78,256,898 ----------- SWEDEN -- (2.8%) Kommuninvest I Sverige AB 1.625%, 02/13/17............................. 4,500 4,582,260 Svensk Exportkredit AB 2.125%, 07/13/16............................. 5,000 5,129,500 1.125%, 12/15/16............................. GBP 8,000 12,815,905 Svenska Handelsbanken AB 3.125%, 07/12/16............................. 9,250 9,607,642 ----------- TOTAL SWEDEN..................................... 32,135,307 ----------- SWITZERLAND -- (0.2%) Credit Suisse New York 3.500%, 03/23/15............................. 1,000 1,011,777
Face Amount^ Value+ ------- ------ (000) SWITZERLAND -- (Continued) UBS AG 3.875%, 01/15/15............................. $ 1,163 $ 1,170,885 ----------- TOTAL SWITZERLAND................................ 2,182,662 ----------- UNITED KINGDOM -- (5.3%) Barclays Bank P.L.C. 5.000%, 09/22/16............................. 1,700 1,824,989 BP Capital Markets P.L.C. 2.248%, 11/01/16............................. 6,500 6,653,368 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 3,100 3,128,030 1.250%, 02/14/17............................. 1,200 1,196,916 Diageo Capital P.L.C. 5.500%, 09/30/16............................. 2,000 2,166,374 GlaxoSmithKline Capital P.L.C. 1.500%, 05/08/17............................. 5,000 5,043,340 Lloyds Bank P.L.C. 4.875%, 01/21/16............................. 5,000 5,249,485 Network Rail Infrastructure Finance P.L.C. 1.125%, 12/15/16............................. GBP 13,000 20,869,725 Rio Tinto Finance USA P.L.C. 1.125%, 03/20/15............................. 3,850 3,859,879 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 6,300 6,389,901 Vodafone Group P.L.C. 1.625%, 03/20/17............................. 4,951 4,972,126 ----------- TOTAL UNITED KINGDOM............................. 61,354,133 ----------- UNITED STATES -- (35.4%) AbbVie, Inc. 1.200%, 11/06/15............................. 4,000 4,022,520 ACE INA Holdings, Inc. 2.600%, 11/23/15............................. 3,295 3,362,432 Actavis, Inc. 1.875%, 10/01/17............................. 6,000 5,947,290 Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. 3,615 3,690,998 Altria Group, Inc. 4.125%, 09/11/15............................. 2,170 2,234,345 American Express Credit Corp. 1.750%, 06/12/15............................. 1,200 1,208,680 2.750%, 09/15/15............................. 2,250 2,294,201 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 813 853,698 Amgen, Inc. 1.875%, 11/15/14............................. 1,825 1,825,650 4.850%, 11/18/14............................. 1,000 1,001,603
182 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Anadarko Petroleum Corp. 5.950%, 09/15/16............................. $ 6,000 $ 6,520,422 Anheuser-Busch Cos., LLC 5.600%, 03/01/17............................. 5,000 5,488,520 Anheuser-Busch InBev Worldwide, Inc. 0.800%, 07/15/15............................. 2,000 2,005,802 Apache Corp. 5.625%, 01/15/17............................. 1,500 1,641,811 Apple, Inc. 1.050%, 05/05/17............................. 27,000 26,997,705 AT&T, Inc. 2.500%, 08/15/15............................. 3,066 3,112,781 2.400%, 08/15/16............................. 1,000 1,024,580 AutoZone, Inc. 6.950%, 06/15/16............................. 3,000 3,274,068 Bank of America Corp. 1.500%, 10/09/15............................. 5,000 5,036,400 3.750%, 07/12/16............................. 1,500 1,565,920 Bank of New York Mellon Corp. (The) 1.969%, 06/20/17............................. 4,000 4,078,872 Becton Dickinson and Co. 1.750%, 11/08/16............................. 1,500 1,515,690 Branch Banking & Trust Co. 1.000%, 04/03/17............................. 4,400 4,379,822 Burlington Northern Santa Fe LLC 4.875%, 01/15/15............................. 200 201,730 Capital One Financial Corp. 2.150%, 03/23/15............................. 4,700 4,729,445 Cardinal Health, Inc. 4.000%, 06/15/15............................. 3,000 3,060,105 CareFusion Corp. 1.450%, 05/15/17............................. 5,000 4,990,520 Caterpillar Financial Services Corp. 2.650%, 04/01/16............................. 5,000 5,137,455 1.350%, 09/06/16............................. 1,000 1,009,615 CenterPoint Energy Resources Corp. 6.150%, 05/01/16............................. 5,000 5,377,965 Charles Schwab Corp. (The) 0.850%, 12/04/15............................. 3,000 3,009,645 Citigroup, Inc. 1.350%, 03/10/17............................. 2,000 2,000,130 CNA Financial Corp. 5.850%, 12/15/14............................. 3,277 3,295,600 Colgate-Palmolive Co. 1.300%, 01/15/17............................. 9,723 9,808,115 Comcast Corp. 4.950%, 06/15/16............................. 3,500 3,732,540 Comerica, Inc. 3.000%, 09/16/15............................. 2,277 2,323,414 Computer Sciences Corp. 2.500%, 09/15/15............................. 3,558 3,608,225
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) ConAgra Foods, Inc. 5.819%, 06/15/17............................. $ 5,000 $5,521,900 CVS Health Corp. 3.250%, 05/18/15............................. 1,000 1,014,688 Devon Energy Corp. 1.200%, 12/15/16............................. 5,970 6,038,583 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 3.500%, 03/01/16............................. 5,000 5,167,685 Dominion Resources, Inc. 5.150%, 07/15/15............................. 1,400 1,443,268 2.250%, 09/01/15............................. 5,000 5,059,095 Dow Chemical Co. (The) 2.500%, 02/15/16............................. 6,000 6,125,424 Eastman Chemical Co. 3.000%, 12/15/15............................. 1,000 1,023,259 2.400%, 06/01/17............................. 3,000 3,054,636 eBay, Inc. 1.350%, 07/15/17............................. 3,000 2,979,225 Ecolab, Inc. 1.000%, 08/09/15............................. 2,000 2,006,502 Enbridge Energy Partners L.P. 5.350%, 12/15/14............................. 1,475 1,482,983 Energy Transfer Partners L.P. 5.950%, 02/01/15............................. 1,200 1,214,490 EOG Resources, Inc. 2.950%, 06/01/15............................. 2,440 2,474,972 2.500%, 02/01/16............................. 6,000 6,126,870 Exelon Corp. 4.900%, 06/15/15............................. 500 512,741 Express Scripts Holding Co. 2.100%, 02/12/15............................. 4,000 4,016,124 3.125%, 05/15/16............................. 1,975 2,044,858 Fifth Third Bancorp 3.625%, 01/25/16............................. 1,000 1,033,646 Fifth Third Bank 0.900%, 02/26/16............................. 2,000 2,004,354 Ford Motor Credit Co. LLC 12.000%, 05/15/15............................ 3,500 3,705,415 Freeport-McMoRan, Inc. 1.400%, 02/13/15............................. 3,996 4,002,362 GATX Corp. 4.750%, 05/15/15............................. 5,240 5,346,503 Gilead Sciences, Inc. 2.400%, 12/01/14............................. 3,000 3,004,125 Goldman Sachs Group, Inc. (The) 3.300%, 05/03/15............................. 600 608,042 3.625%, 02/07/16............................. 1,000 1,032,075 6.250%, 09/01/17............................. 3,000 3,362,709 Hartford Financial Services Group, Inc. (The) 4.000%, 03/30/15............................. 1,400 1,419,058
183 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Hewlett-Packard Co. 2.625%, 12/09/14............................. $ 1,000 $1,001,908 3.000%, 09/15/16............................. 1,000 1,032,813 Hillshire Brands Co. (The) 2.750%, 09/15/15............................. 1,666 1,691,363 HSBC USA, Inc. 2.375%, 02/13/15............................. 2,000 2,011,108 John Deere Capital Corp. 2.000%, 01/13/17............................. 1,500 1,531,618 Johnson Controls, Inc. 5.500%, 01/15/16............................. 1,282 1,354,242 2.600%, 12/01/16............................. 3,475 3,587,201 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 2,800 2,819,298 3.400%, 06/24/15............................. 1,000 1,018,061 Kellogg Co. 1.875%, 11/17/16............................. 1,000 1,016,834 1.750%, 05/17/17............................. 3,000 3,026,157 KeyBank NA 1.100%, 11/25/16............................. 6,000 6,005,712 KeyCorp 3.750%, 08/13/15............................. 3,000 3,071,118 Kinder Morgan Energy Partners L.P. 6.000%, 02/01/17............................. 830 908,756 Kroger Co. (The) 2.200%, 01/15/17............................. 1,000 1,020,855 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 4,000 4,148,224 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 1,050 1,094,246 Marathon Oil Corp. 0.900%, 11/01/15............................. 1,140 1,141,108 MetLife, Inc. 5.000%, 06/15/15............................. 500 513,737 Mondelez International, Inc. 4.125%, 02/09/16............................. 3,716 3,866,803 Morgan Stanley 3.800%, 04/29/16............................. 6,000 6,236,688 MUFG Union Bank NA 3.000%, 06/06/16............................. 1,000 1,030,570 Mylan, Inc. 1.350%, 11/29/16............................. 6,038 6,052,588 Occidental Petroleum Corp. 1.750%, 02/15/17............................. 2,722 2,757,155 Omnicom Group, Inc. 5.900%, 04/15/16............................. 1,750 1,870,265 ONEOK Partners L.P. 2.000%, 10/01/17............................. 2,820 2,839,994 PepsiCo, Inc. 0.700%, 08/13/15............................. 5,045 5,057,779 Philip Morris International, Inc. 2.500%, 05/16/16............................. 2,224 2,286,001 Phillips 66 2.950%, 05/01/17............................. 5,000 5,192,225
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Pioneer Natural Resources Co. 6.650%, 03/15/17............................. $ 3,450 $ 3,822,424 Plains All American Pipeline L.P. / PAA Finance Corp. 3.950%, 09/15/15............................. 2,830 2,904,820 PNC Funding Corp. 4.250%, 09/21/15............................. 600 619,189 PPG Industries, Inc. 1.900%, 01/15/16............................. 2,050 2,077,935 Progress Energy, Inc. 5.625%, 01/15/16............................. 2,000 2,112,208 Prudential Financial, Inc. 3.875%, 01/14/15............................. 1,000 1,006,585 6.200%, 01/15/15............................. 2,448 2,475,420 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 4,000 4,173,856 Reynolds American, Inc. 1.050%, 10/30/15............................. 4,000 4,007,792 Sherwin-Williams Co. (The) 3.125%, 12/15/14............................. 1,048 1,051,224 Southern Power Co. 4.875%, 07/15/15............................. 3,660 3,763,633 Starbucks Corp. 0.875%, 12/05/16............................. 1,000 1,001,109 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 4,000 4,157,504 Symantec Corp. 2.750%, 06/15/17............................. 2,000 2,032,656 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 2,350 2,356,418 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 2,250 2,276,615 2.250%, 08/15/16............................. 2,953 3,013,593 Time Warner Cable, Inc. 3.500%, 02/01/15............................. 4,000 4,027,472 Time Warner, Inc. 5.875%, 11/15/16............................. 1,000 1,094,408 Toyota Motor Credit Corp. 2.000%, 09/15/16............................. 15,819 16,165,626 UnitedHealth Group, Inc. 1.875%, 11/15/16............................. 1,000 1,020,133 Valero Energy Corp. 4.500%, 02/01/15............................. 900 908,055 Verizon Communications, Inc. 0.700%, 11/02/15............................. 3,000 3,002,334 Walgreen Co. 1.000%, 03/13/15............................. 3,720 3,725,915 Walt Disney Co. (The) 0.875%, 12/01/14............................. 1,500 1,500,795 1.125%, 02/15/17............................. 2,000 2,007,256 Wells Fargo & Co. 1.250%, 02/13/15............................. 1,000 1,002,551 1.500%, 07/01/15............................. 2,500 2,518,787 2.625%, 12/15/16............................. 6,000 6,210,660
184 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Western Union Co. (The) 5.930%, 10/01/16............................. $ 2,348 $ 2,552,337 Whirlpool Corp. 1.350%, 03/01/17............................. 2,000 1,994,372 Whirpool Corp. 1.650%, 11/01/17............................. 5,000 5,000,955 Williams Partners L.P. 3.800%, 02/15/15............................. 2,300 2,318,966 Xerox Corp. 4.250%, 02/15/15............................. 3,500 3,536,302 Yum! Brands, Inc. 4.250%, 09/15/15............................. 2,485 2,555,437 Zimmer Holdings, Inc. 1.400%, 11/30/14............................. 1,000 1,000,738 ------------ TOTAL UNITED STATES.............................. 408,374,413 ------------ TOTAL BONDS...................................... 912,214,006 ------------ AGENCY OBLIGATIONS -- (6.5%) Federal Home Loan Bank 2.250%, 09/08/17............................. 10,000 10,323,290 Federal Home Loan Mortgage Corporation 1.000%, 07/28/17............................. 30,000 30,055,050
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (Continued) Federal National Mortgage Association 1.375%, 11/15/16............................. $ 5,000 $ 5,076,100 0.750%, 04/20/17............................. 30,000 29,934,030 -------------- TOTAL AGENCY OBLIGATIONS........................... 75,388,470 -------------- U.S. TREASURY OBLIGATIONS -- (14.3%) U.S. Treasury Notes ++^^ 0.875%, 12/31/16............................. 113,000 113,670,994 3.000%, 02/28/17............................. 15,000 15,809,760 1.000%, 09/15/17............................. 35,000 35,106,645 -------------- TOTAL U.S. TREASURY OBLIGATIONS.................... 164,587,399 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,157,311,859).............................. $1,152,189,875 ==============
Summary of the Portfolio's investments as of October 31, 2014, 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.............................. -- $ 76,782,415 -- $ 76,782,415 Canada................................. -- 83,842,867 -- 83,842,867 Finland................................ -- 15,425,760 -- 15,425,760 France................................. -- 19,952,275 -- 19,952,275 Germany................................ -- 36,466,557 -- 36,466,557 Japan.................................. -- 33,703,367 -- 33,703,367 Netherlands............................ -- 49,319,459 -- 49,319,459 Norway................................. -- 14,417,893 -- 14,417,893 Supranational Organization Obligations. -- 78,256,898 -- 78,256,898 Sweden................................. -- 32,135,307 -- 32,135,307 Switzerland............................ -- 2,182,662 -- 2,182,662 United Kingdom......................... -- 61,354,133 -- 61,354,133 United States.......................... -- 408,374,413 -- 408,374,413 Agency Obligations....................... -- 75,388,470 -- 75,388,470 U.S. Treasury Obligations................ -- 164,587,399 -- 164,587,399 Swap Agreements**........................ -- (12,499,678) -- (12,499,678) Futures Contracts**...................... $(1,217,029) -- -- (1,217,029) Forward Currency Contracts**............. -- 1,912,228 -- 1,912,228 ----------- -------------- -- -------------- TOTAL.................................... $(1,217,029) $1,141,602,425 -- $1,140,385,396 =========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 185 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value................................................................... $ 1,152,190 Temporary Cash......................................................................... 29,195 Foreign Currencies at Value............................................................ 3 Segregated Cash for Swaps Contracts.................................................... 7,316 Cash................................................................................... 8,652 Receivables: Investment Securities Sold........................................................... 40 Interest............................................................................. 8,027 Fund Shares Sold..................................................................... 6,071 Unrealized Gain on Forward Currency Contracts.......................................... 2,157 Prepaid Expenses and Other Assets...................................................... 41 ------------ Total Assets...................................................................... 1,213,692 ------------ LIABILITIES: Payables: Investment Securities Purchased...................................................... 5,000 Fund Shares Redeemed................................................................. 1,180 Due to Advisor....................................................................... 297 Futures Margin Variation............................................................. 196 Unrealized Loss on Swap Contracts...................................................... 12,500 Unrealized Loss on Forward Currency Contracts.......................................... 245 Accrued Expenses and Other Liabilities................................................. 83 ------------ Total Liabilities................................................................. 19,501 ------------ NET ASSETS............................................................................. $ 1,194,191 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 149,317,618 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.00 ============ Investments at Cost.................................................................... $ 1,157,312 ============ Foreign Currencies at Cost............................................................. $ 3 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 1,204,372 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 5,939 Accumulated Net Realized Gain (Loss)................................................... 903 Net Unrealized Foreign Exchange Gain (Loss)............................................ 1,816 Net Unrealized Appreciation (Depreciation)............................................. (18,839) ------------ NET ASSETS............................................................................. $ 1,194,191 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 ============
See accompanying Notes to Financial Statements. 186 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (Amounts in thousands) Investment Income Interest.......................................................................................... $ 9,845 -------- Total Investment Income........................................................................ 9,845 -------- Expenses Investment Advisory Services Fees................................................................. 3,648 Accounting & Transfer Agent Fees.................................................................. 61 Custodian Fees.................................................................................... 39 Filing Fees....................................................................................... 133 Shareholders' Reports............................................................................. 48 Directors'/Trustees' Fees & Expenses.............................................................. 7 Professional Fees................................................................................. 30 Other............................................................................................. 9 -------- Total Expenses................................................................................. 3,975 -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (640) Fees Paid Indirectly.............................................................................. (12) -------- Net Expenses...................................................................................... 3,323 -------- Net Investment Income (Loss)...................................................................... 6,522 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:...................................................................... Investment Securities Sold...................................................................... 2,967 Futures......................................................................................... (2,034) Swap Contracts.................................................................................. (49,078) Foreign Currency Transactions................................................................... 2,905 Change in Unrealized Appreciation (Depreciation) of:.............................................. Investment Securities and Foreign Currency...................................................... (7,904) Futures......................................................................................... (649) Swap Contracts.................................................................................. (6,914) Translation of Foreign Currency Denominated Amounts............................................. 2,590 -------- Net Realized and Unrealized Gain (Loss)........................................................... (58,117) -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $(51,595) ========
See accompanying Notes to Financial Statements. 187 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, 2014 2013 ---------- --------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................................................... $ 6,522 $ 4,128 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 2,967 952 Futures............................................................................ (2,034) (1,683) Swap Contracts..................................................................... (49,078) (68,369) Foreign Currency Transactions...................................................... 2,905 (1,229) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... (7,904) 75 Futures............................................................................ (649) (717) Swap Contracts..................................................................... (6,914) (6,861) Translation of Foreign Currency Denominated Amounts................................ 2,590 715 ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (51,595) (72,989) ---------- --------- Distributions From: Net Investment Income: Institutional Class Shares......................................................... (4,154) (2,493) Net Short-Term Gains: Institutional Class Shares......................................................... (379) (472) Net Long-Term Gains: Institutional Class Shares......................................................... (474) (472) ---------- --------- Total Distributions............................................................... (5,007) (3,437) ---------- --------- Capital Share Transactions (1): Shares Issued........................................................................ 761,756 552,864 Shares Issued in Lieu of Cash Distributions.......................................... 4,915 3,267 Shares Redeemed...................................................................... (302,192) (151,470) ---------- --------- Net Increase (Decrease) from Capital Share Transactions........................... 464,479 404,661 ---------- --------- Total Increase (Decrease) in Net Assets........................................... 407,877 328,235 Net Assets Beginning of Year.................................................................... 786,314 458,079 ---------- --------- End of Year.......................................................................... $1,194,191 $ 786,314 ========== ========= (1) Shares Issued and Redeemed: Shares Issued........................................................................ 90,096 63,019 Shares Issued in Lieu of Cash Distributions.......................................... 566 366 Shares Redeemed...................................................................... (36,041) (17,417) ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 54,621 45,968 ========== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 5,939 $ 1,500
See accompanying Notes to Financial Statements. 188 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Year Year Year Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................................... $ 8.30 $ 9.40 $ 9.77 ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................................. 0.06 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)................... (0.31) (1.10) (0.37) ---------- -------- -------- Total from Investment Operations............................................ (0.25) (1.04) (0.30) ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................................ (0.04) (0.04) (0.06) Net Realized Gains........................................................... (0.01) (0.02) (0.01) ---------- -------- -------- Total Distributions......................................................... (0.05) (0.06) (0.07) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................................................. $ 8.00 $ 8.30 $ 9.40 =============================================================================== ========== ======== ======== Total Return................................................................... (3.08)% (11.15)% (3.08)% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).......................................... $1,194,191 $786,314 $458,079 Ratio of Expenses to Average Net Assets........................................ 0.33% 0.34% 0.35% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)................................................................... 0.39% 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets........................... 0.65% 0.66% 0.79% Portfolio Turnover Rate........................................................ 104% 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 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor 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. 189 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO CONSOLIDATED 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-seven operational portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the "Subsidiary"), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the 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 agreements will be valued at the price provided by an independent third-party pricing service or source. If a price is not available from an independent third-party pricing service or source, the swap agreement will be valued in good faith at fair value in accordance with procedures adopted by the Board. These securities are generally 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. 190 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, 2014, there were no significant transfers between Level 1 and Level 2 and no significant 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, 2014, 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. 191 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 N 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, 2014, the Portfolio held a $243,966,964 investment in the Subsidiary, representing 20.10% 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. 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, 2014, 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 "Fee Waiver 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, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement will continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. At October 31, 2014, there were no previously waived fees subject 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, 2014, approximately $640 (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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- DFA Commodity Strategy Portfolio. $12
192 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, 2014, the total related amounts paid by the Fund to the CCO were $262 (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, 2014, 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. $8
F. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $212,151 $458,903 $1,165,997 $516,202
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, 2014, 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 book 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. $(48,297) $2,071 $46,226
193 The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Tax Exempt Capital Gains Capital Gains Income Total -------------- ------------- ---------- ------ DFA Commodity Strategy Portfolio 2013............................. $2,965 $472 -- $3,437 2014............................. 4,533 474 -- 5,007
At October 31, 2014, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- DFA Commodity Strategy Portfolio. $705 $57 $762
At October 31, 2014, 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 Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- DFA Commodity Strategy Portfolio. $7,964 $889 -- $(18,924) $(10,071)
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, 2014, the Portfolio did not have any capital loss carryforwards. At October 31, 2014, 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, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA Commodity Strategy Portfolio. $1,157,312 $1,471 $(6,593) $(5,122)
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. 194 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. 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 Statement 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 Statement of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2014, 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 2014 Gain (Loss) ---------- -------- ------------------- --------- ----------- ----------- 11/25/14 (7,100) Canadian Dollar (1) $ (6,307) $ (6,296) $ 11 11/14/14 (11,269) New Zealand Dollar (2) (8,907) (8,776) 131 11/03/14 47,418 UK Pound Sterling (3) 75,972 75,855 (117) 11/03/14 (47,418) UK Pound Sterling (1) (76,835) (75,855) 980 11/04/14 55,373 UK Pound Sterling (1) 88,453 88,580 127 11/04/14 (55,373) UK Pound Sterling (1) (89,372) (88,580) 792 12/03/14 (47,748) UK Pound Sterling (3) (76,480) (76,364) 116 12/04/14 (55,464) UK Pound Sterling (1) (88,577) (88,705) (128) --------- --------- ------ $(182,053) $(180,141) $1,912 ========= ========= ======
Counterparties: (1)Citibank, N.A. (2)Bank of America Corp. (3)State Street Bank and Trust * During the year ended October 31, 2014, the Portfolio's average contract amount of forward currency contracts was $226,502 (in thousands). **Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. 195 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 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. 196 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 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 197 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, 2014, 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.... 02/12/15 54 $ 4,719 $ 12 CBT Wheat Futures.......... 03/13/15 98 2,674 20 Coffee 'C' Futures......... 03/19/15 47 3,389 (33) Copper Futures............. 03/27/15 79 6,002 (73) Corn Futures............... 03/13/15 300 5,839 82 Cotton No.2 Futures........ 03/09/15 33 1,038 9 Gasoline RBOB Futures...... 12/31/14 28 2,523 (132) Gold 100 oz Futures........ 02/25/15 83 9,731 (479) KCB Wheat Futures.......... 03/13/15 33 988 (8) LME Nickel Futures......... 01/19/15 46 4,355 (253) LME Nickel Futures......... 11/19/14 46 4,342 (807) LME Nickel Futures......... 01/19/15 (24) (2,272) 51 LME Nickel Futures......... 11/19/14 (46) (4,342) 630 LME Prime Aluminum Futures. 11/19/14 196 10,117 230 LME Prime Aluminum Futures. 01/19/15 193 9,878 462 LME Prime Aluminum Futures. 01/19/15 (101) (5,169) (308) LME Prime Aluminum Futures. 11/19/14 (196) (10,116) (284) LME Zinc Futures........... 01/19/15 83 4,796 57 LME Zinc Futures........... 11/19/14 83 4,794 (56) LME Zinc Futures........... 01/19/15 (43) (2,485) (44) LME Zinc Futures........... 11/19/14 (83) (4,794) 3 Lean Hogs Futures.......... 02/13/15 49 1,726 (23) Live Cattle Futures........ 02/27/15 53 3,521 (31) NY Harbor ULSD Futures..... 12/31/14 27 2,843 (73) Natural Gas Futures........ 12/29/14 197 7,799 (211) Silver Futures............. 03/27/15 37 2,990 (203) Soybean Futures............ 01/14/15 79 4,145 373 Soybean Meal Futures....... 01/14/15 57 2,090 297 Soybean Oil Futures........ 01/14/15 110 2,311 126 Sugar #11 Futures.......... 02/27/15 195 3,503 (139) WTI Crude Futures.......... 12/19/14 80 6,434 (412) -------- ------- $ 83,369 $(1,217) ======== =======
The Subsidiary's securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2014 the Subsidiary's average notional contract amount of outstanding futures contracts was $72,751 (in thousands). 198 At October 31, 2014, the Subsidiary had the following outstanding commodity total return swaps, which are typically on custom commodity indices that include exposure to various precious metal, energy and agricultural commodities (dollar amounts in thousands):
Unrealized Commodity Expiration Notional Appreciation Counterparty Exposure Date Amount* (Depreciation) ------------ --------- ---------- ----------- -------------- Bank of America................. Index** 12/31/14 USD $ (90,558) $ (1,024) Citibank, N.A................... Index** 12/31/14 USD (216,371) (2,422) Credit Suisse................... Index** 11/25/14 USD (95,104) (1,068) Credit Suisse................... Index** 11/25/14 USD (200,339) (2,250) Deutsche Bank AG, London Branch. Index** 11/25/14 USD (240,817) (2,706) UBS AG.......................... Index** 01/30/15 USD (270,642) (3,030) ----------- -------- $(1,113,831) $(12,500) =========== ========
* During the year ended October 31, 2014 the Subsidiary's average notional value of outstanding swap contracts was $1,037,960 (in thousands). **Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total Return. The following is a summary of the location of derivatives on the Portfolio's Statement of Assets and Liabilities as of October 31, 2014: Location on the Statement of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Commodity Futures Payables: Futures Margin Contracts Variation Foreign Exchange Unrealized Gain on Unrealized Loss on Contracts Forward Currency Forward Currency Contracts Contracts Commodity Swap Contracts Unrealized Loss on Swap Contracts The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2014 (amounts in thousands):
Asset Derivatives Value ----------------------------- Total Value Foreign Commodity Commodity at Exchange Futures Swap October 31, 2014 Contracts Contracts Contracts - ---------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $ 4,509 $2,157 $ 2,352* -- Liability Derivatives Value - ----------------------------- Total Value Foreign Commodity Commodity at Exchange Futures Swap October 31, 2014 Contracts Contracts Contracts - ---------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $(16,314) $ (245) $(3,569)* $(12,500)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements of Assets and Liabilities. 199 The following is a summary of the location on the Portfolio's Statement of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings for the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Commodity Futures 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 Commodity Swap 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, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------------- Foreign Commodity Commodity Exchange Futures Swap Total Contracts Contracts Contracts -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $(48,117) $2,995 $(2,034) $(49,078)
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------------- Foreign Commodity Commodity Exchange Futures Swap Total Contracts Contracts Contracts ------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. $(4,866) $2,697 $(649) $(6,914)
Offsetting of Derivative Assets and Derivative Liabilities The Portfolios are subject to master netting agreements ("MNA") with certain counterparties which govern the terms of derivative transactions and reduce the counterparty risk associated with such transactions by specifying offsetting mechanisms and collateral posting arrangements at pre-arranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different MNA, possibly resulting in the need for multiple agreements with a single counterparty. As the MNA's are specific to unique operations of different asset types, they allow each Portfolio to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single MNA with a counterparty. Certain MNA's contain provisions which allow for the net settlement of receivable and payable positions with the same counterparty if defined conditions are met. The following table presents the Portfolio's gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolio as of October 31, 2014 (Amounts in thousands):
Gross Amounts Not Offset Gross Amounts Not Offset in the Consolidated in the Consolidated Statements of Assets and Statements of Assets and Liabilities Liabilities Gross ------------------------- Gross ------------------------ Amounts of Cash Amounts of Cash Recognized Financial Collateral Net Recognized Financial Collateral Description Assets(a) Instruments(b) Received Amount(c) Liabilities(a) Instruments(d) Pledged ----------- ---------- -------------- ---------- --------- -------------- -------------- ---------- Assets Liabilities ---------------------------------------------- ---------------------------------------- DFA Commodity Strategy Portfolio Forward Currency Contracts....... $2,157 $(245) -- $1,912 $ 245 $ (245) -- Swap Contracts................... -- -- -- -- 12,500 (5,184)(f) (7,316)
Net Description Amount(e) ----------- --------- ---------- DFA Commodity Strategy Portfolio Forward Currency Contracts....... -- Swap Contracts................... --
200 (a)No amounts have been netted against the gross amounts recognized in the Consolidated Statements of Assets and Liabilities. (b)Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Consolidated Statements of Assets and Liabilities. (c)Represents the net amount due from counterparties in the event of default. (d)Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities as well as pledged non-cash collateral. (e)Represents the net amount due to counterparties in the event of default. (f)The actual collateral received is greater than the amount shown here due to overcollateralization. I. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. There were no borrowings by the Portfolio under the lines of credit during the year ended October 31, 2014. 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. Other: At October 31, 2014, three shareholders held 85% 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. L. 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. 201 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of DFA Commodity Strategy Portfolio: 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, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 19, 2014 202 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, 2014 [CHART] DFA International Value MSCI World ex USA Index Portfolio - Class R2 (net div.) ----------------------- ------------------------ 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 8/31/2013 8,902 9,333 9/30/2013 9,570 9,993 10/31/2013 9,901 10,328 11/30/2013 9,931 10,391 12/31/2013 10,149 10,548 1/31/2014 9,775 10,122 2/28/2014 10,328 10,675 3/31/2014 10,249 10,627 4/30/2014 10,420 10,794 5/31/2014 10,529 10,961 6/30/2014 10,661 11,117 7/31/2014 10,419 10,919 8/31/2014 10,419 10,927 9/30/2014 9,956 10,479 10/31/2014 9,782 10,312 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. ------------------------------------------------------------ MSCI data copyright MSCI 2014, all -1.21% 5.55% -0.34% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] DFA International Value MSCI World ex USA Index Portfolio-Institutional Class (net div.) ----------------------------- ----------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,737 10,665 12/31/2004 11,272 11,116 1/31/2005 11,155 10,897 2/28/2005 11,595 11,382 3/31/2005 11,305 11,123 4/30/2005 10,961 10,840 5/31/2005 10,975 10,859 6/30/2005 11,147 11,037 7/31/2005 11,643 11,393 8/31/2005 12,027 11,708 9/30/2005 12,363 12,242 10/31/2005 12,173 11,847 11/30/2005 12,391 12,160 12/31/2005 12,993 12,724 1/31/2006 13,878 13,529 2/28/2006 14,008 13,483 3/31/2006 14,598 13,911 4/30/2006 15,332 14,576 5/31/2006 14,713 14,022 6/30/2006 14,612 14,004 7/31/2006 14,839 14,136 8/31/2006 15,343 14,537 9/30/2006 15,557 14,526 10/31/2006 16,244 15,100 11/30/2006 16,776 15,549 12/31/2006 17,429 15,995 1/31/2007 17,753 16,093 2/28/2007 17,738 16,222 3/31/2007 18,307 16,637 4/30/2007 19,227 17,394 5/31/2007 19,883 17,781 6/30/2007 19,737 17,798 7/31/2007 19,186 17,552 8/31/2007 18,964 17,298 9/30/2007 19,951 18,281 10/31/2007 20,913 19,076 11/30/2007 19,643 18,330 12/31/2007 19,215 17,985 1/31/2008 17,658 16,364 2/29/2008 17,429 16,660 3/31/2008 17,639 16,422 4/30/2008 18,422 17,335 5/31/2008 18,430 17,598 6/30/2008 16,600 16,230 7/31/2008 16,130 15,652 8/31/2008 15,450 15,047 9/30/2008 13,646 12,874 10/31/2008 10,223 10,196 11/30/2008 9,595 9,643 12/31/2008 10,312 10,152 1/31/2009 8,892 9,204 2/28/2009 7,800 8,273 3/31/2009 8,647 8,818 4/30/2009 10,235 9,955 5/31/2009 11,757 11,214 6/30/2009 11,581 11,098 7/31/2009 12,951 12,140 8/31/2009 13,686 12,722 9/30/2009 14,390 13,247 10/31/2009 13,811 13,034 11/30/2009 14,214 13,356 12/31/2009 14,381 13,569 1/31/2010 13,546 12,933 2/28/2010 13,588 12,920 3/31/2010 14,671 13,752 4/30/2010 14,418 13,547 5/31/2010 12,721 12,052 6/30/2010 12,500 11,878 7/31/2010 14,059 12,976 8/31/2010 13,365 12,588 9/30/2010 14,797 13,795 10/31/2010 15,322 14,287 11/30/2010 14,539 13,682 12/31/2010 15,901 14,783 1/31/2011 16,576 15,102 2/28/2011 17,121 15,662 3/31/2011 16,649 15,348 4/30/2011 17,533 16,184 5/31/2011 16,900 15,704 6/30/2011 16,664 15,480 7/31/2011 16,126 15,225 8/31/2011 14,397 13,938 9/30/2011 12,821 12,538 10/31/2011 14,038 13,758 11/30/2011 13,585 13,122 12/31/2011 13,222 12,979 1/31/2012 14,110 13,679 2/29/2012 14,837 14,431 3/31/2012 14,721 14,325 4/30/2012 14,191 14,081 5/31/2012 12,438 12,476 6/30/2012 13,314 13,294 7/31/2012 13,259 13,459 8/31/2012 13,800 13,843 9/30/2012 14,290 14,263 10/31/2012 14,474 14,363 11/30/2012 14,695 14,665 12/31/2012 15,418 15,109 1/31/2013 16,133 15,852 2/28/2013 15,650 15,694 3/31/2013 15,696 15,818 4/30/2013 16,469 16,539 5/31/2013 16,264 16,168 6/30/2013 15,690 15,563 7/31/2013 16,762 16,391 8/31/2013 16,638 16,180 9/30/2013 17,893 17,323 10/31/2013 18,512 17,904 11/30/2013 18,579 18,014 12/31/2013 18,982 18,285 1/31/2014 18,283 17,547 2/28/2014 19,327 18,505 3/31/2014 19,187 18,422 4/30/2014 19,508 18,712 5/31/2014 19,722 19,002 6/30/2014 19,960 19,272 7/31/2014 19,515 18,928 8/31/2014 19,515 18,943 9/30/2014 18,661 18,165 10/31/2014 18,333 17,877 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.97% 5.83% 6.25% rights reserved.
-------------------------------------------------------------------------------- 203 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Large Company Portfolio S&P 500 Index ------------------ ------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,406 10,405 12/31/2004 10,758 10,759 1/31/2005 10,496 10,496 2/28/2005 10,724 10,717 3/31/2005 10,530 10,527 4/30/2005 10,336 10,328 5/31/2005 10,656 10,656 6/30/2005 10,675 10,672 7/31/2005 11,075 11,069 8/31/2005 10,972 10,968 9/30/2005 11,060 11,056 10/31/2005 10,876 10,872 11/30/2005 11,290 11,283 12/31/2005 11,293 11,287 1/31/2006 11,594 11,586 2/28/2006 11,617 11,618 3/31/2006 11,763 11,762 4/30/2006 11,926 11,920 5/31/2006 11,578 11,577 6/30/2006 11,600 11,593 7/31/2006 11,670 11,664 8/31/2006 11,950 11,942 9/30/2006 12,251 12,250 10/31/2006 12,650 12,649 11/30/2006 12,884 12,889 12/31/2006 13,069 13,070 1/31/2007 13,269 13,268 2/28/2007 13,010 13,008 3/31/2007 13,147 13,154 4/30/2007 13,738 13,737 5/31/2007 14,211 14,216 6/30/2007 13,982 13,980 7/31/2007 13,542 13,546 8/31/2007 13,744 13,749 9/30/2007 14,259 14,264 10/31/2007 14,486 14,490 11/30/2007 13,877 13,885 12/31/2007 13,790 13,788 1/31/2008 12,961 12,961 2/29/2008 12,541 12,540 3/31/2008 12,494 12,486 4/30/2008 13,096 13,094 5/31/2008 13,265 13,264 6/30/2008 12,152 12,146 7/31/2008 12,056 12,044 8/31/2008 12,225 12,218 9/30/2008 11,149 11,129 10/31/2008 9,284 9,260 11/30/2008 8,626 8,596 12/31/2008 8,721 8,687 1/31/2009 7,994 7,955 2/28/2009 7,144 7,108 3/31/2009 7,771 7,730 4/30/2009 8,515 8,470 5/31/2009 8,998 8,944 6/30/2009 9,009 8,962 7/31/2009 9,695 9,640 8/31/2009 10,043 9,988 9/30/2009 10,420 10,360 10/31/2009 10,219 10,168 11/30/2009 10,833 10,778 12/31/2009 11,042 10,986 1/31/2010 10,652 10,591 2/28/2010 10,979 10,919 3/31/2010 11,644 11,578 4/30/2010 11,821 11,760 5/31/2010 10,873 10,821 6/30/2010 10,305 10,255 7/31/2010 11,027 10,973 8/31/2010 10,533 10,478 9/30/2010 11,469 11,413 10/31/2010 11,903 11,847 11/30/2010 11,903 11,849 12/31/2010 12,698 12,641 1/31/2011 13,006 12,940 2/28/2011 13,442 13,384 3/31/2011 13,458 13,389 4/30/2011 13,844 13,786 5/31/2011 13,689 13,629 6/30/2011 13,457 13,402 7/31/2011 13,186 13,130 8/31/2011 12,475 12,417 9/30/2011 11,592 11,544 10/31/2011 12,865 12,805 11/30/2011 12,826 12,777 12/31/2011 12,965 12,908 1/31/2012 13,541 13,486 2/29/2012 14,118 14,069 3/31/2012 14,590 14,532 4/30/2012 14,499 14,441 5/31/2012 13,619 13,573 6/30/2012 14,182 14,132 7/31/2012 14,380 14,329 8/31/2012 14,697 14,652 9/30/2012 15,076 15,030 10/31/2012 14,797 14,753 11/30/2012 14,890 14,838 12/31/2012 15,016 14,973 1/31/2013 15,793 15,749 2/28/2013 16,007 15,963 3/31/2013 16,608 16,561 4/30/2013 16,930 16,881 5/31/2013 17,320 17,275 6/30/2013 17,094 17,043 7/31/2013 17,957 17,911 8/31/2013 17,431 17,392 9/30/2013 17,980 17,937 10/31/2013 18,807 18,762 11/30/2013 19,377 19,334 12/31/2013 19,871 19,823 1/31/2014 19,175 19,138 2/28/2014 20,062 20,013 3/31/2014 20,225 20,181 4/30/2014 20,376 20,331 5/31/2014 20,842 20,808 6/30/2014 21,271 21,238 7/31/2014 20,982 20,945 8/31/2014 21,821 21,783 9/30/2014 21,511 21,477 10/31/2014 22,036 22,002 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------- The S&P data are provided by 17.17% 16.61% 8.22% Standard & Poor's Index Services Group.
-------------------------------------------------------------------------------- 204 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-US developed markets was generally negative for the period. Only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-US securities in developed markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets. 205
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars ------------------------------------------ ------------ ---------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, 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 is designed 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, 2014, the Master Fund held approximately 550 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, 2014, total returns were -1.21% for the Portfolio's Class R2 shares, -0.97% for the Portfolio's Institutional Class shares, and -0.15% for the MSCI World ex USA Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in international equity markets rather than the behavior of a limited number of stocks. The Master Fund had significantly greater exposure than the Index to value stocks. Value stocks, particularly those in Canada, generally underperformed the Index, which detracted from the Portfolio's relative performance. U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index/SM/......... 20.69%
206 Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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, 2014, the total return was 17.17% for the Portfolio and 17.27% 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. 207 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- DFA International Value Portfolio** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $ 938.70 0.68% $3.32 Institutional Class Shares......... $1,000.00 $ 939.80 0.43% $2.10 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.78 0.68% $3.47 Institutional Class Shares......... $1,000.00 $1,023.04 0.43% $2.19
208 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Company Portfolio ---------------------------- Actual Fund Return............ $1,000.00 $1,081.50 0.08% $0.42 Hypothetical 5% Annual Return. $1,000.00 $1,024.80 0.08% $0.41
---------- * 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). 209 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 29, 2014. 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....................... 11.7% Consumer Staples............................. 9.6% Energy....................................... 9.2% Financials................................... 14.1% Health Care.................................. 14.3% Industrials.................................. 10.4% Information Technology....................... 19.5% Materials.................................... 3.3% Real Estate Investment Trusts................ 2.3% Telecommunication Services................... 2.4% Utilities.................................... 3.2% ----- 100.0%
210 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2014
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company.................................. $6,992,010,787 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $6,241,548,980)........................................ $6,992,010,787 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 211 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (94.3%) Consumer Discretionary -- (11.0%) * Amazon.com, Inc................... 119,627 $ 36,541,263 0.6% Comcast Corp. Class A............. 817,188 45,231,356 0.8% Home Depot, Inc. (The)............ 424,972 41,443,269 0.7% McDonald's Corp................... 310,042 29,060,237 0.5% Walt Disney Co. (The)............. 498,635 45,565,266 0.8% Other Securities.................. 462,380,792 8.2% ------------ ----- Total Consumer Discretionary.......... 660,222,183 11.6% ------------ ----- Consumer Staples -- (9.1%) Altria Group, Inc................. 626,269 30,273,843 0.5% Coca-Cola Co. (The)............... 1,246,361 52,197,599 0.9% CVS Health Corp................... 365,676 31,378,658 0.5% PepsiCo, Inc...................... 475,765 45,754,320 0.8% Philip Morris International, Inc.. 493,239 43,903,203 0.8% Procter & Gamble Co. (The)........ 854,935 74,610,177 1.3% Wal-Mart Stores, Inc.............. 498,575 38,026,315 0.7% Other Securities.................. 229,904,226 4.1% ------------ ----- Total Consumer Staples................ 546,048,341 9.6% ------------ ----- Energy -- (8.7%) Chevron Corp...................... 599,583 71,919,981 1.3% ConocoPhillips.................... 388,233 28,011,011 0.5% Exxon Mobil Corp.................. 1,346,567 130,226,495 2.3% Schlumberger, Ltd................. 409,347 40,386,175 0.7% Other Securities.................. 249,849,733 4.4% ------------ ----- Total Energy.......................... 520,393,395 9.2% ------------ ----- Financials -- (13.3%) American Express Co............... 284,188 25,562,711 0.5% Bank of America Corp.............. 3,320,301 56,976,365 1.0% * Berkshire Hathaway, Inc. Class B.. 575,615 80,678,198 1.4% Citigroup, Inc.................... 957,275 51,242,931 0.9% JPMorgan Chase & Co............... 1,187,616 71,827,016 1.3% Wells Fargo & Co.................. 1,499,982 79,634,044 1.4% Other Securities.................. 433,133,681 7.6% ------------ ----- Total Financials...................... 799,054,946 14.1% ------------ ----- Health Care -- (13.5%) AbbVie, Inc....................... 502,575 31,893,410 0.6% Amgen, Inc........................ 239,844 38,897,900 0.7% Bristol-Myers Squibb Co........... 523,480 30,461,301 0.5% * Celgene Corp...................... 252,443 27,034,121 0.5% * Gilead Sciences, Inc.............. 477,306 53,458,272 0.9% Johnson & Johnson................. 890,499 95,977,982 1.7% Merck & Co., Inc.................. 910,816 52,772,679 0.9% Pfizer, Inc....................... 2,002,113 59,963,284 1.1% UnitedHealth Group, Inc........... 306,788 29,147,928 0.5% Other Securities.................. 389,334,935 6.9% ------------ ----- Total Health Care..................... 808,941,812 14.3% ------------ ----- Industrials -- (9.8%) 3M Co............................. 204,595 31,460,573 0.5% Boeing Co. (The).................. 211,605 26,431,581 0.5%
212 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 3,168,182 $ 81,770,777 1.4% Union Pacific Corp................................. 283,361 32,997,388 0.6% United Technologies Corp........................... 268,630 28,743,410 0.5% Other Securities................................... 387,881,602 6.9% -------------- ------ Total Industrials........................................ 589,285,331 10.4% -------------- ------ Information Technology -- (18.4%) Apple, Inc......................................... 1,890,655 204,190,740 3.6% Cisco Systems, Inc................................. 1,610,062 39,398,217 0.7% * Facebook, Inc. Class A............................. 657,792 49,327,822 0.9% * Google, Inc. Class A............................... 89,703 50,939,643 0.9% * Google, Inc. Class C............................... 89,695 50,146,681 0.9% Intel Corp......................................... 1,563,267 53,166,711 0.9% International Business Machines Corp............... 292,938 48,159,007 0.8% MasterCard, Inc. Class A........................... 310,783 26,028,076 0.5% Microsoft Corp..................................... 2,601,713 122,150,425 2.1% Oracle Corp........................................ 1,026,833 40,097,829 0.7% QUALCOMM, Inc...................................... 529,201 41,547,571 0.7% Visa, Inc. Class A................................. 155,436 37,526,913 0.7% Other Securities................................... 344,214,576 6.1% -------------- ------ Total Information Technology............................. 1,106,894,211 19.5% -------------- ------ Materials -- (3.1%) Other Securities................................... 185,987,511 3.3% -------------- ------ Real Estate Investment Trusts -- (2.2%) Other Securities................................... 130,277,329 2.3% -------------- ------ Telecommunication Services -- (2.2%) AT&T, Inc.......................................... 1,637,467 57,049,350 1.0% Verizon Communications, Inc........................ 1,308,847 65,769,562 1.2% Other Securities................................... 11,531,497 0.2% -------------- ------ Total Telecommunication Services......................... 134,350,409 2.4% -------------- ------ Utilities -- (3.0%) Other Securities................................... 178,957,404 3.2% -------------- ------ TOTAL COMMON STOCKS...................................... 5,660,412,872 99.9% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional Liquid Reserves, 0.077%. 54,720,884 54,720,884 1.0% -------------- ------ SECURITIES LENDING COLLATERAL -- (4.8%) (S)@ DFA Short Term Investment Fund..................... 24,630,465 284,974,480 5.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,041,361,577)................................ $6,000,108,236 105.9% ============== ======
213 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2014, 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........ $ 660,222,183 -- -- $ 660,222,183 Consumer Staples.............. 546,048,341 -- -- 546,048,341 Energy........................ 520,393,395 -- -- 520,393,395 Financials.................... 799,054,946 -- -- 799,054,946 Health Care................... 808,941,812 -- -- 808,941,812 Industrials................... 589,285,331 -- -- 589,285,331 Information Technology........ 1,106,894,211 -- -- 1,106,894,211 Materials..................... 185,987,511 -- -- 185,987,511 Real Estate Investment Trusts. 130,277,329 -- -- 130,277,329 Telecommunication Services.... 134,350,409 -- -- 134,350,409 Utilities..................... 178,957,404 -- -- 178,957,404 Temporary Cash Investments.... 54,720,884 -- -- 54,720,884 Securities Lending Collateral... -- $284,974,480 -- 284,974,480 Futures Contracts**............. 2,610,591 -- -- 2,610,591 -------------- ------------ -- -------------- TOTAL........................... $5,717,744,347 $284,974,480 -- $6,002,718,827 ============== ============ == ==============
**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. 214 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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................................ $ 6,992,011 -- Investments at Value (including $0 and $300,787 of securities on loan, respectively). -- $ 5,660,413 Temporary Cash Investments at Value & Cost........................................... -- 54,721 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............. -- 284,974 Segregated Cash for Futures Contracts................................................ -- 2,755 Receivables: Investment Securities Sold......................................................... -- 1,007 Dividends, Interest and Tax Reclaims............................................... -- 5,627 Securities Lending Income.......................................................... -- 37 Fund Shares Sold................................................................... 15,682 1,680 Futures Margin Variation........................................................... -- 684 Prepaid Expenses and Other Assets.................................................... 51 54 -------------- ------------ Total Assets.................................................................... 7,007,744 6,011,952 -------------- ------------ LIABILITIES: Payables: Due to Custodian................................................................... -- 51 Upon Return of Securities Loaned................................................... -- 284,974 Fund Shares Redeemed............................................................... 3,786 57,712 Due to Advisor..................................................................... 1,151 351 Accrued Expenses and Other Liabilities............................................... 393 490 -------------- ------------ Total Liabilities............................................................... 5,330 343,578 -------------- ------------ NET ASSETS........................................................................... $ 7,002,414 $ 5,668,374 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $11,200 and $0 and shares outstanding of 605,992 and 0, respectively......................................................... $ 18.48 $ N/A ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $6,991,214 and $5,668,374 and shares outstanding of 378,416,143 and 355,660,908, respectively..................... $ 18.47 $ 15.94 ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost............................... $ 6,241,549 $ -- ============== ============ Investments at Cost.................................................................. $ -- $ 2,701,666 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital...................................................................... $ 6,717,735 $ 2,993,680 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................................................. 22,455 10,292 Accumulated Net Realized Gain (Loss)................................................. (487,555) (296,956) Net Unrealized Foreign Exchange Gain (Loss).......................................... (683) -- Net Unrealized Appreciation (Depreciation)........................................... 750,462 2,961,358 -------------- ------------ NET ASSETS........................................................................... $ 7,002,414 $ 5,668,374 ============== ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 215 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $18,357 and $0, respectively)................. $ 320,822 -- Interest.................................................................................. 1 -- Income from Securities Lending............................................................ 8,005 -- Expenses Allocated from Affiliated Investment Company..................................... (15,209) -- --------- -------- Total Net Investment Income Received from Affiliated Investment Companies.............. 313,619 -- --------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0 and $15, respectively)..................... -- $107,293 Interest.................................................................................. -- 21 Income from Securities Lending............................................................ -- 302 --------- -------- Total Investment Income................................................................ -- 107,616 --------- -------- Expenses Investment Advisory Services Fees......................................................... -- 1,326 Administrative Services Fees.............................................................. 13,943 1,857 Accounting & Transfer Agent Fees.......................................................... 68 302 S&P 500(R) Fees........................................................................... -- 104 Shareholder Servicing Fees -- Class R2 Shares............................................. 23 -- Custodian Fees............................................................................ -- 67 Filing Fees............................................................................... 215 89 Shareholders' Reports..................................................................... 195 79 Directors'/Trustees' Fees & Expenses...................................................... 49 38 Professional Fees......................................................................... 52 258 Other..................................................................................... 40 44 --------- -------- Total Expenses......................................................................... 14,585 4,164 --------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................................................................. -- 80 --------- -------- Net Expenses.............................................................................. 14,585 4,244 --------- -------- Net Investment Income (Loss).............................................................. 299,034 103,372 --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**............................................................ 130,787 90,274 Futures................................................................................. -- 12,101 Foreign Currency Transactions........................................................... (1,306) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................................. (506,381) 634,795 Futures................................................................................. (25) 345 Translation of Foreign Currency Denominated Amounts..................................... (1,031) -- --------- -------- Net Realized and Unrealized Gain (Loss)................................................... (377,956) 737,515 --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. $ (78,922) $840,887 ========= ========
---------- * 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 and $0, respectively. See accompanying Notes to Financial Statements. 216 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, 2014 2013 2014 2013 ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................. $ 299,034 $ 177,660 $ 103,372 $ 95,270 Capital Gain Distributions Received from Investment Securities................................................... -- -- -- 409 Net Realized Gain (Loss) on: Investment Securities Sold*................................. 130,787 296,792 90,274 180,412 Futures..................................................... -- (1,213) 12,101 8,021 Foreign Currency Transactions............................... (1,306) (1,636) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. (506,381) 993,902 634,795 780,086 Futures..................................................... (25) 27 345 2,321 Translation of Foreign Currency Denominated Amounts......... (1,031) 396 -- -- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ (78,922) 1,465,928 840,887 1,066,519 ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................................. (347) (218) -- -- Institutional Class Shares.................................. (295,058) (189,040) (102,736) (94,840) ----------- ----------- ---------- ---------- Total Distributions........................................ (295,405) (189,258) (102,736) (94,840) ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................................. 1,652,421 1,466,636 787,937 774,924 Shares Issued in Lieu of Cash Distributions................... 286,790 178,512 89,598 82,335 Shares Redeemed............................................... (1,090,342) (1,881,241) (864,648) (948,938) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.... 848,869 (236,093) 12,887 (91,679) ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets.................... 474,542 1,040,577 751,038 880,000 Net Assets Beginning of Year............................................. 6,527,872 5,487,295 4,917,336 4,037,336 ----------- ----------- ---------- ---------- End of Year................................................... $ 7,002,414 $ 6,527,872 $5,668,374 $4,917,336 =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................................. 84,840 83,922 52,855 62,326 Shares Issued in Lieu of Cash Distributions................... 14,488 10,436 6,016 6,727 Shares Redeemed............................................... (55,963) (107,838) (57,748) (76,529) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................................................. 43,365 (13,480) 1,123 (7,476) =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 22,455 $ 14,422 $ 10,292 $ 12,679
---------- * Net of foreign capital gain taxes withheld of $0, $2, $0 and $0, respectively. See accompanying Notes to Financial Statements. 217 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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 19.46 $15.72 $15.83 $17.82 $17.13 ------- ------ ------ ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.74 0.49 0.51 0.53 0.37 Net Gains (Losses) on Securities (Realized and Unrealized). (0.93) 3.77 (0.13) (2.00) 1.29 ------- ------ ------ ------ ------ Total from Investment Operations.......................... (0.19) 4.26 0.38 (1.47) 1.66 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.79) (0.52) (0.49) (0.52) (0.97) ------- ------ ------ ------ ------ Total Distributions....................................... (0.79) (0.52) (0.49) (0.52) (0.97) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 18.48 $19.46 $15.72 $15.83 $17.82 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. (1.21)% 27.61% 2.70% (8.53)% 10.60% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $11,200 $5,517 $6,407 $6,102 $4,952 Ratio of Expenses to Average Net Assets (B).................. 0.68% 0.69% 0.71% 0.71% 0.72% Ratio of Net Investment Income to Average Net Assets......... 3.79% 2.84% 3.33% 2.97% 2.11% -----------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.84 0.52 0.54 0.58 0.39 Net Gains (Losses) on Securities (Realized and Unrealized). (0.98) 3.78 (0.12) (1.99) 1.34 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... (0.14) 4.30 0.42 (1.41) 1.73 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.84) (0.57) (0.53) (0.57) (0.38) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.84) (0.57) (0.53) (0.57) (0.38) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 18.47 $ 19.45 $ 15.72 $ 15.83 $ 17.81 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. (0.97)% 27.90% 2.98% (8.26)% 10.94% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $6,991,214 $6,522,355 $5,480,888 $5,287,323 $5,157,857 Ratio of Expenses to Average Net Assets (B).................. 0.43% 0.43% 0.45% 0.45% 0.45% Ratio of Net Investment Income to Average Net Assets......... 4.29% 3.00% 3.54% 3.26% 2.34% ---------------------------------------------------------------------------------------------------------------------------
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. 218 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 13.87 $ 11.15 $ 9.90 $ 9.34 $ 8.16 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.29 0.27 0.22 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). 2.07 2.71 1.25 0.56 1.15 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 2.36 2.98 1.47 0.75 1.33 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.29) (0.26) (0.22) (0.19) (0.15) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.29) (0.26) (0.22) (0.19) (0.15) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 15.94 $ 13.87 $ 11.15 $ 9.90 $ 9.34 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 17.17% 27.10% 15.02% 8.09% 16.47% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $5,668,374 $4,917,336 $4,037,336 $3,762,013 $3,712,973 Ratio of Expenses to Average Net Assets..................... 0.08% 0.09% 0.10% 0.10% 0.10%** Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)................................. 0.08% 0.10% 0.10% 0.10% 0.11%** Ratio of Net Investment Income to Average Net Assets........ 1.95% 2.13% 2.10% 1.95% 1.99% Portfolio Turnover Rate..................................... 3% 3% 4% 4% 1%* --------------------------------------------------------------------------------------------------------------------------
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. 219 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, 2014, the Feeder Fund owned 75% 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
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 220 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 ask prices which approximates 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 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, 2014, there were no significant transfers between Level 1 and Level 2 and no significant 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. 221 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, 2014, 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, 2014, 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*..... 0.035%
For the year ended October 31, 2014, 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 rate of average daily net assets: U.S. Large Company Portfolio*. 0.025%
* Prior to February 28, 2014, the Portfolio was provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for the Portfolio was combined into an investment management agreement that provides for an investment management fee, equal to the Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the U.S. Large Company Portfolio. The Investment Management Agreement became effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement are the same as under the Previous Agreements. As of February 28, 2014, the Portfolio pays the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by the Portfolio to the Advisor under the Previous Agreements. 222 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 will remain in effect through February 28, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2014, 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 ----------------- ------------- ----------------- Institutional Class Shares U.S. Large Company Portfolio (1)...... 0.08% $552 $397 Class R2 Shares DFA International Value Portfolio (2). 0.79% -- --
(1) Effective August 1, 2013, the Advisor has contractually agreed to waive all or a portion of its management 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. (2) 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 of the Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above as a percentage of average net assets (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 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 annualized expenses of the Class R2 shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2014, the total related amounts paid by 223 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, 2014, 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. $207 U.S. Large Company Portfolio...... 260
E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $245,329 $139,778
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, 2014, 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) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- DFA International Value Portfolio. -- $ 4,404 $(4,404) U.S. Large Company Portfolio...... $3,023 (3,023) --
The tax character of dividends and distributions declared and paid during the years ended October 31, 2013 and October 31, 2014 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- DFA International Value Portfolio 2013.............................. $189,258 -- $189,258 2014.............................. 295,405 -- 295,405 U.S. Large Company Portfolio 2013.............................. 94,840 -- 94,840 2014.............................. 102,736 -- 102,736
224 At October 31, 2014, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ U.S. Large Company Portfolio. $3,023 -- $3,023
At October 31, 2014, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Unrealized Earnings Short-Term Long-Term Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- DFA International Value Portfolio. $31,792 -- $(485,409) $ 738,630 $ 285,013 U.S. Large Company Portfolio...... 10,550 -- (109,001) 2,773,405 2,674,954
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, 2014, 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. $485,409 -- -- $485,409 U.S. Large Company Portfolio...... -- $65,329 $43,672 109,001
During the year ended October 31, 2014, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Value Portfolio. $126,405 U.S. Large Company Portfolio...... 76,220
At October 31, 2014, 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, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA International Value Portfolio. $6,252,699 $ 739,995 $ (683) $ 739,312 U.S. Large Company Portfolio...... 3,226,704 2,837,721 (64,317) 2,773,404
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 Portfolios' tax positions and has concluded that no additional provision for income tax is required in the Portfolios' 225 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, 2014 Oct. 31, 2013 -------------------- --------------------- Amount Shares Amount Shares ----------- ------- ----------- -------- DFA International Value Portfolio Class R2 Shares Shares Issued........................................ $ 11,741 598 $ 1,969 112 Shares Issued in Lieu of Cash Distributions.......... 347 17 218 13 Shares Redeemed...................................... (5,810) (293) (4,454) (249) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 6,278 322 $ (2,267) (124) =========== ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,640,680 84,242 $ 1,464,667 83,810 Shares Issued in Lieu of Cash Distributions.......... 286,443 14,471 178,294 10,423 Shares Redeemed...................................... (1,084,532) (55,670) (1,876,787) (107,589) ----------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 842,591 43,043 $ (233,826) (13,356) =========== ======= =========== ========
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, for the year ended October 31, 2010 has 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: Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 1. Futures Contracts: The Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Portfolios deposit cash or 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 226 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, 2014, the U.S. Large Company Portfolio had outstanding futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ---------- U.S. Large Company Portfolio........ S&P 500(R) Emini Index 12/19/14 611 $61,448 $2,611 $2,755
* During the year ended October 31, 2014, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $51,511 (in thousands). The following is a summary of the location of derivatives on the U.S. Large Company Portfolio's Statement of Assets and Liabilities as of October 31, 2014:
Location on the Statements of Assets and Liabilities ------------------------------------------------------ Derivative Type Asset Derivatives Liability Derivatives --------------- ----------------------------- ------------------------ Equity contracts Receivables: Futures Margin Variation
The following is a summary of the U.S. Large Company Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2014 (amounts in thousands): Asset Derivatives Value ----------------------------------------- Total Value at October 31, 2014 Equity Contracts ---------------- ------------------------ U.S. Large Company $2,611 $2,611* Portfolio * Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on the U.S. Large Company Portfolio's Statement of Operations for the Portfolio's derivative instrument holdings for the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------- Equity Total Contracts ------- --------- U.S. Large Company Portfolio. $12,101 $12,101
227
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Equity Total Contracts ----- --------- U.S. Large Company Portfolio. $345 $345
I. 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 agreement for the line of credit expires on March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. There were no borrowings by the Portfolios under the lines of credit during the year ended October 31, 2014. J. Securities Lending: As of October 31, 2014, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. In addition, U.S. Large Company Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $18,397 (in thousands). The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. 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 228 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. Other: At October 31, 2014, 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............ 2 92% DFA International Value Portfolio-Institutional Class Shares. 3 67% U.S. Large Company Portfolio................................. 4 78%
N. Subsequent Event Evaluations: 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. 229 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of Dimensional Investment Group Inc. and Shareholders of the Portfolios, as defined: 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, 2014, 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, 2014 by correspondence with the custodian, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 19, 2014 230 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000 VALUE INDEX October 31, 2004-October 31, 2014 [CHART] U.S. Large Cap Value Russell 1000 Value Series Index -------------------- ------------------ 10/31/2004 $10,000 $10,000 11/30/2004 10,655 10,506 12/31/2004 11,082 10,858 1/31/2005 10,805 10,665 2/28/2005 11,134 11,018 3/31/2005 11,104 10,867 4/30/2005 10,728 10,672 5/31/2005 11,185 10,929 6/30/2005 11,415 11,049 7/31/2005 11,984 11,368 8/31/2005 11,886 11,319 9/30/2005 12,069 11,478 10/31/2005 11,748 11,186 11/30/2005 12,218 11,552 12/31/2005 12,234 11,621 1/31/2006 12,817 12,072 2/28/2006 12,775 12,146 3/31/2006 13,002 12,311 4/30/2006 13,367 12,624 5/31/2006 13,123 12,305 6/30/2006 13,235 12,383 7/31/2006 13,046 12,684 8/31/2006 13,260 12,897 9/30/2006 13,627 13,154 10/31/2006 14,167 13,584 11/30/2006 14,436 13,894 12/31/2006 14,726 14,206 1/31/2007 15,156 14,388 2/28/2007 14,928 14,164 3/31/2007 15,032 14,383 4/30/2007 15,671 14,914 5/31/2007 16,317 15,452 6/30/2007 16,055 15,091 7/31/2007 15,060 14,393 8/31/2007 14,772 14,554 9/30/2007 15,157 15,054 10/31/2007 15,242 15,056 11/30/2007 14,391 14,320 12/31/2007 14,343 14,182 1/31/2008 13,795 13,614 2/29/2008 13,372 13,043 3/31/2008 13,247 12,945 4/30/2008 14,082 13,577 5/31/2008 14,420 13,555 6/30/2008 12,839 12,257 7/31/2008 12,700 12,213 8/31/2008 12,946 12,421 9/30/2008 11,783 11,508 10/31/2008 9,134 9,516 11/30/2008 8,238 8,834 12/31/2008 8,506 8,956 1/31/2009 7,496 7,926 2/28/2009 6,446 6,867 3/31/2009 7,083 7,455 4/30/2009 8,228 8,254 5/31/2009 8,858 8,764 6/30/2009 8,750 8,699 7/31/2009 9,584 9,411 8/31/2009 10,234 9,904 9/30/2009 10,682 10,286 10/31/2009 10,221 9,971 11/30/2009 10,797 10,533 12/31/2009 11,095 10,720 1/31/2010 10,838 10,418 2/28/2010 11,305 10,747 3/31/2010 12,186 11,447 4/30/2010 12,573 11,743 5/31/2010 11,495 10,778 6/30/2010 10,627 10,171 7/31/2010 11,461 10,860 8/31/2010 10,770 10,395 9/30/2010 11,820 11,201 10/31/2010 12,261 11,538 11/30/2010 12,166 11,476 12/31/2010 13,352 12,382 1/31/2011 13,779 12,662 2/28/2011 14,525 13,129 3/31/2011 14,592 13,181 4/30/2011 14,965 13,532 5/31/2011 14,748 13,389 6/30/2011 14,491 13,115 7/31/2011 13,827 12,680 8/31/2011 12,661 11,888 9/30/2011 11,380 10,990 10/31/2011 12,959 12,248 11/30/2011 12,851 12,185 12/31/2011 12,952 12,430 1/31/2012 13,596 12,901 2/29/2012 14,382 13,415 3/31/2012 14,647 13,813 4/30/2012 14,348 13,672 5/31/2012 13,332 12,870 6/30/2012 14,050 13,509 7/31/2012 14,186 13,649 8/31/2012 14,748 13,945 9/30/2012 15,291 14,388 10/31/2012 15,331 14,317 11/30/2012 15,365 14,311 12/31/2012 15,833 14,607 1/31/2013 16,937 15,556 2/28/2013 17,154 15,779 3/31/2013 17,974 16,405 4/30/2013 18,164 16,653 5/31/2013 18,910 17,080 6/30/2013 18,700 16,929 7/31/2013 19,818 17,844 8/31/2013 19,235 17,167 9/30/2013 19,798 17,597 10/31/2013 20,801 18,367 11/30/2013 21,675 18,880 12/31/2013 22,251 19,358 1/31/2014 21,370 18,670 2/28/2014 22,095 19,478 3/31/2014 22,617 19,943 4/30/2014 22,766 20,132 5/31/2014 23,268 20,427 6/30/2014 23,898 20,961 7/31/2014 23,729 20,603 8/31/2014 24,481 21,361 9/30/2014 23,878 20,920 Past performance is not predictive of 10/31/2014 24,061 21,390 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 Russell data copyright (C) Russell ---------------------------------------------------- Investment Group 1995-2014, all rights 15.67% 18.68% 9.18% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] DFA International MSCI World ex Value Series USA Index (net div.) ----------------- --------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,743 10,665 12/31/2004 11,278 11,116 1/31/2005 11,166 10,897 2/28/2005 11,608 11,382 3/31/2005 11,322 11,123 4/30/2005 10,978 10,840 5/31/2005 10,992 10,859 6/30/2005 11,168 11,037 7/31/2005 11,666 11,393 8/31/2005 12,050 11,708 9/30/2005 12,389 12,242 10/31/2005 12,203 11,847 11/30/2005 12,420 12,160 12/31/2005 13,029 12,724 1/31/2006 13,919 13,529 2/28/2006 14,052 13,483 3/31/2006 14,645 13,911 4/30/2006 15,387 14,576 5/31/2006 14,764 14,022 6/30/2006 14,671 14,004 7/31/2006 14,897 14,136 8/31/2006 15,409 14,537 9/30/2006 15,622 14,526 10/31/2006 16,316 15,100 11/30/2006 16,858 15,549 12/31/2006 17,516 15,995 1/31/2007 17,846 16,093 2/28/2007 17,830 16,222 3/31/2007 18,407 16,637 4/30/2007 19,336 17,394 5/31/2007 19,997 17,781 6/30/2007 19,851 17,798 7/31/2007 19,299 17,552 8/31/2007 19,083 17,298 9/30/2007 20,079 18,281 10/31/2007 21,053 19,076 11/30/2007 19,778 18,330 12/31/2007 19,352 17,985 1/31/2008 17,784 16,364 2/29/2008 17,558 16,660 3/31/2008 17,768 16,422 4/30/2008 18,562 17,335 5/31/2008 18,570 17,598 6/30/2008 16,734 16,230 7/31/2008 16,260 15,652 8/31/2008 15,581 15,047 9/30/2008 13,761 12,874 10/31/2008 10,310 10,196 11/30/2008 9,678 9,643 12/31/2008 10,410 10,152 1/31/2009 8,973 9,204 2/28/2009 7,871 8,273 3/31/2009 8,729 8,818 4/30/2009 10,337 9,955 5/31/2009 11,874 11,214 6/30/2009 11,693 11,098 7/31/2009 13,084 12,140 8/31/2009 13,834 12,722 9/30/2009 14,539 13,247 10/31/2009 13,961 13,034 11/30/2009 14,377 13,356 12/31/2009 14,539 13,569 1/31/2010 13,699 12,933 2/28/2010 13,753 12,920 3/31/2010 14,837 13,752 4/30/2010 14,584 13,547 5/31/2010 12,877 12,052 6/30/2010 12,651 11,878 7/31/2010 14,232 12,976 8/31/2010 13,536 12,588 9/30/2010 14,991 13,795 10/31/2010 15,515 14,287 11/30/2010 14,738 13,682 12/31/2010 16,112 14,783 1/31/2011 16,798 15,102 2/28/2011 17,359 15,662 3/31/2011 16,880 15,348 4/30/2011 17,783 16,184 5/31/2011 17,142 15,704 6/30/2011 16,907 15,480 7/31/2011 16,365 15,225 8/31/2011 14,612 13,938 9/30/2011 13,012 12,538 10/31/2011 14,268 13,758 11/30/2011 13,798 13,122 12/31/2011 13,428 12,979 1/31/2012 14,331 13,679 2/29/2012 15,081 14,431 3/31/2012 14,955 14,325 4/30/2012 14,422 14,081 5/31/2012 12,642 12,476 6/30/2012 13,536 13,294 7/31/2012 13,482 13,459 8/31/2012 14,042 13,843 9/30/2012 14,539 14,263 10/31/2012 14,720 14,363 11/30/2012 14,955 14,665 12/31/2012 15,687 15,109 1/31/2013 16,428 15,852 2/28/2013 15,931 15,694 3/31/2013 15,985 15,818 4/30/2013 16,771 16,539 5/31/2013 16,572 16,168 6/30/2013 15,985 15,563 7/31/2013 17,078 16,391 8/31/2013 16,961 16,180 9/30/2013 18,235 17,323 10/31/2013 18,868 17,904 11/30/2013 18,940 18,014 12/31/2013 19,356 18,285 1/31/2014 18,651 17,547 2/28/2014 19,717 18,505 3/31/2014 19,572 18,422 4/30/2014 19,907 18,712 5/31/2014 20,133 19,002 6/30/2014 20,377 19,272 7/31/2014 19,925 18,928 8/31/2014 19,934 18,943 Past performance is not predictive of 9/30/2014 19,057 18,165 future performance. 10/31/2014 18,732 17,877 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. -------------------------------------------------------- MSCI data copyright MSCI 2014, all -0.72% 6.06% 6.48% rights reserved.
-------------------------------------------------------------------------------- 231 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Japanese Small Company MSCI Japan Small Cap Index Series (net div.) ---------------------- -------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,307 10,435 12/31/2004 10,810 10,940 1/31/2005 11,257 11,312 2/28/2005 11,676 11,529 3/31/2005 11,746 11,502 4/30/2005 11,425 11,408 5/31/2005 11,229 11,198 6/30/2005 11,439 11,350 7/31/2005 11,676 11,671 8/31/2005 12,332 12,072 9/30/2005 12,835 12,826 10/31/2005 13,240 13,082 11/30/2005 13,506 13,642 12/31/2005 15,028 15,486 1/31/2006 15,670 15,980 2/28/2006 14,735 14,939 3/31/2006 15,391 15,610 4/30/2006 15,698 15,687 5/31/2006 14,595 14,429 6/30/2006 14,036 13,977 7/31/2006 13,366 13,053 8/31/2006 13,589 13,400 9/30/2006 13,380 13,107 10/31/2006 13,282 13,023 11/30/2006 13,198 12,913 12/31/2006 13,310 12,988 1/31/2007 13,589 13,241 2/28/2007 14,134 13,763 3/31/2007 14,036 13,636 4/30/2007 13,841 13,403 5/31/2007 13,561 13,083 6/30/2007 13,785 13,169 7/31/2007 13,869 13,166 8/31/2007 13,282 12,364 9/30/2007 13,268 12,289 10/31/2007 13,352 12,733 11/30/2007 13,045 12,198 12/31/2007 12,235 11,468 1/31/2008 11,885 10,905 2/29/2008 11,802 11,024 3/31/2008 12,039 11,028 4/30/2008 12,123 11,165 5/31/2008 12,570 11,509 6/30/2008 11,983 10,802 7/31/2008 11,648 10,449 8/31/2008 11,006 9,987 9/30/2008 10,293 9,012 10/31/2008 9,539 8,061 11/30/2008 9,791 8,390 12/31/2008 10,796 9,043 1/31/2009 10,056 8,569 2/28/2009 8,757 7,443 3/31/2009 9,148 7,705 4/30/2009 9,525 8,099 5/31/2009 10,698 9,091 6/30/2009 11,411 9,669 7/31/2009 11,648 9,911 8/31/2009 12,263 10,467 9/30/2009 12,137 10,425 10/31/2009 11,704 10,044 11/30/2009 11,229 9,685 12/31/2009 11,187 9,504 1/31/2010 11,341 9,709 2/28/2010 11,564 9,893 3/31/2010 12,151 10,343 4/30/2010 12,514 10,623 5/31/2010 11,466 9,886 6/30/2010 11,648 9,930 7/31/2010 11,858 10,051 8/31/2010 11,536 9,838 9/30/2010 12,039 10,240 10/31/2010 11,788 10,156 11/30/2010 12,081 10,354 12/31/2010 13,198 11,398 1/31/2011 13,506 11,534 2/28/2011 14,134 11,998 3/31/2011 13,254 11,258 4/30/2011 13,184 11,268 5/31/2011 12,961 11,100 6/30/2011 13,617 11,514 7/31/2011 14,120 11,992 8/31/2011 13,743 11,502 9/30/2011 13,673 11,512 10/31/2011 12,975 11,088 11/30/2011 13,184 10,787 12/31/2011 13,115 10,955 1/31/2012 13,953 11,405 2/29/2012 13,966 11,529 3/31/2012 14,372 11,837 4/30/2012 14,078 11,666 5/31/2012 12,905 10,697 6/30/2012 13,589 11,153 7/31/2012 13,128 10,979 8/31/2012 13,142 10,916 9/30/2012 13,324 11,218 10/31/2012 13,045 10,975 11/30/2012 13,240 11,051 12/31/2012 13,729 11,395 1/31/2013 14,162 11,821 2/28/2013 14,511 12,222 3/31/2013 15,628 13,209 4/30/2013 16,453 14,078 5/31/2013 15,112 12,963 6/30/2013 15,251 12,927 7/31/2013 15,615 13,138 8/31/2013 15,265 12,960 9/30/2013 16,997 14,436 10/31/2013 17,039 14,377 11/30/2013 16,913 14,282 12/31/2013 17,039 14,396 1/31/2014 16,872 14,355 2/28/2014 16,802 14,036 3/31/2014 16,885 14,072 4/30/2014 16,634 13,811 5/31/2014 17,067 14,263 6/30/2014 18,282 15,273 7/31/2014 18,170 15,355 8/31/2014 18,338 15,246 9/30/2014 17,779 14,736 Past performance is not predictive of 10/31/2014 17,458 14,342 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------------- MSCI data copyright MSCI 2014, all 2.46% 8.33% 5.73% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE ASIA PACIFIC SMALL COMPANY SERIES VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Asia Pacific MSCI Pacific ex Japan Small Company Series Small Cap Index (net div.) -------------------- -------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,729 10,770 12/31/2004 10,977 11,225 1/31/2005 11,224 11,323 2/28/2005 11,550 11,683 3/31/2005 11,161 11,351 4/30/2005 10,786 11,167 5/31/2005 10,545 11,310 6/30/2005 11,019 11,928 7/31/2005 11,394 12,425 8/31/2005 11,691 12,415 9/30/2005 12,123 13,041 10/31/2005 11,444 12,275 11/30/2005 11,727 12,741 12/31/2005 11,911 12,991 1/31/2006 12,718 13,734 2/28/2006 12,902 13,872 3/31/2006 13,560 14,460 4/30/2006 14,338 15,392 5/31/2006 13,524 14,606 6/30/2006 13,439 14,428 7/31/2006 13,701 14,576 8/31/2006 14,041 15,052 9/30/2006 14,190 15,301 10/31/2006 15,357 16,368 11/30/2006 16,214 17,362 12/31/2006 16,681 18,010 1/31/2007 17,113 18,468 2/28/2007 17,573 18,820 3/31/2007 18,493 19,791 4/30/2007 19,788 21,163 5/31/2007 21,486 21,994 6/30/2007 22,371 22,566 7/31/2007 22,725 22,560 8/31/2007 21,033 21,108 9/30/2007 23,496 22,981 10/31/2007 25,556 24,552 11/30/2007 23,871 22,580 12/31/2007 23,468 22,269 1/31/2008 21,111 19,285 2/29/2008 21,762 20,431 3/31/2008 20,708 19,142 4/30/2008 22,159 20,423 5/31/2008 23,128 20,643 6/30/2008 20,856 18,333 7/31/2008 19,632 17,490 8/31/2008 18,259 16,070 9/30/2008 15,124 12,933 10/31/2008 10,099 8,365 11/30/2008 9,130 7,452 12/31/2008 10,127 8,318 1/31/2009 8,882 7,402 2/28/2009 8,393 6,942 3/31/2009 9,696 7,937 4/30/2009 11,146 9,358 5/31/2009 14,027 11,602 6/30/2009 14,140 11,928 7/31/2009 16,185 13,651 8/31/2009 16,921 14,352 9/30/2009 18,245 15,554 10/31/2009 18,655 15,927 11/30/2009 19,526 16,385 12/31/2009 20,042 17,040 1/31/2010 18,960 15,950 2/28/2010 19,299 16,150 3/31/2010 20,892 17,481 4/30/2010 21,182 17,970 5/31/2010 18,252 15,257 6/30/2010 18,033 15,170 7/31/2010 20,035 16,713 8/31/2010 20,014 16,676 9/30/2010 23,050 19,180 10/31/2010 24,048 20,031 11/30/2010 23,730 19,764 12/31/2010 26,058 21,758 1/31/2011 25,506 21,126 2/28/2011 25,669 21,241 3/31/2011 26,214 21,893 4/30/2011 27,332 22,779 5/31/2011 26,525 22,257 6/30/2011 25,633 21,466 7/31/2011 26,058 21,783 8/31/2011 24,246 20,268 9/30/2011 19,724 16,583 10/31/2011 22,810 19,299 11/30/2011 22,201 17,983 12/31/2011 20,906 17,407 1/31/2012 23,071 19,214 2/29/2012 24,812 20,708 3/31/2012 24,459 20,060 4/30/2012 24,360 20,168 5/31/2012 21,323 17,550 6/30/2012 21,776 17,796 7/31/2012 22,102 18,381 8/31/2012 22,845 18,675 9/30/2012 23,977 19,668 10/31/2012 24,515 20,074 11/30/2012 24,869 20,272 12/31/2012 26,037 20,781 1/31/2013 27,346 21,882 2/28/2013 27,466 22,142 3/31/2013 27,587 22,197 4/30/2013 27,134 22,021 5/31/2013 25,124 20,400 6/30/2013 23,347 18,656 7/31/2013 24,501 19,402 8/31/2013 24,699 19,570 9/30/2013 26,433 21,075 10/31/2013 27,190 21,445 11/30/2013 26,249 20,539 12/31/2013 26,575 20,636 1/31/2014 25,322 19,680 2/28/2014 26,787 20,739 3/31/2014 27,183 21,122 4/30/2014 27,254 21,260 5/31/2014 27,282 21,434 6/30/2014 27,495 21,550 7/31/2014 28,075 22,019 Past performance is not predictive of 8/31/2014 28,514 22,189 future performance. 9/30/2014 25,888 20,150 The returns shown do not reflect the 10/31/2014 26,263 20,388 deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------------- MSCI data copyright MSCI 2014, all -3.46% 7.08% 10.14% rights reserved.
-------------------------------------------------------------------------------- 232 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] United Kingdom MSCI UK Small Cap Small Company Series Index (net div.) -------------------- ------------------ 10/31/2004 $10,000 $10,000 11/30/2004 10,809 10,809 12/31/2004 11,256 11,432 1/31/2005 11,576 11,689 2/28/2005 11,971 11,965 3/31/2005 11,703 11,816 4/30/2005 11,308 11,282 5/31/2005 11,087 11,182 6/30/2005 11,298 11,354 7/31/2005 11,519 11,691 8/31/2005 12,168 12,257 9/30/2005 12,032 12,278 10/31/2005 11,693 11,904 11/30/2005 12,201 12,499 12/31/2005 12,738 13,039 1/31/2006 13,735 14,100 2/28/2006 13,923 14,321 3/31/2006 14,153 14,611 4/30/2006 14,868 15,384 5/31/2006 14,567 15,043 6/30/2006 14,563 14,915 7/31/2006 14,666 14,799 8/31/2006 15,282 15,332 9/30/2006 15,729 15,781 10/31/2006 16,623 16,685 11/30/2006 17,667 17,766 12/31/2006 18,631 18,600 1/31/2007 18,763 18,557 2/28/2007 18,758 18,615 3/31/2007 19,643 19,385 4/30/2007 20,320 20,347 5/31/2007 20,593 20,477 6/30/2007 19,840 19,881 7/31/2007 19,737 19,770 8/31/2007 19,624 19,045 9/30/2007 18,946 17,966 10/31/2007 20,461 19,940 11/30/2007 18,095 17,633 12/31/2007 17,140 16,747 1/31/2008 15,988 15,400 2/29/2008 16,223 15,922 3/31/2008 16,162 15,721 4/30/2008 16,435 16,014 5/31/2008 16,482 16,090 6/30/2008 15,169 14,990 7/31/2008 14,638 14,392 8/31/2008 14,403 14,015 9/30/2008 12,178 11,438 10/31/2008 8,909 8,264 11/30/2008 8,278 7,498 12/31/2008 8,095 7,308 1/31/2009 7,897 7,267 2/28/2009 7,573 7,027 3/31/2009 7,902 7,434 4/30/2009 9,558 9,142 5/31/2009 10,536 10,107 6/30/2009 10,588 10,179 7/31/2009 11,505 11,115 8/31/2009 12,404 12,187 9/30/2009 12,766 12,468 10/31/2009 12,785 12,486 11/30/2009 12,747 12,356 12/31/2009 13,015 12,661 1/31/2010 12,888 12,603 2/28/2010 12,446 12,038 3/31/2010 13,490 13,099 4/30/2010 13,989 13,622 5/31/2010 12,408 11,985 6/30/2010 12,643 12,036 7/31/2010 14,351 13,484 8/31/2010 13,824 13,118 9/30/2010 15,301 14,563 10/31/2010 16,101 15,184 11/30/2010 15,310 14,552 12/31/2010 16,877 16,074 1/31/2011 17,121 16,230 2/28/2011 17,639 16,658 3/31/2011 17,314 16,370 4/30/2011 18,848 17,871 5/31/2011 18,735 17,645 6/30/2011 18,137 17,050 7/31/2011 18,020 17,003 8/31/2011 16,223 15,269 9/30/2011 14,586 13,659 10/31/2011 16,134 15,151 11/30/2011 15,644 14,563 12/31/2011 15,160 14,077 1/31/2012 16,500 15,505 2/29/2012 17,846 16,945 3/31/2012 18,236 17,001 4/30/2012 18,551 17,290 5/31/2012 16,463 15,148 6/30/2012 17,272 15,869 7/31/2012 17,563 16,158 8/31/2012 18,528 17,014 9/30/2012 19,483 17,922 10/31/2012 19,911 18,293 11/30/2012 20,038 18,299 12/31/2012 21,143 19,141 1/31/2013 21,519 19,644 2/28/2013 21,717 19,755 3/31/2013 22,366 20,287 4/30/2013 22,935 20,794 5/31/2013 23,151 21,075 6/30/2013 22,643 20,315 7/31/2013 24,563 22,008 8/31/2013 24,741 22,309 9/30/2013 26,416 23,983 10/31/2013 27,361 24,827 11/30/2013 27,987 25,412 12/31/2013 29,534 26,640 1/31/2014 28,838 26,073 2/28/2014 31,430 28,602 3/31/2014 30,466 27,570 4/30/2014 29,967 26,911 5/31/2014 29,944 26,963 6/30/2014 29,920 26,899 7/31/2014 28,993 26,139 8/31/2014 29,436 26,414 Past performance is not predictive of 9/30/2014 27,756 24,864 future performance. 10/31/2014 27,695 24,705 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ---------------------------------------------------- MSCI data copyright MSCI 2014, all 1.22% 16.72% 10.72% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Continental Small MSCI Europe ex UK Small Company Series Cap Index (net div.) ----------------- ----------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,070 11,110 12/31/2004 11,644 11,665 1/31/2005 11,809 11,796 2/28/2005 12,569 12,623 3/31/2005 12,225 12,300 4/30/2005 11,902 11,938 5/31/2005 11,935 12,108 6/30/2005 12,258 12,496 7/31/2005 13,021 13,353 8/31/2005 13,461 13,732 9/30/2005 13,805 14,201 10/31/2005 13,122 13,221 11/30/2005 13,170 13,390 12/31/2005 13,853 14,166 1/31/2006 15,182 15,746 2/28/2006 15,622 16,191 3/31/2006 16,632 17,237 4/30/2006 17,779 18,458 5/31/2006 16,926 17,510 6/30/2006 16,611 17,111 7/31/2006 16,575 16,923 8/31/2006 17,015 17,322 9/30/2006 17,246 17,503 10/31/2006 18,114 18,439 11/30/2006 19,374 19,729 12/31/2006 20,299 20,660 1/31/2007 21,240 21,321 2/28/2007 21,276 21,413 3/31/2007 22,520 22,551 4/30/2007 23,708 23,916 5/31/2007 24,168 24,333 6/30/2007 23,905 24,101 7/31/2007 23,776 23,924 8/31/2007 22,932 22,841 9/30/2007 23,445 23,296 10/31/2007 24,576 24,690 11/30/2007 22,763 22,923 12/31/2007 22,326 22,459 1/31/2008 20,202 19,754 2/29/2008 21,070 20,950 3/31/2008 21,741 21,376 4/30/2008 22,003 21,741 5/31/2008 22,427 22,079 6/30/2008 20,537 20,039 7/31/2008 19,451 18,901 8/31/2008 18,922 18,385 9/30/2008 15,630 14,578 10/31/2008 11,458 10,477 11/30/2008 10,565 9,608 12/31/2008 11,668 10,496 1/31/2009 10,343 9,553 2/28/2009 9,451 8,712 3/31/2009 10,137 9,386 4/30/2009 11,797 11,340 5/31/2009 13,506 13,032 6/30/2009 13,340 12,865 7/31/2009 14,402 14,020 8/31/2009 15,610 15,459 9/30/2009 16,947 16,941 10/31/2009 16,474 16,479 11/30/2009 16,975 16,817 12/31/2009 16,922 16,893 1/31/2010 16,644 16,668 2/28/2010 16,292 16,193 3/31/2010 17,504 17,507 4/30/2010 17,338 17,396 5/31/2010 14,875 14,705 6/30/2010 14,782 14,485 7/31/2010 16,551 16,221 8/31/2010 15,796 15,450 9/30/2010 17,968 17,834 10/31/2010 19,006 18,978 11/30/2010 17,532 17,540 12/31/2010 19,806 19,996 1/31/2011 20,372 20,448 2/28/2011 20,723 20,795 3/31/2011 21,422 21,497 4/30/2011 22,872 22,998 5/31/2011 22,100 22,121 6/30/2011 21,389 21,407 7/31/2011 20,182 20,107 8/31/2011 18,110 18,007 9/30/2011 15,384 15,302 10/31/2011 16,963 16,978 11/30/2011 15,844 15,652 12/31/2011 15,222 15,120 1/31/2012 16,672 16,619 2/29/2012 17,742 17,895 3/31/2012 17,775 17,750 4/30/2012 17,363 17,454 5/31/2012 14,992 15,060 6/30/2012 15,650 15,802 7/31/2012 15,493 15,746 8/31/2012 16,200 16,433 9/30/2012 17,056 17,317 10/31/2012 17,351 17,616 11/30/2012 17,585 17,885 12/31/2012 18,647 18,850 1/31/2013 20,061 20,385 2/28/2013 19,863 20,323 3/31/2013 19,418 19,800 4/30/2013 20,218 20,569 5/31/2013 20,594 21,036 6/30/2013 19,915 20,100 7/31/2013 21,652 21,928 8/31/2013 21,680 21,887 9/30/2013 23,578 23,759 10/31/2013 24,927 25,189 11/30/2013 25,380 25,637 12/31/2013 26,095 26,302 1/31/2014 25,933 26,085 2/28/2014 28,215 28,365 3/31/2014 28,360 28,388 4/30/2014 28,639 28,507 5/31/2014 28,756 28,828 6/30/2014 28,506 28,546 7/31/2014 26,842 26,863 8/31/2014 26,523 26,647 Past performance is not predictive of 9/30/2014 25,109 25,178 future performance. 10/31/2014 24,366 24,356 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. --------------------------------------------------- MSCI data copyright MSCI 2014, all -2.25% 8.14% 9.31% rights reserved.
-------------------------------------------------------------------------------- 233 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, 2014 [CHART] Canadian Small MSCI Canada Small Company Series Cap Index (net div.) -------------- -------------------- 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 8/31/2013 10,690 11,262 9/30/2013 11,170 11,696 10/31/2013 11,480 11,959 11/30/2013 11,330 11,668 12/31/2013 11,610 11,958 1/31/2014 11,250 11,555 2/28/2014 11,970 12,358 3/31/2014 12,140 12,468 4/30/2014 12,670 12,944 5/31/2014 12,690 12,956 6/30/2014 13,650 14,057 7/31/2014 13,010 13,443 Past performance is not predictive of 8/31/2014 13,460 13,905 future performance. 9/30/2014 11,920 12,434 The returns shown do not reflect the 10/31/2014 11,040 11,601 deduction of taxes that a shareholder Average Annual One Five Since would pay on fund distributions or the Total Return Year Years Inception redemption of fund shares. --------------------------------------------------- MSCI data copyright MSCI 2014, all -3.83% 7.31% 1.31% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] MSCI Emerging Markets Index Emerging Markets Series (net div.) ----------------------- --------------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,874 10,926 12/31/2004 11,583 11,450 1/31/2005 11,677 11,480 2/28/2005 12,546 12,481 3/31/2005 11,689 11,656 4/30/2005 11,412 11,343 5/31/2005 11,754 11,738 6/30/2005 12,109 12,137 7/31/2005 12,888 12,985 8/31/2005 12,971 13,097 9/30/2005 14,005 14,316 10/31/2005 13,308 13,380 11/30/2005 14,271 14,487 12/31/2005 15,097 15,343 1/31/2006 16,545 17,057 2/28/2006 16,497 17,037 3/31/2006 16,722 17,187 4/30/2006 17,726 18,411 5/31/2006 15,682 16,482 6/30/2006 15,665 16,442 7/31/2006 15,954 16,677 8/31/2006 16,456 17,102 9/30/2006 16,686 17,244 10/31/2006 17,685 18,063 11/30/2006 18,819 19,406 12/31/2006 19,581 20,280 1/31/2007 19,870 20,061 2/28/2007 19,569 19,942 3/31/2007 20,461 20,737 4/30/2007 21,772 21,697 5/31/2007 23,231 22,771 6/30/2007 23,615 23,839 7/31/2007 24,188 25,096 8/31/2007 23,774 24,563 9/30/2007 25,871 27,276 10/31/2007 28,712 30,317 11/30/2007 26,840 28,168 12/31/2007 26,745 28,267 1/31/2008 24,418 24,740 2/29/2008 25,198 26,566 3/31/2008 24,418 25,160 4/30/2008 26,167 27,202 5/31/2008 26,320 27,706 6/30/2008 23,621 24,943 7/31/2008 23,314 24,002 8/31/2008 21,931 22,085 9/30/2008 18,884 18,220 10/31/2008 13,910 13,234 11/30/2008 12,652 12,237 12/31/2008 13,644 13,192 1/31/2009 12,599 12,340 2/28/2009 11,784 11,644 3/31/2009 13,485 13,317 4/30/2009 15,487 15,533 5/31/2009 18,128 18,187 6/30/2009 17,974 17,942 7/31/2009 20,035 19,960 8/31/2009 20,106 19,888 9/30/2009 21,884 21,694 10/31/2009 21,429 21,720 11/30/2009 22,711 22,654 12/31/2009 23,532 23,548 1/31/2010 22,250 22,235 2/28/2010 22,522 22,313 3/31/2010 24,412 24,114 4/30/2010 24,560 24,407 5/31/2010 22,280 22,260 6/30/2010 22,315 22,096 7/31/2010 24,282 23,936 8/31/2010 23,721 23,471 9/30/2010 26,421 26,080 10/31/2010 27,224 26,837 11/30/2010 26,615 26,129 12/31/2010 28,783 27,993 1/31/2011 28,039 27,234 2/28/2011 27,844 26,980 3/31/2011 29,398 28,566 4/30/2011 30,425 29,452 5/31/2011 29,587 28,680 6/30/2011 29,238 28,238 7/31/2011 29,014 28,113 8/31/2011 26,669 25,601 9/30/2011 22,634 21,868 10/31/2011 25,470 24,765 11/30/2011 24,589 23,114 12/31/2011 23,875 22,836 1/31/2012 26,432 25,426 2/29/2012 27,868 26,949 3/31/2012 27,147 26,049 4/30/2012 26,663 25,738 5/31/2012 23,792 22,852 6/30/2012 24,973 23,734 7/31/2012 25,174 24,197 8/31/2012 25,346 24,116 9/30/2012 26,763 25,571 10/31/2012 26,627 25,416 11/30/2012 26,976 25,739 12/31/2012 28,559 26,997 1/31/2013 28,706 27,369 2/28/2013 28,376 27,026 3/31/2013 27,974 26,560 4/30/2013 28,293 26,760 5/31/2013 27,377 26,074 6/30/2013 25,659 24,414 7/31/2013 26,037 24,669 8/31/2013 25,428 24,245 9/30/2013 27,242 25,822 10/31/2013 28,488 27,076 11/30/2013 28,063 26,681 12/31/2013 27,779 26,295 1/31/2014 25,854 24,587 2/28/2014 26,793 25,402 3/31/2014 27,738 26,182 4/30/2014 27,903 26,269 5/31/2014 28,854 27,186 6/30/2014 29,657 27,908 7/31/2014 30,012 28,448 8/31/2014 30,951 29,089 Past performance is not predictive of 9/30/2014 28,677 26,933 future performance. 10/31/2014 28,984 27,250 The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------------------- MSCI data copyright MSCI 2014, all 1.74% 6.23% 11.23% rights reserved.
-------------------------------------------------------------------------------- 234 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 CHART Emerging Markets MSCI Emerging Markets Small Cap Series Index (net div.) ---------------- ------------------- 10/31/2004 $10,000 $10,000 11/30/2004 10,946 10,926 12/31/2004 11,530 11,450 1/31/2005 11,857 11,480 2/28/2005 12,607 12,481 3/31/2005 11,744 11,656 4/30/2005 11,315 11,343 5/31/2005 11,536 11,738 6/30/2005 11,827 12,137 7/31/2005 12,488 12,985 8/31/2005 12,571 13,097 9/30/2005 13,405 14,316 10/31/2005 12,756 13,380 11/30/2005 13,667 14,487 12/31/2005 14,565 15,343 1/31/2006 15,982 17,057 2/28/2006 16,161 17,037 3/31/2006 16,452 17,187 4/30/2006 17,804 18,411 5/31/2006 15,935 16,482 6/30/2006 15,238 16,442 7/31/2006 15,589 16,677 8/31/2006 16,137 17,102 9/30/2006 16,595 17,244 10/31/2006 17,851 18,063 11/30/2006 19,208 19,406 12/31/2006 20,095 20,280 1/31/2007 20,494 20,061 2/28/2007 20,667 19,942 3/31/2007 21,601 20,737 4/30/2007 23,256 21,697 5/31/2007 25,113 22,771 6/30/2007 25,869 23,839 7/31/2007 27,137 25,096 8/31/2007 26,018 24,563 9/30/2007 27,810 27,276 10/31/2007 29,917 30,317 11/30/2007 27,530 28,168 12/31/2007 27,851 28,267 1/31/2008 24,512 24,740 2/29/2008 25,220 26,566 3/31/2008 24,048 25,160 4/30/2008 25,512 27,202 5/31/2008 25,369 27,706 6/30/2008 22,446 24,943 7/31/2008 22,107 24,002 8/31/2008 20,774 22,085 9/30/2008 17,036 18,220 10/31/2008 11,875 13,234 11/30/2008 11,155 12,237 12/31/2008 12,738 13,192 1/31/2009 11,768 12,340 2/28/2009 11,048 11,644 3/31/2009 12,571 13,317 4/30/2009 15,119 15,533 5/31/2009 18,554 18,187 6/30/2009 18,464 17,942 7/31/2009 20,827 19,960 8/31/2009 21,077 19,888 9/30/2009 22,839 21,694 10/31/2009 22,821 21,720 11/30/2009 24,179 22,654 12/31/2009 25,512 23,548 1/31/2010 24,393 22,235 2/28/2010 24,815 22,313 3/31/2010 26,940 24,114 4/30/2010 27,387 24,407 5/31/2010 24,643 22,260 6/30/2010 25,304 22,096 7/31/2010 27,637 23,936 8/31/2010 27,774 23,471 9/30/2010 31,155 26,080 10/31/2010 32,399 26,837 11/30/2010 31,536 26,129 12/31/2010 33,351 27,993 1/31/2011 31,952 27,234 2/28/2011 31,024 26,980 3/31/2011 32,756 28,566 4/30/2011 34,488 29,452 5/31/2011 33,720 28,680 6/30/2011 33,714 28,238 7/31/2011 34,101 28,113 8/31/2011 30,875 25,601 9/30/2011 25,393 21,868 10/31/2011 28,208 24,765 11/30/2011 26,845 23,114 12/31/2011 26,131 22,836 1/31/2012 29,089 25,426 2/29/2012 31,476 26,949 3/31/2012 30,679 26,049 4/30/2012 29,946 25,738 5/31/2012 27,220 22,852 6/30/2012 28,262 23,734 7/31/2012 27,929 24,197 8/31/2012 28,661 24,116 9/30/2012 30,339 25,571 10/31/2012 30,238 25,416 11/30/2012 30,774 25,739 12/31/2012 32,679 26,997 1/31/2013 33,292 27,369 2/28/2013 33,643 27,026 3/31/2013 33,500 26,560 4/30/2013 34,185 26,760 5/31/2013 33,714 26,074 6/30/2013 30,798 24,414 7/31/2013 30,952 24,669 8/31/2013 29,673 24,245 9/30/2013 31,851 25,822 10/31/2013 33,083 27,076 11/30/2013 32,625 26,681 12/31/2013 32,369 26,295 1/31/2014 30,994 24,587 2/28/2014 32,387 25,402 3/31/2014 33,506 26,182 4/30/2014 33,786 26,269 5/31/2014 34,946 27,186 6/30/2014 35,863 27,908 7/31/2014 35,952 28,448 8/31/2014 37,071 29,089 9/30/2014 35,244 26,933 Past performance is not predictive of 10/31/2014 34,935 27,250 future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ----------------------------------------------- MSCI data copyright MSCI 2014, all 5.60% 8.89% 13.32% rights reserved.
-------------------------------------------------------------------------------- 235 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2014 U.S. equities had strong gains during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 9 of the 12 months. As measured by the Russell indices, large cap stocks outperformed small cap stocks.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 3000(R) Index........................ 16.07% Russell Microcap(R) Index (micro cap stocks). 7.34% Russell 2000(R) Index (small cap stocks)..... 8.06% Russell 1000(R) Index (large cap stocks)..... 16.78% Dow Jones U.S. Select REIT Index /SM/........ 20.69%
Growth stocks slightly outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2014 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 7.89% Russell 2000(R) Growth Index (small cap growth stocks). 8.26% Russell 1000(R) Value Index (large cap value stocks)... 16.46% Russell 1000(R) Growth Index (large cap growth stocks). 17.11%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2014, 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 period 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 is designed 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, 2014, the Series held approximately 260 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, 2014, total returns were 15.67% for the Series and 16.46% for the Russell 1000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Series excludes real estate investment trusts (REITs) and highly regulated utilities from eligibility while the Index holds stocks in these sectors. REITs and utilities generally outperformed other sectors during the period, which detracted from the Series' relative performance. Lower book to market stocks outperformed higher book to market stocks within the index. The Series had less weight than the index in lower book to market stocks, which detracted from relative performance. 236 International Equity Market Review 12 Months Ended October 31, 2014 Performance of non-US developed markets was generally negative for the period. Only large cap growth stocks had positive returns. As measured by the MSCI world ex USA indices, large cap stocks outperformed small cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI World ex USA Index........... -0.15% MSCI World ex USA Small Cap Index. -2.14% MSCI World ex USA Value Index..... -0.62% MSCI World ex USA Growth Index.... 0.31%
During the period, the U.S. dollar (USD) appreciated against developed markets currencies, detracting from USD-denominated returns of non-US securities in developed markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars --------------------------------------------------- ------------ ---------------------- United Kingdom.................... 0.55% 0.12% Japan............................. 13.47% -0.70% Canada............................ 12.71% 4.26% France............................ 1.34% -6.61% Switzerland....................... 9.61% 3.13% Germany........................... 2.52% -5.52% Australia......................... 6.74% -0.92% Spain............................. 10.44% 1.78% Hong Kong......................... 10.24% 10.21% Sweden............................ 13.18% -1.03%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets. 237
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollar ------------------------------------------ ------------ --------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. International Equity Series' Performance Overview The DFA International Value Series The DFA International Value Series is designed to capture the returns of international 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, 2014, the Series held approximately 550 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, 2014, total returns were -0.72% for the Series and -0.15% for the MSCI World ex USA Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad trends in international equity markets rather than the behavior of a limited number of stocks. The Series had significantly greater exposure than the Index to value stocks. Value stocks, particularly those in Canada, generally underperformed the Index, which detracted from the Series' relative performance. The Japanese Small Company Series The Japanese Small Company Series is designed to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, 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, 2014, total returns were 2.46% for the Series and -0.24% for the MSCI Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the Japanese equity market, rather than the behavior of a limited number of stocks. The Series' greater exposure than the Index to companies with smaller relative capitalization contributed to relative outperformance as these stocks generally outperformed during the period. This was partially offset by the Series' exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Series' relative performance. Differences in the valuation timing and methodology between the Series and the Index also benefited 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 Asia Pacific Small Company Series The Asia Pacific Small Company Series is designed to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Series held approximately 880 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. 238 For the 12 months ended October 31, 2014, total returns were -3.46% for the Series and -4.93% 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 trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. The Series' exclusion of growth-oriented small cap stocks with low profitability contributed to relative performance as these stocks underperformed. This was partially offset by the Series' exclusion of real estate investment trusts (REITs), which outperformed and detracted from the Series' relative performance. In addition, differences in the valuation timing and methodology between the Series and the Index benefited 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 United Kingdom Small Company Series The United Kingdom Small Company Series is designed to capture the returns of U.K. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Series held approximately 320 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, 2014, total returns were 1.22% for the Series and -0.49% for the MSCI UK Small Cap Index (net dividends). As a result of the Series diversified investment approach, performance was determined principally by broad trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Series excludes a number of growth-oriented small cap stocks with low profitability that were held by the Index. These stocks generally underperformed, contributing to the Series' relative performance. The Continental Small Company Series The Continental Small Company Series is designed 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, 2014, the Series held approximately 1,180 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, 2014, total returns were -2.25% for the Series and -3.31% 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 trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. For the period, the Series' outperformance was primarily attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series 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 Canadian Small Company Series The Canadian Small Company Series is designed to capture the returns of Canadian small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2014, the Series held approximately 370 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, 2014, total returns were -3.83% for the Series and -3.00% for the MSCI Canada Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the Canadian equity market. Due to construction methodology differences between the Series and the Index, the Series' holdings in the energy sector significantly underperformed those of the Index and contributed to the Series' relative underperformance. The Index held a number of companies in the energy sector that were outside of the Series' definition of small caps and these companies outperformed, which contributed to the Series' relative underperformance. The Series' exclusion of real 239 estate investment trusts (REITs) also detracted from the Series' relative performance as REITs outperformed during the period. The Emerging Markets Series The Emerging Markets Series is designed 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, 2014, the Series held approximately 1,100 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, 2014, total returns were 1.74% for the Series and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was generally determined by broad trends in emerging markets rather than the behavior of a limited number of stocks. The Series' relative performance benefited from a lower weight than the Index in Russia, among the lowest performing emerging markets during the period, and a higher weight in India and Taiwan, among the best performing emerging markets during the period. The Series excludes certain countries from eligibility that the Index holds, such as the UAE and Qatar. Both of these countries underperformed, and their exclusion contributed to the Series' outperformance. The Emerging Markets Small Cap Series The Emerging Markets Small Cap Series is designed 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, 2014, the Series held approximately 3,200 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, 2014, total returns were 5.60% for the Series and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was principally determined by broad 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 outperformed emerging markets large caps over the period, and the Series' greater exposure to small caps, particularly those in India, contributed to the Series' relative outperformance. During the year ended October 31, 2014, the Series did not invest in certain countries that the Index holds, such as the UAE, Qatar, and Russia. Russia underperformed significantly and, as it was excluded from the Series, contributed to the Series' relative performance. 240 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- The U.S. Large Cap Value Series - Actual Fund Return............ $1,000.00 $1,056.90 0.11% $0.57 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 $ 941.00 0.22% $1.08 Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12
241 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $1,049.50 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 $ 963.60 0.13% $0.64 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 $ 924.20 0.11% $0.53 Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56 The Continental Small Company Series ------------------------------------ Actual Fund Return...................... $1,000.00 $ 850.80 0.12% $0.56 Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61 The Canadian Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $ 871.30 0.12% $0.57 Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61 The Emerging Markets Series --------------------------- Actual Fund Return...................... $1,000.00 $1,038.70 0.15% $0.77 Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77 The Emerging Markets Small Cap Series ------------------------------------- Actual Fund Return...................... $1,000.00 $1,034.00 0.26% $1.33 Hypothetical 5% Annual Return........... $1,000.00 $1,023.89 0.26% $1.33
---------- * 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. 242 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 29, 2014. 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....................... 12.3% Consumer Staples............................. 6.8% Energy....................................... 20.9% Financials................................... 20.7% Health Care.................................. 10.6% Industrials.................................. 12.1% Information Technology....................... 8.6% Materials.................................... 3.3% Other........................................ -- Telecommunication Services................... 4.4% Utilities.................................... 0.3% ----- 100.0%
The DFA International Value Series Consumer Discretionary....................... 11.5% Consumer Staples............................. 4.2% Energy....................................... 13.2% Financials................................... 35.2% Health Care.................................. 4.0% Industrials.................................. 9.0% Information Technology....................... 3.4% Materials.................................... 11.3% Other........................................ -- Telecommunication Services................... 5.1% Utilities.................................... 3.1% ----- 100.0%
The Japanese Small Company Series Consumer Discretionary....................... 20.6% Consumer Staples............................. 8.8% Energy....................................... 1.0% Financials................................... 11.7% Health Care.................................. 4.9% Industrials.................................. 29.7% Information Technology....................... 11.5% Materials.................................... 11.1% Telecommunication Services................... 0.2% Utilities.................................... 0.5% ----- 100.0%
243 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED The Asia Pacific Small Company Series Consumer Discretionary....................... 28.1% Consumer Staples............................. 4.8% Energy....................................... 5.0% Financials................................... 13.4% Health Care.................................. 6.5% Industrials.................................. 18.8% Information Technology....................... 5.7% Materials.................................... 10.7% Other........................................ -- Telecommunication Services................... 4.3% Utilities.................................... 2.7% ----- 100.0%
The United Kingdom Small Company Series Consumer Discretionary....................... 25.9% Consumer Staples............................. 4.7% Energy....................................... 4.7% Financials................................... 15.1% Health Care.................................. 3.8% Industrials.................................. 24.9% Information Technology....................... 8.7% Materials.................................... 6.8% Other........................................ -- Telecommunication Services................... 2.8% Utilities.................................... 2.6% ----- 100.0%
The Continental Small Company Series Consumer Discretionary....................... 14.5% Consumer Staples............................. 6.2% Energy....................................... 3.3% Financials................................... 17.9% Health Care.................................. 9.8% Industrials.................................. 26.3% Information Technology....................... 9.7% Materials.................................... 7.7% Other........................................ -- Telecommunication Services................... 2.4% Utilities.................................... 2.2% ----- 100.0%
The Canadian Small Company Series Consumer Discretionary....................... 10.8% Consumer Staples............................. 3.7% Energy....................................... 26.9% Financials................................... 8.6% Health Care.................................. 1.8% Industrials.................................. 16.7% Information Technology....................... 6.4% Materials.................................... 18.9% Other........................................ -- Telecommunication Services................... 0.5% Utilities.................................... 5.7% ----- 100.0%
The Emerging Markets Series Consumer Discretionary....................... 9.3% Consumer Staples............................. 8.3% Energy....................................... 8.8% Financials................................... 26.1% Health Care.................................. 2.2% Industrials.................................. 7.9% Information Technology....................... 17.4% Materials.................................... 8.9% Other........................................ -- Telecommunication Services................... 7.3% Utilities.................................... 3.8% ----- 100.0%
The Emerging Markets Small Cap Series Consumer Discretionary....................... 17.7% Consumer Staples............................. 8.8% Energy....................................... 2.3% Financials................................... 16.1% Health Care.................................. 6.0% Industrials.................................. 17.7% Information Technology....................... 13.5% Materials.................................... 13.0% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.0% Utilities.................................... 3.8% ----- 100.0%
244 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (95.1%) Consumer Discretionary -- (11.7%) Comcast Corp. Class A................ 9,873,756 $ 546,512,395 3.0% # Comcast Corp. Special Class A........ 3,813,064 210,252,349 1.1% General Motors Co.................... 3,814,989 119,790,655 0.7% Time Warner Cable, Inc............... 1,876,119 276,183,478 1.5% # Time Warner, Inc..................... 5,052,904 401,554,281 2.2% Other Securities..................... 691,314,995 3.7% -------------- ----- Total Consumer Discretionary............. 2,245,608,153 12.2% -------------- ----- Consumer Staples -- (6.4%) Archer-Daniels-Midland Co............ 2,861,952 134,511,744 0.7% CVS Health Corp...................... 6,986,047 599,472,693 3.3% Mondelez International, Inc. Class A. 6,213,977 219,104,829 1.2% Other Securities..................... 283,040,723 1.5% -------------- ----- Total Consumer Staples................... 1,236,129,989 6.7% -------------- ----- Energy -- (19.8%) Anadarko Petroleum Corp.............. 2,644,697 242,730,291 1.3% Apache Corp.......................... 1,895,772 146,353,598 0.8% Chevron Corp......................... 5,620,609 674,192,050 3.7% ConocoPhillips....................... 6,993,622 504,589,827 2.7% Exxon Mobil Corp..................... 4,477,321 433,001,714 2.4% Hess Corp............................ 1,628,606 138,122,075 0.7% Marathon Oil Corp.................... 3,640,872 128,886,869 0.7% Marathon Petroleum Corp.............. 1,752,484 159,300,796 0.9% National Oilwell Varco, Inc.......... 1,968,548 142,995,327 0.8% Occidental Petroleum Corp............ 2,823,071 251,055,704 1.4% Phillips 66.......................... 2,603,498 204,374,593 1.1% Valero Energy Corp................... 2,806,975 140,601,378 0.8% Other Securities..................... 653,113,763 3.5% -------------- ----- Total Energy............................. 3,819,317,985 20.8% -------------- ----- Financials -- (19.7%) American International Group, Inc.... 3,145,850 168,523,184 0.9% Bank of America Corp................. 16,826,224 288,738,004 1.6% Bank of New York Mellon Corp. (The).. 3,470,782 134,388,679 0.7% Capital One Financial Corp........... 2,096,624 173,537,568 0.9% Citigroup, Inc....................... 5,327,316 285,171,225 1.6% Goldman Sachs Group, Inc. (The)...... 919,421 174,680,796 1.0% JPMorgan Chase & Co.................. 10,466,709 633,026,560 3.4% MetLife, Inc......................... 2,280,037 123,669,207 0.7% Morgan Stanley....................... 5,045,057 176,324,742 1.0% Prudential Financial, Inc............ 1,229,198 108,833,191 0.6% Wells Fargo & Co..................... 4,057,795 215,428,337 1.2% Other Securities..................... 1,316,622,406 7.1% -------------- ----- Total Financials......................... 3,798,943,899 20.7% -------------- ----- Health Care -- (10.1%) Aetna, Inc........................... 2,009,110 165,771,666 0.9% * Express Scripts Holding Co........... 3,072,578 236,035,442 1.3% Pfizer, Inc.......................... 22,619,948 677,467,443 3.7% Thermo Fisher Scientific, Inc........ 1,580,260 185,791,168 1.0% WellPoint, Inc....................... 1,674,297 212,116,687 1.1% Other Securities..................... 468,823,592 2.6% -------------- ----- Total Health Care........................ 1,946,005,998 10.6% -------------- -----
245 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (11.5%) CSX Corp........................................... 5,604,703 $ 199,695,568 1.1% Eaton Corp. P.L.C.................................. 1,690,402 115,606,593 0.6% FedEx Corp......................................... 828,737 138,730,574 0.8% General Electric Co................................ 21,597,811 557,439,502 3.0% # Norfolk Southern Corp.............................. 1,681,939 186,089,731 1.0% Northrop Grumman Corp.............................. 1,364,645 188,266,424 1.0% Southwest Airlines Co.............................. 3,905,821 134,672,708 0.7% Union Pacific Corp................................. 2,788,102 324,674,478 1.8% Other Securities................................... 372,674,139 2.0% --------------- ------ Total Industrials........................................ 2,217,849,717 12.0% --------------- ------ Information Technology -- (8.2%) Cisco Systems, Inc................................. 8,906,456 217,940,978 1.2% Hewlett-Packard Co................................. 9,619,949 345,163,770 1.9% # Intel Corp......................................... 9,210,936 313,263,933 1.7% #* Micron Technology, Inc............................. 3,654,213 120,917,908 0.7% Other Securities................................... 586,548,708 3.1% --------------- ------ Total Information Technology............................. 1,583,835,297 8.6% --------------- ------ Materials -- (3.2%) Freeport-McMoRan, Inc.............................. 4,647,012 132,439,842 0.7% Other Securities................................... 474,065,162 2.6% --------------- ------ Total Materials.......................................... 606,505,004 3.3% --------------- ------ Telecommunication Services -- (4.2%) # AT&T, Inc.......................................... 18,488,608 644,143,103 3.5% Other Securities................................... 161,208,509 0.9% --------------- ------ Total Telecommunication Services......................... 805,351,612 4.4% --------------- ------ Utilities -- (0.3%) Other Securities................................... 52,328,955 0.3% --------------- ------ TOTAL COMMON STOCKS...................................... 18,311,876,609 99.6% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 7,528 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.077%. 87,103,094 87,103,094 0.5% --------------- ------ SECURITIES LENDING COLLATERAL -- (4.4%) (S)@ DFA Short Term Investment Fund..................... 74,271,257 859,318,447 4.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,592,557,040)............................... $19,258,305,678 104.8% =============== ======
246 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- ------------ ------- --------------- Common Stocks Consumer Discretionary...... $ 2,245,608,153 -- -- $ 2,245,608,153 Consumer Staples............ 1,236,129,989 -- -- 1,236,129,989 Energy...................... 3,819,317,985 -- -- 3,819,317,985 Financials.................. 3,798,943,899 -- -- 3,798,943,899 Health Care................. 1,946,005,998 -- -- 1,946,005,998 Industrials................. 2,217,849,717 -- -- 2,217,849,717 Information Technology...... 1,583,835,297 -- -- 1,583,835,297 Materials................... 606,505,004 -- -- 606,505,004 Telecommunication Services.. 805,351,612 -- -- 805,351,612 Utilities................... 52,328,955 -- -- 52,328,955 Rights/Warrants............. -- $ 7,528 -- 7,528 Temporary Cash Investments.... 87,103,094 -- -- 87,103,094 Securities Lending Collateral. -- 859,318,447 -- 859,318,447 --------------- ------------ -- --------------- TOTAL......................... $18,398,979,703 $859,325,975 -- $19,258,305,678 =============== ============ == ===============
See accompanying Notes to Financial Statements. 247 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (94.3%) AUSTRALIA -- (5.8%) Macquarie Group, Ltd............. 1,184,395 $ 64,009,420 0.7% National Australia Bank, Ltd..... 1,748,681 54,096,766 0.6% Santos, Ltd...................... 4,404,343 50,470,467 0.5% Suncorp Group, Ltd............... 3,736,013 48,613,845 0.5% # Wesfarmers, Ltd.................. 2,317,545 90,193,505 1.0% Other Securities................. 266,392,193 2.8% ------------ ---- TOTAL AUSTRALIA...................... 573,776,196 6.1% ------------ ---- AUSTRIA -- (0.1%) Other Securities................. 13,688,459 0.2% ------------ ---- BELGIUM -- (1.2%) Other Securities................. 115,542,460 1.2% ------------ ---- CANADA -- (7.8%) Canadian Natural Resources, Ltd.. 1,849,320 64,534,631 0.7% # Manulife Financial Corp.......... 3,287,435 62,391,406 0.7% Suncor Energy, Inc............... 3,750,370 133,170,496 1.4% Other Securities................. 506,038,567 5.4% ------------ ---- TOTAL CANADA......................... 766,135,100 8.2% ------------ ---- CHINA -- (0.0%) Other Securities................. 30,085 0.0% ------------ ---- DENMARK -- (1.4%) Other Securities................. 134,026,860 1.4% ------------ ---- FINLAND -- (0.7%) Other Securities................. 74,138,749 0.8% ------------ ---- FRANCE -- (8.0%) AXA SA........................... 4,004,754 92,503,906 1.0% BNP Paribas SA................... 783,124 49,213,123 0.5% Cie de St-Gobain................. 1,103,444 47,431,371 0.5% GDF Suez......................... 3,247,971 78,860,475 0.8% Orange SA........................ 3,989,277 63,510,770 0.7% Renault SA....................... 759,515 56,497,480 0.6% Societe Generale SA.............. 1,296,228 62,466,561 0.7% Vivendi SA....................... 3,686,124 90,049,366 1.0% Other Securities................. 244,827,209 2.6% ------------ ---- TOTAL FRANCE......................... 785,360,261 8.4% ------------ ---- GERMANY -- (6.3%) Allianz SE....................... 642,692 102,202,246 1.1% Bayerische Motoren Werke AG...... 765,791 82,121,669 0.9% Daimler AG....................... 2,214,556 172,666,663 1.8% Other Securities................. 258,875,046 2.8% ------------ ---- TOTAL GERMANY........................ 615,865,624 6.6% ------------ ---- HONG KONG -- (2.7%) Hutchison Whampoa, Ltd........... 5,076,000 64,497,462 0.7% Other Securities................. 202,183,086 2.2% ------------ ---- TOTAL HONG KONG...................... 266,680,548 2.9% ------------ ----
248 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.2%) Other Securities........................ $ 22,188,446 0.2% -------------- ----- ISRAEL -- (0.3%) Other Securities........................ 30,877,234 0.3% -------------- ----- ITALY -- (1.8%) UniCredit SpA........................... 6,991,980 50,640,963 0.5% Other Securities........................ 122,767,297 1.4% -------------- ----- TOTAL ITALY................................. 173,408,260 1.9% -------------- ----- JAPAN -- (21.0%) Honda Motor Co., Ltd.................... 2,621,200 83,797,746 0.9% Mitsubishi UFJ Financial Group, Inc..... 21,459,506 125,092,037 1.3% Mizuho Financial Group, Inc............. 51,323,400 93,527,433 1.0% Nippon Steel & Sumitomo Metal Corp...... 19,063,940 50,306,760 0.5% Nissan Motor Co., Ltd................... 5,844,900 53,315,418 0.6% NTT DOCOMO, Inc......................... 3,091,700 52,144,249 0.6% Sumitomo Mitsui Financial Group, Inc.... 2,678,800 109,249,245 1.2% Other Securities........................ 1,496,080,852 16.0% -------------- ----- TOTAL JAPAN................................. 2,063,513,740 22.1% -------------- ----- NETHERLANDS -- (3.2%) * ING Groep NV............................ 6,479,202 92,784,515 1.0% Other Securities........................ 221,541,679 2.4% -------------- ----- TOTAL NETHERLANDS 314,326,194 3.4% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities........................ 9,374,710 0.1% -------------- ----- NORWAY -- (0.8%) Other Securities........................ 76,742,959 0.8% -------------- ----- PORTUGAL -- (0.0%) Other Securities........................ 3,873,915 0.0% -------------- ----- SINGAPORE -- (1.2%) Other Securities........................ 116,978,973 1.3% -------------- ----- SPAIN -- (2.4%) Iberdrola SA............................ 11,714,112 82,923,213 0.9% Other Securities........................ 153,903,256 1.6% -------------- ----- TOTAL SPAIN................................. 236,826,469 2.5% -------------- ----- SWEDEN -- (3.0%) Nordea Bank AB.......................... 3,823,977 49,183,048 0.5% Telefonaktiebolaget LM Ericsson Class B. 4,879,427 57,657,241 0.6% Other Securities........................ 187,488,169 2.1% -------------- ----- TOTAL SWEDEN................................ 294,328,458 3.2% -------------- ----- SWITZERLAND -- (9.9%) ABB, Ltd................................ 3,170,149 69,548,848 0.7% Holcim, Ltd............................. 887,877 63,016,649 0.7% Novartis AG............................. 2,434,443 225,923,258 2.4% Novartis AG ADR......................... 681,571 63,174,816 0.7% Swiss Re AG............................. 1,547,148 125,103,648 1.3%
249 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) UBS AG.................................. 4,344,251 $ 75,538,418 0.8% Zurich Insurance Group AG............... 333,311 100,869,393 1.1% Other Securities........................ 246,924,514 2.7% -------------- ------ TOTAL SWITZERLAND............................. 970,099,544 10.4% -------------- ------ UNITED KINGDOM -- (16.4%) Anglo American P.L.C.................... 3,310,475 69,895,879 0.7% # Barclays P.L.C. Sponsored ADR........... 5,060,358 77,929,513 0.8% BP P.L.C. Sponsored ADR................. 7,387,909 321,078,524 3.4% Glencore P.L.C.......................... 9,442,477 48,445,899 0.5% HSBC Holdings P.L.C..................... 9,197,250 93,769,306 1.0% HSBC Holdings P.L.C. Sponsored ADR...... 2,089,967 106,630,116 1.1% # Royal Dutch Shell P.L.C. ADR(780259107). 3,323,210 248,144,091 2.7% Royal Dutch Shell P.L.C. ADR(780259206). 755,142 54,211,644 0.6% Standard Chartered P.L.C................ 4,120,837 62,029,541 0.7% Vodafone Group P.L.C.................... 27,417,470 91,175,542 1.0% Vodafone Group P.L.C. Sponsored ADR..... 2,196,216 72,958,305 0.8% Other Securities........................ 361,708,827 3.9% -------------- ------ TOTAL UNITED KINGDOM.......................... 1,607,977,187 17.2% -------------- ------ TOTAL COMMON STOCKS........................... 9,265,760,431 99.2% -------------- ------ PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities........................ 20,887,882 0.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 241,112 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities........................ 648,719 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 889,831 0.0% -------------- ------ Value+ - ------ SECURITIES LENDING COLLATERAL -- (5.5%) (S)@ DFA Short Term Investment Fund.......... 46,617,671 539,366,448 5.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,769,870,982)..................... $9,826,904,592 105.2% ============== ======
250 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Australia................... $ 18,343,012 $ 555,433,184 -- $ 573,776,196 Austria..................... -- 13,688,459 -- 13,688,459 Belgium..................... 3,605,664 111,936,796 -- 115,542,460 Canada...................... 766,135,100 -- -- 766,135,100 China....................... -- 30,085 -- 30,085 Denmark..................... -- 134,026,860 -- 134,026,860 Finland..................... 1,844,352 72,294,397 -- 74,138,749 France...................... 4,069,567 781,290,694 -- 785,360,261 Germany..................... 60,551,498 555,314,126 -- 615,865,624 Hong Kong................... -- 266,680,548 -- 266,680,548 Ireland..................... 4,822,991 17,365,455 -- 22,188,446 Israel...................... 752,406 30,124,828 -- 30,877,234 Italy....................... 21,181,850 152,226,410 -- 173,408,260 Japan....................... 69,435,900 1,994,077,840 -- 2,063,513,740 Netherlands................. 26,977,934 287,348,260 -- 314,326,194 New Zealand................. -- 9,374,710 -- 9,374,710 Norway...................... 5,167,596 71,575,363 -- 76,742,959 Portugal.................... -- 3,873,915 -- 3,873,915 Singapore................... -- 116,978,973 -- 116,978,973 Spain....................... 6,381,719 230,444,750 -- 236,826,469 Sweden...................... 11,273,598 283,054,860 -- 294,328,458 Switzerland................. 96,770,573 873,328,971 -- 970,099,544 United Kingdom.............. 924,692,710 683,284,477 -- 1,607,977,187 Preferred Stocks Germany..................... -- 20,887,882 -- 20,887,882 Rights/Warrants France...................... -- 241,112 -- 241,112 Spain....................... -- 648,719 -- 648,719 Securities Lending Collateral. -- 539,366,448 -- 539,366,448 -------------- -------------- -- -------------- TOTAL......................... $2,022,006,470 $7,804,898,122 -- $9,826,904,592 ============== ============== == ==============
See accompanying Notes to Financial Statements. 251 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.8%) Consumer Discretionary -- (17.9%) Aoyama Trading Co., Ltd..................... 315,900 $ 7,513,669 0.3% H2O Retailing Corp.......................... 442,605 7,361,480 0.3% Nifco, Inc.................................. 295,500 9,363,392 0.4% # Resorttrust, Inc............................ 291,116 7,018,444 0.3% Shimachu Co., Ltd........................... 295,800 7,615,745 0.3% Wacoal Holdings Corp........................ 629,000 6,550,239 0.3% Other Securities............................ 466,467,139 18.5% ------------ ----- Total Consumer Discretionary.................... 511,890,108 20.4% ------------ ----- Consumer Staples -- (7.6%) Matsumotokiyoshi Holdings Co., Ltd.......... 229,700 6,680,147 0.3% Sapporo Holdings, Ltd....................... 1,993,000 8,625,333 0.4% # Takara Holdings, Inc........................ 814,000 6,480,260 0.3% # UNY Group Holdings Co., Ltd................. 1,471,300 7,799,995 0.3% Other Securities............................ 189,525,032 7.4% ------------ ----- Total Consumer Staples.......................... 219,110,767 8.7% ------------ ----- Energy -- (0.9%) Other Securities............................ 25,847,200 1.0% ------------ ----- Financials -- (10.2%) Awa Bank, Ltd. (The)........................ 1,185,000 7,105,993 0.3% Daishi Bank, Ltd. (The)..................... 2,061,000 7,293,168 0.3% Higo Bank, Ltd. (The)....................... 1,151,000 6,551,664 0.3% Juroku Bank, Ltd. (The)..................... 2,060,000 8,124,606 0.3% Keiyo Bank, Ltd. (The)...................... 1,325,000 6,927,376 0.3% #* Leopalace21 Corp............................ 1,523,700 9,543,623 0.4% Musashino Bank, Ltd. (The).................. 203,400 6,891,841 0.3% North Pacific Bank, Ltd..................... 1,846,200 7,610,951 0.3% San-In Godo Bank, Ltd. (The)................ 980,000 7,550,640 0.3% Senshu Ikeda Holdings, Inc.................. 1,365,100 7,062,181 0.3% Other Securities............................ 217,936,777 8.6% ------------ ----- Total Financials................................ 292,598,820 11.7% ------------ ----- Health Care -- (4.3%) Other Securities............................ 122,558,383 4.9% ------------ ----- Industrials -- (25.8%) Aica Kogyo Co., Ltd......................... 318,300 6,588,512 0.3% DMG Mori Seiki Co., Ltd..................... 577,200 6,798,023 0.3% Fujikura, Ltd............................... 2,042,000 8,577,639 0.4% # Furukawa Electric Co., Ltd.................. 4,610,000 8,136,200 0.3% Glory, Ltd.................................. 274,400 7,071,142 0.3% # Hazama Ando Corp............................ 1,049,700 7,056,975 0.3% # Iwatani Corp................................ 1,107,000 7,568,717 0.3% # Japan Steel Works, Ltd. (The)............... 1,988,000 7,111,136 0.3% # Maeda Corp.................................. 845,000 7,470,851 0.3% Mitsui Engineering & Shipbuilding Co., Ltd.. 4,886,000 10,622,003 0.4% Nishi-Nippon Railroad Co., Ltd.............. 1,627,000 6,482,809 0.3% Nishimatsu Construction Co., Ltd............ 1,855,000 9,006,722 0.4% Nisshinbo Holdings, Inc..................... 929,000 7,672,103 0.3% OSG Corp.................................... 455,100 7,420,946 0.3% Sankyu, Inc................................. 1,561,000 7,216,910 0.3%
252 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Sanwa Holdings Corp................ 1,262,100 $ 8,751,418 0.4% Tsubakimoto Chain Co............... 854,700 6,742,103 0.3% Other Securities................... 607,859,813 24.0% -------------- ------ Total Industrials........................ 738,154,022 29.5% -------------- ------ Information Technology -- (10.0%) Anritsu Corp....................... 865,700 6,702,549 0.3% Horiba, Ltd........................ 218,850 7,917,501 0.3% # IT Holdings Corp................... 519,701 8,491,586 0.4% Oki Electric Industry Co., Ltd..... 4,385,000 10,188,368 0.4% # SCREEN Holdings Co., Ltd........... 1,267,000 6,905,771 0.3% # Taiyo Yuden Co., Ltd............... 661,300 6,797,894 0.3% Other Securities................... 239,685,095 9.4% -------------- ------ Total Information Technology............. 286,688,764 11.4% -------------- ------ Materials -- (9.6%) ADEKA Corp......................... 530,500 6,847,875 0.3% Lintec Corp........................ 312,600 6,526,618 0.3% Mitsui Mining & Smelting Co., Ltd.. 3,666,000 9,724,344 0.4% Nihon Parkerizing Co., Ltd......... 275,800 6,583,269 0.3% # Sumitomo Osaka Cement Co., Ltd..... 2,682,000 8,383,958 0.3% Tokuyama Corp...................... 2,222,000 6,495,139 0.3% Toyobo Co., Ltd.................... 5,435,000 7,823,086 0.3% Other Securities................... 223,923,257 8.8% -------------- ------ Total Materials.......................... 276,307,546 11.0% -------------- ------ Telecommunication Services -- (0.1%) Other Securities................... 4,309,409 0.2% -------------- ------ Utilities -- (0.4%) Other Securities................... 11,429,517 0.5% -------------- ------ TOTAL COMMON STOCKS...................... 2,488,894,536 99.3% -------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (13.2%) (S)@ DFA Short Term Investment Fund..... 32,591,293 377,081,264 15.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,741,341,199)................ $2,865,975,800 114.4% ============== ======
253 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $ 4,646,036 $ 507,244,072 -- $ 511,890,108 Consumer Staples............ 803,849 218,306,918 -- 219,110,767 Energy...................... -- 25,847,200 -- 25,847,200 Financials.................. 10,448,978 282,149,842 -- 292,598,820 Health Care................. -- 122,558,383 -- 122,558,383 Industrials................. -- 738,154,022 -- 738,154,022 Information Technology...... -- 286,688,764 -- 286,688,764 Materials................... -- 276,307,546 -- 276,307,546 Telecommunication Services.. -- 4,309,409 -- 4,309,409 Utilities................... -- 11,429,517 -- 11,429,517 Securities Lending Collateral. -- 377,081,264 -- 377,081,264 ----------- -------------- -- -------------- TOTAL......................... $15,898,863 $2,850,076,937 -- $2,865,975,800 =========== ============== == ==============
See accompanying Notes to Financial Statements. 254 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (78.7%) AUSTRALIA -- (41.6%) # Adelaide Brighton, Ltd................ 3,634,701 $ 10,838,815 0.8% Ansell, Ltd........................... 544,496 9,550,805 0.7% # Aristocrat Leisure, Ltd............... 3,124,863 17,765,461 1.2% # Beach Energy, Ltd..................... 9,353,942 9,675,702 0.7% * BlueScope Steel, Ltd.................. 1,945,699 9,070,776 0.6% # carsales.com, Ltd..................... 1,736,291 16,384,267 1.1% CSR, Ltd.............................. 3,291,003 10,072,540 0.7% # Downer EDI, Ltd....................... 2,989,518 12,624,250 0.9% DuluxGroup, Ltd....................... 3,082,903 14,569,397 1.0% # Echo Entertainment Group, Ltd......... 4,331,523 14,543,934 1.0% Fairfax Media, Ltd.................... 14,676,907 10,549,342 0.7% # GrainCorp, Ltd. Class A............... 1,240,760 9,596,665 0.7% # iiNET, Ltd............................ 1,110,524 7,836,764 0.5% Independence Group NL................. 1,827,105 7,316,662 0.5% # Invocare, Ltd......................... 894,310 9,542,450 0.7% # IOOF Holdings, Ltd.................... 1,906,008 15,203,012 1.1% # Iress, Ltd............................ 1,080,718 9,403,408 0.7% # JB Hi-Fi, Ltd......................... 860,733 11,852,634 0.8% # M2 Group, Ltd......................... 1,270,142 8,813,121 0.6% # Metcash, Ltd.......................... 4,422,950 11,046,633 0.8% # Mineral Resources, Ltd................ 1,202,488 9,013,856 0.6% # Monadelphous Group, Ltd............... 707,732 7,849,897 0.5% # Myer Holdings, Ltd.................... 4,168,808 7,079,608 0.5% # NIB Holdings, Ltd..................... 2,712,998 7,818,566 0.5% # OZ Minerals, Ltd...................... 2,263,016 7,776,456 0.5% # Perpetual, Ltd........................ 359,597 14,703,016 1.0% Primary Health Care, Ltd.............. 3,240,864 13,281,170 0.9% * Qantas Airways, Ltd................... 4,914,897 7,343,406 0.5% Reece Australia, Ltd.................. 238,257 6,983,909 0.5% # Sims Metal Management, Ltd............ 1,378,490 13,761,961 1.0% # Sirtex Medical, Ltd................... 409,434 9,401,832 0.7% Spark Infrastructure Group............ 10,691,774 17,972,704 1.2% # Super Retail Group, Ltd............... 1,291,875 8,382,739 0.6% Tabcorp Holdings, Ltd................. 2,426,529 8,716,499 0.6% # TPG Telecom, Ltd...................... 1,231,044 7,970,965 0.6% # Transpacific Industries Group, Ltd.... 9,657,560 7,675,573 0.5% #* UGL, Ltd.............................. 1,220,877 7,551,660 0.5% Other Securities...................... 376,339,345 25.7% --------------- ----- TOTAL AUSTRALIA........................... 765,879,800 52.7% --------------- ----- BERMUDA -- (0.0%) Other Securities...................... 26,808 0.0% --------------- ----- CHINA -- (0.2%) Other Securities...................... 3,119,336 0.2% --------------- ----- HONG KONG -- (20.7%) Dah Sing Financial Holdings, Ltd...... 1,208,544 7,525,263 0.5% # Esprit Holdings, Ltd.................. 13,739,550 17,211,169 1.2% Hopewell Holdings, Ltd................ 2,973,000 10,569,755 0.7% # Luk Fook Holdings International, Ltd.. 2,792,000 8,306,888 0.6% Melco International Development, Ltd.. 3,620,000 9,838,366 0.7% Xinyi Glass Holdings, Ltd............. 16,212,000 9,536,952 0.7% Other Securities...................... 317,754,477 21.8% --------------- ----- TOTAL HONG KONG...................................... 380,742,870 26.2% --------------- -----
255 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- NEW ZEALAND -- (7.1%) # Fisher & Paykel Healthcare Corp., Ltd.. 4,076,344 $ 17,813,660 1.2% # Infratil, Ltd.......................... 3,206,161 7,206,718 0.5% # Ryman Healthcare, Ltd.................. 2,312,512 13,691,535 0.9% # Sky Network Television, Ltd............ 2,017,881 10,019,430 0.7% # SKYCITY Entertainment Group, Ltd....... 4,308,638 13,173,223 0.9% Other Securities....................... 68,677,900 4.8% --------------- ------ TOTAL NEW ZEALAND............................ 130,582,466 9.0% --------------- ------ SINGAPORE -- (9.1%) Singapore Post, Ltd.................... 6,765,120 10,383,577 0.7% Venture Corp., Ltd..................... 1,694,000 10,203,641 0.7% Other Securities....................... 146,437,456 10.1% --------------- ------ TOTAL SINGAPORE.............................. 167,024,674 11.5% --------------- ------ TOTAL COMMON STOCKS.......................... 1,447,375,954 99.6% --------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities....................... -- 0.0% --------------- ------ HONG KONG -- (0.0%) Other Securities....................... 87,216 0.0% --------------- ------ SINGAPORE -- (0.0%) Other Securities....................... 2,095 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS........................ 89,311 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (21.3%) (S)@ DFA Short Term Investment Fund......... 33,782,209 390,860,156 26.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,833,068,732).................... $ 1,838,325,421 126.5% =============== ======
Summary of the Series' investments as of October 31, 2014, 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..................... $12,261,409 $ 753,618,391 -- $ 765,879,800 Bermuda....................... -- 26,808 -- 26,808 China......................... -- 3,119,336 -- 3,119,336 Hong Kong..................... 1,079,370 379,663,500 -- 380,742,870 New Zealand................... 396,491 130,185,975 -- 130,582,466 Singapore..................... 485,216 166,539,458 -- 167,024,674 Rights/Warrants Australia..................... -- -- -- -- Hong Kong..................... -- 87,216 -- 87,216 Singapore..................... -- 2,095 -- 2,095 Securities Lending Collateral. -- 390,860,156 -- 390,860,156 ----------- -------------- -- -------------- TOTAL........................... $14,222,486 $1,824,102,935 -- $1,838,325,421 =========== ============== == ==============
See accompanying Notes to Financial Statements. 256 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (97.3%) Consumer Discretionary -- (25.2%) Barratt Developments P.L.C........ 3,291,665 $ 22,127,812 1.1% Bellway P.L.C..................... 652,849 18,313,143 0.9% Berkeley Group Holdings P.L.C..... 687,947 25,159,106 1.3% Daily Mail & General Trust P.L.C.. 1,422,483 17,999,359 0.9% Dixons Carphone P.L.C............. 2,319,507 14,728,353 0.7% Greene King P.L.C................. 1,421,372 18,273,797 0.9% Howden Joinery Group P.L.C........ 3,423,456 18,783,244 0.9% Inchcape P.L.C.................... 2,330,419 25,961,589 1.3% Informa P.L.C..................... 3,256,622 25,106,456 1.3% Rightmove P.L.C................... 492,413 16,655,156 0.8% Taylor Wimpey P.L.C............... 14,989,056 28,472,629 1.4% * Thomas Cook Group P.L.C........... 7,517,966 14,978,554 0.8% WH Smith P.L.C.................... 711,405 12,844,258 0.6% William Hill P.L.C................ 4,494,667 25,956,438 1.3% Other Securities.................. 228,230,551 11.5% ------------ ----- Total Consumer Discretionary.......... 513,590,445 25.7% ------------ ----- Consumer Staples -- (4.5%) Booker Group P.L.C................ 7,511,637 16,881,209 0.8% Britvic P.L.C..................... 1,277,429 13,927,819 0.7% Tate & Lyle P.L.C................. 1,515,587 14,667,991 0.7% Other Securities.................. 46,852,034 2.4% ------------ ----- Total Consumer Staples................ 92,329,053 4.6% ------------ ----- Energy -- (4.6%) AMEC P.L.C........................ 1,114,094 18,576,553 0.9% John Wood Group P.L.C............. 1,961,228 20,808,838 1.0% Other Securities.................. 54,101,541 2.8% ------------ ----- Total Energy.......................... 93,486,932 4.7% ------------ ----- Financials -- (14.7%) Amlin P.L.C....................... 2,654,495 19,373,906 1.0% Catlin Group, Ltd................. 1,883,388 16,179,782 0.8% Close Brothers Group P.L.C........ 788,970 18,514,828 0.9% Henderson Group P.L.C............. 5,677,167 19,118,900 1.0% Hiscox, Ltd....................... 1,674,250 18,260,643 0.9% ICAP P.L.C........................ 2,893,657 19,427,173 1.0% IG Group Holdings P.L.C........... 1,931,185 18,611,712 0.9% Man Group P.L.C................... 9,800,117 19,431,406 1.0% Other Securities.................. 151,018,176 7.5% ------------ ----- Total Financials...................... 299,936,526 15.0% ------------ ----- Health Care -- (3.7%) * BTG P.L.C......................... 1,781,080 21,529,272 1.1% Hikma Pharmaceuticals P.L.C....... 713,706 21,647,047 1.1% Other Securities.................. 32,975,002 1.6% ------------ ----- Total Health Care..................... 76,151,321 3.8% ------------ ----- Industrials -- (24.2%) Ashtead Group P.L.C............... 1,347,260 22,572,306 1.1% BBA Aviation P.L.C................ 2,792,163 15,805,781 0.8% Berendsen P.L.C................... 852,867 13,810,534 0.7% Cobham P.L.C...................... 5,618,202 26,207,126 1.3%
257 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) DCC P.L.C....................... 447,754 $ 25,092,474 1.3% Hays P.L.C...................... 7,359,440 14,534,905 0.7% Melrose Industries P.L.C........ 4,127,987 16,966,362 0.9% Rentokil Initial P.L.C.......... 9,576,875 18,886,873 1.0% Rotork P.L.C.................... 446,606 18,307,009 0.9% Spirax-Sarco Engineering P.L.C.. 399,105 18,236,514 0.9% Stagecoach Group P.L.C.......... 2,248,039 13,934,215 0.7% Other Securities................ 289,288,480 14.5% -------------- ------ Total Industrials...................... 493,642,579 24.8% -------------- ------ Information Technology -- (8.5%) Halma P.L.C..................... 2,008,362 20,039,284 1.0% Spectris P.L.C.................. 601,319 17,368,409 0.9% # Telecity Group P.L.C............ 1,018,433 12,576,541 0.6% Other Securities................ 121,983,693 6.1% -------------- ------ Total Information Technology........... 171,967,927 8.6% -------------- ------ Materials -- (6.6%) Croda International P.L.C....... 463,619 17,045,566 0.9% DS Smith P.L.C.................. 4,875,734 20,708,475 1.0% Essentra P.L.C.................. 1,229,761 13,539,887 0.7% Other Securities................ 83,503,314 4.2% -------------- ------ Total Materials........................ 134,797,242 6.8% -------------- ------ Telecommunication Services -- (2.7%) Inmarsat P.L.C.................. 2,296,017 25,210,004 1.3% TalkTalk Telecom Group P.L.C.... 2,703,937 13,013,957 0.6% Other Securities................ 17,470,514 0.9% -------------- ------ Total Telecommunication Services....... 55,694,475 2.8% -------------- ------ Utilities -- (2.6%) Drax Group P.L.C................ 2,103,725 20,016,929 1.0% Pennon Group P.L.C.............. 2,061,341 27,507,186 1.4% Other Securities................ 4,895,586 0.2% -------------- ------ Total Utilities........................ 52,419,701 2.6% -------------- ------ TOTAL COMMON STOCKS.................... 1,984,016,201 99.4% -------------- ------ RIGHTS/WARRANTS -- (0.1%) Other Securities................ 1,128,981 0.1% -------------- ------ SECURITIES LENDING COLLATERAL -- (2.6%) (S)@ DFA Short Term Investment Fund.. 4,557,215 52,726,974 2.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,533,323,942).............. $2,037,872,156 102.1% ============== ======
258 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $1,705,687 $ 511,884,758 -- $ 513,590,445 Consumer Staples............ -- 92,329,053 -- 92,329,053 Energy...................... -- 93,486,932 -- 93,486,932 Financials.................. -- 299,936,526 -- 299,936,526 Health Care................. 413,391 75,737,930 -- 76,151,321 Industrials................. -- 493,642,579 -- 493,642,579 Information Technology...... 36,400 171,931,527 -- 171,967,927 Materials................... 41,172 134,756,070 -- 134,797,242 Telecommunication Services.. -- 55,694,475 -- 55,694,475 Utilities................... -- 52,419,701 -- 52,419,701 Rights/Warrants............... 1,083,818 45,163 -- 1,128,981 Securities Lending Collateral. -- 52,726,974 -- 52,726,974 ---------- -------------- -- -------------- TOTAL......................... $3,280,468 $2,034,591,688 -- $2,037,872,156 ========== ============== == ==============
See accompanying Notes to Financial Statements. 259 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.6%) AUSTRIA -- (2.0%) Other Securities........... $ 71,759,411 2.3% ------------ ------ BELGIUM -- (2.9%) Ackermans & van Haaren NV.. 121,561 15,159,547 0.5% Other Securities........... 90,389,162 2.8% ------------ ------ TOTAL BELGIUM.................. 105,548,709 3.3% ------------ ------ DENMARK -- (4.6%) GN Store Nord A.S.......... 772,340 17,970,374 0.6% * Jyske Bank A.S............. 267,531 14,424,929 0.5% * Topdanmark A.S............. 507,925 16,167,201 0.5% * Vestas Wind Systems A.S.... 531,291 17,731,821 0.6% Other Securities........... 99,264,289 3.1% ------------ ------ TOTAL DENMARK.................. 165,558,614 5.3% ------------ ------ FINLAND -- (6.0%) Elisa Oyj.................. 702,558 19,299,483 0.6% Huhtamaki Oyj.............. 452,365 11,478,833 0.4% Kesko Oyj Class B.......... 315,046 11,948,285 0.4% Metso Oyj.................. 469,957 15,354,503 0.5% # Neste Oil Oyj.............. 609,759 13,158,259 0.4% Orion Oyj Class B.......... 401,178 13,644,702 0.4% Other Securities........... 130,365,473 4.1% ------------ ------ TOTAL FINLAND.................. 215,249,538 6.8% ------------ ------ FRANCE -- (10.4%) # Ingenico................... 171,744 17,109,701 0.6% Lagardere SCA.............. 585,070 14,238,458 0.5% # Neopost SA................. 171,272 11,886,247 0.4% Teleperformance............ 289,816 18,262,629 0.6% Other Securities........... 309,485,159 9.7% ------------ ------ TOTAL FRANCE................... 370,982,194 11.8% ------------ ------ GERMANY -- (13.1%) Aareal Bank AG............. 423,110 18,179,030 0.6% Deutsche Wohnen AG......... 885,948 19,997,303 0.6% Freenet AG................. 631,511 16,569,366 0.5% MTU Aero Engines AG........ 248,035 21,753,942 0.7% Rhoen Klinikum AG.......... 500,406 14,899,557 0.5% Stada Arzneimittel AG...... 298,237 11,491,332 0.4% TUI AG..................... 883,403 13,528,431 0.4% Other Securities........... 352,370,875 11.2% ------------ ------ TOTAL GERMANY.................. 468,789,836 14.9% ------------ ------ GREECE -- (0.0%) Other Securities........... 846 0.0% ------------ ------ IRELAND -- (1.9%) Paddy Power P.L.C.......... 175,221 12,788,109 0.4% Smurfit Kappa Group P.L.C.. 564,905 11,671,917 0.4% Other Securities........... 43,098,054 1.3% ------------ ------ TOTAL IRELAND.................. 67,558,080 2.1% ------------ ------
260 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (2.3%) Other Securities...................... $ 81,625,599 2.6% -------------- ------ ITALY -- (8.6%) Azimut Holding SpA.................... 526,953 12,333,896 0.4% * Banca Popolare dell'Emilia Romagna SC. 2,452,950 18,717,677 0.6% * Banca Popolare di Milano Scarl........ 21,335,561 16,081,112 0.5% * Finmeccanica SpA...................... 1,840,364 16,630,273 0.5% Prysmian SpA.......................... 930,455 16,125,875 0.5% Other Securities...................... 229,452,418 7.3% -------------- ------ TOTAL ITALY............................... 309,341,251 9.8% -------------- ------ NETHERLANDS -- (5.2%) Aalberts Industries NV................ 507,343 13,523,613 0.4% Delta Lloyd NV........................ 1,074,736 24,496,720 0.8% Nutreco NV............................ 360,777 18,070,377 0.6% #* SBM Offshore NV....................... 962,257 12,044,543 0.4% TNT Express NV........................ 2,283,752 13,274,323 0.4% Other Securities...................... 104,658,516 3.3% -------------- ------ TOTAL NETHERLANDS......................... 186,068,092 5.9% -------------- ------ NORWAY -- (2.7%) Other Securities...................... 97,515,854 3.1% -------------- ------ PORTUGAL -- (1.4%) * Banco Comercial Portugues SA.......... 116,756,305 13,196,571 0.4% Other Securities...................... 37,431,451 1.2% -------------- ------ TOTAL PORTUGAL............................ 50,628,022 1.6% -------------- ------ SPAIN -- (5.6%) # Bolsas y Mercados Espanoles SA........ 387,022 14,724,818 0.5% * Gamesa Corp. Tecnologica SA........... 1,146,125 11,315,727 0.4% * Jazztel P.L.C......................... 1,097,205 17,541,651 0.6% # Viscofan SA........................... 224,736 13,214,604 0.4% Other Securities...................... 142,936,668 4.4% -------------- ------ TOTAL SPAIN............................... 199,733,468 6.3% -------------- ------ SWEDEN -- (9.2%) Castellum AB.......................... 752,681 11,542,461 0.4% JM AB................................. 372,482 12,039,459 0.4% Other Securities...................... 306,117,751 9.7% -------------- ------ TOTAL SWEDEN.............................. 329,699,671 10.5% -------------- ------ SWITZERLAND -- (11.7%) ams AG................................ 305,882 10,968,617 0.4% * Dufry AG.............................. 105,189 15,165,112 0.5% Flughafen Zuerich AG.................. 19,754 12,587,599 0.4% GAM Holding AG........................ 828,863 14,155,213 0.5% Georg Fischer AG...................... 20,425 11,796,958 0.4% Helvetia Holding AG................... 32,824 15,608,324 0.5% Lonza Group AG........................ 216,869 23,896,040 0.8% PSP Swiss Property AG................. 148,327 12,730,412 0.4% Straumann Holding AG.................. 47,712 11,746,936 0.4% Other Securities...................... 289,849,302 9.0% -------------- ------ TOTAL SWITZERLAND......................... 418,504,513 13.3% -------------- ------ TOTAL COMMON STOCKS....................... 3,138,563,698 99.6% -------------- ------
261 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- RIGHTS/WARRANTS -- (0.1%) AUSTRIA -- (0.0%) Other Securities................ $ 430 0.0% -------------- ------ FRANCE -- (0.1%) Other Securities................ 735,420 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities................ 421,400 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................ 172,545 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 152,032 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 1,481,827 0.0% -------------- ------ Value+ ------ SECURITIES LENDING COLLATERAL -- (12.3%) (S)@ DFA Short Term Investment Fund.. 38,146,040 441,349,686 14.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,059,179,623)............... $3,581,395,211 113.6% ============== ======
262 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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..................... -- $ 71,759,411 -- $ 71,759,411 Belgium..................... -- 105,548,709 -- 105,548,709 Denmark..................... -- 165,558,614 -- 165,558,614 Finland..................... -- 215,249,538 -- 215,249,538 France...................... $ 577,107 370,405,087 -- 370,982,194 Germany..................... 1,506,397 467,283,439 -- 468,789,836 Greece...................... -- 846 -- 846 Ireland..................... -- 67,558,080 -- 67,558,080 Israel...................... -- 81,625,599 -- 81,625,599 Italy....................... -- 309,341,251 -- 309,341,251 Netherlands................. -- 186,068,092 -- 186,068,092 Norway...................... -- 97,515,854 -- 97,515,854 Portugal.................... -- 50,628,022 -- 50,628,022 Spain....................... 34,154 199,699,314 -- 199,733,468 Sweden...................... 377,647 329,322,024 -- 329,699,671 Switzerland................. -- 418,504,513 -- 418,504,513 Rights/Warrants Austria..................... -- 430 -- 430 France...................... -- 735,420 -- 735,420 Germany..................... -- 421,400 -- 421,400 Italy....................... -- 172,545 -- 172,545 Portugal.................... -- -- -- -- Spain....................... -- 152,032 -- 152,032 Securities Lending Collateral. -- 441,349,686 -- 441,349,686 ---------- -------------- -- -------------- TOTAL......................... $2,495,305 $3,578,899,906 -- $3,581,395,211 ========== ============== == ==============
See accompanying Notes to Financial Statements. 263 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (78.8%) Consumer Discretionary -- (8.5%) # Cineplex, Inc............................... 290,435 $ 10,941,724 1.3% # Corus Entertainment, Inc. Class B........... 414,416 7,626,093 0.9% * Great Canadian Gaming Corp.................. 302,800 5,491,533 0.7% #* Imax Corp................................... 252,317 7,430,372 0.9% Linamar Corp................................ 238,706 12,193,163 1.4% RONA, Inc................................... 681,945 8,319,723 1.0% Other Securities............................ 39,355,775 4.6% ------------ ------ Total Consumer Discretionary.................... 91,358,383 10.8% ------------ ------ Consumer Staples -- (3.0%) # Maple Leaf Foods, Inc....................... 536,764 9,286,986 1.1% Other Securities............................ 22,403,255 2.6% ------------ ------ Total Consumer Staples.......................... 31,690,241 3.7% ------------ ------ Energy -- (21.2%) * Bankers Petroleum, Ltd...................... 1,411,399 5,422,437 0.6% # Bonavista Energy Corp....................... 572,444 5,378,805 0.6% # Bonterra Energy Corp........................ 138,595 6,230,965 0.7% # Canadian Energy Services & Technology Corp.. 950,642 7,338,259 0.9% # Enbridge Income Fund Holdings, Inc.......... 246,855 6,505,118 0.8% * Gran Tierra Energy, Inc..................... 1,393,412 6,354,765 0.7% # Mullen Group, Ltd........................... 483,025 9,385,784 1.1% * NuVista Energy, Ltd......................... 678,709 6,244,809 0.7% # Parkland Fuel Corp.......................... 400,877 7,842,898 0.9% # Pason Systems, Inc.......................... 368,652 8,821,742 1.0% Secure Energy Services, Inc................. 558,354 10,339,247 1.2% ShawCor, Ltd................................ 125,996 5,550,509 0.7% # Surge Energy, Inc........................... 1,179,583 6,541,319 0.8% Trican Well Service, Ltd.................... 817,696 7,327,740 0.9% # Whitecap Resources, Inc..................... 848,168 10,979,788 1.3% Other Securities............................ 117,421,885 13.9% ------------ ------ Total Energy.................................... 227,686,070 26.8% ------------ ------ Financials -- (6.8%) Canadian Western Bank....................... 300,957 10,080,411 1.2% FirstService Corp........................... 152,248 8,045,687 0.9% # Genworth MI Canada, Inc..................... 149,254 5,217,699 0.6% Home Capital Group, Inc..................... 241,200 11,560,822 1.4% Laurentian Bank of Canada................... 163,720 7,202,198 0.8% Other Securities............................ 30,958,654 3.7% ------------ ------ Total Financials................................ 73,065,471 8.6% ------------ ------ Health Care -- (1.4%) * Endo International P.L.C.................... 82,099 5,485,893 0.7% Other Securities............................ 9,961,226 1.1% ------------ ------ Total Health Care............................... 15,447,119 1.8% ------------ ------ Industrials -- (13.1%) * ATS Automation Tooling Systems, Inc......... 500,030 6,255,643 0.7% Badger Daylighting, Ltd..................... 212,981 5,232,637 0.6% MacDonald Dettwiler & Associates, Ltd....... 112,170 8,553,205 1.0% # Ritchie Bros Auctioneers, Inc............... 378,801 9,259,543 1.1% # Russel Metals, Inc.......................... 332,255 9,684,199 1.1%
264 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Stantec, Inc......................... 228,285 $ 14,464,160 1.7% Toromont Industries, Ltd............. 262,225 6,261,013 0.7% TransForce, Inc...................... 442,709 10,825,660 1.3% # Westshore Terminals Investment Corp.. 274,032 8,351,891 1.0% # WSP Global, Inc...................... 234,492 7,138,477 0.8% Other Securities..................... 55,234,526 6.6% -------------- ------ Total Industrials.......................... 141,260,954 16.6% -------------- ------ Information Technology -- (5.1%) * Celestica, Inc....................... 949,607 10,430,890 1.2% DH Corp.............................. 438,495 14,006,317 1.6% Other Securities..................... 29,917,238 3.6% -------------- ------ Total Information Technology............... 54,354,445 6.4% -------------- ------ Materials -- (14.9%) CCL Industries, Inc. Class B......... 111,467 11,268,843 1.3% * Dominion Diamond Corp................ 385,640 5,395,983 0.6% HudBay Minerals, Inc................. 1,202,315 9,206,316 1.1% * Interfor Corp........................ 373,031 5,672,997 0.7% Pan American Silver Corp............. 711,104 6,574,423 0.8% Stella-Jones, Inc.................... 180,100 5,230,179 0.6% Other Securities..................... 116,725,872 13.8% -------------- ------ Total Materials............................ 160,074,613 18.9% -------------- ------ Telecommunication Services -- (0.4%) Other Securities..................... 4,162,391 0.5% -------------- ------ Utilities -- (4.4%) Algonquin Power & Utilities Corp..... 930,215 7,593,255 0.9% Capital Power Corp................... 459,109 10,420,131 1.2% # Northland Power, Inc................. 517,996 7,707,549 0.9% # Superior Plus Corp................... 668,843 7,245,972 0.9% Other Securities..................... 14,834,337 1.7% -------------- ------ Total Utilities............................ 47,801,244 5.6% -------------- ------ TOTAL COMMON STOCKS........................ 846,900,931 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities..................... 26,252 0.0% -------------- ------ SECURITIES LENDING COLLATERAL -- (21.2%) (S)@ DFA Short Term Investment Fund....... 19,706,531 228,004,569 26.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,214,058,509).................. $1,074,931,752 126.5% ============== ======
265 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...... $ 91,358,383 -- -- $ 91,358,383 Consumer Staples............ 31,690,241 -- -- 31,690,241 Energy...................... 227,685,821 $ 249 -- 227,686,070 Financials.................. 73,065,471 -- -- 73,065,471 Health Care................. 15,439,083 8,036 -- 15,447,119 Industrials................. 141,260,954 -- -- 141,260,954 Information Technology...... 54,354,445 -- -- 54,354,445 Materials................... 160,037,600 37,013 -- 160,074,613 Telecommunication Services.. 4,162,391 -- -- 4,162,391 Utilities................... 47,801,244 -- -- 47,801,244 Rights/Warrants............... -- 26,252 -- 26,252 Securities Lending Collateral. -- 228,004,569 -- 228,004,569 ------------ ------------ -- -------------- TOTAL......................... $846,855,633 $228,076,119 -- $1,074,931,752 ============ ============ == ==============
See accompanying Notes to Financial Statements. 266 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.3%) BRAZIL -- (6.2%) # AMBEV SA ADR........................................ 4,395,524 $ 29,362,100 0.7% BRF SA ADR.......................................... 539,479 14,053,428 0.3% # Petroleo Brasileiro SA ADR.......................... 1,308,418 15,308,491 0.4% Other Securities.................................... 218,287,452 5.2% ------------ ----- TOTAL BRAZIL............................................ 277,011,471 6.6% ------------ ----- CHILE -- (1.4%) Other Securities.................................... 64,072,471 1.5% ------------ ----- CHINA -- (14.2%) Bank of China, Ltd. Class H......................... 64,409,100 30,829,478 0.7% China Construction Bank Corp. Class H............... 60,826,590 45,382,653 1.1% # China Life Insurance Co., Ltd. ADR.................. 321,472 14,385,872 0.4% China Mobile, Ltd. Sponsored ADR.................... 926,803 57,545,198 1.4% # CNOOC, Ltd. ADR..................................... 127,716 19,970,951 0.5% Industrial & Commercial Bank of China, Ltd. Class H. 70,069,185 46,432,446 1.1% # PetroChina Co., Ltd. ADR............................ 141,297 17,732,773 0.4% Tencent Holdings, Ltd............................... 4,238,200 68,117,466 1.6% Other Securities.................................... 335,139,774 8.0% ------------ ----- TOTAL CHINA............................................. 635,536,611 15.2% ------------ ----- COLOMBIA -- (0.6%) Other Securities.................................... 27,696,617 0.7% ------------ ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 10,267,693 0.2% ------------ ----- EGYPT -- (0.1%) Other Securities.................................... 5,504,432 0.1% ------------ ----- GREECE -- (0.5%) Other Securities.................................... 21,268,474 0.5% ------------ ----- HUNGARY -- (0.2%) Other Securities.................................... 10,085,929 0.2% ------------ ----- INDIA -- (8.5%) HDFC Bank, Ltd...................................... 1,530,953 22,816,462 0.6% Infosys, Ltd........................................ 246,907 16,378,721 0.4% # Infosys, Ltd. Sponsored ADR......................... 211,972 14,172,448 0.3% ITC, Ltd............................................ 2,345,449 13,543,182 0.3% Reliance Industries, Ltd............................ 1,386,691 22,471,396 0.5% Tata Consultancy Services, Ltd...................... 504,640 21,528,073 0.5% Other Securities.................................... 271,621,769 6.5% ------------ ----- TOTAL INDIA............................................. 382,532,051 9.1% ------------ ----- INDONESIA -- (3.0%) Bank Central Asia Tbk PT............................ 12,941,000 13,970,328 0.3% Other Securities.................................... 118,273,805 2.9% ------------ ----- TOTAL INDONESIA......................................... 132,244,133 3.2% ------------ -----
267 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.3%) # Malayan Banking Bhd....................... 5,072,736 $ 14,965,200 0.4% Other Securities.......................... 177,724,955 4.2% ------------ ----- TOTAL MALAYSIA................................ 192,690,155 4.6% ------------ ----- MEXICO -- (5.4%) # America Movil S.A.B. de C.V. Series L..... 37,750,669 46,171,244 1.1% #* Cemex S.A.B. de C.V. Sponsored ADR........ 1,449,200 17,825,160 0.4% # Fomento Economico Mexicano S.A.B. de C.V.. 1,793,669 17,279,694 0.4% Grupo Financiero Banorte S.A.B. de C.V.... 2,706,211 17,343,062 0.4% # Grupo Mexico S.A.B. de C.V. Series B...... 4,225,397 14,543,555 0.3% Grupo Televisa S.A.B. Series CPO.......... 2,556,698 18,522,711 0.4% Other Securities.......................... 110,176,180 2.8% ------------ ----- TOTAL MEXICO.................................. 241,861,606 5.8% ------------ ----- PERU -- (0.3%) Other Securities.......................... 12,716,077 0.3% ------------ ----- PHILIPPINES -- (1.3%) Other Securities.......................... 57,906,686 1.4% ------------ ----- POLAND -- (1.7%) Other Securities.......................... 75,493,710 1.8% ------------ ----- RUSSIA -- (2.4%) Gazprom OAO Sponsored ADR................. 5,965,736 39,527,845 1.0% Other Securities.......................... 68,471,968 1.6% ------------ ----- TOTAL RUSSIA.................................. 107,999,813 2.6% ------------ ----- SOUTH AFRICA -- (7.4%) FirstRand, Ltd............................ 3,475,911 14,888,452 0.4% MTN Group, Ltd............................ 1,869,995 41,407,390 1.0% Naspers, Ltd. Class N..................... 330,032 41,164,606 1.0% Sanlam, Ltd............................... 2,156,341 13,626,005 0.3% Sasol, Ltd. Sponsored ADR................. 609,116 30,571,532 0.7% Standard Bank Group, Ltd.................. 1,470,731 18,520,581 0.4% Other Securities.......................... 171,748,520 4.1% ------------ ----- TOTAL SOUTH AFRICA............................ 331,927,086 7.9% ------------ ----- SOUTH KOREA -- (13.5%) Hana Financial Group, Inc................. 408,553 14,148,126 0.3% Hyundai Mobis Co., Ltd.................... 67,404 15,770,151 0.4% Hyundai Motor Co.......................... 153,078 24,290,657 0.6% Naver Corp................................ 28,421 20,111,321 0.5% POSCO..................................... 47,828 13,814,499 0.3% Samsung Electronics Co., Ltd.............. 82,858 96,624,233 2.3% Samsung Electronics Co., Ltd. GDR......... 49,372 28,491,043 0.7% Shinhan Financial Group Co., Ltd.......... 356,215 16,765,534 0.4% * SK Hynix, Inc............................. 591,090 26,359,238 0.6% Other Securities.......................... 349,561,403 8.4% ------------ ----- TOTAL SOUTH KOREA............................. 605,936,205 14.5% ------------ ----- SPAIN -- (0.1%) Other Securities.......................... 2,648,146 0.1% ------------ -----
268 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (13.7%) Fubon Financial Holding Co., Ltd............. 7,900,233 $ 13,374,482 0.3% Hon Hai Precision Industry Co., Ltd.......... 13,621,302 43,111,377 1.0% # MediaTek, Inc................................ 1,280,995 18,296,396 0.4% Taiwan Semiconductor Manufacturing Co., Ltd.. 25,188,808 109,190,220 2.6% Other Securities............................. 429,338,339 10.4% -------------- ------ TOTAL TAIWAN....................................... 613,310,814 14.7% -------------- ------ THAILAND -- (2.6%) PTT PCL...................................... 1,203,800 13,601,425 0.3% Other Securities............................. 101,548,797 2.5% -------------- ------ TOTAL THAILAND..................................... 115,150,222 2.8% -------------- ------ TURKEY -- (1.7%) Other Securities............................. 75,903,106 1.8% -------------- ------ TOTAL COMMON STOCKS................................ 3,999,763,508 95.6% -------------- ------ PREFERRED STOCKS -- (3.7%) BRAZIL -- (3.6%) Banco Bradesco SA............................ 2,233,995 33,650,617 0.8% Itau Unibanco Holding SA..................... 2,825,064 41,923,253 1.0% Petroleo Brasileiro SA Sponsored ADR......... 1,884,456 23,046,897 0.6% Vale SA...................................... 1,529,491 13,308,584 0.3% Other Securities............................. 47,986,045 1.1% -------------- ------ TOTAL BRAZIL....................................... 159,915,396 3.8% -------------- ------ CHILE -- (0.0%) Other Securities............................. 29,097 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities............................. 5,631,663 0.1% -------------- ------ TOTAL PREFERRED STOCKS............................. 165,576,156 3.9% -------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities............................. 79,567 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities............................. -- 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................. 79,567 0.0% -------------- ------ Value+ ------ SECURITIES LENDING COLLATERAL -- (7.0%) (S)@ DFA Short Term Investment Fund............... 27,038,515 312,835,617 7.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,254,198,535).......................... $4,478,254,848 107.0% ============== ======
269 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 2014, 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...................... $112,939,346 $ 164,072,125 -- $ 277,011,471 Chile....................... 29,542,788 34,529,683 -- 64,072,471 China....................... 137,498,699 498,037,912 -- 635,536,611 Colombia.................... 27,696,617 -- -- 27,696,617 Czech Republic.............. -- 10,267,693 -- 10,267,693 Egypt....................... -- 5,504,432 -- 5,504,432 Greece...................... -- 21,268,474 -- 21,268,474 Hungary..................... -- 10,085,929 -- 10,085,929 India....................... 43,191,897 339,340,154 -- 382,532,051 Indonesia................... 825,627 131,418,506 -- 132,244,133 Malaysia.................... -- 192,690,155 -- 192,690,155 Mexico...................... 241,861,606 -- -- 241,861,606 Peru........................ 12,716,077 -- -- 12,716,077 Philippines................. 776,129 57,130,557 -- 57,906,686 Poland...................... -- 75,493,710 -- 75,493,710 Russia...................... 2,510,820 105,488,993 -- 107,999,813 South Africa................ 40,617,243 291,309,843 -- 331,927,086 South Korea................. 23,107,675 582,828,530 -- 605,936,205 Spain....................... 2,648,146 -- -- 2,648,146 Taiwan...................... 14,619,258 598,691,556 -- 613,310,814 Thailand.................... 115,150,222 -- -- 115,150,222 Turkey...................... 1,080,250 74,822,856 -- 75,903,106 Preferred Stocks Brazil...................... 29,186,093 130,729,303 -- 159,915,396 Chile....................... -- 29,097 -- 29,097 Colombia.................... 5,631,663 -- -- 5,631,663 Rights/Warrants Hong Kong................... -- 79,567 -- 79,567 Thailand.................... -- -- -- -- Securities Lending Collateral. -- 312,835,617 -- 312,835,617 ------------ -------------- -- -------------- TOTAL......................... $841,600,156 $3,636,654,692 -- $4,478,254,848 ============ ============== == ==============
See accompanying Notes to Financial Statements. 270 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.4%) ARGENTINA -- (0.0%) Other Securities........................................ $ 1 0.0% ------------ ------ BRAZIL -- (6.5%) * B2W Cia Digital......................................... 1,010,922 13,179,115 0.3% Cia Hering.............................................. 1,170,190 11,805,299 0.2% Cyrela Brazil Realty SA Empreendimentos e Participacoes. 1,928,800 9,584,339 0.2% EDP -- Energias do Brasil SA............................ 2,710,808 10,583,122 0.2% Equatorial Energia SA................................... 1,644,794 16,780,731 0.3% Estacio Participacoes SA................................ 1,461,804 16,922,055 0.4% Kroton Educacional SA................................... 2,457,240 17,508,535 0.4% MRV Engenharia e Participacoes SA....................... 3,395,133 11,229,446 0.2% Odontoprev SA........................................... 3,083,796 11,141,528 0.2% Raia Drogasil SA........................................ 1,124,075 10,193,104 0.2% Sul America SA.......................................... 1,801,909 9,564,666 0.2% Totvs SA................................................ 976,100 14,226,921 0.3% Other Securities........................................ 210,140,000 4.3% ------------ ------ TOTAL BRAZIL................................................ 362,858,861 7.4% ------------ ------ CAYMAN ISLANDS -- (0.0%) Other Securities........................................ 173,949 0.0% ------------ ------ CHILE -- (1.2%) Parque Arauco SA........................................ 5,929,777 12,167,289 0.3% Other Securities........................................ 55,087,000 1.1% ------------ ------ TOTAL CHILE................................................. 67,254,289 1.4% ------------ ------ CHINA -- (13.0%) # China Medical System Holdings, Ltd...................... 5,090,500 9,385,336 0.2% # Geely Automobile Holdings, Ltd.......................... 26,870,000 11,993,642 0.3% # Hanergy Thin Film Power Group, Ltd...................... 42,960,000 9,801,792 0.2% #* Semiconductor Manufacturing International Corp.......... 113,913,000 11,810,133 0.2% Sino Biopharmaceutical, Ltd............................. 13,536,000 13,610,428 0.3% Other Securities........................................ 669,516,693 13.6% ------------ ------ TOTAL CHINA................................................. 726,118,024 14.8% ------------ ------ COLOMBIA -- (0.1%) Other Securities........................................ 3,754,432 0.1% ------------ ------ GREECE -- (0.5%) Other Securities........................................ 29,197,746 0.6% ------------ ------ HONG KONG -- (0.0%) Other Securities........................................ 366,856 0.0% ------------ ------ HUNGARY -- (0.0%) Other Securities........................................ 755,325 0.0% ------------ ------ INDIA -- (10.7%) Aurobindo Pharma, Ltd................................... 1,129,123 17,834,037 0.4% Bharat Forge, Ltd....................................... 737,890 9,746,080 0.2% Eicher Motors, Ltd...................................... 44,217 9,154,615 0.2%
271 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) UPL, Ltd................................................ 2,016,992 $ 11,377,374 0.2% Other Securities........................................ 547,895,680 11.1% ------------ ------ TOTAL INDIA................................................. 596,007,786 12.1% ------------ ------ INDONESIA -- (3.0%) Other Securities........................................ 167,649,231 3.4% ------------ ------ ISRAEL -- (0.0%) Other Securities........................................ 11,979 0.0% ------------ ------ MALAYSIA -- (5.1%) Other Securities........................................ 283,665,087 5.8% ------------ ------ MEXICO -- (4.3%) #* Alsea S.A.B. de C.V..................................... 4,466,994 14,001,806 0.3% # Banregio Grupo Financiero S.A.B. de C.V................. 1,587,291 9,194,000 0.2% #* Genomma Lab Internacional S.A.B. de C.V. Class B........ 7,354,004 18,627,686 0.4% #* Gruma S.A.B. de C.V. Class B............................ 1,606,949 17,652,722 0.4% # Grupo Aeroportuario del Centro Norte S.A.B. de C.V...... 1,896,020 9,405,301 0.2% # Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 2,116,469 14,454,778 0.3% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR...... 100,208 13,496,013 0.3% # Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B.. 724,790 9,771,512 0.2% #* Industrias CH S.A.B. de C.V. Series B................... 1,696,510 9,294,979 0.2% * Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,454,679 20,065,469 0.4% Other Securities........................................ 106,482,210 2.0% ------------ ------ TOTAL MEXICO................................................ 242,446,476 4.9% ------------ ------ PHILIPPINES -- (1.3%) Other Securities........................................ 74,779,382 1.5% ------------ ------ POLAND -- (1.8%) Asseco Poland SA........................................ 656,782 9,749,693 0.2% Lubelski Wegiel Bogdanka SA............................. 274,756 9,120,473 0.2% Other Securities........................................ 82,706,939 1.7% ------------ ------ TOTAL POLAND................................................ 101,577,105 2.1% ------------ ------ SOUTH AFRICA -- (7.3%) Aeci, Ltd............................................... 874,500 9,805,655 0.2% AVI, Ltd................................................ 2,864,947 18,683,109 0.4% Barloworld, Ltd......................................... 1,322,234 11,486,919 0.2% # Clicks Group, Ltd....................................... 2,503,733 17,074,770 0.4% Coronation Fund Managers, Ltd........................... 1,346,747 11,660,676 0.2% # Foschini Group, Ltd. (The).............................. 1,278,900 14,457,346 0.3% Nampak, Ltd............................................. 2,719,764 11,091,128 0.2% Omnia Holdings, Ltd..................................... 586,831 11,713,180 0.2% PPC, Ltd................................................ 4,672,984 12,536,595 0.3% * Sappi, Ltd.............................................. 4,863,405 19,262,207 0.4% # Spar Group, Ltd. (The).................................. 1,304,149 15,258,631 0.3% Sun International, Ltd.................................. 901,369 10,096,536 0.2% * Telkom SA SOC, Ltd...................................... 2,411,246 12,813,649 0.3% Tongaat Hulett, Ltd..................................... 819,141 10,808,964 0.2% Other Securities........................................ 223,472,489 4.5% ------------ ------ TOTAL SOUTH AFRICA.......................................... 410,221,854 8.3% ------------ ------
272 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (12.7%) DGB Financial Group, Inc............ 721,377 $ 10,286,948 0.2% Macquarie Korea Infrastructure Fund. 1,514,061 10,111,962 0.2% Other Securities.................... 690,451,661 14.0% -------------- ------ TOTAL SOUTH KOREA....................... 710,850,571 14.4% -------------- ------ TAIWAN -- (12.6%) Other Securities.................... 706,354,207 14.4% -------------- ------ THAILAND -- (3.9%) Other Securities.................... 216,046,356 4.4% -------------- ------ TURKEY -- (2.4%) Other Securities.................... 135,178,601 2.7% -------------- ------ TOTAL COMMON STOCKS..................... 4,835,268,118 98.3% -------------- ------ PREFERRED STOCKS -- (1.1%) BRAZIL -- (1.0%) Other Securities.................... 57,412,096 1.1% -------------- ------ CHILE -- (0.0%) Other Securities.................... 14,136 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities.................... 3,466,398 0.1% -------------- ------ MALAYSIA -- (0.0%) Other Securities.................... 29,710 0.0% -------------- ------ TOTAL PREFERRED STOCKS.................. 60,922,340 1.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities.................... 954 0.0% -------------- ------ CHINA -- (0.0%) Other Securities.................... 16,652 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities.................... 442,290 0.0% -------------- ------ INDONESIA -- (0.0%) Other Securities.................... 2,968 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities.................... -- 0.0% -------------- ------ POLAND -- (0.0%) Other Securities.................... 2,864 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities.................... 23,142 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities.................... 1,123 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities.................... 12,789 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 502,782 0.0% -------------- ------
273 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund.. 60,395,887 $ 698,780,414 14.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,112,385,384)............... $5,595,473,654 113.7% ============== ======
Summary of the Series' investments as of October 31, 2014, 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...................... 10,395,875 $ 352,462,986 -- 362,858,861 Cayman Islands.............. 173,949 -- -- 173,949 Chile....................... 3,448,774 63,805,515 -- 67,254,289 China....................... 442,049 725,675,975 -- 726,118,024 Colombia.................... 3,754,432 -- -- 3,754,432 Greece...................... -- 29,197,746 -- 29,197,746 Hong Kong................... -- 366,856 -- 366,856 Hungary..................... -- 755,325 -- 755,325 India....................... 527,424 595,480,362 -- 596,007,786 Indonesia................... 2,642,819 165,006,412 -- 167,649,231 Israel...................... -- 11,979 -- 11,979 Malaysia.................... 97,116 283,567,971 -- 283,665,087 Mexico...................... 242,291,101 155,375 -- 242,446,476 Philippines................. -- 74,779,382 -- 74,779,382 Poland...................... -- 101,577,105 -- 101,577,105 South Africa................ 11,844,483 398,377,371 -- 410,221,854 South Korea................. 7,659,035 703,191,536 -- 710,850,571 Taiwan...................... 831,572 705,522,635 -- 706,354,207 Thailand.................... 216,046,356 -- -- 216,046,356 Turkey...................... 1,922,379 133,256,222 -- 135,178,601 Preferred Stocks Brazil...................... -- 57,412,096 -- 57,412,096 Chile....................... -- 14,136 -- 14,136 Colombia.................... 3,466,398 -- -- 3,466,398 Malaysia.................... -- 29,710 -- 29,710 Rights/Warrants Brazil...................... -- 954 -- 954 China....................... -- 16,652 -- 16,652 Hong Kong................... -- 442,290 -- 442,290 Indonesia................... -- 2,968 -- 2,968 Malaysia.................... -- -- -- -- Poland...................... -- 2,864 -- 2,864 South Korea................. -- 23,142 -- 23,142 Taiwan...................... -- 1,123 -- 1,123 Thailand.................... -- 12,789 -- 12,789 Securities Lending Collateral. -- 698,780,414 -- 698,780,414 ------------ -------------- -- -------------- TOTAL......................... $505,543,763 $5,089,929,891 -- $5,595,473,654 ============ ============== == ==============
See accompanying Notes to Financial Statements. 274 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (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 $879,034, $520,229, $354,425 and $358,051 of securities on loan, respectively)........... $18,311,884 $9,287,538 $2,488,895 $1,447,465 Temporary Cash Investments at Value & Cost................... 87,103 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................ 859,318 539,366 377,081 390,860 Foreign Currencies at Value.................................. -- 17,690 1,486 2,507 Cash......................................................... 13,825 5,422 1,528 3,441 Receivables: Investment Securities Sold................................. 20,227 24,359 2,766 1,118 Dividends, Interest and Tax Reclaims....................... 21,253 23,482 13,265 1,317 Securities Lending Income.................................. 283 296 376 328 ----------- ---------- ---------- ---------- Total Assets............................................ 19,313,893 9,898,153 2,885,397 1,847,036 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned........................... 859,318 539,366 377,081 390,860 Investment Securities Purchased............................ 75,770 13,093 2,549 2,179 Due to Advisor............................................. 1,485 1,536 207 121 Unrealized Loss on Foreign Currency Contracts................ -- 8 -- 3 Accrued Expenses and Other Liabilities....................... 638 484 151 87 ----------- ---------- ---------- ---------- Total Liabilities....................................... 937,211 554,487 379,988 393,250 ----------- ---------- ---------- ---------- NET ASSETS................................................... $18,376,682 $9,343,666 $2,505,409 $1,453,786 =========== ========== ========== ========== Investments at Cost.......................................... $11,646,135 $8,230,505 $2,364,260 $1,442,209 =========== ========== ========== ========== Foreign Currencies at Cost................................... $ -- $ 17,831 $ 1,505 $ 2,520 =========== ========== ========== ==========
---------- * 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, 2014 (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 $48,155, $405,924, $243,562, $432,917 and $871,848 of securities on loan, respectively).............................. $1,985,145 $3,140,046 $ 846,927 $4,165,419 $4,896,693 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 52,727 441,350 228,005 312,836 698,780 Foreign Currencies at Value................. 4,826 10,243 251 11,976 10,393 Cash........................................ 2,460 338 2,616 6,150 8,696 Receivables: Investment Securities Sold................ 82 4,135 95 7,772 4,844 Dividends, Interest and Tax Reclaims...... 5,936 1,554 779 3,360 4,367 Securities Lending Income................. 30 572 227 421 2,258 ---------- ---------- ---------- ---------- ---------- Total Assets........................... 2,051,206 3,598,238 1,078,900 4,507,934 5,626,031 ---------- ---------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 55,064 441,350 228,005 312,836 698,780 Investment Securities Purchased........... -- 4,177 1,341 8,960 4,576 Due to Advisor............................ 164 262 74 346 826 Unrealized Loss on Foreign Currency Contracts.................................. -- -- 9 1 5 Accrued Expenses and Other Liabilities...... 80 172 42 340 406 ---------- ---------- ---------- ---------- ---------- Total Liabilities...................... 55,308 445,961 229,471 322,483 704,593 ---------- ---------- ---------- ---------- ---------- NET ASSETS.................................. $1,995,898 $3,152,277 $ 849,429 $4,185,451 $4,921,438 ========== ========== ========== ========== ========== Investments at Cost......................... $1,480,597 $2,617,830 $ 986,054 $2,941,363 $4,413,605 ========== ========== ========== ========== ========== Foreign Currencies at Cost.................. $ 4,863 $ 10,332 $ 251 $ 12,030 $ 10,444 ========== ========== ========== ========== ==========
---------- * 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, 2014 (Amounts in thousands)
The Japanese The Asia The U.S. The DFA Small Pacific Small Large Cap International Company Company Value Series Value Series Series Series ------------ ------------- ------------ ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $24,564, $4,408 and $1,164, respectively)......................... $ 334,109 $ 429,413 $ 39,733 $ 52,945 Interest.................................................. 25 1 -- -- Income from Securities Lending............................ 3,070 10,716 3,412 3,989 ---------- --------- -------- --------- Total Investment Income................................ 337,204 440,130 43,145 56,934 ---------- --------- -------- --------- Expenses Investment Advisory Services Fees......................... 16,749 18,658 2,353 1,392 Accounting & Transfer Agent Fees.......................... 840 479 123 81 Custodian Fees............................................ 177 807 445 313 Shareholders' Reports..................................... 24 14 4 2 Directors'/Trustees' Fees & Expenses...................... 118 66 17 10 Professional Fees......................................... 320 255 56 33 Other..................................................... 71 82 23 14 ---------- --------- -------- --------- Total Expenses......................................... 18,299 20,361 3,021 1,845 ---------- --------- -------- --------- Fees Paid Indirectly...................................... -- (12) (4) (5) ---------- --------- -------- --------- Net Expenses.............................................. 18,299 20,349 3,017 1,840 ---------- --------- -------- --------- Net Investment Income (Loss).............................. 318,905 419,781 40,128 55,094 ---------- --------- -------- --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.............................. 755,725 173,096 97,004 882 Foreign Currency Transactions........................... -- (1,763) (567) (18) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............. 1,319,300 (672,491) (82,784) (101,865) Translation of Foreign Currency Denominated Amounts..... -- (1,379) (535) (11) ---------- --------- -------- --------- Net Realized and Unrealized Gain (Loss)................... 2,075,025 (502,537) 13,118 (101,012) ---------- --------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $2,393,930 $ (82,756) $ 53,246 $ (45,918) ========== ========= ======== =========
See accompanying Notes to Financial Statements. 277 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2014 (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 $73, $11,265, $3,135, $13,268 and $11,147, respectively)........................................ $ 64,648 $ 75,169 $ 18,660 $100,897 $102,507 Interest.............................................. -- 21 -- 5 5 Income from Securities Lending........................ 297 10,965 3,089 4,838 20,018 --------- --------- -------- -------- -------- Total Investment Income............................ 64,945 86,155 21,749 105,740 122,530 --------- --------- -------- -------- -------- Expenses Investment Advisory Services Fees..................... 2,100 3,415 857 3,968 8,929 Accounting & Transfer Agent Fees...................... 110 182 44 210 235 Custodian Fees........................................ 105 563 75 1,577 2,347 Shareholders' Reports................................. 3 5 1 6 7 Directors'/Trustees' Fees & Expenses.................. 15 24 6 28 31 Professional Fees..................................... 51 110 19 146 219 Other................................................. 18 31 6 37 46 --------- --------- -------- -------- -------- Total Expenses..................................... 2,402 4,330 1,008 5,972 11,814 --------- --------- -------- -------- -------- Fees Paid Indirectly.................................. (1) (2) (4) (12) (12) --------- --------- -------- -------- -------- Net Expenses.......................................... 2,401 4,328 1,004 5,960 11,802 --------- --------- -------- -------- -------- Net Investment Income (Loss).......................... 62,544 81,827 20,745 99,780 110,728 --------- --------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*......................... 111,297 116,406 (2,865) (24,811) 101,054 Futures............................................. -- (1,000) -- -- -- Foreign Currency Transactions....................... (238) (321) 86 (653) (980) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... (148,584) (269,561) (64,673) 12,344 20,955 Translation of Foreign Currency Denominated Amounts............................................ (41) (151) 5 (12) (139) --------- --------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)............... (37,566) (154,627) (67,447) (13,132) 120,890 --------- --------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................ $ 24,978 $ (72,800) $(46,702) $ 86,648 $231,618 ========= ========= ======== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $1,375, 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, 2014 2013 2014 2013 2014 2013 ----------- ----------- ---------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........... $ 318,905 $ 250,494 $ 419,781 $ 252,489 $ 40,128 $ 37,996 Net Realized Gain (Loss) on: Investment Securities Sold*.......... 755,725 1,042,669 173,096 394,216 97,004 94,606 Futures.............................. -- -- -- (1,587) -- -- Foreign Currency Transactions........ -- -- (1,763) (2,158) (567) (2,405) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 1,319,300 2,531,751 (672,491) 1,329,657 (82,784) 403,911 Translation of Foreign Currency Denominated Amounts................. -- -- (1,379) 544 (535) 393 ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 2,393,930 3,824,914 (82,756) 1,973,161 53,246 534,501 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions.......................... 1,721,914 1,639,135 1,022,273 1,055,913 296,221 268,246 Withdrawals............................ (578,150) (1,214,213) (387,981) (1,475,193) (125,682) (207,854) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 1,143,764 424,922 634,292 (419,280) 170,539 60,392 ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... 3,537,694 4,249,836 551,536 1,553,881 223,785 594,893 Net Assets Beginning of Year...................... 14,838,988 10,589,152 8,792,130 7,238,249 2,281,624 1,686,731 ----------- ----------- ---------- ----------- ---------- ---------- End of Year............................ $18,376,682 $14,838,988 $9,343,666 $ 8,792,130 $2,505,409 $2,281,624 =========== =========== ========== =========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $3, $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, 2014 2013 2014 2013 2014 2013 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 55,094 $ 51,800 $ 62,544 $ 55,266 $ 81,827 $ 70,319 Net Realized Gain (Loss) on: Investment Securities Sold*........... 882 2,045 111,297 110,830 116,406 61,594 Futures............................... -- -- -- -- (1,000) -- Foreign Currency Transactions......... (18) 32 (238) 8 (321) (97) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. (101,865) 64,761 (148,584) 377,497 (269,561) 843,629 Translation of Foreign Currency Denominated Amounts.................. (11) (13) (41) (22) (151) 123 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... (45,918) 118,625 24,978 543,579 (72,800) 975,568 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 315,024 243,954 17,172 20,921 106,051 97,213 Withdrawals............................. (80,818) (100,941) (34,539) (41,051) (98,740) (100,194) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 234,206 143,013 (17,367) (20,130) 7,311 (2,981) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 188,288 261,638 7,611 523,449 (65,489) 972,587 Net Assets Beginning of Year....................... 1,265,498 1,003,860 1,988,287 1,464,838 3,217,766 2,245,179 ---------- ---------- ---------- ---------- ---------- ---------- End of Year............................. $1,453,786 $1,265,498 $1,995,898 $1,988,287 $3,152,277 $3,217,766 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $14, $0 and $14, 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, 2014 2013 2014 2013 2014 2013 -------- -------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 20,745 $ 20,407 $ 99,780 $ 77,332 $ 110,728 $ 87,786 Net Realized Gain (Loss) on: Investment Securities Sold*................ (2,865) 5,104 (24,811) 24,456 101,054 69,227 Futures.................................... -- -- -- -- -- 463 Foreign Currency Transactions.............. 86 (36) (653) (130) (980) (1,240) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. (64,673) 14,601 12,344 145,893 20,955 144,458 Translation of Foreign Currency Denominated Amounts....................... 5 (11) (12) (8) (139) (41) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ (46,702) 40,065 86,648 247,543 231,618 300,653 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions................................ 159,436 42,578 527,157 937,021 773,201 1,276,889 Withdrawals.................................. (4,509) (30,525) (194,514) (331,711) (174,904) (439,369) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. 154,927 12,053 332,643 605,310 598,297 837,520 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 108,225 52,118 419,291 852,853 829,915 1,138,173 Net Assets Beginning of Year............................ 741,204 689,086 3,766,160 2,913,307 4,091,523 2,953,350 -------- -------- ---------- ---------- ---------- ---------- End of Year.................................. $849,429 $741,204 $4,185,451 $3,766,160 $4,921,438 $4,091,523 ======== ======== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1,375 and $1, 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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------- Total Return......................................... 15.67% 35.68% 18.31% 5.69% 19.96% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $18,376,682 $14,838,988 $10,589,152 $9,335,107 $8,816,400 Ratio of Expenses to Average Net Assets.............. 0.11% 0.11% 0.12% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets. 1.90% 1.98% 2.15% 1.79% 2.02% Portfolio Turnover Rate.............................. 15% 15% 10% 14% 28% --------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Total Return................................................. (0.72)% 28.18% 3.17% (8.04)% 11.13% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,343,666 $8,792,130 $7,238,249 $6,955,907 $6,919,633 Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.24% 0.23% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.22% 0.22% 0.24% 0.23% 0.24% Ratio of Net Investment Income to Average Net Assets......... 4.50% 3.20% 3.75% 3.47% 2.55% Portfolio Turnover Rate...................................... 17% 15% 14% 9% 20% ---------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 2.46% 30.62% 0.54% 10.07% 0.72% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,505,409 $2,281,624 $1,686,731 $1,502,815 $1,211,600 Ratio of Expenses to Average Net Assets...................... 0.13% 0.14% 0.15% 0.14% 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.14% 0.15% 0.14% 0.14% Ratio of Net Investment Income to Average Net Assets......... 1.71% 1.87% 2.17% 2.07% 1.95% Portfolio Turnover Rate...................................... 9% 16% 7% 5% 10% -------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------------- Total Return................................................. (3.46)% 10.97% 7.48% (5.15)% 28.91% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,453,786 $1,265,498 $1,003,860 $906,734 $935,138 Ratio of Expenses to Average Net Assets...................... 0.13% 0.15% 0.16% 0.16% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.15% 0.16% 0.16% 0.17% Ratio of Net Investment Income to Average Net Assets......... 3.96% 4.64% 4.26% 3.78% 3.64% Portfolio Turnover Rate...................................... 7% 9% 18% 17% 18% -----------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 1.22% 37.42% 23.41% 0.20% 25.94% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,995,898 $1,988,287 $1,464,838 $1,133,845 $1,036,694 Ratio of Expenses to Average Net Assets...................... 0.11% 0.12% 0.13% 0.13% 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.11% 0.12% 0.13% 0.13% 0.13% Ratio of Net Investment Income to Average Net Assets......... 2.98% 3.29% 3.37% 3.76% 2.86% Portfolio Turnover Rate...................................... 8% 17% 6% 7% 15% -------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Total Return................................................. (2.25)% 43.67% 2.29% (10.75)% 15.37% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,152,277 $3,217,766 $2,245,179 $2,001,763 $2,072,484 Ratio of Expenses to Average Net Assets...................... 0.13% 0.14% 0.16% 0.15% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.14% 0.16% 0.15% 0.15% Ratio of Net Investment Income to Average Net Assets......... 2.40% 2.67% 3.15% 2.72% 2.24% Portfolio Turnover Rate...................................... 13% 13% 9% 10% 12% ---------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 ----------------------------------------------------------------------------------------------------------------------------- Total Return............................................................. (3.83)% 5.71% (2.51)% 0.27% 43.17% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)...................................... $849,429 $741,204 $689,086 $736,262 $663,722 Ratio of Expenses to Average Net Assets.................................. 0.12% 0.13% 0.15% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.12% 0.13% 0.15% 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets..................... 2.42% 2.99% 2.29% 1.72% 1.05% Portfolio Turnover Rate.................................................. 5% 14% 22% 24% 10% -----------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 1.74% 6.99% 4.55% (6.44)% 27.04% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,185,451 $3,766,160 $2,913,307 $2,439,981 $2,529,493 Ratio of Expenses to Average Net Assets...................... 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Net Investment Income to Average Net Assets......... 2.51% 2.38% 2.55% 2.48% 2.18% Portfolio Turnover Rate...................................... 5% 4% 5% 16% 12% --------------------------------------------------------------------------------------------------------------------------
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, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 5.60% 9.41% 7.19% (12.94)% 41.96% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,921,438 $4,091,523 $2,953,350 $1,874,926 $1,881,356 Ratio of Expenses to Average Net Assets...................... 0.26% 0.29% 0.36% 0.33% 0.32% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.26% 0.29% 0.36% 0.33% 0.32% Ratio of Net Investment Income to Average Net Assets......... 2.48% 2.37% 2.48% 2.32% 2.16% Portfolio Turnover Rate...................................... 9% 11% 13% 18% 15% --------------------------------------------------------------------------------------------------------------------------
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 ask prices which approximates 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 287 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the International Equity Portfolios have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedules of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Series. 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent 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 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, 288 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, 2014, 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, 2014, 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, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- The DFA International Value Series...... $12 The Japanese Small Company Series....... 4 The Asia Pacific Small Company Series... 5 The United Kingdom Small Company Series. 1 The Continental Small Company Series.... 2 The Canadian Small Company Series....... 4 The Emerging Markets Series............. 12 The Emerging Markets Small Cap Series... 12
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, 2014, the total related amounts paid by the Trust to the CCO were $83 (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, 2014, 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......... $399 The DFA International Value Series...... 284 The Japanese Small Company Series....... 64 The Asia Pacific Small Company Series... 33 The United Kingdom Small Company Series. 43 The Continental Small Company Series.... 79 The Canadian Small Company Series....... 20 The Emerging Markets Series............. 104 The Emerging Markets Small Cap Series... 77
290 E. Purchases and Sales of Securities: For the year ended October 31, 2014, 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......... $3,909,998 $2,450,419 The DFA International Value Series...... 2,543,963 1,602,168 The Japanese Small Company Series....... 428,650 219,413 The Asia Pacific Small Company Series... 393,635 91,705 The United Kingdom Small Company Series. 243,468 177,009 The Continental Small Company Series.... 518,636 430,628 The Canadian Small Company Series....... 223,575 38,347 The Emerging Markets Series............. 637,475 196,321 The Emerging Markets Small Cap Series... 1,109,150 389,098
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, 2014, 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, as follows (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- The U.S. Large Cap Value Series......... $12,592,751 $6,828,954 $(163,400) $6,665,554 The DFA International Value Series...... 8,784,721 1,642,679 (600,496) 1,042,183 The Japanese Small Company Series....... 2,771,115 381,781 (286,920) 94,861 The Asia Pacific Small Company Series... 1,866,856 288,322 (316,853) (28,531) The United Kingdom Small Company Series. 1,553,580 625,581 (141,289) 484,292 The Continental Small Company Series.... 3,065,469 949,996 (434,069) 515,927 The Canadian Small Company Series....... 1,216,657 137,372 (279,097) (141,725) The Emerging Markets Series............. 3,268,179 1,476,765 (266,689) 1,210,076 The Emerging Markets Small Cap Series... 5,156,701 1,119,729 (680,957) 438,772
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 remain subject to examination by the Internal Revenue Service. 291 G. Financial Instruments: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. 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. 2. 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 location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the year ended October 31, 2014 (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 Total Contracts --------- ------------- The Continental Small Company Series*. $(1,000) $(1,000)
* As of October 31, 2014, there were no futures contracts outstanding. During the year ended October 31, 2014, the Series had limited activity in futures contracts. H. 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 292 credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 2, 2015. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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 Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- The U.S. Large Cap Value Series....... 0.85% $11,241 11 $ 3 $32,996 The DFA International Value Series.... 0.83% 8,088 9 2 16,208 The Japanese Small Company Series..... 0.83% 5,915 9 1 9,696 The Asia Pacific Small Company Series. 0.83% 1,461 9 -- 3,398 The United Kingdom Small Company Series.............................. 0.83% 407 11 -- 798 The Continental Small Company Series.. 0.83% 447 31 -- 1,730 The Emerging Markets Series........... 0.84% 3,432 17 1 10,644 The Emerging Markets Small Cap Series. 0.83% 4,374 27 3 9,078
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, 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, 2014. I. Securities Lending: As of October 31, 2014, 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 Uninvested Value Cash Collateral -------- --------------- The U.S. Large Cap Value Series......... $ 27,105 -- The DFA International Value Series...... 7,009 -- The Asia Pacific Small Company Series... 3,288 -- The United Kingdom Small Company Series. -- $2,337 The Canadian Small Company Series....... 29,346 -- The Emerging Markets Series............. 149,153 -- The Emerging Markets Small Cap Series... 273,571 --
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 293 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. In the event of the bankruptcy of the borrower, a Series could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. 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. 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, described below, 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. 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. Oral argument on the appeal was held on November 5, 2014, and the parties await the Second Circuit's ruling. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. 294 Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it 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 quantify the cost of the Lawsuits that could potentially be 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. L. 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 Board of Trustees of The DFA Investment Trust Company and Shareholders of the Series, as defined: 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, 2014, 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, 2014 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 19, 2014 296 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- DIMENSIONAL EMERGING MARKETS VALUE FUND VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) October 31, 2004-October 31, 2014 [CHART] Dimensional Emerging MSCI Emerging Markets Markets Value Fund Index (net div.) -------------------- -------------------- 10/31/2004 $10,000 $10,000 11/30/2004 11,081 10,926 12/31/2004 11,800 11,450 1/31/2005 11,998 11,480 2/28/2005 13,093 12,481 3/31/2005 12,142 11,656 4/30/2005 11,711 11,343 5/31/2005 11,889 11,738 6/30/2005 12,285 12,137 7/31/2005 13,177 12,985 8/31/2005 13,395 13,097 9/30/2005 14,473 14,316 10/31/2005 13,571 13,380 11/30/2005 14,578 14,487 12/31/2005 15,498 15,343 1/31/2006 16,986 17,057 2/28/2006 17,055 17,037 3/31/2006 17,639 17,187 4/30/2006 19,180 18,411 5/31/2006 17,111 16,482 6/30/2006 16,959 16,442 7/31/2006 17,368 16,677 8/31/2006 17,684 17,102 9/30/2006 18,050 17,244 10/31/2006 19,310 18,063 11/30/2006 20,727 19,406 12/31/2006 21,461 20,280 1/31/2007 21,799 20,061 2/28/2007 21,929 19,942 3/31/2007 23,078 20,737 4/30/2007 24,925 21,697 5/31/2007 26,828 22,771 6/30/2007 27,598 23,839 7/31/2007 28,915 25,096 8/31/2007 27,992 24,563 9/30/2007 30,519 27,276 10/31/2007 33,879 30,317 11/30/2007 31,421 28,168 12/31/2007 31,381 28,267 1/31/2008 28,270 24,740 2/29/2008 29,407 26,566 3/31/2008 28,424 25,160 4/30/2008 30,625 27,202 5/31/2008 30,900 27,706 6/30/2008 27,315 24,943 7/31/2008 26,786 24,002 8/31/2008 24,505 22,085 9/30/2008 20,280 18,220 10/31/2008 13,988 13,234 11/30/2008 12,932 12,237 12/31/2008 14,528 13,192 1/31/2009 13,223 12,340 2/28/2009 12,099 11,644 3/31/2009 14,199 13,317 4/30/2009 16,993 15,533 5/31/2009 20,827 18,187 6/30/2009 20,574 17,942 7/31/2009 23,343 19,960 8/31/2009 23,527 19,888 9/30/2009 25,706 21,694 10/31/2009 25,102 21,720 11/30/2009 26,712 22,654 12/31/2009 28,047 23,548 1/31/2010 26,459 22,235 2/28/2010 26,673 22,313 3/31/2010 29,025 24,114 4/30/2010 29,223 24,407 5/31/2010 26,173 22,260 6/30/2010 26,338 22,096 7/31/2010 28,789 23,936 8/31/2010 28,272 23,471 9/30/2010 31,678 26,080 10/31/2010 32,772 26,837 11/30/2010 31,722 26,129 12/31/2010 34,371 27,993 1/31/2011 33,299 27,234 2/28/2011 32,761 26,980 3/31/2011 34,651 28,566 4/30/2011 35,898 29,452 5/31/2011 34,541 28,680 6/30/2011 33,838 28,238 7/31/2011 33,568 28,113 8/31/2011 30,173 25,601 9/30/2011 24,767 21,868 10/31/2011 28,030 24,765 11/30/2011 26,618 23,114 12/31/2011 25,673 22,836 1/31/2012 29,245 25,426 2/29/2012 31,030 26,949 3/31/2012 29,706 26,049 4/30/2012 28,750 25,738 5/31/2012 25,575 22,852 6/30/2012 26,739 23,734 7/31/2012 26,580 24,197 8/31/2012 26,959 24,116 9/30/2012 28,701 25,571 10/31/2012 28,338 25,416 11/30/2012 28,662 25,739 12/31/2012 30,761 26,997 1/31/2013 31,266 27,369 2/28/2013 30,755 27,026 3/31/2013 30,503 26,560 4/30/2013 30,777 26,760 5/31/2013 29,909 26,074 6/30/2013 27,399 24,414 7/31/2013 27,943 24,669 8/31/2013 27,360 24,245 9/30/2013 29,387 25,822 10/31/2013 30,728 27,076 11/30/2013 30,003 26,681 12/31/2013 29,712 26,295 1/31/2014 27,646 24,587 2/28/2014 28,267 25,402 3/31/2014 29,536 26,182 4/30/2014 29,739 26,269 5/31/2014 30,959 27,186 6/30/2014 31,777 27,908 7/31/2014 32,387 28,448 8/31/2014 33,118 29,089 9/30/2014 30,420 26,933 10/31/2014 30,393 27,250 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder Average Annual One Five Ten would pay on fund distributions or the Total Return Year Years Years redemption of fund shares. ------------------------------------------------------ MSCI data copyright MSCI 2014, all -1.09% 3.90% 11.76% rights reserved.
-------------------------------------------------------------------------------- 297 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT'S DISCUSSION AND ANALYSIS (Unaudited) International Equity Market Review 12 Months Ended October 31, 2014 Emerging markets generally had stronger performance over the period than developed markets with positive returns in each market segment except large cap value. As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks, and growth stocks outperformed value stocks.
12 Months Ended October 31, 2014 -------------------------------- Return in U.S. Dollars - ---------------------- MSCI Emerging Markets Index........... 0.64% MSCI Emerging Markets Small Cap Index. 3.18% MSCI Emerging Markets Value Index..... -0.63% MSCI Emerging Markets Growth Index.... 1.89%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, particularly those in Eastern Europe, decreasing USD denominated returns in emerging markets.
12 Months Ended October 31, 2014 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars ------------------------------------------ ------------ ---------------------- China........................ 6.44% 6.41% Korea........................ -6.24% -6.94% Taiwan....................... 13.99% 10.11% Brazil....................... -0.30% -9.65% South Africa................. 17.13% 6.09% India........................ 29.27% 29.39% Mexico....................... 10.96% 6.98% Russia....................... -4.56% -24.40% Malaysia..................... 3.85% -0.37% Indonesia.................... 17.88% 9.95%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2014, all rights reserved. Dimensional Emerging Markets Value Fund The Dimensional Emerging Markets Value Fund is designed 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, 2014, 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, 2014, total returns were -1.09% for the Fund and 0.64% for the MSCI Emerging Markets Index (net dividends). As a result of the Fund's diversified investment approach, performance was generally determined by broad trends in emerging markets rather than the behavior of a limited number of stocks. The Fund invests primarily in value stocks while the Index is neutral with regard to value stocks. Emerging markets value stocks generally underperformed during the period, which was the primary driver of the Fund's relative underperformance. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/14 10/31/14 Ratio* Period* --------- --------- ---------- -------- Dimensional Emerging Markets Value Fund --------------------------------------- Actual Fund Return...................... $1,000.00 $1,022.00 0.15% $0.76 Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77
---------- * 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 29, 2014. 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....................... 6.6% Consumer Staples............................. 5.0% Energy....................................... 12.4% Financials................................... 35.8% Health Care.................................. 0.3% Industrials.................................. 11.9% Information Technology....................... 7.6% Materials.................................... 16.6% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.3% Utilities.................................... 2.4% ----- 100.0%
300 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.7%) BRAZIL -- (5.4%) Banco do Brasil SA.................................. 10,290,573 $ 115,161,060 0.6% Banco Santander Brasil SA ADR....................... 17,807,476 97,584,968 0.5% BM&FBovespa SA...................................... 16,976,687 74,703,226 0.4% JBS SA.............................................. 18,033,940 80,378,469 0.4% # Petroleo Brasileiro SA ADR.......................... 18,327,471 214,431,411 1.1% # Vale SA Sponsored ADR............................... 13,734,107 138,577,140 0.7% Other Securities.................................... 361,906,896 2.0% -------------- ----- TOTAL BRAZIL............................................ 1,082,743,170 5.7% -------------- ----- CHILE -- (1.4%) Enersis SA Sponsored ADR............................ 5,733,186 90,527,007 0.5% Other Securities.................................... 202,439,738 1.1% -------------- ----- TOTAL CHILE............................................. 292,966,745 1.6% -------------- ----- CHINA -- (14.2%) Agricultural Bank of China, Ltd. Class H............ 255,464,000 118,712,368 0.6% Bank of China, Ltd. Class H......................... 763,167,331 365,290,776 1.9% Bank of Communications Co., Ltd. Class H............ 96,624,574 72,200,559 0.4% China Construction Bank Corp. Class H............... 542,030,940 404,408,696 2.2% # China Petroleum & Chemical Corp. ADR................ 1,223,161 106,390,526 0.6% China Petroleum & Chemical Corp. Class H............ 106,787,575 92,607,409 0.5% # China Unicom Hong Kong, Ltd. ADR.................... 7,285,774 109,140,894 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 302,174,996 200,241,009 1.1% Other Securities.................................... 1,410,991,276 7.3% -------------- ----- TOTAL CHINA............................................. 2,879,983,513 15.2% -------------- ----- COLOMBIA -- (0.1%) Other Securities.................................... 26,308,586 0.1% -------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities.................................... 41,573,273 0.2% -------------- ----- GREECE -- (0.1%) Other Securities.................................... 20,612,791 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 209,454 0.0% -------------- ----- HUNGARY -- (0.4%) Other Securities.................................... 74,137,391 0.4% -------------- ----- INDIA -- (8.6%) ICICI Bank, Ltd. Sponsored ADR...................... 3,344,526 188,497,485 1.0% Reliance Industries, Ltd............................ 21,131,225 342,432,538 1.8% State Bank of India................................. 2,134,196 93,821,600 0.5% Other Securities.................................... 1,110,527,170 5.9% -------------- ----- TOTAL INDIA............................................. 1,735,278,793 9.2% -------------- ----- INDONESIA -- (2.6%) Other Securities.................................... 522,620,783 2.8% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 19,227 0.0% -------------- -----
301 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.0%) Other Securities.................................... $ 801,617,645 4.2% -------------- ----- MEXICO -- (7.0%) Alfa S.A.B. de C.V. Class A......................... 45,897,748 146,525,141 0.8% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 17,909,306 220,284,464 1.2% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,578,915 248,194,779 1.3% Grupo Financiero Banorte S.A.B. de C.V.............. 23,817,280 152,635,757 0.8% Other Securities.................................... 652,631,147 3.4% -------------- ----- TOTAL MEXICO............................................ 1,420,271,288 7.5% -------------- ----- PHILIPPINES -- (1.1%) Other Securities.................................... 213,846,255 1.1% -------------- ----- POLAND -- (1.8%) PGE SA.............................................. 14,453,314 94,828,904 0.5% Other Securities.................................... 272,919,980 1.4% -------------- ----- TOTAL POLAND............................................ 367,748,884 1.9% -------------- ----- RUSSIA -- (2.4%) Gazprom OAO Sponsored ADR........................... 67,242,144 445,533,804 2.4% Other Securities.................................... 47,366,599 0.2% -------------- ----- TOTAL RUSSIA............................................ 492,900,403 2.6% -------------- ----- SOUTH AFRICA -- (7.0%) Barclays Africa Group, Ltd.......................... 6,214,975 98,223,014 0.5% # Nedbank Group, Ltd.................................. 3,800,421 82,877,562 0.4% Sanlam, Ltd......................................... 19,211,956 121,401,118 0.7% Standard Bank Group, Ltd............................ 19,894,413 250,525,816 1.3% # Steinhoff International Holdings, Ltd............... 27,917,185 142,824,599 0.8% Other Securities.................................... 710,199,670 3.7% -------------- ----- TOTAL SOUTH AFRICA...................................... 1,406,051,779 7.4% -------------- ----- SOUTH KOREA -- (13.9%) Hana Financial Group, Inc........................... 3,815,029 132,113,835 0.7% Hyundai Motor Co.................................... 604,826 95,974,737 0.5% KB Financial Group, Inc............................. 2,611,033 102,351,844 0.6% KB Financial Group, Inc. ADR........................ 3,171,116 122,722,189 0.7% # LG Electronics, Inc................................. 1,776,548 108,496,732 0.6% POSCO............................................... 644,929 186,279,391 1.0% # POSCO ADR........................................... 1,589,142 113,719,001 0.6% Samsung C&T Corp.................................... 1,386,322 93,780,439 0.5% Shinhan Financial Group Co., Ltd.................... 4,987,169 234,724,964 1.3% # Shinhan Financial Group Co., Ltd. ADR............... 1,618,408 76,178,464 0.4% SK Holdings Co., Ltd................................ 513,323 80,462,792 0.4% Other Securities.................................... 1,452,665,991 7.5% -------------- ----- TOTAL SOUTH KOREA....................................... 2,799,470,379 14.8% -------------- ----- SPAIN -- (0.1%) Other Securities.................................... 18,609,563 0.1% -------------- ----- TAIWAN -- (14.3%) First Financial Holding Co., Ltd.................... 132,059,630 81,305,836 0.4% Fubon Financial Holding Co., Ltd.................... 90,414,471 153,064,692 0.8% Mega Financial Holding Co., Ltd..................... 136,903,915 113,547,756 0.6%
302 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) # United Microelectronics Corp......... 217,150,681 $ 96,414,681 0.5% # Yuanta Financial Holding Co., Ltd.... 143,586,770 72,328,347 0.4% Other Securities..................... 2,382,184,536 12.6% --------------- ----- TOTAL TAIWAN............................. 2,898,845,848 15.3% --------------- ----- THAILAND -- (2.8%) PTT PCL.............................. 15,934,500 180,039,791 1.0% Other Securities..................... 379,751,315 2.0% --------------- ----- TOTAL THAILAND........................... 559,791,106 3.0% --------------- ----- TURKEY -- (2.3%) Turkiye Is Bankasi................... 33,315,167 83,301,332 0.5% Other Securities..................... 386,687,608 2.0% --------------- ----- TOTAL TURKEY............................. 469,988,940 2.5% --------------- ----- TOTAL COMMON STOCKS...................... 18,125,595,816 95.7% --------------- ----- PREFERRED STOCKS -- (3.4%) BRAZIL -- (3.3%) Petroleo Brasileiro SA............... 18,238,804 112,184,242 0.6% Petroleo Brasileiro SA Sponsored ADR. 21,196,251 259,230,150 1.4% Vale SA.............................. 14,877,158 129,450,847 0.7% Other Securities..................... 161,734,299 0.8% --------------- ----- TOTAL BRAZIL............................. 662,599,538 3.5% --------------- ----- COLOMBIA -- (0.1%) Other Securities..................... 17,278,985 0.1% --------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 11,301 0.0% --------------- ----- TOTAL PREFERRED STOCKS................... 679,889,824 3.6% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities..................... 867 0.0% --------------- ----- CHINA -- (0.0%) Other Securities..................... 2,981 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... 229,616 0.0% --------------- ----- INDONESIA -- (0.0%) Other Securities..................... 1,310 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- TAIWAN -- (0.0%) Other Securities..................... 3,306 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................... 238,080 0.0% --------------- -----
303 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (6.9%) (S)@ DFA Short Term Investment Fund.. 120,842,149 $ 1,398,143,668 7.4% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $19,905,306,971)............. $20,203,867,388 106.7% =============== ======
Summary of the Fund's investments as of October 31, 2014, 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...................... $ 592,943,637 $ 489,799,533 -- $ 1,082,743,170 Chile....................... 97,250,791 195,715,954 -- 292,966,745 China....................... 235,314,230 2,644,669,283 -- 2,879,983,513 Colombia.................... 26,308,586 -- -- 26,308,586 Czech Republic.............. -- 41,573,273 -- 41,573,273 Greece...................... 450,318 20,162,473 -- 20,612,791 Hong Kong................... -- 209,454 -- 209,454 Hungary..................... -- 74,137,391 -- 74,137,391 India....................... 232,489,675 1,502,789,118 -- 1,735,278,793 Indonesia................... 9,326,399 513,294,384 -- 522,620,783 Israel...................... -- 19,227 -- 19,227 Malaysia.................... 933,008 800,684,637 -- 801,617,645 Mexico...................... 1,419,694,498 576,790 -- 1,420,271,288 Philippines................. -- 213,846,255 -- 213,846,255 Poland...................... -- 367,748,884 -- 367,748,884 Russia...................... 410,701 492,489,702 -- 492,900,403 South Africa................ 140,329,828 1,265,721,951 -- 1,406,051,779 South Korea................. 372,923,779 2,426,546,600 -- 2,799,470,379 Spain....................... 18,609,563 -- -- 18,609,563 Taiwan...................... 47,122,723 2,851,723,125 -- 2,898,845,848 Thailand.................... 559,791,106 -- -- 559,791,106 Turkey...................... 2,907,604 467,081,336 -- 469,988,940 Preferred Stocks Brazil...................... 311,770,373 350,829,165 -- 662,599,538 Colombia.................... 17,278,985 -- -- 17,278,985 Malaysia.................... -- 11,301 -- 11,301 Rights/Warrants Brazil...................... -- 867 -- 867 China....................... -- 2,981 -- 2,981 Hong Kong................... -- 229,616 -- 229,616 Indonesia................... -- 1,310 -- 1,310 Malaysia.................... -- -- -- -- Taiwan...................... -- 3,306 -- 3,306 Securities Lending Collateral. -- 1,398,143,668 -- 1,398,143,668 -------------- --------------- -- --------------- TOTAL......................... $4,085,855,804 $16,118,011,584 -- $20,203,867,388 ============== =============== == ===============
See accompanying Notes to Financial Statements. 304 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2014 (Amounts in thousands) ASSETS: Investments at Value (including $1,749,796 of securities on loan)*....... $18,805,724 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,398,144 Foreign Currencies at Value.............................................. 26,688 Cash..................................................................... 88,873 Receivables: Investment Securities Sold............................................. 22,282 Dividends, Interest and Tax Reclaims................................... 12,761 Securities Lending Income.............................................. 2,296 Unrealized Gain on Foreign Currency Contracts............................ 1 ----------- Total Assets........................................................ 20,356,769 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 1,398,144 Investment Securities Purchased........................................ 27,896 Due to Advisor......................................................... 1,585 Unrealized Loss on Foreign Currency Contracts............................ 1 Accrued Expenses and Other Liabilities................................... 1,626 ----------- Total Liabilities................................................... 1,429,252 ----------- NET ASSETS............................................................... $18,927,517 =========== Investments at Cost...................................................... $18,507,163 =========== Foreign Currencies at Cost............................................... $ 26,572 ===========
---------- * 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, 2014 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $70,268).......... $ 533,318 Interest...................................................... 9 Income from Securities Lending................................ 24,872 --------- Total Investment Income.................................... 558,199 --------- Expenses Investment Advisory Services Fees............................. 19,212 Accounting & Transfer Agent Fees.............................. 1,031 Custodian Fees................................................ 7,208 Shareholders' Reports......................................... 32 Directors'/Trustees' Fees & Expenses.......................... 136 Professional Fees............................................. 627 Other......................................................... 341 --------- Total Expenses............................................. 28,587 --------- Fees Paid Indirectly.......................................... (55) --------- Net Expenses.................................................. 28,532 --------- Net Investment Income (Loss).................................. 529,667 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. (524,001) Futures..................................................... 504 Foreign Currency Transactions............................... (4,551) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. (181,244) Translation of Foreign Currency Denominated Amounts......... (31) --------- Net Realized and Unrealized Gain (Loss)....................... (709,323) --------- Net Increase (Decrease) in Net Assets Resulting from Operations. $(179,656) =========
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, 2014 2013 ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................................. $ 529,667 $ 419,407 Net Realized Gain (Loss) on: Investment Securities Sold.............................................. (524,001) 304,248 Futures................................................................. 504 -- Foreign Currency Transactions........................................... (4,551) (2,833) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. (181,244) 724,674 Translation of Foreign Currency Denominated Amounts..................... (31) 7 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...... (179,656) 1,445,503 ----------- ----------- Transactions in Interest: Contributions............................................................. 1,596,852 2,894,722 Withdrawals............................................................... (1,916,965) (1,797,261) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. (320,113) 1,097,461 ----------- ----------- Total Increase (Decrease) in Net Assets................................ (499,769) 2,542,964 Net Assets Beginning of Year......................................................... 19,427,286 16,884,322 ----------- ----------- End of Year............................................................... $18,927,517 $19,427,286 =========== ===========
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, 2014 2013 2012 2011 2010 --------------------------------------------------------------------------------------------------------------------------- Total Return............................................ (1.09)% 8.43% 1.10% (14.47)% 30.55% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)..................... $18,927,517 $19,427,286 $16,884,322 $14,003,579 $11,917,955 Ratio of Expenses to Average Net Assets................. 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.15% 0.16% 0.20% 0.20% 0.19% Ratio of Net Investment Income to Average Net Assets.... 2.76% 2.32% 2.43% 2.29% 1.81% Portfolio Turnover Rate................................. 12% 6% 8% 5% 15% ---------------------------------------------------------------------------------------------------------------------------
+ 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 Fund maintains 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 ask prices which approximates 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 309 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, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Fund's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Fund's investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Fund. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and 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 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, 2014, 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 $441 (in thousands). 310 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, 2014, 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, 2014, 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, 2014, expenses reduced were $55 (amount in thousands). Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2014, the total related amounts paid by the Fund to the CCO were $23 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. 311 D. Purchases and Sales of Securities: For the year ended October 31, 2014, 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. $2,507,752 $2,276,542
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, 2014, 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, as follows (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Dimensional Emerging Markets Value Fund. $20,078,984 $3,350,428 $(3,225,544) $124,884
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. 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 securities held by the Fund may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Funds. 2. Forward Currency Contracts: The Fund 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 Fund's currency exposure with respect to a foreign market will be based primarily on the Fund's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Fund as an unrealized gain or loss, which is presented in the Statements of Operations as the 312 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 Fund 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. 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. Futures Contracts: The Fund may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Funds 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 Funds as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Funds 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 Funds could lose more than the initial margin requirements. The Funds 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 location on the Fund's Statement of Operations of realized and change in unrealized gains and losses from Fund's derivative instrument holdings through the year ended October 31, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Fund's direct investment in derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Foreign Exchange Equity Total Contracts Contracts ----- --------- --------- Dimensional Emerging Markets Value Fund*. $499 $(5) $504
* As of October 31, 2014, there were no futures contracts outstanding. During the year ended October 31, 2014, the Fund had limited activity in futures contracts. G. 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 agreement for the line of credit expires on March 2, 2015. 313 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit 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 line of credit agreement expires on January 9, 2015. For the year ended October 31, 2014, 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. 0.84% $35,523 42 $35 $143,884
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2014, 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, 2014. H. Securities Lending: As of October 31, 2014, 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 $510,952 (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 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. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. 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. 314 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. 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. 315 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors and Shareholders 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, 2014, 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, 2014 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 19, 2014 316 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 Strategy Committee (the "Strategy 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, 2014. 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, 2014. Each Board's Strategy Committee consists of both interested and disinterested Trustees/Directors. The Strategy Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy 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 Strategy 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 Strategy Committee was formed on December 17, 2010, and there were two Strategy Committee meetings held during the fiscal year ended October 31, 2014. 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. 317
Name, Position Portfolios within the DFA Principal Occupation(s) During Past 5 with the Fund, Address and Term of Office/1/ and Fund Complex/2/ Years and Other Directorships of Public Year of Birth Length of Service Overseen Companies Held ------------------------------------------------------------------------------------------------------------------------ Disinterested Trustees/Directors ------------------------------------------------------------------------------------------------------------------------ George M. Constantinides DFAIDG-Since 1983 108 portfolios in 4 Leo Melamed Professor of Finance, Director of DFAIDG and DIG. DIG-Since 1993 investment companies University of Chicago Booth School of Trustee of DFAITC and DEM. DFAITC-Since 1992 Business. The University of Chicago DEM-Since 1993 Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 ------------------------------------------------------------------------------------------------------------------------ John P. Gould DFAIDG-Since 1986 108 portfolios in 4 Steven G. Rothmeier Professor and Director of DFAIDG and DIG. DIG-Since 1993 investment companies Distinguished Service Professor of Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth The University of Chicago DEM-Since 1993 School of Business (since 1965). Member Booth School of Business and Chair, Competitive Markets Advisory 5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange Chicago, IL 60637 (futures trading exchange) (since 1939 2004). Trustee, Harbor Fund (registered investment company) (29 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Insurance Company (1997-2010). ------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAIDG-Since 1981 108 portfolios in 4 Professor in Practice of Finance, Yale Director of DFAIDG and DIG. DIG-Since 1993 investment companies School of Management (since 1984). Trustee of DFAITC and DEM. DFAITC-Since 1992 Chairman, CIO and Partner, Zebra Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and P.O. Box 208200 asset manager) (since 2001). Consultant New Haven, CT 06520-8200 to Morningstar Inc. (since 2006). 1943 Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). ------------------------------------------------------------------------------------------------------------------------ Edward P. Lazear DFAIDG-Since 2010 108 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Trustee of DFAITC and DEM. DFAITC-Since 2010 Parker Professor of Human Resources Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate School of Business School of Business, Stanford University 518 Memorial Way (since 1995). Cornerstone Research Stanford, CA 94305-5015 (expert testimony and economic and 1948 financial analysis) (since 2009). Formerly, Chairman of the President George W. Bush's Council of Economic Advisers (2006-2009). Formerly, Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005) ------------------------------------------------------------------------------------------------------------------------ Myron S. Scholes DFAIDG-Since 1981 108 portfolios in 4 Chief Investment Strategist, Janus Director of DFAIDG and DIG. DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank Trustee of DFAITC and DEM. DFAITC-Since 1992 E. Buck Professor of Finance Emeritus, c/o Dimensional Fund DEM-Since 1993 Graduate School of Business, Stanford Advisors, LP University (since 1981). Chairman, 6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly, Building 1 Chairman, Platinum Grove Asset Austin, TX 78746 Management, L.P. (hedge fund) 1941 (formerly, Oak Hill Platinum Partners) (1999-2009). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). ------------------------------------------------------------------------------------------------------------------------ Abbie J. Smith DFAIDG-Since 2000 108 portfolios in 4 Boris and Irene Stern Distinguished Director of DFAIDG and DIG. DIG-Since 2000 investment companies Service Professor of Accounting, Trustee of DFAITC and DEM. DFAITC-Since 2000 University of Chicago Booth School of The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI Booth School of Business Corporation (formerly known as HON 5807 S. Woodlawn Industries Inc.) (office furniture) Avenue Chicago, IL 60637 (since 2000). Director, Ryder System 1953 Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (33 portfolios) (since 2009). Formerly, Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (2008-2011). ------------------------------------------------------------------------------------------------------------------------
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Name, Position Portfolios within the with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held -------------------------------------------------------------------------------------------------------------------------------- Interested Trustees/Directors* -------------------------------------------------------------------------------------------------------------------------------- David G. Booth DFAIDG-Since 1981 108 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive President and Co-Chief DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies: Executive Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund 6300 Bee Cave Road, Advisors LP, DFA Securities LLC, DEM, DFAIDG, Building One DIG and DFAITC (collectively, the "DFA Entities"). Austin, TX 78746 Director of Dimensional Fund Advisors Ltd. and 1946 formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009-2014). Formerly, Limited Partner, Oak Hill Partners (2001- 2010). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co- Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). -------------------------------------------------------------------------------------------------------------------------------- Eduardo A. Repetto DFAIDG-Since 2009 108 portfolios in 4 Co-Chief Executive Officer (beginning January Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007 - June 2014) of the 6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer Building One and Chief Investment Officer (since 2010) of Austin, TX 78746 Dimensional Cayman Commodity Fund I Ltd. 1967 Director, Co-Chief Executive Officer, President and Co-Chief Investment Officer of Dimensional Fund Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director and Chief Investment Officer (since December 2012) of Dimensional Japan Ltd.
/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 DFAIDG, DIG; DFAITC and DEM. Each disinterested Trustee/Director also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by an affiliate of Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors Canada ULC. * 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 the Advisor. 319 Officers Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation(s) During Past 5 Years ---------------------------------------------------------------------------------------------------------------------- Officers ---------------------------------------------------------------------------------------------------------------------- April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities. 1963 ---------------------------------------------------------------------------------------------------------------------- Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice 1974 President, Business Development at Capson Physicians Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). ---------------------------------------------------------------------------------------------------------------------- Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities. 1966 ---------------------------------------------------------------------------------------------------------------------- Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and 1955 Managing Director of Dimensional Fund Advisors Ltd (since September 2013). ---------------------------------------------------------------------------------------------------------------------- Peter Bergan Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Senior Infrastructure Manager for Dimensional Fund Advisors LP (January 2011-January 2014); Partner at Stonehouse Consulting (2010). ---------------------------------------------------------------------------------------------------------------------- Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Client Service Manager for Dimensional Fund Advisors LP (February 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1970 Senior Research Associate (January 2012-January 2014) and Research Associate (2006-2011) for Dimensional Fund Advisors LP ---------------------------------------------------------------------------------------------------------------------- Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director for Dimensional Fund Advisors LP (April 2008-January 2014). ---------------------------------------------------------------------------------------------------------------------- Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities. 1968 ---------------------------------------------------------------------------------------------------------------------- Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the 1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. and Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. ---------------------------------------------------------------------------------------------------------------------- David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of 1964 Global Financial Services for Dimensional Fund Advisors LP (since 2008). ---------------------------------------------------------------------------------------------------------------------- Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1970 Regional Director for Dimensional Fund Advisors LP (December 2010-January 2012); Regional Director at Russell Investments (April 2006-December 2010). ---------------------------------------------------------------------------------------------------------------------- Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director (January 2010-January 2014) and Senior Associate (July 2008-December 2009) for Dimensional Fund Advisors LP. ---------------------------------------------------------------------------------------------------------------------- James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1956 Regional Director for Dimensional Fund Advisors LP (2008-2010). ----------------------------------------------------------------------------------------------------------------------
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Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of 1966 Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (October 2005 to January 2012). ------------------------------------------------------------------------------------------------------------------------- Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Counsel for Dimensional Fund Advisors LP (April 2012 - January 2014); Vice President and Counsel for AllianceBernstein L.P. (2006-2012). ------------------------------------------------------------------------------------------------------------------------- Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA Australia 1972 Limited and Dimensional Fund Advisors Canada ULC. Head of Global Institutional Services for Dimensional Fund Advisors LP (since January 2014). Formerly, Head of Institutional, North America (March 2012 to December 2013) and Head of Portfolio Management (January 2006 to March 2012) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (September 2011-March 2013); Vice President at MullinTBG (2005-2011). ------------------------------------------------------------------------------------------------------------------------- Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (August 2010-March 2014); Vice President, Sales and Business Development at AdvisorsIG (PPMG) (2009-2010); Vice President at Credit Suisse (2007- 2009). ------------------------------------------------------------------------------------------------------------------------- Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (2003-March 2014). ------------------------------------------------------------------------------------------------------------------------- Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2002-January 2012). ------------------------------------------------------------------------------------------------------------------------- Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities. 1949 ------------------------------------------------------------------------------------------------------------------------- George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1955 Senior Vice President and Managing Director at State Street Bank & Trust Company (2007-2008). ------------------------------------------------------------------------------------------------------------------------- Christopher S. Crossan Vice President and Since 2004 Vice President and Chief Compliance Officer of all 1965 Global Chief the DFA Entities, DFA Australia Limited, and Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance Officer of Dimensional Fund Advisors Canada. Formerly, Vice President and Chief Compliance Officer for Dimensional SmartNest (US) LLC (October 2010- 2014). ------------------------------------------------------------------------------------------------------------------------- James L. Davis Vice President Since 1999 Vice President of all the DFA Entities. 1956 ------------------------------------------------------------------------------------------------------------------------- Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia 1957 Limited and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------------- Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director (January 2012-January 2014) and Senior Associate (August 2010-December 2011) for Dimensional Fund Advisors LP; MBA and MPA at the University of Texas at Austin (August 2007-May 2010). ------------------------------------------------------------------------------------------------------------------------- Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1972 Research Associate (August 2008-March 2010) and Research Assistant (April 2006-August 2008) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------------
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Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ----------------------------------------------------------------------------------------------------------------------- Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities. 1970 ----------------------------------------------------------------------------------------------------------------------- Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of 1979 Marketing for Dimensional Fund Advisors LP (since February 2013). Formerly, Senior Manager of Research and Marketing for Dimensional Fund Advisors LP (June 2012-January 2013); Director of Mutual Fund Analysis at Morningstar (January 2008- May 2012). ----------------------------------------------------------------------------------------------------------------------- Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the 1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief Operating Officer for Dimensional Fund Advisors Pte. Ltd. (since April 2013). Formerly, Chief Operating Officer for Dimensional Fund Advisors Ltd. (July 2008-March 2013). ----------------------------------------------------------------------------------------------------------------------- Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities. 1971 ----------------------------------------------------------------------------------------------------------------------- Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of 1974 Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (September 2004-January 2012). ----------------------------------------------------------------------------------------------------------------------- Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (August 2011-January 2014); Senior Vice President of First Trust Advisors L.P. (2007-July 2011). ----------------------------------------------------------------------------------------------------------------------- Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities. 1970 ----------------------------------------------------------------------------------------------------------------------- Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Managing Director at BlackRock (2004-January 2012). ----------------------------------------------------------------------------------------------------------------------- Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- John T. Gray Vice President Since 2007 Vice President of all the DFA Entities. 1974 ----------------------------------------------------------------------------------------------------------------------- Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader 1975 for Dimensional Fund Advisors LP (since 2012). Formerly, Senior Trader (2009-2012). ----------------------------------------------------------------------------------------------------------------------- Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1974 Counsel for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President and Senior Counsel for State Street Global Advisors (November 2008-January 2011). ----------------------------------------------------------------------------------------------------------------------- Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Julie C. Henderson Vice President and Since 2005 Vice President and Fund Controller of all the DFA 1974 Fund Controller Entities, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd. ----------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities. 1967 ----------------------------------------------------------------------------------------------------------------------- Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1960 Managing Director, Co-Head Global Consultant Relations at BlackRock (2004-2011). -----------------------------------------------------------------------------------------------------------------------
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Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years --------------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and 1973 Dimensional Cayman Commodity Fund I Ltd. --------------------------------------------------------------------------------------------------------------------------- Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1971 Manager of Sales and Marketing Systems (January 2011-January 2014) and Project Manager (2007- 2010) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1968 Facilities Manager for Dimensional Fund Advisors LP (October 2008-January 2012). --------------------------------------------------------------------------------------------------------------------------- David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of 1978 Operations for Financial Advisor Services for Dimensional Fund Advisors LP (since July 2014). Formerly, Counsel of Dimensional Fund Advisors LP (August 2011-January 2014); Associate at Andrews Kurth LLP (2006-2011). --------------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Vice President and Since 2003 Vice President of all the DFA Entities, Dimensional 1954 Chief Operating Officer Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chief Operating Officer of Dimensional Holdings Inc., DFA Securities LLC, Dimensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. And Dimensional Fund Advisors Pte. Ltd. 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 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (October 2004-January 2013). --------------------------------------------------------------------------------------------------------------------------- Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1948 Regional Director for Dimensional Fund Advisors LP (April 2006-January 2012). --------------------------------------------------------------------------------------------------------------------------- David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio 1971 Manager for Dimensional Fund Advisors LP (since June 2004). --------------------------------------------------------------------------------------------------------------------------- Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1972 Creative Director for Dimensional Fund Advisors LP (September 2012-January 2014); Vice President and Global Creative Director at Morgan Stanley (2007-2012); Visiting Assistant Professor, Graduate Communications Design at Pratt Institute (2004-2012). --------------------------------------------------------------------------------------------------------------------------- Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of 1971 Defined Contribution Sales for Dimensional Fund Advisors LP (since August 2010). --------------------------------------------------------------------------------------------------------------------------- Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior 1971 Portfolio Manager of Dimensional Fund Advisors LP (since January 2012). Formerly, Portfolio Manager for Dimensional (April 2001-January 2012). --------------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1981 Senior Associate, Investment Analytics and Data (January 2012-December 2012) and Systems Developer (June 2007-December 2011) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1966 Regional Director (May 2010-January 2014) for Dimensional Fund Advisors LP. --------------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Regional Director for Dimensional Fund Advisors LP (2007-2010). ---------------------------------------------------------------------------------------------------------------------------
323
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, 1967 Chief Executive Officer for Dimensional SmartNest (US) LLC (July 2012-November 2014). ------------------------------------------------------------------------------------------------------------------------- Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice 1969 President - Global Operations at Janus Capital Group (2005-2011). ------------------------------------------------------------------------------------------------------------------------- David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1978 Senior Trader (January 2010-December 2012) and Trader (2000-2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1980 Research Associate for Dimensional Fund Advisors LP (July 2008-2010). ------------------------------------------------------------------------------------------------------------------------- John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1960 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2013). ------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities. 1969 ------------------------------------------------------------------------------------------------------------------------- Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1969 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at Columbia Management (2004-2010). ------------------------------------------------------------------------------------------------------------------------- Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and 1972 Dimensional Cayman Commodity Fund I Ltd. Formerly, Counsel for Dimensional Fund Advisors LP (September 2006-January 2010). ------------------------------------------------------------------------------------------------------------------------- Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of 1970 Global Human Resources for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------------- David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and Treasurer 1956 Financial Officer and of all the DFA Entities. Director, Vice President, Treasurer Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Pte. Ltd., Dimensional Hong Kong Limited, Dimensional Fund Advisors Canada ULC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds plc and Dimensional Funds II plc. Statutory Auditor of Dimensional Japan Ltd. Formerly, Chief Financial Officer, Treasurer and Vice President of Dimensional SmartNest (US) LLC (October 2010-November 2014). ------------------------------------------------------------------------------------------------------------------------- Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1975 Regional Director of Dimensional Fund Advisors LP (January 2009-January 2014). ------------------------------------------------------------------------------------------------------------------------- Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1984 Regional Director (January 2009-January 2014) and Senior Associate (2011) for Dimensional Fund Advisors LP; Investment Consultant (March 2010- December 2010) and Investment Analyst (December 2007-March 2010) at Towers Watson. ------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Manager, Investment Systems (2011-January 2013) and Project Manager (2007-2010) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------------
324
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ----------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities. 1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional 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). Director of 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). Formerly, Vice President and Secretary of Dimensional SmartNest (US) LLC (October 2010- November 2014). ----------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1964 Portfolio Manager for Dimensional Fund Advisors LP (2008-2010). ----------------------------------------------------------------------------------------------------------------------------- Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy Chief 1961 Deputy Chief Compliance Officer of Dimensional Fund Advisors Compliance Officer LP (since December 2012). Formerly, Chief Compliance Officer of Wellington Management Company, LLP (2004-2011). ----------------------------------------------------------------------------------------------------------------------------- Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and 1974 Dimensional Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011). Formerly, Counsel for Dimensional Fund Advisors LP (2007- 2010). ----------------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all 1976 Chief Investment and Co-Chief Investment the DFA Entities and Dimensional Fund Advisors Officer Officer since 2014 Canada ULC. Director of Dimensional Funds plc and Dimensional Fund II plc. ----------------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1973 Manager for Dimensional Fund Advisors LP (since July 2005). ----------------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1978 Senior Compliance Officer (January 2008-January 2010) and Compliance Officer (February 2006- December 2007) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (2012-January 2013); Senior Consultant (June 2011- December 2011) and Senior Investment Analyst and Consultant (July 2008-June 2011) at Hewitt EnnisKnupp. ----------------------------------------------------------------------------------------------------------------------------- David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia 1961 Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. ----------------------------------------------------------------------------------------------------------------------------- Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2006). ----------------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Vice President Since 2008 Vice President of all the DFA Entities. Formerly, 1973 Research Associate for Dimensional Fund Advisors LP (2006 to 2008). ----------------------------------------------------------------------------------------------------------------------------- David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1967 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014); Vice President at BlackRock (2009-2010). ----------------------------------------------------------------------------------------------------------------------------- Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1969 Planning and Analysis Manager for Dimensional Fund Advisors LP (July 2007-January 2014). -----------------------------------------------------------------------------------------------------------------------------
325
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ------------------------------------------------------------------------------------------------------------------ Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1981 Research Associate (June 2011-January 2012) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------------ Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1960 Senior Manager, Human Resources for Dimensional Fund Advisors LP (January 2012-January 2014); Director of Human Resources at Spansion, Inc. (March 2009-December 2011). ------------------------------------------------------------------------------------------------------------------ Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1959 Client Systems Manager for Dimensional Fund Advisors LP (July 2008-January 2010); Senior Manager at Vanguard (November 1997-July 2008). ------------------------------------------------------------------------------------------------------------------ Walid A. Shinnawi Vice President Since 2010 Vice President of all the DFA Entities. Formerly, 1961 Regional Director for Dimensional Fund Advisors LP (March 2006-January 2010). ------------------------------------------------------------------------------------------------------------------ Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly, 1965 Investment Operations Manager for Dimensional Fund Advisors LP (May 2007-January 2009). ------------------------------------------------------------------------------------------------------------------ Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities. 1968 ------------------------------------------------------------------------------------------------------------------ Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1981 Manager for Dimensional Fund Advisors LP (since January 2012). Formerly, Investment Associate for Dimensional Fund Advisors LP (August 2010- December 2011). ------------------------------------------------------------------------------------------------------------------ Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities. 1975 ------------------------------------------------------------------------------------------------------------------ Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio 1977 Manager of Dimensional Fund Advisors LP (since January 2010). ------------------------------------------------------------------------------------------------------------------ Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1968 Project Manager for Dimensional Fund Advisors LP (2007-2010). ------------------------------------------------------------------------------------------------------------------ Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and 1956 Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------ Carl G. Snyder Vice President Since 2000 Vice President of all the DFA Entities. 1963 ------------------------------------------------------------------------------------------------------------------ Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities. 1947 ------------------------------------------------------------------------------------------------------------------ Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Regional Director for Dimensional Fund Advisors LP (April 2010-January 2013). ------------------------------------------------------------------------------------------------------------------ Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1973 Manager, Investment Analytics and Data (2012- January 2013) and Research Assistant (2002-2011) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1980 Regional Director (2010-January 2013) and Senior Associate (2007-2009) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------ John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (January 2008-January 2012). ------------------------------------------------------------------------------------------------------------------ Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities. 1958 ------------------------------------------------------------------------------------------------------------------ Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia 1966 Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------
326
Name and Year of Term of Office/1/ and Birth Position Length of Service Principal Occupation During Past 5 Years ---------------------------------------------------------------------------------------------------------------- Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1979 Regional Director for Dimensional Fund Advisors LP (September 2008-January 2014). ---------------------------------------------------------------------------------------------------------------- Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio 1970 Manager for Dimensional Fund Advisors LP (since 2004). ---------------------------------------------------------------------------------------------------------------- Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities. 1951 ---------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities. 1976 ---------------------------------------------------------------------------------------------------------------- Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities. 1955 ---------------------------------------------------------------------------------------------------------------- Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly, 1978 Regional Director for Dimensional Fund Advisors LP (2005-2010). ----------------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the Board of Directors and until his or her successor is elected and qualified. 327 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://us.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 328 NOTICE TO SHAREHOLDERS (Unaudited) For shareholders that do not have an October 31, 2014 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2014 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2013 to October 31, 2014, 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.......................... 28% 28% 44% -- -- 100% -- US Large Cap Equity Portfolio....... 99% 1% -- -- -- 100% 100% U.S. Large Cap Value Portfolio...... 99% -- 1% -- -- 100% 100% U.S. Targeted Value Portfolio....... 13% 5% 82% -- -- 100% 100% U.S. Small Cap Value Portfolio...... 13% -- 87% -- -- 100% 100% U.S. Core Equity 1 Portfolio........ 79% -- 21% -- -- 100% 100% U.S. Core Equity 2 Portfolio........ 62% 2% 36% -- -- 100% 100% U.S. Vector Equity Portfolio........ 46% 2% 52% -- -- 100% 100% U.S. Small Cap Portfolio............ 22% 6% 72% -- -- 100% 100% U.S. Micro Cap Portfolio............ 13% 5% 82% -- -- 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.......................... 44% 7% 49% -- -- 100% 100% Japanese Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% United Kingdom Small Company Portfolio.......................... 64% -- 36% -- -- 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.......................... -- 11% -- -- 100% 100% US 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% -- 3% 100% 100% 100% International Core Equity Portfolio.......................... 100% -- 4% 100% 100% 100% International Small Company Portfolio.......................... 100% -- 4% 100% 100% 100% Japanese Small Company Portfolio.......................... 100% -- 9% 100% 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- 1% 100% 100% 100% United Kingdom Small Company Portfolio.......................... 100% -- -- 100% 100% 100% Continental Small Company Portfolio.......................... 100% -- 7% 100% 100% 100%
329 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.......................... 55% 10% 35% -- -- 100% 100% International Vector Equity Portfolio.......................... 80% 1% 19% -- -- 100% 100% World ex U.S. Value Portfolio....... 100% -- -- -- -- 100% 100% World ex U.S. Targeted Value Portfolio.......................... 68% 1% 31% -- -- 100% 100% World ex U.S. Core Equity Portfolio.......................... 99% 1% -- -- -- 100% 100% World Core Equity Portfolio (formerly Dimensional Retirement Equity Fund II).................... 93% 3% 4% -- -- 100% 100% Selectively Hedged Global Equity Portfolio.......................... 69% 10% 21% -- -- 100% 100% Emerging Markets Portfolio.......... 79% -- 21% -- -- 100% 100% Emerging Markets Small Cap Portfolio.......................... 57% -- 43% -- -- 100% 100% Emerging Markets Value Portfolio.......................... 61% 2% 37% -- -- 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% DFA Commodity Strategy Portfolio.......................... 84% 7% 9% -- -- 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% 78% 100% 100% DFA Global Real Estate Securities Portfolio.......................... 100% -- 2% 50% 100% 100% DFA International Small Cap Value Portfolio.......................... 100% -- 5% 100% 100% 100% International Vector Equity Portfolio.......................... 100% -- 4% 100% 100% 100% World ex U.S. Value Portfolio....... 100% -- 3% 100% 100% 100% World ex U.S. Targeted Value Portfolio.......................... 100% -- 6% 100% 100% 100% World ex U.S. Core Equity Portfolio.......................... 100% -- 5% 100% 100% 100% World Core Equity Portfolio (formerly Dimensional Retirement Equity Fund II).................... 100% -- 3% 100% 100% 100% Selectively Hedged Global Equity Portfolio.......................... 100% -- 2% 36% 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% -- 6% 100% 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- 5% 100% 100% 100% DFA Commodity Strategy Portfolio.......................... 100% 5% -- -- 100% 100% Dimensional Investment Group Inc. DFA International Value Portfolio... 100% -- 2% 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). 330 NOTICE TO SHAREHOLDERS (Unaudited) (2)The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. (3)"U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. (4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income. (5)"Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (6)The percentage in this column represents the amount of "Qualifying Interest Income" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). (7)The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 331 [LOGO] DFA103114-001A 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, 2014: $19,430 Fiscal Year Ended October 31, 2013: $18,814 (b)Audit-Related Fees Fees for Registrant Fiscal Year Ended October 31, 2014: $1,580 Fiscal Year Ended October 31, 2013: $1,519 For fiscal years ended October 31, 2014 and October 31, 2013, 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, 2014: $165,000 Fiscal Year Ended October 31, 2013: $155,000 For the fiscal years ended October 31, 2014 and October 31, 2013, 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, 2014: $8,447 Fiscal Year Ended October 31, 2013: $8,317 Tax Fees included, for the fiscal years ended October 31, 2014 and October 31, 2013, 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, 2014: $0 Fiscal Year Ended October 31, 2013: $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, 2014 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, 2014: $2,218,385 Fiscal Year Ended October 31, 2013: $2,035,239 (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, 2014
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.7%) BRAZIL -- (5.4%) ALL - America Latina Logistica SA....................... 1,495,046 $ 4,083,044 0.0% Banco Alfa de Investimento SA........................... 78,200 183,042 0.0% Banco do Brasil SA...................................... 10,290,573 115,161,060 0.6% Banco Santander Brasil SA ADR........................... 17,807,476 97,584,968 0.5% Bematech SA............................................. 813,900 2,550,840 0.0% * BHG SA - Brazil Hospitality Group....................... 231,914 1,675,279 0.0% BM&FBovespa SA.......................................... 16,976,687 74,703,226 0.4% Brasil Brokers Participacoes SA......................... 269,700 345,011 0.0% BrasilAgro - Co. Brasileira de Propriedades Agricolas... 23,300 65,105 0.0% # Braskem SA Sponsored ADR................................ 462,329 6,782,366 0.0% * Brookfield Incorporacoes SA............................. 7,174,000 4,570,361 0.0% Cia de Locacao das Americas............................. 42,900 64,892 0.0% Cia Providencia Industria e Comercio SA................. 359,200 1,201,552 0.0% * CR2 Empreendimentos Imobiliarios SA..................... 91,200 97,108 0.0% Cyrela Brazil Realty SA Empreendimentos e Participacoes. 1,034,500 5,140,501 0.0% Direcional Engenharia SA................................ 329,400 1,355,187 0.0% Eternit SA.............................................. 105,202 146,983 0.0% Even Construtora e Incorporadora SA..................... 5,161,239 11,179,114 0.1% * Fertilizantes Heringer SA............................... 303,800 767,346 0.0% * Fibria Celulose SA...................................... 2,182,200 26,433,568 0.2% #* Fibria Celulose SA Sponsored ADR........................ 3,877,210 47,418,278 0.3% * Forjas Taurus SA........................................ 334,660 96,125 0.0% # Gafisa SA ADR........................................... 2,751,331 5,887,848 0.0% * General Shopping Brasil SA.............................. 76,330 207,445 0.0% Gerdau SA............................................... 2,014,063 7,465,965 0.1% Gerdau SA Sponsored ADR................................. 15,421,303 69,858,503 0.4% Helbor Empreendimentos SA............................... 176,889 432,273 0.0% * Hypermarcas SA.......................................... 622,546 4,343,700 0.0% Industrias Romi SA...................................... 592,600 822,834 0.0% JBS SA.................................................. 18,033,940 80,378,469 0.4% JHSF Participacoes SA................................... 840,574 1,068,582 0.0% Kepler Weber SA......................................... 19,187 359,667 0.0% Klabin SA............................................... 2,345,749 11,596,685 0.1% * Log-in Logistica Intermodal SA.......................... 764,700 1,474,483 0.0% Magnesita Refratarios SA................................ 3,244,566 3,864,434 0.0% * Marfrig Global Foods SA................................. 5,228,106 12,784,756 0.1% MRV Engenharia e Participacoes SA....................... 4,649,272 15,377,527 0.1% * Paranapanema SA......................................... 4,146,743 3,772,653 0.0% * PDG Realty SA Empreendimentos e Participacoes........... 24,785,319 12,205,552 0.1% Petroleo Brasileiro SA.................................. 5,246,008 30,909,619 0.2% # Petroleo Brasileiro SA ADR.............................. 18,327,471 214,431,411 1.1% Positivo Informatica SA................................. 117,457 102,848 0.0% Profarma Distribuidora de Produtos Farmaceuticos SA..... 247,325 1,087,555 0.0% QGEP Participacoes SA................................... 768,066 2,790,220 0.0% Rodobens Negocios Imobiliarios SA....................... 333,416 1,342,670 0.0% * Rossi Residencial SA.................................... 5,002,686 1,980,887 0.0% Sao Carlos Empreendimentos e Participacoes SA........... 39,000 525,703 0.0% Sao Martinho SA......................................... 477,463 7,510,826 0.1% SLC Agricola SA......................................... 1,042,891 7,113,645 0.0% * Springs Global Participacoes SA......................... 1,193,300 331,950 0.0% Tecnisa SA.............................................. 1,893,527 3,765,699 0.0% Tereos Internacional SA................................. 595,672 508,323 0.0% TPI - Triunfo Participacoes e Investimentos SA.......... 427,300 1,007,231 0.0%
1 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- BRAZIL -- (Continued) Trisul SA..................................... 89,661 $ 132,073 0.0% * Usinas Siderurgicas de Minas Gerais SA........ 1,170,440 3,120,086 0.0% Vale SA....................................... 3,130,399 31,575,384 0.2% # Vale SA Sponsored ADR......................... 13,734,107 138,577,140 0.7% * Vanguarda Agro SA............................. 3,894,979 1,932,245 0.0% Via Varejo SA................................. 167,924 491,323 0.0% -------------- ---- TOTAL BRAZIL...................................... 1,082,743,170 5.7% -------------- ---- CHILE -- (1.4%) CAP SA........................................ 210,022 1,998,518 0.0% Cementos BIO BIO SA........................... 665,307 610,239 0.0% Cencosud SA................................... 3,847,850 10,996,483 0.1% Cencosud SA ADR............................... 35,186 317,730 0.0% Cia General de Electricidad SA................ 1,539,256 12,475,453 0.1% * Cia Sud Americana de Vapores SA............... 57,519,048 2,169,229 0.0% Cintac SA..................................... 155,202 30,076 0.0% Corpbanca SA.................................. 1,137,122,867 15,266,526 0.1% Cristalerias de Chile SA...................... 264,624 1,911,532 0.0% Cruz Blanca Salud SA.......................... 168,414 146,269 0.0% CTI SA........................................ 5,615 4,370 0.0% Embotelladora Andina SA Class A ADR........... 17,378 270,836 0.0% Empresas CMPC SA.............................. 21,416,082 52,194,220 0.3% Empresas COPEC SA............................. 2,025,010 24,510,811 0.1% Empresas Hites SA............................. 1,794,180 803,370 0.0% Empresas Iansa SA............................. 49,008,058 1,744,039 0.0% Enersis SA.................................... 82,558,367 26,428,962 0.2% Enersis SA Sponsored ADR...................... 5,733,186 90,527,007 0.5% Gasco SA...................................... 161,080 1,172,400 0.0% Grupo Security SA............................. 1,143,589 436,937 0.0% Inversiones Aguas Metropolitanas SA........... 6,124,238 9,272,734 0.1% * Invexans SA................................... 59,974,001 788,255 0.0% * Latam Airlines Group SA....................... 922,130 11,144,629 0.1% #* Latam Airlines Group SA Sponsored ADR......... 500,997 6,112,163 0.0% Masisa SA..................................... 43,593,930 1,792,038 0.0% PAZ Corp. SA.................................. 2,201,345 1,488,635 0.0% Ripley Corp. SA............................... 12,259,428 6,688,250 0.0% Salfacorp SA.................................. 2,581,819 2,224,283 0.0% Sigdo Koppers SA.............................. 31,043 48,196 0.0% Sociedad Matriz SAAM SA....................... 52,294,785 4,398,855 0.0% Sociedad Quimica y Minera de Chile SA Class A. 5,274 151,922 0.0% Socovesa SA................................... 5,773,726 1,246,130 0.0% * Tech Pack SA.................................. 642,230 324,217 0.0% Vina Concha y Toro SA......................... 1,495,294 2,874,456 0.0% Vina Concha y Toro SA Sponsored ADR........... 613 23,055 0.0% Vina San Pedro Tarapaca SA.................... 44,461,736 373,920 0.0% -------------- ---- TOTAL CHILE....................................... 292,966,745 1.6% -------------- ---- CHINA -- (14.2%) # 361 Degrees International, Ltd................ 7,995,000 2,288,760 0.0% # Agile Property Holdings, Ltd.................. 19,928,000 11,308,799 0.1% Agricultural Bank of China, Ltd. Class H...... 255,464,000 118,712,368 0.6% Air China, Ltd. Class H....................... 15,656,000 10,118,605 0.1% #* Aluminum Corp. of China, Ltd. ADR............. 300,321 3,339,569 0.0% #* Aluminum Corp. of China, Ltd. Class H......... 23,250,000 10,409,722 0.1% AMVIG Holdings, Ltd........................... 5,605,100 2,617,282 0.0% # Angang Steel Co., Ltd. Class H................ 13,246,640 9,738,330 0.1%
2 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- CHINA -- (Continued) Anhui Tianda Oil Pipe Co., Ltd.......................... 2,847,412 $ 574,184 0.0% # Anxin-China Holdings, Ltd............................... 10,552,000 980,328 0.0% # Asia Cement China Holdings Corp......................... 7,617,000 4,328,044 0.0% # Asian Citrus Holdings, Ltd.............................. 7,229,000 1,296,307 0.0% * AVIC International Holdings, Ltd........................ 2,674,000 1,744,419 0.0% Bank of China, Ltd. Class H............................. 763,167,331 365,290,776 1.9% Bank of Communications Co., Ltd. Class H................ 96,624,574 72,200,559 0.4% # Baoye Group Co., Ltd. Class H........................... 2,861,120 1,719,878 0.0% BBMG Corp. Class H...................................... 9,803,000 6,931,811 0.1% Beijing Capital International Airport Co., Ltd. Class H. 24,271,599 17,814,183 0.1% Beijing Capital Land, Ltd. Class H...................... 18,113,060 6,265,412 0.0% Beijing Enterprises Holdings, Ltd....................... 2,918,000 23,805,732 0.1% # Beijing North Star Co., Ltd. Class H.................... 8,784,000 2,651,078 0.0% BYD Electronic International Co., Ltd................... 8,272,136 9,851,811 0.1% C C Land Holdings, Ltd.................................. 20,944,286 3,783,969 0.0% Carrianna Group Holdings Co., Ltd....................... 3,880,391 630,706 0.0% # Central China Real Estate, Ltd.......................... 8,450,350 1,942,095 0.0% #* Chaoda Modern Agriculture Holdings, Ltd................. 37,445,412 1,085,915 0.0% * Chigo Holding, Ltd...................................... 49,744,000 1,194,179 0.0% # China Aerospace International Holdings, Ltd............. 32,830,000 4,780,404 0.0% China Agri-Industries Holdings, Ltd..................... 15,915,500 6,059,861 0.0% # China Aoyuan Property Group, Ltd........................ 15,566,000 2,451,681 0.0% * China Automation Group, Ltd............................. 7,187,000 1,381,430 0.0% # China BlueChemical, Ltd................................. 4,940,878 1,754,561 0.0% China CITIC Bank Corp., Ltd. Class H.................... 93,161,716 60,690,110 0.3% # China Coal Energy Co., Ltd. Class H..................... 48,245,000 29,617,714 0.2% China Communications Construction Co., Ltd. Class H..... 55,719,327 42,774,789 0.2% China Communications Services Corp., Ltd. Class H....... 31,219,071 14,618,801 0.1% China Construction Bank Corp. Class H................... 542,030,940 404,408,696 2.2% #* China COSCO Holdings Co., Ltd. Class H.................. 25,299,500 11,393,510 0.1% China Dongxiang Group Co., Ltd.......................... 2,772,127 508,319 0.0% #* China Dredging Environment Protection Holdings, Ltd..... 974,000 233,816 0.0% China Everbright, Ltd................................... 12,195,869 23,597,418 0.1% China Glass Holdings, Ltd............................... 10,028,000 1,163,467 0.0% * China High Precision Automation Group, Ltd.............. 429,000 67,488 0.0% * China High Speed Transmission Equipment Group Co., Ltd.. 16,532,000 13,032,278 0.1% # China Hongqiao Group, Ltd............................... 3,551,000 2,732,483 0.0% * China Huiyuan Juice Group, Ltd.......................... 1,958,483 780,797 0.0% # China ITS Holdings Co., Ltd............................. 7,613,147 1,060,561 0.0% # China Lumena New Materials Corp......................... 52,602,000 6,358,920 0.0% China Merchants Bank Co., Ltd. Class H.................. 10,448,596 19,390,562 0.1% China Merchants Holdings International Co., Ltd......... 4,203,958 13,288,703 0.1% # China Merchants Land, Ltd............................... 9,568,000 1,370,478 0.0% * China Metal Recycling Holdings, Ltd..................... 3,259,800 743,161 0.0% * China Mining Resources Group, Ltd....................... 10,489,100 93,365 0.0% China Minsheng Banking Corp., Ltd. Class H.............. 61,191,500 61,472,470 0.3% # China National Building Material Co., Ltd. Class H...... 37,738,000 34,989,340 0.2% # China National Materials Co., Ltd....................... 14,826,000 3,367,150 0.0% * China New Town Development Co., Ltd..................... 14,938,022 742,568 0.0% * China Nickel Resources Holdings Co., Ltd................ 5,020,000 146,761 0.0% * China Oriental Group Co., Ltd........................... 26,000 3,889 0.0% # China Overseas Grand Oceans Group, Ltd.................. 923,000 486,961 0.0% # China Petroleum & Chemical Corp. ADR.................... 1,223,161 106,390,526 0.6% China Petroleum & Chemical Corp. Class H................ 106,787,575 92,607,409 0.5% #* China Precious Metal Resources Holdings Co., Ltd........ 24,410,000 2,579,034 0.0% * China Properties Group, Ltd............................. 6,372,000 1,215,849 0.0% * China Qinfa Group, Ltd.................................. 6,458,000 279,133 0.0%
3 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- CHINA -- (Continued) China Railway Construction Corp., Ltd. Class H........ 27,067,014 $ 28,611,137 0.2% China Railway Group, Ltd. Class H..................... 33,800,000 20,807,688 0.1% * China Rare Earth Holdings, Ltd........................ 14,245,000 1,819,306 0.0% China Resources Enterprise, Ltd....................... 674,000 1,603,104 0.0% #* China Rongsheng Heavy Industries Group Holdings, Ltd.. 18,561,000 2,964,784 0.0% # China Sanjiang Fine Chemicals Co., Ltd................ 377,000 186,891 0.0% # China SCE Property Holdings, Ltd...................... 6,192,000 1,222,064 0.0% # China Shanshui Cement Group, Ltd...................... 19,122,000 7,086,802 0.1% China Shenhua Energy Co., Ltd. Class H................ 4,174,000 11,737,649 0.1% #* China Shipping Container Lines Co., Ltd. Class H...... 48,151,700 13,732,667 0.1% # China Southern Airlines Co., Ltd. Class H............. 21,276,000 7,470,609 0.1% China Starch Holdings, Ltd............................ 18,995,000 465,578 0.0% * China Taifeng Beddings Holdings, Ltd.................. 640,000 102,431 0.0% China Tianyi Holdings, Ltd............................ 2,828,000 372,132 0.0% * China Tontine Wines Group, Ltd........................ 3,976,000 169,232 0.0% China Travel International Investment Hong Kong, Ltd.. 52,275,631 16,124,661 0.1% China Unicom Hong Kong, Ltd........................... 2,150,000 3,213,782 0.0% # China Unicom Hong Kong, Ltd. ADR...................... 7,285,774 109,140,894 0.6% China Vanadium Titano - Magnetite Mining Co., Ltd..... 14,969,000 1,524,197 0.0% #* China Yurun Food Group, Ltd........................... 6,972,000 2,968,359 0.0% # China ZhengTong Auto Services Holdings, Ltd........... 2,001,500 1,133,852 0.0% # China Zhongwang Holdings, Ltd......................... 21,978,954 11,575,503 0.1% Chongqing Machinery & Electric Co., Ltd. Class H...... 14,606,000 2,635,414 0.0% Chongqing Rural Commercial Bank Co., Ltd. Class H..... 16,384,000 7,884,999 0.1% * Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd.................................................. 2,428,000 729,662 0.0% * CITIC Resources Holdings, Ltd......................... 30,356,000 4,269,830 0.0% # CITIC, Ltd............................................ 14,538,000 25,473,066 0.1% # Citychamp Watch & Jewellery Group, Ltd................ 22,943,108 3,110,052 0.0% Clear Media, Ltd...................................... 546,000 556,203 0.0% #* Comtec Solar Systems Group, Ltd....................... 9,836,000 1,638,514 0.0% Cosco International Holdings, Ltd..................... 8,298,000 3,636,165 0.0% COSCO Pacific, Ltd.................................... 22,542,963 29,722,556 0.2% * Coslight Technology International Group Co., Ltd...... 20,000 12,875 0.0% Country Garden Holdings Co., Ltd...................... 3,984,800 1,565,538 0.0% * DaChan Food Asia, Ltd................................. 3,297,000 425,199 0.0% # Dah Chong Hong Holdings, Ltd.......................... 1,051,000 619,818 0.0% # Dalian Port PDA Co., Ltd. Class H..................... 14,226,000 4,973,831 0.0% # Dongyue Group, Ltd.................................... 2,297,000 861,089 0.0% * Dynasty Fine Wines Group, Ltd......................... 9,228,600 321,299 0.0% Embry Holdings, Ltd................................... 544,000 273,990 0.0% # Evergrande Real Estate Group, Ltd..................... 78,418,000 30,134,317 0.2% Evergreen International Holdings, Ltd................. 1,628,000 199,514 0.0% # Fantasia Holdings Group Co., Ltd...................... 22,225,015 2,378,687 0.0% # Fosun International, Ltd.............................. 11,477,744 13,614,415 0.1% Franshion Properties China, Ltd....................... 48,888,580 11,603,768 0.1% Fufeng Group, Ltd..................................... 3,746,000 1,759,644 0.0% * Global Bio-Chem Technology Group Co., Ltd............. 21,990,360 837,030 0.0% * Global Sweeteners Holdings, Ltd....................... 7,916,350 402,641 0.0% * Glorious Property Holdings, Ltd....................... 38,519,000 5,564,480 0.0% # Golden Meditech Holdings, Ltd......................... 9,303,112 1,523,374 0.0% Goldlion Holdings, Ltd................................ 1,572,000 658,818 0.0% # GOME Electrical Appliances Holding, Ltd............... 77,549,000 12,217,496 0.1% # Greenland Hong Kong Holdings, Ltd..................... 4,169,575 1,679,727 0.0% # Greentown China Holdings, Ltd......................... 9,566,591 9,954,693 0.1% Guangshen Railway Co., Ltd. Class H................... 888,000 381,401 0.0% # Guangshen Railway Co., Ltd. Sponsored ADR............. 426,392 9,103,469 0.1%
4 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- CHINA -- (Continued) Guangzhou Automobile Group Co., Ltd. Class H.......... 13,285,572 $ 11,803,398 0.1% # Guangzhou R&F Properties Co., Ltd..................... 14,146,314 15,429,339 0.1% # Guodian Technology & Environment Group Corp., Ltd. Class H.............................................. 4,021,000 819,950 0.0% Hainan Meilan International Airport Co., Ltd. Class H. 1,989,000 1,547,039 0.0% # Hanergy Thin Film Power Group, Ltd.................... 32,484,000 7,411,579 0.1% Harbin Electric Co., Ltd. Class H..................... 10,851,474 6,549,003 0.0% * Heng Tai Consumables Group, Ltd....................... 46,535,195 683,943 0.0% Hengdeli Holdings, Ltd................................ 2,048,000 329,623 0.0% * Hidili Industry International Development, Ltd........ 13,549,000 1,468,743 0.0% * HKC Holdings, Ltd..................................... 27,876,878 683,544 0.0% Honghua Group, Ltd.................................... 1,636,000 316,571 0.0% Hopefluent Group Holdings, Ltd........................ 796,000 236,201 0.0% #* Hopson Development Holdings, Ltd...................... 11,192,000 9,959,715 0.1% Industrial & Commercial Bank of China, Ltd. Class H... 302,174,996 200,241,009 1.1% Inspur International, Ltd............................. 1,329,343 338,351 0.0% Jiangxi Copper Co., Ltd. Class H...................... 9,933,000 17,592,551 0.1% Jingwei Textile Machinery Class H..................... 50,000 50,185 0.0% # Ju Teng International Holdings, Ltd................... 11,786,249 6,590,454 0.0% * Kai Yuan Holdings, Ltd................................ 51,740,000 683,795 0.0% # Kaisa Group Holdings, Ltd............................. 22,755,632 8,427,323 0.1% Kasen International Holdings, Ltd..................... 1,885,000 267,906 0.0% Kingboard Chemical Holdings, Ltd...................... 9,345,345 18,291,104 0.1% Kingboard Laminates Holdings, Ltd..................... 9,655,000 3,937,304 0.0% KWG Property Holding, Ltd............................. 19,984,500 13,877,069 0.1% #* Labixiaoxin Snacks Group, Ltd......................... 2,491,000 333,849 0.0% Lai Fung Holdings, Ltd................................ 52,922,560 1,134,759 0.0% # Lee & Man Paper Manufacturing, Ltd.................... 4,045,000 2,214,587 0.0% * Leoch International Technology, Ltd................... 190,000 35,274 0.0% * Lingbao Gold Co., Ltd. Class H........................ 3,014,000 485,246 0.0% * LK Technology Holdings, Ltd........................... 112,500 10,859 0.0% Longfor Properties Co., Ltd........................... 200,000 232,266 0.0% # Lonking Holdings, Ltd................................. 24,606,000 4,220,877 0.0% * Loudong General Nice Resources China Holdings, Ltd.... 21,592,800 1,420,233 0.0% * Maanshan Iron & Steel Co., Ltd. Class H............... 7,442,000 1,930,866 0.0% # Maoye International Holdings, Ltd..................... 11,540,000 1,784,914 0.0% Metallurgical Corp. of China, Ltd. Class H............ 28,850,659 7,922,037 0.1% # MIE Holdings Corp..................................... 4,808,000 664,011 0.0% MIN XIN Holdings, Ltd................................. 1,128,418 682,429 0.0% * Mingfa Group International Co., Ltd................... 552,000 153,617 0.0% # Minmetals Land, Ltd................................... 19,829,205 2,299,691 0.0% Minth Group, Ltd...................................... 1,406,000 2,699,103 0.0% # MMG, Ltd.............................................. 12,452,000 4,182,272 0.0% Nature Home Holding Co., Ltd.......................... 154,000 23,492 0.0% # New World China Land, Ltd............................. 24,698,600 14,982,687 0.1% New World Department Store China, Ltd................. 1,026,000 370,358 0.0% # Nine Dragons Paper Holdings, Ltd...................... 21,314,000 16,492,710 0.1% * O-Net Communications Group, Ltd....................... 2,746,000 750,703 0.0% Overseas Chinese Town Asia Holdings, Ltd.............. 332,000 124,150 0.0% # Parkson Retail Group, Ltd............................. 7,457,000 2,193,530 0.0% Peak Sport Products Co., Ltd.......................... 10,288,000 3,078,499 0.0% # Poly Property Group Co., Ltd.......................... 31,419,488 12,171,419 0.1% Ports Design, Ltd..................................... 1,276,000 442,498 0.0% * Pou Sheng International Holdings, Ltd................. 11,183,529 1,024,968 0.0% * Powerlong Real Estate Holdings, Ltd................... 12,936,000 1,800,219 0.0% * Prosperity International Holdings HK, Ltd............. 17,540,000 622,220 0.0% Qingling Motors Co., Ltd. Class H..................... 12,058,000 3,840,821 0.0%
5 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- CHINA -- (Continued) * Qunxing Paper Holdings Co., Ltd......................... 5,020,071 $ 244,687 0.0% * Real Gold Mining, Ltd................................... 3,137,500 106,402 0.0% # Real Nutriceutical Group, Ltd........................... 11,046,000 3,762,460 0.0% * Renhe Commercial Holdings Co., Ltd...................... 34,330,000 1,372,903 0.0% REXLot Holdings, Ltd.................................... 37,241,621 3,843,741 0.0% Samson Holding, Ltd..................................... 7,938,452 1,014,031 0.0% #* Sany Heavy Equipment International Holdings Co., Ltd.... 5,202,000 1,153,002 0.0% Scud Group, Ltd......................................... 3,368,000 512,734 0.0% * Semiconductor Manufacturing International Corp.......... 133,434,000 13,834,008 0.1% * Semiconductor Manufacturing International Corp. ADR..... 1,328,504 6,828,511 0.0% # Shandong Chenming Paper Holdings, Ltd. Class H.......... 4,297,818 1,987,773 0.0% Shanghai Industrial Holdings, Ltd....................... 8,240,918 25,356,261 0.1% * Shanghai Industrial Urban Development Group, Ltd........ 8,776,000 1,619,684 0.0% Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H................................................ 9,208,000 3,159,995 0.0% Shanghai Prime Machinery Co., Ltd. Class H.............. 7,700,000 1,476,552 0.0% * Shanghai Zendai Property, Ltd........................... 2,750,000 37,218 0.0% Shenzhen International Holdings, Ltd.................... 11,350,617 18,038,922 0.1% # Shenzhen Investment, Ltd................................ 41,994,440 12,129,817 0.1% Shimao Property Holdings, Ltd........................... 22,765,535 49,055,538 0.3% * Shougang Concord International Enterprises Co., Ltd..... 67,554,208 3,136,746 0.0% # Shougang Fushan Resources Group, Ltd.................... 44,054,594 10,114,324 0.1% Shui On Land, Ltd....................................... 55,430,303 12,725,594 0.1% * Sijia Group Co.......................................... 1,152,649 38,198 0.0% Silver Grant International Industries, Ltd.............. 18,874,804 2,579,991 0.0% * SIM Technology Group, Ltd............................... 8,253,000 463,607 0.0% * Sino Oil And Gas Holdings, Ltd.......................... 13,840,000 360,247 0.0% # Sino-Ocean Land Holdings, Ltd........................... 44,080,602 25,033,342 0.1% * Sinofert Holdings, Ltd.................................. 12,268,000 1,868,441 0.0% * Sinolink Worldwide Holdings, Ltd........................ 11,754,508 955,656 0.0% * Sinotrans Shipping, Ltd................................. 12,458,416 3,407,776 0.0% Sinotrans, Ltd. Class H................................. 5,681,000 4,507,898 0.0% Sinotruk Hong Kong, Ltd................................. 9,252,835 4,808,086 0.0% Skyworth Digital Holdings, Ltd.......................... 31,396,529 17,172,310 0.1% SMI Corp., Ltd.......................................... 18,960,000 734,160 0.0% SOHO China, Ltd......................................... 28,074,888 20,565,390 0.1% SRE Group, Ltd.......................................... 31,214,285 889,459 0.0% Sunac China Holdings, Ltd............................... 7,508,000 6,520,172 0.0% TCC International Holdings, Ltd......................... 14,035,056 5,701,369 0.0% * TCL Multimedia Technology Holdings, Ltd................. 2,468,200 875,322 0.0% Tian An China Investment Co., Ltd....................... 6,757,000 4,532,467 0.0% # Tiangong International Co., Ltd......................... 16,005,944 4,088,019 0.0% Tianjin Port Development Holdings, Ltd.................. 20,369,657 4,598,350 0.0% # Tianneng Power International, Ltd....................... 8,152,280 2,916,153 0.0% Tomson Group, Ltd....................................... 1,472,772 389,073 0.0% Tonly Electronics Holdings, Ltd......................... 376,220 321,802 0.0% Top Spring International Holdings, Ltd.................. 11,500 3,248 0.0% TPV Technology, Ltd..................................... 8,752,496 1,717,380 0.0% Travelsky Technology, Ltd. Class H...................... 9,843,500 10,272,678 0.1% * Trony Solar Holdings Co., Ltd........................... 8,775,000 133,518 0.0% Wasion Group Holdings, Ltd.............................. 1,757,291 1,836,367 0.0% Weiqiao Textile Co. Class H............................. 7,453,000 3,720,217 0.0% # West China Cement, Ltd.................................. 36,244,000 3,600,308 0.0% Xiamen International Port Co., Ltd. Class H............. 15,252,000 4,014,477 0.0% Xingda International Holdings, Ltd...................... 11,322,000 3,919,091 0.0% # Xinhua Winshare Publishing and Media Co., Ltd. Class H.. 4,837,000 4,521,139 0.0% * Xinjiang Xinxin Mining Industry Co., Ltd. Class H....... 4,477,000 963,692 0.0%
6 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- CHINA -- (Continued) * Xiwang Property Holdings Co., Ltd........................ 5,646,736 $ 320,380 0.0% Xiwang Special Steel Co., Ltd............................ 5,905,000 828,591 0.0% XTEP International Holdings, Ltd......................... 1,036,500 462,883 0.0% * Yanchang Petroleum International, Ltd.................... 27,800,000 1,418,213 0.0% # Yanzhou Coal Mining Co., Ltd. Class H.................... 16,874,000 14,290,428 0.1% # Yanzhou Coal Mining Co., Ltd. Sponsored ADR.............. 60,792 511,261 0.0% Yip's Chemical Holdings, Ltd............................. 752,000 504,191 0.0% Youyuan International Holdings, Ltd...................... 630,229 144,540 0.0% Yuanda China Holdings, Ltd............................... 292,000 18,112 0.0% # Yuexiu Property Co., Ltd................................. 101,920,786 18,928,801 0.1% # Yuzhou Properties Co., Ltd............................... 9,816,960 2,280,241 0.0% Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H.. 571,000 379,270 0.0% # Zhong An Real Estate, Ltd................................ 7,643,800 877,397 0.0% # Zoomlion Heavy Industry Science and Technology Co., Ltd.. 11,645,000 5,601,856 0.0% -------------- ----- TOTAL CHINA.................................................. 2,879,983,513 15.2% -------------- ----- COLOMBIA -- (0.1%) Almacenes Exito SA....................................... 22,754 320,934 0.0% Cementos Argos SA........................................ 541,227 2,762,033 0.0% Constructora Conconcreto SA.............................. 86,988 62,361 0.0% * Fabricato SA............................................. 8,190,234 53,341 0.0% Grupo Argos SA........................................... 113,439 1,233,907 0.0% Grupo de Inversiones Suramericana SA..................... 746,414 15,519,607 0.1% Grupo Nutresa SA......................................... 463,927 6,268,370 0.0% Mineros SA............................................... 65,037 88,033 0.0% -------------- ----- TOTAL COLOMBIA............................................... 26,308,586 0.1% -------------- ----- CZECH REPUBLIC -- (0.2%) CEZ A.S.................................................. 908,656 25,135,388 0.1% O2 Czech Republic AS..................................... 381,442 4,261,468 0.0% Pegas Nonwovens SA....................................... 134,543 3,848,699 0.0% #* Unipetrol A.S............................................ 1,423,606 8,327,718 0.1% -------------- ----- TOTAL CZECH REPUBLIC......................................... 41,573,273 0.2% -------------- ----- GREECE -- (0.1%) * Alpha Bank AE............................................ 6,054,491 3,947,029 0.0% Bank of Greece........................................... 26,513 342,261 0.0% * Ellaktor SA.............................................. 897,424 2,533,180 0.0% Elval - Hellenic Aluminium Industry SA................... 8,595 12,831 0.0% * GEK Terna Holding Real Estate Construction SA............ 704,463 1,802,635 0.0% * Hellenic Petroleum SA.................................... 334,739 1,718,746 0.0% * Intracom Holdings SA..................................... 1,511,057 759,498 0.0% * Intralot SA-Integrated Lottery Systems & Services........ 76,173 107,889 0.0% * Marfin Investment Group Holdings SA...................... 743,463 196,516 0.0% * Mytilineos Holdings SA................................... 471,554 3,036,626 0.0% * National Bank of Greece SA............................... 220,190 531,120 0.0% #* National Bank of Greece SA ADR........................... 185,316 450,318 0.0% * Piraeus Bank SA.......................................... 3,484,614 5,067,406 0.1% * Sidenor Holdings SA...................................... 21,740 24,703 0.0% Terna Energy SA.......................................... 5,747 16,497 0.0% Titan Cement Co. SA...................................... 2,957 65,536 0.0% -------------- ----- TOTAL GREECE................................................. 20,612,791 0.1% -------------- -----
7 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (0.0%) #* China Culiangwang Beverages Holdings, Ltd.. 3,418,200 $ 209,454 0.0% ----------- ---- HUNGARY -- (0.4%) * Danubius Hotel and SpA P.L.C............... 108,124 2,097,892 0.0% * FHB Mortgage Bank P.L.C.................... 3,954 11,535 0.0% MOL Hungarian Oil and Gas P.L.C............ 74,175 3,529,505 0.0% # OTP Bank P.L.C............................. 3,898,283 64,561,897 0.4% * PannErgy................................... 86,313 110,320 0.0% Tisza Chemical Group P.L.C................. 225,494 3,826,242 0.0% ----------- ---- TOTAL HUNGARY.................................. 74,137,391 0.4% ----------- ---- INDIA -- (8.6%) Aban Offshore, Ltd......................... 331,314 3,346,619 0.0% * ABG Shipyard, Ltd.......................... 203,444 755,060 0.0% Adani Enterprises, Ltd..................... 2,518,112 19,779,624 0.1% * Adani Power, Ltd........................... 991,243 772,358 0.0% Aditya Birla Nuvo, Ltd..................... 739,118 20,249,002 0.1% Ahmednagar Forgings, Ltd................... 88,319 585,164 0.0% Allahabad Bank............................. 2,114,906 3,959,234 0.0% Alok Industries, Ltd....................... 10,204,534 2,081,050 0.0% Amtek Auto, Ltd............................ 1,551,102 4,166,499 0.0% Amtek India, Ltd........................... 696,727 1,050,789 0.0% Anant Raj, Ltd............................. 1,198,559 1,048,616 0.0% Andhra Bank................................ 2,676,709 3,660,244 0.0% Apar Industries, Ltd....................... 72,615 449,054 0.0% Apollo Tyres, Ltd.......................... 4,008,187 14,252,172 0.1% Arvind, Ltd................................ 3,503,698 17,004,425 0.1% * Ashok Leyland, Ltd......................... 4,539,496 3,431,291 0.0% Asian Hotels East, Ltd..................... 1,050 3,107 0.0% Atul, Ltd.................................. 16,725 346,824 0.0% Axis Bank, Ltd............................. 1,222,500 8,757,600 0.1% Bajaj Finance, Ltd......................... 70,416 3,182,547 0.0% Bajaj Finserv, Ltd......................... 123,463 2,150,521 0.0% Bajaj Holdings & Investment, Ltd........... 395,402 8,916,259 0.1% Ballarpur Industries, Ltd.................. 4,422,774 1,216,649 0.0% Balmer Lawrie & Co., Ltd................... 161,889 1,641,269 0.0% * Balrampur Chini Mills, Ltd................. 2,486,372 2,215,610 0.0% Bank of Baroda............................. 1,232,256 18,616,026 0.1% Bank of India.............................. 1,966,165 9,072,620 0.1% Bank Of Maharashtra........................ 1,498,465 1,054,570 0.0% BEML, Ltd.................................. 101,349 1,115,050 0.0% BGR Energy Systems, Ltd.................... 169,812 462,730 0.0% Bharat Electronics, Ltd.................... 10,591 358,340 0.0% Bharat Heavy Electricals, Ltd.............. 8,525,426 35,530,081 0.2% Bharti Airtel, Ltd......................... 1,454,489 9,473,308 0.1% Bhushan Steel, Ltd......................... 1,127,438 1,941,550 0.0% Birla Corp., Ltd........................... 135,996 1,157,254 0.0% Bombay Burmah Trading Co................... 1,746 7,373 0.0% Bombay Dyeing & Manufacturing Co., Ltd..... 1,567,477 1,705,913 0.0% Brigade Enterprises, Ltd................... 15,631 37,134 0.0% Cairn India, Ltd........................... 8,360,478 38,656,905 0.2% Canara Bank................................ 1,631,882 10,652,551 0.1% Capital First, Ltd......................... 91,681 498,180 0.0% Ceat, Ltd.................................. 166,902 2,337,847 0.0% * Central Bank Of India...................... 2,281,147 2,496,401 0.0% Century Textiles & Industries, Ltd......... 598,690 5,385,198 0.0% Chambal Fertilizers & Chemicals, Ltd....... 2,460,737 2,470,473 0.0%
8 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) City Union Bank, Ltd................................. 1,450,289 $ 1,997,915 0.0% Claris Lifesciences, Ltd............................. 74,868 206,919 0.0% Corp. Bank........................................... 436,134 2,393,837 0.0% Cox & Kings, Ltd..................................... 833,172 3,876,209 0.0% * Cranes Software International, Ltd................... 114,443 6,009 0.0% Cyient, Ltd.......................................... 26,080 202,113 0.0% Dalmia Bharat, Ltd................................... 165,465 1,136,101 0.0% * DB Realty, Ltd....................................... 1,221,987 1,353,495 0.0% * DCB Bank, Ltd........................................ 2,874,325 4,294,007 0.0% DCM Shriram, Ltd..................................... 319,037 1,152,904 0.0% Deepak Fertilisers & Petrochemicals Corp., Ltd....... 516,320 1,309,410 0.0% * DEN Networks, Ltd.................................... 267,666 719,224 0.0% Dena Bank............................................ 1,885,938 1,959,548 0.0% Dewan Housing Finance Corp., Ltd..................... 115,020 691,040 0.0% Dishman Pharmaceuticals & Chemicals, Ltd............. 432,982 1,106,692 0.0% DLF, Ltd............................................. 7,565,126 15,304,462 0.1% Dredging Corp. Of India, Ltd......................... 51,482 372,632 0.0% Edelweiss Financial Services, Ltd.................... 1,173,706 1,042,752 0.0% * Educomp Solutions, Ltd............................... 242,949 121,634 0.0% Eicher Motors, Ltd................................... 3,085 638,713 0.0% * EID Parry India, Ltd................................. 947,882 3,380,647 0.0% EIH, Ltd............................................. 886,903 1,471,794 0.0% Electrosteel Castings, Ltd........................... 894,946 278,612 0.0% * Era Infra Engineering, Ltd........................... 337,965 59,412 0.0% * Eros International Media, Ltd........................ 425,062 1,729,785 0.0% Escorts, Ltd......................................... 1,368,597 3,772,695 0.0% Ess Dee Aluminium, Ltd............................... 42,453 245,132 0.0% * Essar Oil, Ltd....................................... 963,947 1,898,064 0.0% Essar Ports, Ltd..................................... 708,669 1,106,879 0.0% * Essar Shipping, Ltd.................................. 34,549 12,748 0.0% Essel Propack, Ltd................................... 768,056 1,431,263 0.0% Federal Bank, Ltd.................................... 8,414,667 19,520,612 0.1% Financial Technologies India, Ltd.................... 252,944 720,218 0.0% Finolex Cables, Ltd.................................. 688,924 2,512,917 0.0% Finolex Industries, Ltd.............................. 546,005 2,839,303 0.0% * Firstsource Solutions, Ltd........................... 3,754,653 2,390,758 0.0% * Fortis Healthcare, Ltd............................... 959,836 1,890,656 0.0% Future Retail, Ltd................................... 733,256 1,378,790 0.0% GAIL India, Ltd...................................... 2,841,179 24,428,691 0.1% Gateway Distriparks, Ltd............................. 113,322 529,580 0.0% Gati, Ltd............................................ 302,557 1,003,356 0.0% Godrej Properties, Ltd............................... 89,893 355,285 0.0% Graphite India, Ltd.................................. 663,585 1,012,675 0.0% Grasim Industries, Ltd............................... 15,142 864,159 0.0% Great Eastern Shipping Co., Ltd. (The)............... 1,015,526 6,543,496 0.1% Greaves Cotton, Ltd.................................. 9,635 20,324 0.0% * GTL Infrastructure, Ltd.............................. 535,315 24,362 0.0% Gujarat Alkalies & Chemicals, Ltd.................... 467,952 1,504,655 0.0% Gujarat Fluorochemicals, Ltd......................... 327,417 4,092,468 0.0% Gujarat Mineral Development Corp., Ltd............... 335,126 833,875 0.0% Gujarat Narmada Valley Fertilizers & Chemicals, Ltd.. 729,530 1,019,243 0.0% * Gujarat NRE Coke, Ltd................................ 1,709,516 208,041 0.0% Gujarat State Fertilisers & Chemicals, Ltd........... 2,186,080 4,308,128 0.0% Gujarat State Petronet, Ltd.......................... 2,720,005 4,288,406 0.0% Gulf Oil Corp., Ltd.................................. 103,726 290,798 0.0% Gulf Oil Lubricants India, Ltd....................... 113,892 612,216 0.0% * HCL Infosystems, Ltd................................. 915,062 1,089,420 0.0%
9 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) HEG, Ltd................................... 169,852 $ 836,285 0.0% * HeidelbergCement India, Ltd................ 388,113 559,932 0.0% * Hexa Tradex, Ltd........................... 256,397 105,740 0.0% Hindalco Industries, Ltd................... 20,834,979 55,379,355 0.3% Hinduja Global Solutions, Ltd.............. 60,085 660,151 0.0% * Hindustan Construction Co., Ltd............ 6,688,159 3,594,351 0.0% * Hotel Leela Venture, Ltd................... 758,606 280,616 0.0% * Housing Development & Infrastructure, Ltd.. 146,764 199,284 0.0% HSIL, Ltd.................................. 244,596 1,489,767 0.0% HT Media, Ltd.............................. 254,736 486,597 0.0% ICICI Bank, Ltd............................ 630,654 16,733,668 0.1% ICICI Bank, Ltd. Sponsored ADR............. 3,344,526 188,497,485 1.0% IDBI Bank, Ltd............................. 4,225,680 4,856,170 0.0% Idea Cellular, Ltd......................... 58,406 154,749 0.0% IDFC, Ltd.................................. 6,072,777 15,451,150 0.1% IFCI, Ltd.................................. 6,602,323 3,949,558 0.0% IIFL Holdings, Ltd......................... 2,848,913 7,892,404 0.1% IL&FS Transportation Networks, Ltd......... 195,301 630,837 0.0% India Cements, Ltd. (The).................. 3,994,730 7,242,710 0.1% Indiabulls Housing Finance, Ltd............ 1,795,884 12,276,404 0.1% * Indiabulls Infrastructure and Power, Ltd... 8,397,685 519,181 0.0% Indiabulls Real Estate, Ltd................ 1,059,231 1,239,908 0.0% Indian Bank................................ 1,326,290 3,592,880 0.0% * Indian Hotels Co., Ltd..................... 4,834,889 8,247,388 0.1% Indian Overseas Bank....................... 2,513,158 2,412,371 0.0% ING Vysya Bank, Ltd........................ 265,599 2,788,387 0.0% Ingersoll-Rand India, Ltd.................. 23,057 336,426 0.0% Intellect Design Arena, Ltd................ 969,923 758,246 0.0% Jain Irrigation Systems, Ltd............... 4,790,664 7,073,711 0.1% * Jaiprakash Associates, Ltd................. 20,703,122 10,501,655 0.1% Jammu & Kashmir Bank, Ltd. (The)........... 3,271,950 7,399,694 0.1% * Jaypee Infratech, Ltd...................... 5,317,823 1,987,054 0.0% JB Chemicals & Pharmaceuticals, Ltd........ 373,888 1,398,783 0.0% JBF Industries, Ltd........................ 128,839 311,106 0.0% Jindal Poly Films, Ltd..................... 219,686 1,086,896 0.0% * Jindal Poly Investment & Finance Co., Ltd.. 1,441 3,263 0.0% Jindal Saw, Ltd............................ 2,244,000 2,840,973 0.0% * Jindal Stainless, Ltd...................... 447,064 247,146 0.0% Jindal Steel & Power, Ltd.................. 4,291,213 11,255,045 0.1% JK Cement, Ltd............................. 223,709 2,218,656 0.0% JK Lakshmi Cement, Ltd..................... 457,907 2,782,915 0.0% JK Tyre & Industries, Ltd.................. 198,038 1,576,047 0.0% JM Financial, Ltd.......................... 4,580,382 3,530,270 0.0% JSW Energy, Ltd............................ 5,630,861 7,321,461 0.1% JSW Steel, Ltd............................. 1,955,071 40,001,783 0.2% Jubilant Life Sciences, Ltd................ 871,456 2,034,333 0.0% Kakinada Fertilizers, Ltd.................. 2,082,494 71,293 0.0% Kalpataru Power Transmission, Ltd.......... 476,881 1,318,423 0.0% Karnataka Bank, Ltd. (The)................. 2,195,065 4,444,302 0.0% Karur Vysya Bank, Ltd. (The)............... 387,245 3,460,672 0.0% KEC International, Ltd..................... 611,379 1,082,686 0.0% * Kesoram Industries, Ltd.................... 552,385 1,115,027 0.0% Kirloskar Brothers, Ltd.................... 2,141 9,004 0.0% Kirloskar Oil Engines, Ltd................. 293,581 1,232,567 0.0% Kolte-Patil Developers, Ltd................ 34,115 104,364 0.0% KPIT Technologies, Ltd..................... 23,044 62,119 0.0% KRBL, Ltd.................................. 226,251 334,767 0.0%
10 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) KSB Pumps, Ltd................................... 605 $ 5,265 0.0% Lakshmi Vilas Bank, Ltd. (The)................... 457,710 561,822 0.0% Maharashtra Seamless, Ltd........................ 128,181 653,639 0.0% Mahindra Lifespace Developers, Ltd............... 147,668 1,219,904 0.0% Man Infraconstruction, Ltd....................... 9,840 4,112 0.0% * Manaksia, Ltd.................................... 1,986 3,644 0.0% MAX India, Ltd................................... 30,211 174,717 0.0% McLeod Russel India, Ltd......................... 496,900 2,103,819 0.0% Mercator, Ltd.................................... 1,796,935 842,307 0.0% Merck, Ltd....................................... 22,680 299,667 0.0% MOIL, Ltd........................................ 4,675 23,576 0.0% Monnet Ispat & Energy, Ltd....................... 179,359 243,889 0.0% Motilal Oswal Financial Services, Ltd............ 4,955 17,260 0.0% Mphasis, Ltd..................................... 121,224 789,837 0.0% MRF, Ltd......................................... 11,110 5,659,162 0.1% National Aluminium Co., Ltd...................... 3,210,802 2,986,576 0.0% Nava Bharat Ventures, Ltd........................ 65,021 228,846 0.0% NCC, Ltd.(B0FXGP0)............................... 2,621,585 2,526,893 0.0% NCC, Ltd.()...................................... 3,058,516 2,971,343 0.0% NIIT Technologies, Ltd........................... 489,112 3,076,796 0.0% NIIT, Ltd........................................ 767,524 580,318 0.0% Noida Toll Bridge Co., Ltd....................... 155,450 90,346 0.0% Oberoi Realty, Ltd............................... 82,864 331,861 0.0% OCL India, Ltd................................... 78,239 397,047 0.0% OMAXE, Ltd....................................... 866,322 1,854,237 0.0% Orient Cement, Ltd............................... 567,622 1,369,054 0.0% Orient Paper & Industries, Ltd................... 47,163 24,673 0.0% Oriental Bank of Commerce........................ 1,205,589 5,597,208 0.0% * Oswal Chemicals & Fertilizers, Ltd............... 247,086 129,327 0.0% * Panacea Biotec, Ltd.............................. 7,823 20,016 0.0% * Parsvnath Developers, Ltd........................ 1,315,279 433,698 0.0% PC Jeweller, Ltd................................. 229,088 901,943 0.0% Peninsula Land, Ltd.............................. 81,038 47,432 0.0% Petronet LNG, Ltd................................ 755,001 2,442,838 0.0% * Pipavav Defence & Offshore Engineering Co., Ltd.. 22,287 13,942 0.0% Piramal Enterprises, Ltd......................... 744,986 9,775,976 0.1% * Plethico Pharmaceuticals, Ltd.................... 178,019 119,844 0.0% Polaris Financial Technology, Ltd................ 991,066 3,021,716 0.0% Power Finance Corp., Ltd......................... 16,793 76,637 0.0% Praj Industries, Ltd............................. 507,475 520,609 0.0% Prakash Industries, Ltd.......................... 165,631 156,841 0.0% * Prism Cement, Ltd................................ 370,591 452,316 0.0% PTC India Financial Services, Ltd................ 2,936,603 2,417,722 0.0% PTC India, Ltd................................... 4,119,645 6,159,142 0.1% * Punj Lloyd, Ltd.................................. 1,569,682 976,575 0.0% Punjab & Sind Bank............................... 116,252 110,682 0.0% Puravankara Projects, Ltd........................ 169,086 275,323 0.0% Radico Khaitan, Ltd.............................. 193,640 286,759 0.0% Rain Industries, Ltd............................. 1,672,005 1,352,150 0.0% Rajesh Exports, Ltd.............................. 287,502 666,916 0.0% Ramco Cements, Ltd. (The)........................ 399,005 2,245,154 0.0% Ratnamani Metals & Tubes, Ltd.................... 1,288 9,504 0.0% Raymond, Ltd..................................... 629,181 4,732,107 0.0% Redington India, Ltd............................. 393,670 655,740 0.0% REI Agro, Ltd.................................... 5,013,829 200,431 0.0% Reliance Capital, Ltd............................ 1,319,922 10,178,395 0.1% * Reliance Communications, Ltd..................... 10,751,778 18,497,036 0.1%
11 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) Reliance Industries, Ltd................ 21,131,225 $342,432,538 1.8% Reliance Industries, Ltd. GDR........... 107,000 3,458,483 0.0% * Reliance Power, Ltd..................... 10,036,520 12,475,238 0.1% Rolta India, Ltd........................ 1,564,222 2,812,675 0.0% Ruchi Soya Industries, Ltd.............. 1,957,762 1,207,108 0.0% Rural Electrification Corp., Ltd........ 2,768,400 13,584,214 0.1% Sesa Sterlite, Ltd...................... 13,111,693 54,635,115 0.3% Sesa Sterlite, Ltd. ADR................. 1,581,236 26,628,021 0.2% * Shipping Corp. of India, Ltd............ 2,377,188 2,331,449 0.0% * Shree Renuka Sugars, Ltd................ 6,771,888 1,873,215 0.0% Simplex Infrastructures, Ltd............ 6,327 31,181 0.0% Sintex Industries, Ltd.................. 2,411,670 3,792,086 0.0% Sobha Developers, Ltd................... 724,644 5,091,738 0.0% South Indian Bank, Ltd. (The)........... 9,724,062 4,397,403 0.0% SREI Infrastructure Finance, Ltd........ 1,470,670 1,140,589 0.0% SRF, Ltd................................ 337,716 4,640,978 0.0% State Bank of Bikaner & Jaipur.......... 50,954 471,545 0.0% State Bank of India..................... 2,134,196 93,821,600 0.5% State Bank of India GDR................. 1,449 127,272 0.0% State Bank of Travancore................ 1,903 13,102 0.0% Steel Authority of India, Ltd........... 1,314,032 1,781,829 0.0% Sterlite Technologies, Ltd.............. 1,813,999 2,103,008 0.0% Styrolution ABS India, Ltd.............. 28,114 289,874 0.0% Sundram Fasteners, Ltd.................. 37,667 94,993 0.0% * Suzlon Energy, Ltd...................... 12,847,639 2,780,728 0.0% Syndicate Bank.......................... 2,880,564 5,888,204 0.1% Tamil Nadu Newsprint & Papers, Ltd...... 77,579 178,102 0.0% Tata Chemicals, Ltd..................... 1,201,925 7,962,193 0.1% Tata Global Beverages, Ltd.............. 5,612,575 14,633,502 0.1% Tata Motors, Ltd........................ 2,659,305 23,224,411 0.1% Tata Motors, Ltd. Sponsored ADR......... 163,263 7,689,687 0.1% Tata Steel, Ltd......................... 8,358,781 66,598,810 0.4% Techno Electric & Engineering Co., Ltd.. 12,200 53,310 0.0% * Teledata Marine Solutions, Ltd.......... 267,258 -- 0.0% Time Technoplast, Ltd................... 617,680 475,358 0.0% Trent, Ltd.............................. 11,394 246,242 0.0% Tube Investments of India, Ltd.......... 515,266 2,930,643 0.0% * TV18 Broadcast, Ltd..................... 5,911,235 2,801,380 0.0% UCO Bank................................ 5,290,500 7,523,804 0.1% Uflex, Ltd.............................. 391,028 1,020,484 0.0% Unichem Laboratories, Ltd............... 219,888 701,197 0.0% Union Bank of India..................... 1,648,312 6,026,369 0.1% UPL, Ltd................................ 3,719,259 20,979,458 0.1% * Usha Martin, Ltd........................ 1,811,897 776,768 0.0% * Uttam Galva Steels, Ltd................. 112,549 134,755 0.0% VA Tech Wabag, Ltd...................... 1,281 33,227 0.0% * Vardhman Special Steels, Ltd............ 6,934 3,958 0.0% Vardhman Textiles, Ltd.................. 200,135 1,429,134 0.0% Videocon Industries, Ltd................ 856,897 2,343,418 0.0% Vijaya Bank............................. 2,884,524 2,238,898 0.0% Voltas, Ltd............................. 68,415 279,342 0.0% Welspun Corp., Ltd...................... 1,847,557 2,298,445 0.0% * Welspun Enterprises, Ltd................ 92,378 304,666 0.0% Welspun India, Ltd...................... 57,777 280,204 0.0% Wockhardt, Ltd.......................... 509,935 6,289,878 0.1%
12 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDIA -- (Continued) Zensar Technologies, Ltd.......................... 41,101 $ 404,945 0.0% Zuari Agro Chemicals, Ltd......................... 99,759 413,245 0.0% -------------- ---- TOTAL INDIA........................................... 1,735,278,793 9.2% -------------- ---- INDONESIA -- (2.6%) Adaro Energy Tbk PT............................... 238,333,900 22,412,379 0.1% Agung Podomoro Land Tbk PT........................ 118,961,600 3,475,077 0.0% Alam Sutera Realty Tbk PT......................... 177,983,200 6,833,640 0.1% Aneka Tambang Persero Tbk PT...................... 80,886,500 6,496,435 0.0% Asahimas Flat Glass Tbk PT........................ 5,277,000 2,930,450 0.0% Astra Graphia Tbk PT.............................. 1,348,100 247,537 0.0% * Bakrie and Brothers Tbk PT........................ 1,049,980,250 4,344,147 0.0% * Bakrie Sumatera Plantations Tbk PT................ 120,401,800 498,197 0.0% * Bakrie Telecom Tbk PT............................. 260,426,500 1,077,478 0.0% * Bakrieland Development Tbk PT..................... 623,458,520 2,579,473 0.0% Bank Bukopin Tbk PT............................... 63,324,333 3,954,697 0.0% Bank Danamon Indonesia Tbk PT..................... 36,234,654 12,636,779 0.1% Bank Mandiri Persero Tbk PT....................... 75,216,231 64,599,752 0.4% Bank Negara Indonesia Persero Tbk PT.............. 119,873,841 59,081,599 0.3% * Bank Pan Indonesia Tbk PT......................... 145,749,701 12,059,922 0.1% Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT............................................... 34,447,300 2,152,711 0.0% Bank Permata Tbk PT............................... 381,272 46,692 0.0% Bank Tabungan Negara Persero Tbk PT............... 72,795,427 6,748,416 0.1% * Barito Pacific Tbk PT............................. 15,599,000 345,708 0.0% * Benakat Integra Tbk PT............................ 137,741,500 1,584,363 0.0% * Berau Coal Energy Tbk PT.......................... 769,100 6,109 0.0% * Berlian Laju Tanker Tbk PT........................ 128,161,466 -- 0.0% BISI International Tbk PT......................... 13,895,800 563,668 0.0% * Budi Starch & Sweetener Tbk PT.................... 9,951,800 84,142 0.0% * Bumi Resources Tbk PT............................. 104,727,000 1,197,967 0.0% Bumi Serpong Damai PT............................. 20,885,200 2,775,471 0.0% BW Plantation Tbk PT.............................. 3,848,600 173,756 0.0% * Central Proteinaprima Tbk PT...................... 178,071,500 736,746 0.0% Charoen Pokphand Indonesia Tbk PT................. 33,263,730 11,568,257 0.1% Ciputra Development Tbk PT........................ 138,401,100 13,124,638 0.1% Ciputra Property Tbk PT........................... 34,864,200 2,178,327 0.0% Ciputra Surya Tbk PT.............................. 17,279,700 3,467,327 0.0% * Clipan Finance Indonesia Tbk PT................... 2,995,500 108,823 0.0% * Darma Henwa Tbk PT................................ 246,575,442 1,020,171 0.0% * Davomas Abadi Tbk PT.............................. 138,239,500 -- 0.0% * Delta Dunia Makmur Tbk PT......................... 48,942,400 875,684 0.0% Elnusa Tbk PT..................................... 51,903,500 2,223,787 0.0% * Energi Mega Persada Tbk PT........................ 570,221,378 5,349,205 0.0% * Erajaya Swasembada Tbk PT......................... 26,265,800 2,220,167 0.0% * Ever Shine Textile Tbk PT......................... 19,342,215 352,113 0.0% * Exploitasi Energi Indonesia Tbk PT................ 1,975,500 30,087 0.0% Gajah Tunggal Tbk PT.............................. 30,108,000 3,588,477 0.0% * Garuda Indonesia Persero Tbk PT................... 24,051,781 1,054,912 0.0% Global Mediacom Tbk PT............................ 94,561,000 15,347,296 0.1% * Gozco Plantations Tbk PT.......................... 10,639,000 85,348 0.0% * Great River International Tbk PT.................. 1,788,000 -- 0.0% Gudang Garam Tbk PT............................... 1,836,000 8,786,106 0.1% Harum Energy Tbk PT............................... 17,230,700 2,254,326 0.0% Hexindo Adiperkasa Tbk PT......................... 1,364,644 405,649 0.0% Holcim Indonesia Tbk PT........................... 21,037,400 4,090,238 0.0% Indah Kiat Pulp & Paper Corp. Tbk PT.............. 39,421,700 3,749,341 0.0%
13 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDONESIA -- (Continued) * Indika Energy Tbk PT.................................. 27,651,100 $ 1,454,103 0.0% Indo Tambangraya Megah Tbk PT......................... 157,900 277,054 0.0% * Indo-Rama Synthetics Tbk PT........................... 41,500 3,594 0.0% Indofood Sukses Makmur Tbk PT......................... 69,867,200 39,463,556 0.2% Indomobil Sukses Internasional Tbk PT................. 54,500 17,376 0.0% Intiland Development Tbk PT........................... 89,814,700 4,423,308 0.0% Japfa Comfeed Indonesia Tbk PT........................ 27,068,750 2,813,629 0.0% Jaya Real Property Tbk PT............................. 123,301,500 10,185,081 0.1% Kawasan Industri Jababeka Tbk PT...................... 337,026,120 7,591,983 0.1% * Lippo Cikarang Tbk PT................................. 850,200 598,312 0.0% Lippo Karawaci Tbk PT................................. 322,394,649 28,555,369 0.2% Matahari Putra Prima Tbk PT........................... 18,399,000 4,790,568 0.0% Mayora Indah Tbk PT................................... 3,451,100 8,074,371 0.1% Medco Energi Internasional Tbk PT..................... 27,716,900 8,827,655 0.1% Metrodata Electronics Tbk PT.......................... 1,455,100 71,568 0.0% * Mitra International Resources Tbk PT.................. 3,041,360 12,585 0.0% MNC Investama Tbk PT.................................. 300,704,600 8,336,201 0.1% Modernland Realty Tbk PT.............................. 42,860,900 1,763,553 0.0% Multipolar Tbk PT..................................... 67,960,700 5,291,833 0.0% * Nusantara Infrastructure Tbk PT....................... 39,595,200 642,554 0.0% Pabrik Kertas Tjiwi Kimia Tbk PT...................... 929,000 70,092 0.0% Pan Brothers Tbk PT................................... 1,663,050 64,005 0.0% * Panin Financial Tbk PT................................ 200,578,000 4,434,945 0.0% * Paninvest Tbk PT...................................... 30,871,000 1,700,233 0.0% Perusahaan Perkebunan London Sumatra Indonesia Tbk PT. 60,102,484 9,676,082 0.1% Petrosea Tbk PT....................................... 3,762,500 330,340 0.0% * Polychem Indonesia Tbk PT............................. 436,500 6,395 0.0% Ramayana Lestari Sentosa Tbk PT....................... 33,355,500 2,239,747 0.0% Salim Ivomas Pratama Tbk PT........................... 28,914,400 1,853,014 0.0% Sampoerna Agro PT..................................... 11,712,641 2,035,546 0.0% Selamat Sempurna Tbk PT............................... 11,727,000 4,361,568 0.0% Semen Baturaja Persero Tbk PT......................... 2,508,000 77,639 0.0% * Sentul City Tbk PT.................................... 114,269,100 842,700 0.0% * Sigmagold Inti Perkasa Tbk PT......................... 35,039,300 1,362,884 0.0% Sinar Mas Agro Resources & Technology Tbk PT.......... 7,806,900 4,985,655 0.0% Sinar Mas Multiartha Tbk PT........................... 2,000 480 0.0% Sri Rejeki Isman Tbk PT............................... 4,122,500 56,973 0.0% * Surya Dumai Industri Tbk.............................. 5,145,000 -- 0.0% Surya Semesta Internusa Tbk PT........................ 52,232,600 3,282,258 0.0% Surya Toto Indonesia Tbk PT........................... 680,000 208,192 0.0% * Suryainti Permata Tbk PT.............................. 17,378,000 -- 0.0% * Tiga Pilar Sejahtera Food Tbk......................... 26,563,822 4,815,441 0.0% Timah Persero Tbk PT.................................. 62,892,860 6,434,010 0.0% Trias Sentosa Tbk PT.................................. 336,500 10,565 0.0% * Trimegah Securities Tbk PT............................ 9,162,100 51,738 0.0% * Truba Alam Manunggal Engineering PT................... 129,244,500 85,557 0.0% Tunas Baru Lampung Tbk PT............................. 18,271,700 1,058,563 0.0% Tunas Ridean Tbk PT................................... 42,848,500 2,198,798 0.0% Ultrajaya Milk Industry & Trading Co. Tbk PT.......... 9,204,400 2,912,684 0.0% Unggul Indah Cahaya Tbk PT............................ 319,635 50,642 0.0% United Tractors Tbk PT................................ 12,140,900 18,441,922 0.1% Vale Indonesia Tbk PT................................. 41,384,900 12,969,453 0.1% * Visi Media Asia Tbk PT................................ 15,238,600 578,890 0.0% Wintermar Offshore Marine Tbk PT...................... 712,198 67,767 0.0% XL Axiata Tbk PT...................................... 1,395,500 638,162 0.0% ------------ ---- TOTAL INDONESIA........................................... 522,620,783 2.8% ------------ ----
14 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (0.0%) * Knafaim Holdings, Ltd............. 5,195 $ 8,516 0.0% Liberty Properties, Ltd........... 2,467 10,711 0.0% ----------- ---- TOTAL ISRAEL.......................... 19,227 0.0% ----------- ---- MALAYSIA -- (4.0%) A & M Realty Bhd.................. 151,200 52,443 0.0% * Adventa Bhd....................... 62,000 18,095 0.0% # Affin Holdings Bhd................ 12,507,950 12,291,102 0.1% * Ahmad Zaki Resources Bhd.......... 164,200 35,708 0.0% # AirAsia Bhd....................... 24,383,300 18,534,718 0.1% # Alam Maritim Resources Bhd........ 2,583,200 865,793 0.0% Alliance Financial Group Bhd...... 16,479,900 24,018,994 0.1% Allianz Malaysia Bhd.............. 28,800 112,987 0.0% Amcorp Properties Bhd............. 170,900 48,602 0.0% # AMMB Holdings Bhd................. 23,966,062 49,412,879 0.3% Ann Joo Resources Bhd............. 2,973,600 1,086,646 0.0% APM Automotive Holdings Bhd....... 745,300 1,268,630 0.0% Batu Kawan Bhd.................... 2,080,750 11,667,370 0.1% Benalec Holdings Bhd.............. 7,424,100 1,952,505 0.0% Berjaya Assets Bhd................ 355,600 95,172 0.0% Berjaya Corp. Bhd................. 47,160,480 7,312,703 0.1% Berjaya Land Bhd.................. 13,220,000 3,377,516 0.0% # BIMB Holdings Bhd................. 4,277,645 5,559,055 0.0% BLD Plantation Bhd................ 6,600 15,995 0.0% # Boustead Holdings Bhd............. 7,087,998 10,884,672 0.1% Boustead Plantations Bhd.......... 1,491,900 689,248 0.0% Cahya Mata Sarawak Bhd............ 6,930,600 9,133,548 0.1% Can-One Bhd....................... 401,400 296,617 0.0% CB Industrial Product Holding Bhd. 2,014,000 1,475,470 0.0% Chin Teck Plantations Bhd......... 309,100 909,657 0.0% Coastal Contracts Bhd............. 2,058,800 2,501,656 0.0% Crescendo Corp. Bhd............... 236,300 201,234 0.0% CSC Steel Holdings Bhd............ 2,503,800 844,415 0.0% * Datuk Keramik Holdings Bhd........ 127,000 -- 0.0% * Daya Materials Bhd................ 12,215,000 911,818 0.0% DRB-Hicom Bhd..................... 18,941,300 12,266,096 0.1% Eastern & Oriental Bhd............ 13,567,015 11,554,316 0.1% * ECM Libra Financial Group Bhd..... 2,242,050 688,619 0.0% Engtex Group Bhd.................. 311,800 184,024 0.0% * Evergreen Fibreboard Bhd.......... 1,568,626 255,139 0.0% Eversendai Corp. Bhd.............. 1,374,000 337,809 0.0% Faber Group Bhd................... 3,758,800 3,707,429 0.0% FAR East Holdings Bhd............. 403,800 994,714 0.0% Fima Corp. BHD.................... 21,000 17,431 0.0% * Fountain View Development Bhd..... 2,573,200 -- 0.0% Genting Bhd....................... 8,221,800 24,374,874 0.1% # Genting Malaysia Bhd.............. 32,607,600 42,642,721 0.2% George Kent Malaysia BHD.......... 84,533 37,329 0.0% Glomac Bhd........................ 7,416,300 2,501,915 0.0% * Goldis Bhd........................ 3,227,495 2,502,714 0.0% GuocoLand Malaysia Bhd............ 2,580,700 1,233,424 0.0% # HAP Seng Consolidated Bhd......... 14,265,500 19,091,778 0.1% Hap Seng Plantations Holdings Bhd. 3,806,300 2,996,658 0.0% Hiap Teck Venture Bhd............. 1,476,900 332,636 0.0% Hong Leong Financial Group Bhd.... 2,590,151 14,252,146 0.1% Hong Leong Industries Bhd......... 1,257,300 1,829,065 0.0%
15 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (Continued) Hua Yang Bhd..................... 1,457,933 $ 1,027,906 0.0% * Hubline Bhd...................... 1,920,150 23,351 0.0% * Hume Industries Bhd.............. 1,357,884 1,650,459 0.0% Hwang Capital Malaysia Bhd....... 893,700 524,236 0.0% IGB Corp. Bhd.................... 15,137,390 13,257,114 0.1% # IJM Corp. Bhd.................... 24,123,559 50,719,569 0.3% IJM Land Bhd..................... 7,201,400 7,526,807 0.1% IJM Plantations Bhd.............. 286,700 312,969 0.0% Integrax Bhd..................... 974,800 643,357 0.0% Iris Corp. Bhd................... 21,684,200 2,341,887 0.0% * Iskandar Waterfront City Bhd..... 1,432,000 649,369 0.0% * JAKS Resources Bhd............... 9,634,600 1,918,218 0.0% # Jaya Tiasa Holdings Bhd.......... 5,891,833 3,800,509 0.0% # JCY International Bhd............ 10,030,900 1,754,310 0.0% * K&N Kenanga Holdings Bhd......... 2,403,787 475,275 0.0% * Karambunai Corp. Bhd............. 14,822,700 383,847 0.0% Keck Seng Malaysia Bhd........... 2,515,500 4,628,936 0.0% Kian JOO CAN Factory Bhd......... 4,777,380 4,197,789 0.0% * KIG Glass Industrial Bhd......... 260,000 -- 0.0% Kim Loong Resources Bhd.......... 499,100 428,008 0.0% Kimlun Corp. Bhd................. 815,300 346,998 0.0% * Kinsteel Bhd..................... 1,544,300 105,813 0.0% KLCCP Stapled Group.............. 4,501,700 9,415,216 0.1% * KNM Group Bhd.................... 25,662,325 6,279,029 0.1% * Kretam Holdings Bhd.............. 4,212,000 659,365 0.0% * KSL Holdings Bhd................. 3,006,866 4,135,294 0.0% * KUB Malaysia Bhd................. 5,684,400 873,319 0.0% #* Kulim Malaysia Bhd............... 8,993,100 9,344,624 0.1% Kumpulan Fima Bhd................ 2,385,600 1,508,901 0.0% Kumpulan Perangsang Selangor Bhd. 4,262,300 2,048,157 0.0% Kwantas Corp. Bhd................ 288,400 175,421 0.0% Land & General Bhd............... 10,793,700 1,871,588 0.0% * Landmarks Bhd.................... 2,394,908 881,583 0.0% LBS Bina Group Bhd............... 3,436,600 1,724,548 0.0% Lion Diversified Holdings Bhd.... 133,800 5,285 0.0% Lion Industries Corp. Bhd........ 7,081,781 1,313,126 0.0% Magnum Bhd....................... 4,749,700 4,317,592 0.0% # Mah Sing Group Bhd............... 7,769,639 5,621,787 0.0% Malayan Flour Mills Bhd.......... 2,908,550 1,654,508 0.0% # Malaysia Airports Holdings Bhd... 3,811,709 8,367,942 0.1% #* Malaysian Airline System Bhd..... 33,302,700 2,583,897 0.0% Malaysian Bulk Carriers Bhd...... 5,353,325 2,540,070 0.0% Malaysian Pacific Industries Bhd. 1,334,375 2,142,318 0.0% Malaysian Resources Corp. Bhd.... 17,714,900 8,510,767 0.1% Malton Bhd....................... 3,244,800 1,046,813 0.0% # MBM Resources Bhd................ 2,579,603 2,243,610 0.0% # Media Prima Bhd.................. 3,134,400 1,867,826 0.0% Mega First Corp. Bhd............. 1,329,300 1,047,185 0.0% MISC Bhd......................... 11,521,104 24,036,443 0.1% MK Land Holdings BHD............. 9,948,400 1,437,660 0.0% MKH Bhd.......................... 2,839,370 2,899,558 0.0% # MMC Corp. Bhd.................... 14,882,980 11,948,627 0.1% MNRB Holdings Bhd................ 1,754,000 2,352,929 0.0% Muda Holdings Bhd................ 148,500 77,460 0.0% # Mudajaya Group Bhd............... 4,170,600 2,637,446 0.0% Muhibbah Engineering M Bhd....... 2,901,900 2,558,330 0.0% * Mulpha International Bhd......... 26,458,400 3,420,057 0.0%
16 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (Continued) Naim Holdings Bhd........................... 3,201,500 $ 3,325,743 0.0% NCB Holdings Bhd............................ 2,451,500 1,796,182 0.0% Negri Sembilan Oil Palms Bhd................ 167,600 278,602 0.0% Oriental Holdings Bhd....................... 3,676,979 8,169,340 0.1% # OSK Holdings Bhd............................ 7,316,171 4,989,242 0.0% Pacific & Orient Bhd........................ 334,330 141,316 0.0% Panasonic Manufacturing Malaysia Bhd........ 382,080 2,207,225 0.0% Pantech Group Holdings Bhd.................. 3,315,700 981,405 0.0% * Paracorp Bhd................................ 252,000 -- 0.0% Paramount Corp. Bhd......................... 1,660,525 757,636 0.0% #* Parkson Holdings Bhd........................ 4,970,167 3,809,723 0.0% #* Perdana Petroleum Bhd....................... 1,430,980 704,835 0.0% Pie Industrial Bhd.......................... 388,320 790,959 0.0% PJ Development Holdings Bhd................. 4,756,000 2,271,246 0.0% Pos Malaysia Bhd............................ 730,617 1,122,118 0.0% # PPB Group Bhd............................... 8,407,766 40,436,918 0.2% Press Metal Bhd............................. 2,916,981 5,867,081 0.0% * Prime Utilities Bhd......................... 39,000 -- 0.0% Protasco Bhd................................ 2,982,500 1,388,504 0.0% RCE Capital Bhd............................. 4,412,200 449,505 0.0% # RHB Capital Bhd............................. 12,740,882 34,081,337 0.2% * Rimbunan Sawit Bhd.......................... 6,262,800 1,266,958 0.0% Salcon Bhd.................................. 2,051,700 461,755 0.0% Sarawak Oil Palms Bhd....................... 469,120 820,245 0.0% Sarawak Plantation Bhd...................... 99,200 71,492 0.0% * Scomi Group Bhd............................. 25,227,900 2,677,935 0.0% * Seal, Inc. BHD.............................. 1,382,600 425,068 0.0% Selangor Dredging Bhd....................... 1,352,800 448,282 0.0% Selangor Properties Bhd..................... 75,300 134,247 0.0% Shangri-La Hotels Malaysia Bhd.............. 734,700 1,574,993 0.0% * Shell Refining Co. Federation of Malaya Bhd. 187,300 326,980 0.0% * Shin Yang Shipping Corp. Bhd................ 101,800 15,646 0.0% SHL Consolidated Bhd........................ 693,700 729,933 0.0% # SP Setia Bhd Group.......................... 3,338,566 3,337,454 0.0% # Star Publications Malaysia Bhd.............. 1,536,800 1,205,424 0.0% Subur Tiasa Holdings Bhd.................... 128,230 83,736 0.0% # Sunway Bhd.................................. 12,563,126 13,181,965 0.1% # Supermax Corp. Bhd.......................... 8,524,500 6,042,317 0.1% Suria Capital Holdings Bhd.................. 824,400 652,074 0.0% Symphony Life Bhd........................... 2,082,010 665,394 0.0% Ta Ann Holdings Bhd......................... 1,742,122 2,039,228 0.0% TA Enterprise Bhd........................... 20,749,900 5,491,133 0.0% TA Global Bhd............................... 14,965,380 1,593,640 0.0% TAHPS Group Bhd............................. 27,000 64,848 0.0% * Talam Transform Bhd......................... 3,183,850 101,853 0.0% Taliworks Corp. Bhd......................... 123,500 74,354 0.0% TAN Chong Motor Holdings Bhd................ 4,711,900 5,930,605 0.1% * Tanjung Offshore Bhd........................ 4,295,000 597,985 0.0% TDM Bhd..................................... 14,109,900 3,969,848 0.0% # TH Plantations Bhd.......................... 804,100 413,364 0.0% #* Time dotCom Bhd............................. 5,476,280 8,623,615 0.1% Tiong NAM Logistics Holdings................ 488,600 164,960 0.0% Tropicana Corp. Bhd......................... 7,288,100 2,902,894 0.0% # UEM Sunrise Bhd............................. 7,403,745 4,232,630 0.0% Unisem M Bhd................................ 9,014,700 4,631,655 0.0% United Malacca Bhd.......................... 960,500 1,992,142 0.0% United Plantations Bhd...................... 406,000 3,160,554 0.0%
17 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (Continued) United U-Li Corp. BHD................................... 246,200 $ 128,894 0.0% # UOA Development Bhd..................................... 5,317,800 3,424,953 0.0% VS Industry Bhd......................................... 1,694,093 1,278,153 0.0% Wah Seong Corp. Bhd..................................... 5,837,943 2,944,096 0.0% # WCT Holdings Bhd........................................ 13,676,405 9,032,415 0.1% Wing Tai Malaysia Bhd................................... 1,952,900 1,187,064 0.0% WTK Holdings Bhd........................................ 6,575,950 2,480,502 0.0% YNH Property Bhd........................................ 5,332,666 3,355,454 0.0% # YTL Corp. Bhd........................................... 90,103,550 45,482,563 0.3% * YTL Land & Development Bhd.............................. 3,544,900 986,335 0.0% ------------ ---- TOTAL MALAYSIA.............................................. 801,617,645 4.2% ------------ ---- MEXICO -- (7.0%) Alfa S.A.B. de C.V. Class A............................. 45,897,748 146,525,141 0.8% # Alpek S.A.B. de C.V..................................... 2,066,544 3,637,025 0.0% Arca Continental S.A.B. de C.V.......................... 3,202,022 20,615,636 0.1% #* Axtel S.A.B. de C.V..................................... 12,529,535 3,340,279 0.0% #* Bio Pappel S.A.B. de C.V................................ 400,207 793,504 0.0% Bolsa Mexicana de Valores S.A.B. de C.V................. 133,063 279,737 0.0% * Cemex S.A.B. de C.V..................................... 115,602 142,504 0.0% #* Cemex S.A.B. de C.V. Sponsored ADR...................... 17,909,306 220,284,464 1.2% # Cia Minera Autlan S.A.B. de C.V. Series B............... 1,212,118 1,367,275 0.0% Coca-Cola Femsa S.A.B. de C.V. Series L................. 43,263 458,163 0.0% # Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR............ 8,632 913,266 0.0% * Consorcio ARA S.A.B. de C.V. Series *................... 11,673,397 5,322,540 0.0% # Controladora Comercial Mexicana S.A.B. de C.V........... 6,169,415 24,405,067 0.1% Corp. Actinver S.A.B. de C.V............................ 105,133 127,725 0.0% #* Corp. GEO S.A.B. de C.V. Series B....................... 9,461,653 72,145 0.0% * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B................................................ 1,560,786 1,037,337 0.0% #* Desarrolladora Homex S.A.B. de C.V...................... 3,011,482 501,914 0.0% * Dine S.A.B. de C.V...................................... 1,027,267 550,012 0.0% El Puerto de Liverpool S.A.B. de C.V. Series 1.......... 8,870 102,096 0.0% * Empaques Ponderosa S.A. de C.V.......................... 90,000 -- 0.0% #* Empresas ICA S.A.B. de C.V.............................. 5,933,458 10,552,776 0.1% #* Empresas ICA S.A.B. de C.V. Sponsored ADR............... 1,026,006 7,315,423 0.1% # Fomento Economico Mexicano S.A.B. de C.V................ 2,517,554 24,253,395 0.1% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.................................................... 2,578,915 248,194,779 1.3% #* Gruma S.A.B. de C.V. Class B............................ 3,179,507 34,927,650 0.2% * Gruma S.A.B. de C.V. Sponsored ADR...................... 12,449 547,507 0.0% #* Grupo Aeromexico S.A.B. de C.V.......................... 1,011,933 1,583,323 0.0% Grupo Aeroportuario del Centro Norte S.A.B. de C.V...... 900,748 4,468,205 0.0% Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR. 40,450 1,601,820 0.0% Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR..... 634,177 43,219,162 0.2% Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 1,204,121 8,223,745 0.1% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR...... 271,607 36,580,031 0.2% # Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B.. 1,203,482 16,225,167 0.1% Grupo Carso S.A.B. de C.V. Series A1.................... 9,891,983 56,224,441 0.3% Grupo Cementos de Chihuahua S.A.B. de C.V............... 2,795,746 7,264,320 0.1% # Grupo Comercial Chedraui S.A. de C.V.................... 1,656,252 5,743,764 0.0% # Grupo Elektra S.A.B. de C.V............................. 159,712 6,072,406 0.0% * Grupo Famsa S.A.B. de C.V. Class A...................... 2,627,924 2,732,085 0.0% Grupo Financiero Banorte S.A.B. de C.V.................. 23,817,280 152,635,757 0.8% # Grupo Financiero Inbursa S.A.B. de C.V.................. 17,926,156 54,086,306 0.3% Grupo Financiero Interacciones S.A. de C.V.............. 167,007 1,363,836 0.0%
18 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MEXICO -- (Continued) # Grupo Financiero Santander Mexico S.A.B. de C.V. Class B. 2,550,559 $ 6,799,597 0.0% Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR............................................. 1,699,969 22,609,588 0.1% Grupo Gigante S.A.B. de C.V. Series*..................... 471,076 1,416,770 0.0% # Grupo Herdez S.A.B. de C.V. Series*...................... 11,907 30,594 0.0% Grupo Industrial Maseca S.A.B. de C.V. Class B........... 2,756,800 4,299,103 0.0% # Grupo Industrial Saltillo S.A.B. de C.V.................. 1,342,969 3,389,772 0.0% Grupo KUO S.A.B. de C.V. Series B........................ 2,069,860 4,520,530 0.0% # Grupo Mexico S.A.B. de C.V. Series B..................... 19,995,903 68,824,662 0.4% * Grupo Pochteca S.A.B. de C.V............................. 67,810 74,728 0.0% * Grupo Posadas S.A.B. de C.V.............................. 355,600 620,559 0.0% * Grupo Qumma S.A. de C.V. Series B........................ 5,301 -- 0.0% # Grupo Sanborns S.A.B. de C.V............................. 428,226 683,699 0.0% * Grupo Simec S.A.B. de C.V. Series B...................... 1,687,533 7,441,248 0.1% * Grupo Simec S.A.B. de C.V. Sponsored ADR................. 2,893 37,522 0.0% * Grupo Sports World S.A.B. de C.V......................... 186,914 353,945 0.0% Industrias Bachoco S.A.B. de C.V. ADR.................... 22,094 1,351,048 0.0% # Industrias Bachoco S.A.B. de C.V. Series B............... 1,158,985 5,892,933 0.0% * Industrias CH S.A.B. de C.V. Series B.................... 3,177,774 17,410,650 0.1% * Inmuebles Carso S.A.B. de C.V............................ 10,212,591 11,186,167 0.1% Medica Sur S.A.B. de C.V. Series B....................... 1,000 4,225 0.0% Megacable Holdings S.A.B. de C.V......................... 136,044 622,926 0.0% # Mexichem S.A.B. de C.V................................... 1,899,765 7,770,467 0.1% * Minera Frisco S.A.B. de C.V.............................. 7,889,371 13,943,528 0.1% #* OHL Mexico S.A.B. de C.V................................. 8,609,693 24,161,166 0.1% # Organizacion Cultiba S.A.B. de C.V....................... 116,984 184,603 0.0% # Organizacion Soriana S.A.B. de C.V. Class B.............. 14,962,271 49,010,361 0.3% Qualitas Controladora S.A.B. de C.V...................... 1,781,503 4,630,287 0.0% * Sanluis Corp. S.A.B. de C.V.............................. 10,800 38,256 0.0% * Savia SA Class A......................................... 3,457,285 -- 0.0% # TV Azteca S.A.B. de C.V.................................. 8,999,861 4,705,023 0.0% #* Urbi Desarrollos Urbanos S.A.B. de C.V................... 9,102,158 2,731 0.0% * Vitro S.A.B. de C.V. Series A............................ 1,544,127 3,962,872 0.0% -------------- ---- TOTAL MEXICO................................................. 1,420,271,288 7.5% -------------- ---- PHILIPPINES -- (1.1%) A Soriano Corp........................................... 17,939,100 2,815,241 0.0% Alliance Global Group, Inc............................... 19,508,506 10,994,752 0.1% Alsons Consolidated Resources, Inc....................... 21,091,000 911,989 0.0% Atlas Consolidated Mining & Development.................. 3,844,600 1,026,699 0.0% BDO Unibank, Inc......................................... 11,071,205 24,165,961 0.1% Cebu Air, Inc............................................ 978,720 1,603,388 0.0% Cebu Holdings, Inc....................................... 4,186,650 480,933 0.0% Century Properties Group, Inc............................ 25,064,959 603,857 0.0% China Banking Corp....................................... 446,716 488,764 0.0% * East West Banking Corp................................... 40,700 23,492 0.0% EEI Corp................................................. 104,600 26,079 0.0% * Empire East Land Holdings, Inc........................... 35,302,000 692,209 0.0% * Export & Industry Bank, Inc. Class A..................... 14,950 -- 0.0% Filinvest Development Corp............................... 142,800 14,447 0.0% Filinvest Land, Inc...................................... 194,080,031 6,663,564 0.0% First Philippine Holdings Corp........................... 4,524,200 8,768,537 0.1% * Fwbc Holdings, Inc....................................... 5,471,786 -- 0.0% JG Summit Holdings, Inc.................................. 5,472,130 7,776,320 0.0% Lopez Holdings Corp...................................... 33,181,300 4,916,144 0.0% LT Group, Inc............................................ 5,440,700 1,725,814 0.0%
19 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- PHILIPPINES -- (Continued) Megaworld Corp............................ 201,002,600 $ 22,212,908 0.1% Metropolitan Bank & Trust Co.............. 9,876,072 18,157,239 0.1% * Mondragon International Philippines, Inc.. 2,464,000 -- 0.0% Petron Corp............................... 9,138,000 2,404,554 0.0% * Philippine National Bank.................. 4,995,673 9,407,327 0.1% * Philippine National Construction Corp..... 398,900 8,169 0.0% Philippine Savings Bank................... 1,232,313 3,083,701 0.0% * Philippine Townships, Inc................. 226,200 -- 0.0% * Philtown Properties, Inc.................. 6,701 -- 0.0% Phinma Corp............................... 1,649,098 379,099 0.0% Phoenix Petroleum Philippines, Inc........ 507,600 46,122 0.0% Rizal Commercial Banking Corp............. 4,764,548 5,628,765 0.0% Robinsons Land Corp....................... 29,534,650 16,156,447 0.1% San Miguel Corp........................... 6,306,246 10,196,797 0.1% San Miguel Pure Foods Co., Inc............ 57,070 293,174 0.0% Security Bank Corp........................ 1,566,924 5,017,932 0.0% * Top Frontier Investment Holdings, Inc..... 628,532 1,538,432 0.0% Trans-Asia Oil & Energy Development Corp.. 26,322,000 1,408,751 0.0% Union Bank of the Philippines............. 2,674,824 7,014,424 0.0% Universal Robina Corp..................... 6,792,445 28,135,738 0.2% Vista Land & Lifescapes, Inc.............. 66,092,468 9,058,486 0.1% ------------ ---- TOTAL PHILIPPINES............................. 213,846,255 1.1% ------------ ---- POLAND -- (1.8%) * Agora SA.................................. 648,585 1,548,697 0.0% Asseco Poland SA.......................... 1,339,607 19,885,985 0.1% Bank Millennium SA........................ 5,296,167 13,134,516 0.1% #* Bioton SA................................. 45,398 56,640 0.0% Ciech SA.................................. 533,502 6,440,714 0.0% ComArch SA................................ 2,787 78,946 0.0% Dom Development SA........................ 26,265 352,418 0.0% Enea SA................................... 1,967,093 9,352,679 0.1% Firma Oponiarska Debica SA................ 102,634 3,303,567 0.0% * Getin Holding SA.......................... 3,221,895 2,335,101 0.0% * Getin Noble Bank SA....................... 3,420,648 2,643,211 0.0% Grupa Azoty SA............................ 139,708 2,601,087 0.0% Grupa Kety SA............................. 112,990 9,334,790 0.1% * Grupa Lotos SA............................ 1,304,475 10,077,350 0.1% #* Hawe SA................................... 952,876 665,652 0.0% * Impexmetal SA............................. 5,570,319 4,465,753 0.0% #* Jastrzebska Spolka Weglowa SA............. 264,783 2,275,440 0.0% * Kernel Holding SA......................... 239,703 1,893,109 0.0% KGHM Polska Miedz SA...................... 1,534,468 59,181,890 0.3% * Kopex SA.................................. 555,501 1,880,758 0.0% * LC Corp. SA............................... 1,454,689 781,557 0.0% Lentex SA................................. 17,702 44,601 0.0% Lubelski Wegiel Bogdanka SA............... 3,618 120,099 0.0% * MCI Management SA......................... 34,614 103,678 0.0% # Netia SA.................................. 4,404,675 7,283,222 0.0% Orbis SA.................................. 538,910 5,877,303 0.0% Pelion SA................................. 10,134 218,320 0.0% PGE SA.................................... 14,453,314 94,828,904 0.5% * Polski Koncern Miesny Duda SA............. 131,391 275,240 0.0% # Polski Koncern Naftowy Orlen SA........... 5,710,498 71,142,520 0.4% Rawlplug SA............................... 110,853 256,126 0.0% * Rovese SA................................. 1,435,338 626,023 0.0%
20 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- POLAND -- (Continued) * Sygnity SA................................... 194,766 $ 956,790 0.0% Synthos SA................................... 3,710,169 4,610,670 0.0% Tauron Polska Energia SA..................... 17,586,207 27,466,630 0.2% #* Trakcja SA................................... 4,995,606 1,648,898 0.0% ------------ ---- TOTAL POLAND..................................... 367,748,884 1.9% ------------ ---- RUSSIA -- (2.4%) * AFI Development P.L.C. GDR................... 31,828 20,670 0.0% Gazprom OAO Sponsored ADR.................... 67,242,144 445,533,804 2.4% Lukoil OAO Sponsored ADR..................... 475,571 23,312,171 0.1% * Magnitogorsk Iron & Steel Works OJSC GDR..... 1,929,398 5,487,163 0.0% * Mechel Sponsored ADR......................... 456,334 410,701 0.0% RusHydro JSC ADR............................. 8,655,901 14,472,831 0.1% VTB Bank OJSC GDR............................ 1,933,866 3,663,063 0.0% ------------ ---- TOTAL RUSSIA..................................... 492,900,403 2.6% ------------ ---- SOUTH AFRICA -- (7.0%) Adcorp Holdings, Ltd......................... 611,683 1,885,904 0.0% Aeci, Ltd.................................... 1,156,888 12,972,035 0.1% # African Bank Investments, Ltd................ 9,264,952 260,399 0.0% African Oxygen, Ltd.......................... 45,466 79,953 0.0% African Rainbow Minerals, Ltd................ 1,995,186 24,612,752 0.1% Allied Electronics Corp., Ltd................ 563,821 1,061,097 0.0% * Anglo American Platinum, Ltd................. 139,466 4,406,791 0.0% * AngloGold Ashanti, Ltd....................... 1,306,671 10,919,755 0.1% #* AngloGold Ashanti, Ltd. Sponsored ADR........ 4,786,464 39,584,057 0.2% * ArcelorMittal South Africa, Ltd.............. 2,376,535 7,038,251 0.0% Astral Foods, Ltd............................ 498 6,846 0.0% #* Aveng, Ltd................................... 7,760,862 14,266,604 0.1% Barclays Africa Group, Ltd................... 6,214,975 98,223,014 0.5% Barloworld, Ltd.............................. 4,235,000 36,791,598 0.2% * Basil Read Holdings, Ltd..................... 539,771 239,597 0.0% * Bell Equipment, Ltd.......................... 54,867 68,039 0.0% Blue Label Telecoms, Ltd..................... 4,802,245 4,245,564 0.0% * Brait SE..................................... 1,699,653 12,775,748 0.1% Business Connexion Group, Ltd................ 1,823,337 1,054,601 0.0% Caxton and CTP Publishers and Printers, Ltd.. 3,246,716 4,384,146 0.0% # Clover Industries, Ltd....................... 691,007 1,236,825 0.0% * Consolidated Infrastructure Group, Ltd....... 67,591 195,727 0.0% * Corpgro, Ltd................................. 579,166 -- 0.0% Datacentrix Holdings, Ltd.................... 188,927 66,618 0.0% # DataTec, Ltd................................. 3,120,053 15,706,564 0.1% Distell Group, Ltd........................... 191,339 2,314,532 0.0% Distribution and Warehousing Network, Ltd.... 250,120 167,916 0.0% DRDGOLD, Ltd................................. 6,340,068 1,764,202 0.0% # DRDGOLD, Ltd. Sponsored ADR.................. 13,664 37,166 0.0% * Eqstra Holdings, Ltd......................... 2,414,077 1,133,745 0.0% * Evraz Highveld Steel and Vanadium, Ltd....... 125,156 45,840 0.0% # Exxaro Resources, Ltd........................ 1,301,270 13,591,154 0.1% Gold Fields, Ltd............................. 2,508,385 8,133,798 0.1% Gold Fields, Ltd. Sponsored ADR.............. 12,552,563 40,042,676 0.2% Grand Parade Investments, Ltd................ 5,685 3,666 0.0% Grindrod, Ltd................................ 7,679,217 15,744,327 0.1% Group Five, Ltd.............................. 1,340,015 4,583,130 0.0% * Harmony Gold Mining Co., Ltd................. 1,976,449 3,192,740 0.0% #* Harmony Gold Mining Co., Ltd. Sponsored ADR.. 1,691,066 2,739,527 0.0%
21 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH AFRICA -- (Continued) Hudaco Industries, Ltd................. 61,406 $ 539,741 0.0% * Hulamin, Ltd........................... 1,532,017 948,280 0.0% Iliad Africa, Ltd...................... 205,951 128,904 0.0% Illovo Sugar, Ltd...................... 460,291 1,102,701 0.0% * Impala Platinum Holdings, Ltd.......... 6,007,845 43,819,157 0.2% Imperial Holdings, Ltd................. 378,957 6,532,644 0.0% Investec, Ltd.......................... 4,500,877 41,068,801 0.2% * JCI, Ltd............................... 10,677,339 -- 0.0% #* JD Group, Ltd.......................... 2,681,862 6,000,274 0.0% KAP Industrial Holdings, Ltd........... 84,438 34,236 0.0% # Lewis Group, Ltd....................... 1,877,963 11,306,017 0.1% Liberty Holdings, Ltd.................. 1,540,959 17,832,053 0.1% Mediclinic International, Ltd.......... 791,668 7,077,421 0.0% Merafe Resources, Ltd.................. 21,718,286 2,008,270 0.0% Metair Investments, Ltd................ 914,331 3,109,454 0.0% MMI Holdings, Ltd...................... 18,733,145 47,885,107 0.3% Mondi, Ltd............................. 1,809,963 30,310,003 0.2% Mpact, Ltd............................. 2,306,948 7,440,959 0.0% Murray & Roberts Holdings, Ltd......... 5,156,966 10,593,568 0.1% Mustek, Ltd............................ 48,438 34,304 0.0% # Nedbank Group, Ltd..................... 3,800,421 82,877,562 0.4% * Northam Platinum, Ltd.................. 3,052,518 9,432,751 0.1% Omnia Holdings, Ltd.................... 372,219 7,429,512 0.0% Peregrine Holdings, Ltd................ 1,784,904 3,722,791 0.0% Petmin, Ltd............................ 1,417,358 212,110 0.0% Pinnacle Holdings, Ltd................. 25,493 28,133 0.0% PSG Group, Ltd......................... 522,671 5,452,781 0.0% Raubex Group, Ltd...................... 1,346,073 2,718,465 0.0% RCL Foods, Ltd......................... 31,832 46,097 0.0% Reunert, Ltd........................... 34,540 182,297 0.0% * Royal Bafokeng Platinum, Ltd........... 328,832 1,744,842 0.0% Sanlam, Ltd............................ 19,211,956 121,401,118 0.7% * Sappi, Ltd............................. 9,020,020 35,725,072 0.2% * Sappi, Ltd. Sponsored ADR.............. 695,410 2,705,145 0.0% Sasol, Ltd............................. 51,727 2,582,998 0.0% Sasol, Ltd. Sponsored ADR.............. 642,389 32,241,504 0.2% Sibanye Gold, Ltd...................... 1,076,244 2,027,840 0.0% # Sibanye Gold, Ltd. Sponsored ADR....... 2,972,246 21,846,008 0.1% Standard Bank Group, Ltd............... 19,894,413 250,525,816 1.3% * Stefanutti Stocks Holdings, Ltd........ 526,548 319,659 0.0% # Steinhoff International Holdings, Ltd.. 27,917,185 142,824,599 0.8% * Super Group, Ltd....................... 3,472,240 9,942,514 0.1% * Telkom SA SOC, Ltd..................... 4,862,960 25,842,349 0.1% Times Media Group, Ltd................. 253,556 448,563 0.0% Tongaat Hulett, Ltd.................... 793,865 10,475,435 0.1% Trencor, Ltd........................... 1,278,035 7,707,574 0.1% Value Group, Ltd....................... 628,611 250,314 0.0% Wilson Bayly Holmes-Ovcon, Ltd......... 82,235 969,167 0.0% Zeder Investments, Ltd................. 1,938,581 1,019,965 0.0% -------------- ---- TOTAL SOUTH AFRICA......................... 1,406,051,779 7.4% -------------- ---- SOUTH KOREA -- (13.9%) Aekyung Petrochemical Co., Ltd......... 4,345 298,483 0.0% # Agabang&Company........................ 45,115 348,907 0.0% # AK Holdings, Inc....................... 12,532 835,055 0.0% #* Amotech Co., Ltd....................... 26,533 219,450 0.0% Asia Cement Co., Ltd................... 25,169 2,565,644 0.0%
22 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) # ASIA Holdings Co., Ltd............................. 12,413 $ 1,722,906 0.0% Asia Paper Manufacturing Co., Ltd.................. 43,695 1,210,115 0.0% AtlasBX Co., Ltd................................... 1,295 47,260 0.0% #* AUK Corp........................................... 617,090 929,383 0.0% * BH Co., Ltd........................................ 2,155 12,574 0.0% Bookook Securities Co., Ltd........................ 28,655 398,802 0.0% BS Financial Group, Inc............................ 2,042,369 31,780,595 0.2% BYC Co., Ltd....................................... 810 215,252 0.0% # Byucksan Corp...................................... 10,100 59,963 0.0% CammSys Corp....................................... 13,509 19,379 0.0% #* Capro Corp......................................... 79,730 210,083 0.0% #* Celltrion Pharm, Inc............................... 7,951 69,475 0.0% Chemtronics Co., Ltd............................... 2,276 17,474 0.0% #* China Great Star International, Ltd................ 436,461 950,447 0.0% #* China Ocean Resources Co., Ltd..................... 1,049,067 1,302,600 0.0% Chokwang Paint, Ltd................................ 4,194 33,720 0.0% Chongkundang Holdings Corp......................... 317 23,355 0.0% Chosun Refractories Co., Ltd....................... 9,371 1,166,647 0.0% CJ Corp............................................ 78,730 12,789,939 0.1% #* CJ Korea Express Co., Ltd.......................... 71,498 12,913,603 0.1% CKD Bio Corp....................................... 20,570 459,090 0.0% #* Cosmochemical Co., Ltd............................. 115,498 551,844 0.0% # Dae Dong Industrial Co., Ltd....................... 145,130 1,408,177 0.0% Dae Han Flour Mills Co., Ltd....................... 14,630 2,710,946 0.0% Dae Won Kang Up Co., Ltd........................... 245,096 1,471,028 0.0% #* Dae Young Packaging Co., Ltd....................... 1,121,470 935,636 0.0% # Dae-Il Corp........................................ 98,982 604,720 0.0% #* Daechang Co., Ltd.................................. 543,933 408,713 0.0% Daeduck Electronics Co............................. 107,940 914,248 0.0% Daeduck GDS Co., Ltd............................... 281,480 2,793,929 0.0% Daegu Department Store............................. 71,060 1,015,563 0.0% # Daehan Steel Co., Ltd.............................. 185,508 1,077,580 0.0% Daekyo Co., Ltd.................................... 521,770 3,634,528 0.0% # Daelim Industrial Co., Ltd......................... 421,284 27,905,873 0.2% # Daesang Holdings Co., Ltd.......................... 68,454 1,334,674 0.0% # Daesung Holdings Co., Ltd.......................... 42,463 488,813 0.0% #* Daewoo Engineering & Construction Co., Ltd......... 781,987 4,794,808 0.0% * Daewoo Securities Co., Ltd......................... 2,587,642 27,158,624 0.2% # Daewoo Shipbuilding & Marine Engineering Co., Ltd.. 756,637 12,936,558 0.1% Daewoong Co., Ltd.................................. 4,688 225,761 0.0% * Dahaam E-Tec Co., Ltd.............................. 3,535 11,163 0.0% Daishin Securities Co., Ltd........................ 611,785 5,871,682 0.0% # Daou Data Corp..................................... 138,807 719,150 0.0% Daou Technology, Inc............................... 396,164 4,123,526 0.0% #* Dasan Networks, Inc................................ 188,632 1,089,284 0.0% # DGB Financial Group, Inc........................... 1,388,192 19,795,833 0.1% #* Digitech Systems Co., Ltd.......................... 10,779 8,018 0.0% Dong Ah Tire & Rubber Co., Ltd..................... 81,994 1,478,751 0.0% #* Dong Yang Gang Chul Co., Ltd....................... 252,195 561,805 0.0% Dong-Ah Geological Engineering Co., Ltd............ 45,500 337,490 0.0% Dong-Il Corp....................................... 18,630 1,603,024 0.0% # Dongbang Transport Logistics Co., Ltd.............. 244,640 431,214 0.0% #* Dongbu Corp........................................ 53,090 59,072 0.0% #* Dongbu HiTek Co., Ltd.............................. 341,495 1,692,325 0.0% * Dongbu Securities Co., Ltd......................... 365,481 1,368,850 0.0% #* Dongbu Steel Co., Ltd.............................. 385,814 624,816 0.0% # Dongil Industries Co., Ltd......................... 18,961 1,122,247 0.0%
23 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) #* Dongkook Industrial Co., Ltd.............................. 298,412 $ 817,208 0.0% Dongkuk Industries Co., Ltd............................... 4,704 18,897 0.0% # Dongkuk Steel Mill Co., Ltd............................... 991,515 5,884,268 0.0% # Dongkuk Structure & Construction Co., Ltd................. 114,484 437,419 0.0% Dongsung Holdings Co., Ltd................................ 35,417 234,187 0.0% # Dongwha Pharm Co., Ltd.................................... 261,900 1,495,332 0.0% Dongwon F&B Co., Ltd...................................... 8,498 2,787,603 0.0% * Dongwoo Co., Ltd.......................................... 19,336 59,410 0.0% Dongyang E&P, Inc......................................... 21,324 195,081 0.0% Dongyang Mechatronics Corp................................ 165,856 1,219,807 0.0% # Doosan Corp............................................... 117,635 12,220,104 0.1% #* Doosan Engine Co., Ltd.................................... 112,890 649,305 0.0% #* Doosan Engineering & Construction Co., Ltd................ 36,428 360,590 0.0% # Doosan Heavy Industries & Construction Co., Ltd........... 345,088 7,582,536 0.1% #* Doosan Infracore Co., Ltd................................. 908,003 9,189,398 0.1% # DRB Holding Co., Ltd...................................... 224,228 3,443,761 0.0% e-LITECOM Co., Ltd........................................ 2,088 28,457 0.0% E-Mart Co., Ltd........................................... 49,491 9,183,004 0.1% # Eagon Industries Co., Ltd................................. 14,450 221,199 0.0% Eugene Corp............................................... 437,186 1,308,200 0.0% #* Eugene Investment & Securities Co., Ltd................... 1,172,974 1,985,382 0.0% EVERDIGM Corp............................................. 3,620 23,629 0.0% #* Flexcom, Inc.............................................. 29,124 138,943 0.0% Fursys, Inc............................................... 29,608 889,112 0.0% # Gaon Cable Co., Ltd....................................... 22,847 563,359 0.0% Global & Yuasa Battery Co., Ltd........................... 35,451 1,230,593 0.0% #* GNCO Co., Ltd............................................. 357,625 461,314 0.0% # Green Cross Holdings Corp................................. 51,642 1,083,754 0.0% #* GS Engineering & Construction Corp........................ 682,344 17,980,337 0.1% GS Global Corp............................................ 13,687 113,655 0.0% # GS Holdings Corp.......................................... 750,939 29,048,317 0.2% GS retail Co., Ltd........................................ 3,605 84,035 0.0% # Gwangju Shinsegae Co., Ltd................................ 5,985 1,726,927 0.0% #* Halla Corp................................................ 109,256 746,934 0.0% Han Kuk Carbon Co., Ltd................................... 19,931 114,584 0.0% Hana Financial Group, Inc................................. 3,815,029 132,113,835 0.7% Handok, Inc............................................... 12,706 283,631 0.0% # Handsome Co., Ltd......................................... 214,790 6,452,706 0.0% Hanil Cement Co., Ltd..................................... 52,145 6,708,147 0.1% #* Hanjin Heavy Industries & Construction Co., Ltd........... 593,001 2,403,617 0.0% # Hanjin Heavy Industries & Construction Holdings Co., Ltd.. 192,411 1,623,394 0.0% #* Hanjin Shipping Co., Ltd.................................. 161,920 766,902 0.0% #* Hanjin Shipping Holdings Co., Ltd......................... 34,759 328,774 0.0% Hanjin Transportation Co., Ltd............................ 140,220 7,039,899 0.1% * Hankuk Glass Industries, Inc.............................. 17,640 412,045 0.0% Hankuk Paper Manufacturing Co., Ltd....................... 33,223 964,885 0.0% Hanshin Construction...................................... 1,179 13,404 0.0% #* Hansol HomeDeco Co., Ltd.................................. 321,490 604,811 0.0% # Hansol Paper Co........................................... 647,244 6,012,140 0.0% # Hanwha Chemical Corp...................................... 1,184,522 13,497,087 0.1% Hanwha Corp............................................... 635,531 16,283,827 0.1% # Hanwha Galleria Timeworld Co., Ltd........................ 12,290 742,885 0.0% #* Hanwha General Insurance Co., Ltd......................... 21,284 107,442 0.0% * Hanwha Investment & Securities Co., Ltd................... 703,729 2,470,288 0.0% # Hanwha Life Insurance Co., Ltd............................ 1,827,145 14,040,858 0.1% Hanyang Eng Co., Ltd...................................... 12,614 76,238 0.0% Hanyang Securities Co., Ltd............................... 92,428 592,921 0.0%
24 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) # Heung-A Shipping Co., Ltd...................... 1,065,561 $ 2,182,078 0.0% # Hitejinro Holdings Co., Ltd.................... 102,627 1,203,579 0.0% #* HMC Investment Securities Co., Ltd............. 259,785 2,679,024 0.0% # HS R&A Co., Ltd................................ 39,270 1,143,700 0.0% # Humax Co., Ltd................................. 118,955 1,157,023 0.0% # Husteel Co., Ltd............................... 59,490 928,724 0.0% # Huvis Corp..................................... 21,080 242,978 0.0% Hwa Shin Co., Ltd.............................. 7,045 57,187 0.0% # Hwacheon Machine Tool Co., Ltd................. 14,227 916,282 0.0% HwaSung Industrial Co., Ltd.................... 2,465 27,505 0.0% Hyosung Corp................................... 380,987 22,621,111 0.1% #* Hyundai BNG Steel Co., Ltd..................... 140,250 2,273,657 0.0% Hyundai Department Store Co., Ltd.............. 8,474 1,074,260 0.0% Hyundai Development Co......................... 713,586 26,911,600 0.2% # Hyundai Heavy Industries Co., Ltd.............. 319,626 29,697,438 0.2% Hyundai Hy Communications & Networks Co., Ltd.. 215,230 916,012 0.0% # Hyundai Mipo Dockyard Co., Ltd................. 77,140 5,482,028 0.0% Hyundai Motor Co............................... 604,826 95,974,737 0.5% #* Hyundai Securities Co., Ltd.................... 1,394,631 9,060,837 0.1% # Hyundai Steel Co............................... 1,080,925 68,891,604 0.4% #* Hyunjin Materials Co., Ltd..................... 53,749 192,839 0.0% # Il Dong Pharmaceutical Co., Ltd................ 133,130 2,025,231 0.0% # Iljin Electric Co., Ltd........................ 285,940 2,133,287 0.0% # Ilshin Spinning Co., Ltd....................... 16,453 3,000,935 0.0% # Ilsung Pharmaceuticals Co., Ltd................ 9,407 793,585 0.0% # Industrial Bank of Korea....................... 2,385,570 34,884,933 0.2% * InnoWireless, Inc.............................. 1,805 17,740 0.0% #* Interflex Co., Ltd............................. 28,909 303,503 0.0% Intergis Co., Ltd.............................. 24,590 187,902 0.0% INTOPS Co., Ltd................................ 75,937 1,107,841 0.0% Inzi Controls Co., Ltd......................... 89,540 424,506 0.0% # INZI Display Co., Ltd.......................... 244,705 410,402 0.0% #* IS Dongseo Co., Ltd............................ 76,265 3,267,027 0.0% # ISU Chemical Co., Ltd.......................... 109,698 1,058,696 0.0% # IsuPetasys Co., Ltd............................ 63,751 257,667 0.0% Jahwa Electronics Co., Ltd..................... 3,030 31,839 0.0% # JB Financial Group Co., Ltd.................... 1,152,400 7,077,048 0.1% # Jeil Pharmaceutical Co......................... 49,370 1,104,053 0.0% JW Pharmaceutical Corp......................... 83,444 1,155,856 0.0% # KB Capital Co., Ltd............................ 93,191 1,858,615 0.0% KB Financial Group, Inc........................ 2,611,033 102,351,844 0.6% KB Financial Group, Inc. ADR................... 3,171,116 122,722,189 0.7% # KC Tech Co., Ltd............................... 286,512 2,059,004 0.0% # KCC Corp....................................... 52,120 28,855,393 0.2% #* Keangnam Enterprises, Ltd...................... 131,000 544,699 0.0% # Keyang Electric Machinery Co., Ltd............. 393,920 1,464,551 0.0% # KG Chemical Corp............................... 51,218 794,278 0.0% KISCO Corp..................................... 54,027 1,679,892 0.0% # KISCO Holdings Co., Ltd........................ 11,673 562,692 0.0% # Kishin Corp.................................... 109,475 761,488 0.0% KISWIRE, Ltd................................... 69,836 3,402,520 0.0% # Kolon Corp..................................... 75,682 1,821,831 0.0% #* Kolon Global Corp.............................. 23,524 163,520 0.0% Kolon Industries, Inc.......................... 206,708 10,513,331 0.1% # Kook Soon Dang Brewery Co., Ltd................ 49,194 299,353 0.0% Korea Airport Service Co., Ltd................. 238 7,396 0.0% # Korea Cast Iron Pipe Industries Co., Ltd....... 7,358 42,024 0.0%
25 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) # Korea Circuit Co., Ltd...................... 71,576 $ 530,511 0.0% Korea Electric Terminal Co., Ltd............ 89,230 4,595,507 0.0% # Korea Export Packaging Industrial Co., Ltd.. 5,290 124,027 0.0% # Korea Flange Co., Ltd....................... 58,810 1,255,820 0.0% Korea Investment Holdings Co., Ltd.......... 542,836 27,449,544 0.2% Korea Petrochemical Ind Co., Ltd............ 45,171 3,308,811 0.0% * Korean Air Lines Co., Ltd................... 105,728 3,753,114 0.0% # Korean Reinsurance Co....................... 444,385 4,746,666 0.0% Kortek Corp................................. 3,923 42,824 0.0% KPF......................................... 36,644 143,024 0.0% KPX Chemical Co., Ltd....................... 12,852 715,292 0.0% #* KTB Investment & Securities Co., Ltd........ 597,092 1,203,855 0.0% Kukdo Chemical Co., Ltd..................... 52,388 2,028,722 0.0% # Kumho Electric Co., Ltd..................... 43,198 688,938 0.0% # Kunsul Chemical Industrial Co., Ltd......... 31,575 1,317,164 0.0% #* Kwangju Bank................................ 287,166 2,900,422 0.0% #* Kyeryong Construction Industrial Co., Ltd... 40,990 459,874 0.0% #* Kyobo Securities Co., Ltd................... 148,037 1,866,460 0.0% * Kyongnam Bank............................... 438,847 5,120,131 0.0% Kyungbang, Ltd.............................. 10,105 1,804,099 0.0% * LB Semicon, Inc............................. 66,800 90,952 0.0% LF Corp..................................... 57,999 1,829,347 0.0% LG Corp..................................... 1,087,315 64,695,315 0.4% #* LG Display Co., Ltd......................... 1,420,066 41,805,344 0.2% #* LG Display Co., Ltd. ADR.................... 3,996,524 60,027,790 0.3% # LG Electronics, Inc......................... 1,776,548 108,496,732 0.6% LG International Corp....................... 189,016 3,831,528 0.0% LG Uplus Corp............................... 2,040,225 20,981,603 0.1% LIG Insurance Co., Ltd...................... 54,200 1,415,104 0.0% # Lotte Chemical Corp......................... 125,214 16,982,317 0.1% # Lotte Chilsung Beverage Co., Ltd............ 9,880 15,638,896 0.1% Lotte Confectionery Co., Ltd................ 9,240 16,616,482 0.1% # LOTTE Himart Co., Ltd....................... 7,683 475,492 0.0% #* Lotte Non-Life Insurance Co., Ltd........... 37,010 100,750 0.0% # Lotte Shopping Co., Ltd..................... 166,713 46,215,394 0.3% # LS Corp..................................... 23,179 1,297,873 0.0% MegaStudy Co., Ltd.......................... 1,036 51,957 0.0% #* Melfas, Inc................................. 40,349 199,842 0.0% # Meritz Financial Group, Inc................. 77,813 687,174 0.0% Meritz Securities Co., Ltd.................. 1,984,325 8,066,660 0.1% Mi Chang Oil Industrial Co., Ltd............ 4,691 316,019 0.0% Mirae Asset Securities Co., Ltd............. 414,359 17,799,670 0.1% # MK Electron Co., Ltd........................ 127,552 669,223 0.0% #* MNTech Co., Ltd............................. 57,249 220,115 0.0% Moorim P&P Co., Ltd......................... 406,838 1,873,680 0.0% # Moorim Paper Co., Ltd....................... 210,130 460,835 0.0% Motonic Corp................................ 75,294 915,095 0.0% Namhae Chemical Corp........................ 2,016 15,975 0.0% # Namyang Dairy Products Co., Ltd............. 3,191 2,043,089 0.0% National Plastic Co......................... 134,561 739,708 0.0% #* NEOWIZ HOLDINGS Corp........................ 69,796 1,248,628 0.0% * NEPES Corp.................................. 3,543 20,664 0.0% # Nexen Corp.................................. 15,465 1,259,463 0.0% NH Investment & Securities Co., Ltd......... 429,734 3,220,000 0.0% #* NK Co., Ltd................................. 222,200 974,090 0.0% # Nong Shim Holdings Co., Ltd................. 24,452 2,871,579 0.0% # NongShim Co., Ltd........................... 38,707 9,663,825 0.1%
26 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) NOROO Paint & Coatings Co., Ltd................. 11,400 $ 75,299 0.0% #* OPTRON-TEC, Inc................................. 7,768 30,672 0.0% #* Osung LST Co., Ltd.............................. 36,975 31,945 0.0% #* Paik Kwang Industrial Co., Ltd.................. 128,617 352,938 0.0% #* Pan Ocean Co., Ltd.............................. 47,845 160,063 0.0% #* PaperCorea, Inc................................. 348,280 247,449 0.0% Poongsan Corp................................... 397,200 9,827,796 0.1% Poongsan Holdings Corp.......................... 50,974 2,206,316 0.0% POSCO........................................... 644,929 186,279,391 1.0% # POSCO ADR....................................... 1,589,142 113,719,001 0.6% * POSCO Coated & Color Steel Co., Ltd............. 23,830 307,894 0.0% * Power Logics Co., Ltd........................... 8,791 28,630 0.0% Pyeong Hwa Automotive Co., Ltd.................. 6,626 107,547 0.0% RFTech Co., Ltd................................. 9,316 59,323 0.0% * S&C Engine Group, Ltd........................... 11,172 21,661 0.0% # S&T Dynamics Co., Ltd........................... 380,544 2,973,430 0.0% S&T Holdings Co., Ltd........................... 87,883 1,416,866 0.0% S&T Motiv Co., Ltd.............................. 124,000 4,488,743 0.0% S-Energy Co., Ltd............................... 1,640 12,231 0.0% # S-MAC Co., Ltd.................................. 43,101 163,625 0.0% # S-Oil Corp...................................... 4,043 153,591 0.0% #* Sajo Industries Co., Ltd........................ 22,678 796,923 0.0% Sam Young Electronics Co., Ltd.................. 159,570 1,759,791 0.0% # SAMHWA Paints Industrial Co., Ltd............... 2,030 23,909 0.0% # Samick Musical Instruments Co., Ltd............. 732,490 2,802,211 0.0% Samsung C&T Corp................................ 1,386,322 93,780,439 0.5% Samsung Electro-Mechanics Co., Ltd.............. 6,868 313,223 0.0% # Samsung Fine Chemicals Co., Ltd................. 17,866 498,108 0.0% Samsung Heavy Industries Co., Ltd............... 32,012 780,200 0.0% Samsung Life Insurance Co., Ltd................. 12,500 1,363,456 0.0% # Samsung SDI Co., Ltd............................ 422,727 49,848,338 0.3% Samsung Securities Co., Ltd..................... 133,477 5,979,973 0.0% # Samyang Genex Co., Ltd.......................... 11,337 1,343,103 0.0% # Samyang Holdings Corp........................... 86,744 7,217,835 0.1% # Samyang Tongsang Co., Ltd....................... 5,244 403,855 0.0% #* Samyoung Chemical Co., Ltd...................... 268,521 389,164 0.0% Savezone I&C Corp............................... 40,137 265,327 0.0% SBS Media Holdings Co., Ltd..................... 114,102 351,491 0.0% Seah Besteel Corp............................... 187,309 5,601,069 0.0% SeAH Holdings Corp.............................. 13,089 2,204,649 0.0% # SeAH Steel Corp................................. 36,034 2,791,421 0.0% # Sebang Co., Ltd................................. 134,747 2,441,971 0.0% # Sejong Industrial Co., Ltd...................... 113,391 1,588,209 0.0% # Sempio Foods Co................................. 3,110 116,138 0.0% #* Seohee Construction Co., Ltd.................... 1,792,872 1,168,572 0.0% #* Seowon Co., Ltd................................. 86,070 120,684 0.0% Sewon Precision Industry Co., Ltd............... 530 15,566 0.0% #* SG Corp......................................... 1,945,560 1,121,230 0.0% # Shin Poong Pharmaceutical Co., Ltd.............. 129,086 509,985 0.0% Shinhan Financial Group Co., Ltd................ 4,987,169 234,724,964 1.3% # Shinhan Financial Group Co., Ltd. ADR........... 1,618,408 76,178,464 0.4% Shinsegae Co., Ltd.............................. 59,908 11,113,328 0.1% Shinsegae Information & Communication Co., Ltd.. 5,887 513,391 0.0% #* Shinsung Solar Energy Co., Ltd.................. 765,627 771,686 0.0% #* Shinsung Tongsang Co., Ltd...................... 1,106,860 1,294,296 0.0% #* Shinwon Corp.................................... 82,700 221,406 0.0% Shinyoung Securities Co., Ltd................... 35,820 2,027,880 0.0%
27 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) #* Signetics Corp................................ 283,586 $ 375,974 0.0% Silla Co., Ltd................................ 64,953 1,208,350 0.0% #* Simm Tech Co., Ltd............................ 10,189 85,660 0.0% SIMPAC, Inc................................... 2,110 11,655 0.0% Sindoh Co., Ltd............................... 43,098 2,845,004 0.0% SJM Co., Ltd.................................. 9,114 66,065 0.0% * SK Broadband Co., Ltd......................... 86,418 366,300 0.0% # SK Chemicals Co., Ltd......................... 182,900 10,433,544 0.1% SK Gas, Ltd................................... 50,101 6,546,174 0.1% SK Holdings Co., Ltd.......................... 513,323 80,462,792 0.4% # SK Innovation Co., Ltd........................ 845,193 69,136,865 0.4% * SK Networks Co., Ltd.......................... 1,722,677 17,673,159 0.1% #* SK Securities Co., Ltd........................ 2,328,907 2,032,028 0.0% SKC Co., Ltd.................................. 79,562 2,044,169 0.0% SL Corp....................................... 157,060 2,892,279 0.0% * Solborn, Inc.................................. 5,346 20,459 0.0% # Songwon Industrial Co., Ltd................... 197,370 1,147,648 0.0% * Ssangyong Cement Industrial Co., Ltd.......... 289,296 2,797,125 0.0% #* STS Semiconductor & Telecommunications........ 289,938 870,635 0.0% #* STX Engine Co., Ltd........................... 293,680 723,394 0.0% Sun Kwang Co., Ltd............................ 20,098 357,675 0.0% Sunchang Corp................................. 2,243 17,510 0.0% #* Sungchang Enterprise Holdings, Ltd............ 13,592 266,338 0.0% #* Sungshin Cement Co., Ltd...................... 188,519 1,448,900 0.0% Sungwoo Hitech Co., Ltd....................... 177,100 2,552,902 0.0% #* Synopex, Inc.................................. 22,754 30,398 0.0% # Tae Kyung Industrial Co., Ltd................. 116,020 628,619 0.0% Taekwang Industrial Co., Ltd.................. 4,698 5,484,353 0.0% #* Taewoong Co., Ltd............................. 39,038 606,445 0.0% * Taeyoung Engineering & Construction Co., Ltd.. 564,040 2,237,773 0.0% # Tailim Packaging Industrial Co., Ltd.......... 374,220 856,912 0.0% TCC Steel..................................... 15,059 42,281 0.0% #* TK Chemical Corp.............................. 378,817 772,187 0.0% * Tong Kook Corp................................ 607 -- 0.0% # Tong Yang Moolsan Co., Ltd.................... 72,180 523,627 0.0% Tongyang Life Insurance....................... 253,545 2,753,715 0.0% #* TONGYANG Securities, Inc...................... 331,919 951,706 0.0% * Top Engineering Co., Ltd...................... 49,113 191,720 0.0% # TS Corp....................................... 65,206 1,961,808 0.0% Ubiquoss, Inc................................. 6,255 42,335 0.0% Uju Electronics Co., Ltd...................... 17,015 167,086 0.0% # Unid Co., Ltd................................. 47,084 2,620,985 0.0% Union Steel................................... 38,477 401,474 0.0% #* WillBes & Co. (The)........................... 688,308 796,642 0.0% Wiscom Co., Ltd............................... 32,980 180,201 0.0% #* Woongjin Energy Co., Ltd...................... 624,838 826,579 0.0% #* Woongjin Thinkbig Co., Ltd.................... 211,877 1,434,505 0.0% Wooree ETI Co., Ltd........................... 74,334 109,364 0.0% * Woori Finance Holdings Co., Ltd............... 3,784,490 42,991,806 0.2% * Woori Finance Holdings Co., Ltd. ADR.......... 7,135 243,161 0.0% Woori Investment & Securities Co., Ltd........ 1,593,529 17,466,245 0.1% # WooSung Feed Co., Ltd......................... 284,940 819,269 0.0% YESCO Co., Ltd................................ 30,550 1,075,004 0.0% # Yoosung Enterprise Co., Ltd................... 89,536 555,510 0.0% Youlchon Chemical Co., Ltd.................... 159,540 2,027,216 0.0% Young Poong Corp.............................. 4,829 5,357,567 0.0% * Young Poong Mining & Construction Corp........ 18,030 -- 0.0%
28 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SOUTH KOREA -- (Continued) # Young Poong Precision Corp................. 94,817 $ 820,745 0.0% Youngone Holdings Co., Ltd................. 10,472 1,034,138 0.0% YuHwa Securities Co., Ltd.................. 25,360 345,819 0.0% * Zinus, Inc................................. 1,866 33,174 0.0% -------------- ----- TOTAL SOUTH KOREA.............................. 2,799,470,379 14.8% -------------- ----- SPAIN -- (0.1%) * Banco Santander SA......................... 6,067,452 18,609,563 0.1% -------------- ----- TAIWAN -- (14.3%) Ability Enterprise Co., Ltd................ 3,913,000 1,944,254 0.0% # Accton Technology Corp..................... 8,825,156 4,505,457 0.0% #* Acer, Inc.................................. 40,299,364 27,693,294 0.2% ACES Electronic Co., Ltd................... 1,261,000 1,551,092 0.0% # ACHEM Technology Corp...................... 3,401,318 1,954,189 0.0% Acter Co., Ltd............................. 4,000 10,232 0.0% * Action Electronics Co., Ltd................ 3,202,084 579,708 0.0% #* Advanced Connectek, Inc.................... 1,905,000 712,829 0.0% Advanced International Multitech Co., Ltd.. 256,000 169,249 0.0% #* Advanced Wireless Semiconductor Co......... 194,000 173,269 0.0% #* AGV Products Corp.......................... 7,960,701 2,100,957 0.0% # AimCore Technology Co., Ltd................ 841,797 693,387 0.0% # Alcor Micro Corp........................... 542,000 451,366 0.0% # Allis Electric Co., Ltd.................... 1,471,000 397,373 0.0% # Alpha Networks, Inc........................ 5,949,237 2,998,842 0.0% # Altek Corp................................. 4,392,365 4,744,764 0.0% Ambassador Hotel (The)..................... 1,148,000 1,042,766 0.0% # AMPOC Far-East Co., Ltd.................... 1,772,000 1,660,915 0.0% # AmTRAN Technology Co., Ltd................. 13,238,956 7,620,235 0.1% APCB, Inc.................................. 2,454,000 1,587,549 0.0% Apex Science & Engineering................. 203,400 76,578 0.0% # Arcadyan Technology Corp................... 1,427,931 1,776,849 0.0% Ardentec Corp.............................. 4,822,080 3,794,519 0.0% * Arima Communications Corp.................. 86,000 38,994 0.0% Asia Cement Corp........................... 26,519,589 34,235,419 0.2% #* Asia Optical Co., Inc...................... 4,215,290 5,372,977 0.0% # Asia Plastic Recycling Holding, Ltd........ 513,000 648,256 0.0% # Asia Polymer Corp.......................... 4,756,478 3,262,882 0.0% # Asia Vital Components Co., Ltd............. 5,003,984 3,418,829 0.0% Asustek Computer, Inc...................... 730,000 7,453,433 0.1% # AU Optronics Corp.......................... 57,378,812 27,345,093 0.2% # AU Optronics Corp. Sponsored ADR........... 9,342,184 44,749,061 0.3% Audix Corp................................. 1,451,332 1,852,899 0.0% AV Tech Corp............................... 38,000 69,796 0.0% Avermedia Technologies..................... 3,105,000 1,133,172 0.0% #* Avision, Inc............................... 1,936,555 526,041 0.0% # AVY Precision Technology, Inc.............. 379,000 1,088,903 0.0% Bank of Kaohsiung Co., Ltd................. 6,760,211 2,022,239 0.0% # BES Engineering Corp....................... 25,179,443 6,472,601 0.1% # Biostar Microtech International Corp....... 2,842,055 1,033,936 0.0% # Bright Led Electronics Corp................ 1,832,000 735,849 0.0% # C Sun Manufacturing, Ltd................... 2,535,837 1,793,164 0.0% # Cameo Communications, Inc.................. 3,060,197 640,576 0.0% # Capital Securities Corp.................... 27,539,447 8,903,712 0.1% # Career Technology MFG. Co., Ltd............ 1,872,000 2,147,395 0.0% Carnival Industrial Corp................... 5,829,000 1,494,679 0.0%
29 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) # Cathay Chemical Works............................... 959,000 $ 468,380 0.0% # Cathay Real Estate Development Co., Ltd............. 14,314,421 7,465,768 0.1% Celxpert Energy Corp................................ 262,000 165,658 0.0% # Central Reinsurance Co., Ltd........................ 2,562,016 1,347,779 0.0% # ChainQui Construction Development Co., Ltd.......... 1,521,173 1,119,221 0.0% Champion Building Materials Co., Ltd................ 6,381,828 2,021,279 0.0% # Chang Hwa Commercial Bank, Ltd...................... 85,423,745 53,858,949 0.3% Chang Wah Electromaterials, Inc..................... 16,000 32,724 0.0% # Channel Well Technology Co., Ltd.................... 1,969,000 1,050,824 0.0% # Charoen Pokphand Enterprise......................... 3,207,750 2,653,595 0.0% # Chen Full International Co., Ltd.................... 827,000 762,247 0.0% Cheng Loong Corp.................................... 13,917,659 6,096,645 0.1% Cheng Uei Precision Industry Co., Ltd............... 6,630,635 11,072,589 0.1% # Chia Chang Co., Ltd................................. 1,555,000 1,500,513 0.0% # Chia Hsin Cement Corp............................... 7,476,191 3,530,698 0.0% Chien Kuo Construction Co., Ltd..................... 4,979,247 1,949,303 0.0% Chilisin Electronics Corp........................... 1,515,452 1,351,582 0.0% Chimei Materials Technology Corp.................... 101,000 110,765 0.0% # Chin-Poon Industrial Co., Ltd....................... 6,084,815 9,769,159 0.1% * China Airlines, Ltd................................. 46,629,353 18,255,222 0.1% China Chemical & Pharmaceutical Co., Ltd............ 4,286,264 2,882,953 0.0% China Development Financial Holding Corp............ 200,630,734 64,490,422 0.4% #* China Electric Manufacturing Corp................... 4,124,200 1,506,547 0.0% # China General Plastics Corp......................... 6,832,030 2,473,841 0.0% # China Glaze Co., Ltd................................ 2,312,363 1,065,723 0.0% China Life Insurance Co., Ltd....................... 17,396,958 15,173,315 0.1% #* China Man-Made Fiber Corp........................... 16,828,813 4,452,345 0.0% China Metal Products................................ 4,051,969 3,329,851 0.0% China Motor Corp.................................... 11,464,749 10,449,633 0.1% #* China Petrochemical Development Corp................ 31,803,397 10,065,002 0.1% # China Steel Corp.................................... 10,532,320 9,086,453 0.1% China Steel Structure Co., Ltd...................... 1,435,219 1,284,543 0.0% # China Synthetic Rubber Corp......................... 8,076,711 8,338,951 0.1% * China United Trust & Investment Corp................ 493,999 -- 0.0% #* China Wire & Cable Co., Ltd......................... 2,900,000 1,150,408 0.0% # Chinese Maritime Transport, Ltd..................... 1,539,000 1,722,768 0.0% # Chipbond Technology Corp............................ 642,000 1,183,774 0.0% # Chun YU Works & Co., Ltd............................ 3,273,000 1,411,590 0.0% # Chun Yuan Steel..................................... 6,454,287 2,421,930 0.0% #* Chung Hsin Electric & Machinery Manufacturing Corp.. 6,678,000 4,197,806 0.0% * Chung Hung Steel Corp............................... 13,465,046 3,286,771 0.0% #* Chung Hwa Pulp Corp................................. 6,701,011 1,911,469 0.0% * Chung Shing Textile Co., Ltd........................ 600 -- 0.0% * Chunghwa Picture Tubes, Ltd......................... 55,899,412 2,877,131 0.0% Clevo Co............................................ 266,000 472,318 0.0% #* CMC Magnetics Corp.................................. 52,168,830 7,693,848 0.1% * CoAsia Microelectronics Corp........................ 1,202,350 446,344 0.0% # Collins Co., Ltd.................................... 2,467,224 1,084,215 0.0% # Compal Electronics, Inc............................. 74,505,332 55,068,128 0.3% # Compeq Manufacturing Co., Ltd....................... 20,781,000 11,472,124 0.1% * Compex International Co., Ltd....................... 46,400 -- 0.0% #* Concord Securities Corp............................. 1,603,000 415,755 0.0% # Continental Holdings Corp........................... 7,782,540 2,881,451 0.0% Coretronic Corp..................................... 8,124,250 12,227,558 0.1% # Coxon Precise Industrial Co., Ltd................... 2,028,000 3,568,805 0.0% # Creative Sensor, Inc................................ 359,000 275,059 0.0% CSBC Corp. Taiwan................................... 6,245,654 3,284,818 0.0%
30 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) CTBC Financial Holding Co., Ltd................... 93,669,136 $65,688,347 0.4% CviLux Corp....................................... 4,000 6,337 0.0% # D-Link Corp....................................... 11,514,717 6,451,348 0.1% # DA CIN Construction Co., Ltd...................... 2,422,579 1,705,680 0.0% # Darfon Electronics Corp........................... 6,128,950 3,313,913 0.0% #* Delpha Construction Co., Ltd...................... 3,627,016 1,700,930 0.0% * Der Pao Construction Co., Ltd..................... 1,139,000 -- 0.0% # DFI, Inc.......................................... 404,280 453,639 0.0% #* Dynamic Electronics Co., Ltd...................... 4,558,324 2,291,985 0.0% #* E Ink Holdings, Inc............................... 8,824,000 4,292,186 0.0% #* E-Ton Solar Tech Co., Ltd......................... 3,730,443 1,900,078 0.0% E.Sun Financial Holding Co., Ltd.................. 87,399,657 55,357,482 0.3% Eastern Media International Corp.................. 1,897,597 638,199 0.0% # Edimax Technology Co., Ltd........................ 3,295,902 1,260,402 0.0% # Edison Opto Corp.................................. 1,287,000 947,529 0.0% # Edom Technology Co., Ltd.......................... 243,580 226,954 0.0% # Elite Material Co., Ltd........................... 4,332,905 5,105,351 0.0% # Elitegroup Computer Systems Co., Ltd.............. 6,358,395 5,362,611 0.0% * Emerging Display Technologies Corp................ 45,000 11,957 0.0% ENG Electric Co., Ltd............................. 1,141,000 696,997 0.0% # EnTie Commercial Bank Co., Ltd.................... 2,271,232 1,001,445 0.0% * Entire Technology Co., Ltd........................ 31,000 24,188 0.0% * Episil Holdings, Inc.............................. 2,006,500 930,142 0.0% # Epistar Corp...................................... 13,713,000 24,797,272 0.2% # Eternal Materials Co., Ltd........................ 1,678,900 1,663,048 0.0% #* Etron Technology, Inc............................. 2,448,000 1,143,828 0.0% * Eva Airways Corp.................................. 10,979,850 6,433,098 0.1% * Ever Fortune Industrial Co., Ltd.................. 409,000 -- 0.0% # Everest Textile Co., Ltd.......................... 3,936,002 1,834,057 0.0% Evergreen International Storage & Transport Corp.. 9,778,000 5,728,144 0.0% * Evergreen Marine Corp. Taiwan, Ltd................ 27,707,998 16,377,374 0.1% Excelsior Medical Co., Ltd........................ 1,431,200 2,416,058 0.0% Far Eastern Department Stores, Ltd................ 7,025,445 6,352,456 0.1% # Far Eastern International Bank.................... 29,258,052 9,863,807 0.1% Far Eastern New Century Corp...................... 3,260,440 3,428,492 0.0% * Farglory F T Z Investment Holding Co., Ltd........ 1,314,000 888,026 0.0% # Farglory Land Development Co., Ltd................ 1,389,264 1,374,057 0.0% # Federal Corp...................................... 7,536,979 4,474,755 0.0% # Feng Hsin Iron & Steel Co......................... 165,000 203,193 0.0% # First Copper Technology Co., Ltd.................. 3,593,750 1,225,460 0.0% First Financial Holding Co., Ltd.................. 132,059,630 81,305,836 0.4% # First Hotel....................................... 1,368,585 882,549 0.0% # First Insurance Co, Ltd. (The).................... 4,017,064 2,041,382 0.0% * First Steamship Co., Ltd.......................... 5,504,173 3,594,572 0.0% #* Forhouse Corp..................................... 7,061,635 2,742,512 0.0% Formosa Advanced Technologies Co., Ltd............ 2,089,000 1,401,477 0.0% Formosa Chemicals & Fibre Corp.................... 180,000 419,116 0.0% #* Formosa Epitaxy, Inc.............................. 8,009,000 4,105,320 0.0% # Formosa Oilseed Processing Co., Ltd............... 1,111,977 721,654 0.0% Formosa Taffeta Co., Ltd.......................... 10,729,511 10,848,565 0.1% Formosan Rubber Group, Inc........................ 8,194,000 8,936,691 0.1% # Formosan Union Chemical........................... 2,853,034 1,180,835 0.0% Fortune Electric Co., Ltd......................... 436,000 212,879 0.0% # Founding Construction & Development Co., Ltd...... 3,247,097 2,192,009 0.0% Foxconn Technology Co., Ltd....................... 3,345,900 8,927,432 0.1% Foxlink Image Technology Co., Ltd................. 1,582,000 951,498 0.0% #* Froch Enterprise Co., Ltd......................... 2,542,000 1,049,963 0.0%
31 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) # FSP Technology, Inc............................. 2,468,283 $ 2,055,554 0.0% Fubon Financial Holding Co., Ltd................ 90,414,471 153,064,692 0.8% # Fullerton Technology Co., Ltd................... 1,725,200 1,418,027 0.0% # Fulltech Fiber Glass Corp....................... 5,082,690 1,834,171 0.0% # Fwusow Industry Co., Ltd........................ 2,749,995 1,364,413 0.0% G Shank Enterprise Co., Ltd..................... 2,168,902 1,941,166 0.0% #* G Tech Optoelectronics Corp..................... 517,000 421,149 0.0% Gallant Precision Machining Co., Ltd............ 1,335,000 529,384 0.0% # Gemtek Technology Corp.......................... 6,366,962 4,672,783 0.0% #* Genesis Photonics, Inc.......................... 3,760,810 1,864,321 0.0% #* Genius Electronic Optical Co., Ltd.............. 860,000 2,412,164 0.0% Getac Technology Corp........................... 8,342,065 4,202,125 0.0% #* Giantplus Technology Co., Ltd................... 2,119,100 729,262 0.0% Giga Solution Tech Co., Ltd..................... 1,176,000 728,732 0.0% # Gigabyte Technology Co., Ltd.................... 9,308,287 10,715,468 0.1% #* Gigastorage Corp................................ 3,837,600 3,382,274 0.0% #* Gintech Energy Corp............................. 7,056,942 5,522,080 0.0% #* Global Brands Manufacture, Ltd.................. 5,083,951 1,602,550 0.0% Global Lighting Technologies, Inc............... 973,000 1,313,439 0.0% Globe Union Industrial Corp..................... 2,999,625 1,471,917 0.0% # Gloria Material Technology Corp................. 6,218,150 4,114,584 0.0% #* Gold Circuit Electronics, Ltd................... 8,144,965 3,372,634 0.0% #* Goldsun Development & Construction Co., Ltd..... 23,939,261 8,466,448 0.1% Good Will Instrument Co., Ltd................... 501,358 356,886 0.0% # Grand Pacific Petrochemical..................... 17,166,000 8,224,801 0.1% Great China Metal Industry...................... 871,000 803,936 0.0% # Great Wall Enterprise Co., Ltd.................. 7,920,597 7,183,481 0.1% #* Green Energy Technology, Inc.................... 4,716,880 3,079,040 0.0% * GTM Corp........................................ 2,500,000 1,780,980 0.0% * Hannstar Board Corp............................. 5,082,635 1,910,322 0.0% # HannStar Display Corp........................... 55,492,435 13,978,799 0.1% * HannsTouch Solution, Inc........................ 1,099,000 229,052 0.0% # Harvatek Corp................................... 3,454,459 1,985,379 0.0% * Helix Technology, Inc........................... 29,585 -- 0.0% Hey Song Corp................................... 2,911,500 3,485,129 0.0% * HiTi Digital, Inc............................... 76,000 37,854 0.0% # Hitron Technology, Inc.......................... 3,606,525 1,801,143 0.0% # Ho Tung Chemical Corp........................... 14,069,004 4,951,737 0.0% Hocheng Corp.................................... 4,577,300 1,567,020 0.0% * Hold-Key Electric Wire & Cable Co., Ltd......... 515,124 133,996 0.0% # Holy Stone Enterprise Co., Ltd.................. 3,208,650 4,258,815 0.0% Hong TAI Electric Industrial.................... 3,837,000 1,262,070 0.0% # Horizon Securities Co., Ltd..................... 5,996,000 1,633,992 0.0% # Hsin Kuang Steel Co., Ltd....................... 4,316,124 2,453,430 0.0% Hsing TA Cement Co.............................. 2,071,980 904,062 0.0% #* HTC Corp........................................ 1,658,000 7,341,404 0.1% HUA ENG Wire & Cable............................ 7,608,035 2,516,776 0.0% Hua Nan Financial Holdings Co., Ltd............. 53,408,002 31,645,954 0.2% * Hualon Corp..................................... 257,040 -- 0.0% Huang Hsiang Construction Corp.................. 70,000 90,840 0.0% Hung Ching Development & Construction Co., Ltd.. 1,987,468 1,067,220 0.0% # Hung Poo Real Estate Development Corp........... 3,617,655 2,726,305 0.0% Hung Sheng Construction, Ltd.................... 7,039,892 4,317,479 0.0% Huxen Corp...................................... 572,281 799,120 0.0% Hwacom Systems, Inc............................. 333,000 176,872 0.0% # I-Chiun Precision Industry Co., Ltd............. 3,240,000 1,894,558 0.0% # Ichia Technologies, Inc......................... 831,260 908,721 0.0%
32 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) # Ideal Bike Corp......................... 80,271 $ 34,964 0.0% Infortrend Technology, Inc.............. 996,000 555,824 0.0% # Innolux Corp............................ 139,949,544 63,956,323 0.4% # Inpaq Technology Co., Ltd............... 261,000 363,158 0.0% Inventec Corp........................... 29,168,277 20,295,737 0.1% # ITE Technology, Inc..................... 1,923,479 2,013,614 0.0% ITEQ Corp............................... 168,000 131,019 0.0% #* J Touch Corp............................ 578,100 312,483 0.0% * Janfusun Fancyworld Corp................ 411,179 61,932 0.0% # Jess-Link Products Co., Ltd............. 1,299,000 1,157,692 0.0% Jih Sun Financial Holdings Co., Ltd..... 5,601,133 1,494,420 0.0% # K Laser Technology, Inc................. 2,211,601 1,095,715 0.0% Kang Na Hsiung Enterprise Co., Ltd...... 1,687,078 781,608 0.0% Kao Hsing Chang Iron & Steel............ 548,700 191,635 0.0% # Kaulin Manufacturing Co., Ltd........... 2,570,656 1,725,423 0.0% # KEE TAI Properties Co., Ltd............. 1,276,000 732,978 0.0% # Kenmec Mechanical Engineering Co., Ltd.. 1,565,000 694,699 0.0% Kindom Construction Corp................ 4,373,000 3,772,065 0.0% # King Yuan Electronics Co., Ltd.......... 21,871,805 17,327,828 0.1% King's Town Bank Co., Ltd............... 11,939,012 13,057,531 0.1% * King's Town Construction Co., Ltd....... 74,000 64,836 0.0% # Kinko Optical Co., Ltd.................. 1,446,000 996,600 0.0% #* Kinpo Electronics....................... 19,097,375 8,336,488 0.1% KS Terminals, Inc....................... 745,880 853,240 0.0% # Kung Sing Engineering Corp.............. 3,457,000 1,393,274 0.0% Kuoyang Construction Co., Ltd........... 7,664,840 3,275,602 0.0% Kwong Fong Industries Corp.............. 3,758,720 2,066,415 0.0% # KYE Systems Corp........................ 4,338,376 1,494,686 0.0% # L&K Engineering Co., Ltd................ 2,019,000 1,651,342 0.0% LAN FA Textile.......................... 3,158,713 980,546 0.0% # LCY Chemical Corp....................... 797,000 387,371 0.0% # Leader Electronics, Inc................. 2,094,056 734,674 0.0% #* Lealea Enterprise Co., Ltd.............. 13,389,941 3,787,577 0.0% Ledtech Electronics Corp................ 660,000 329,550 0.0% # LEE CHI Enterprises Co., Ltd............ 3,466,900 1,526,475 0.0% # Lelon Electronics Corp.................. 463,200 563,300 0.0% #* Leofoo Development Co................... 5,249,774 1,901,581 0.0% * LES Enphants Co., Ltd................... 1,073,000 607,569 0.0% # Lextar Electronics Corp................. 4,786,000 3,994,512 0.0% #* Li Peng Enterprise Co., Ltd............. 10,180,173 3,504,667 0.0% Lien Hwa Industrial Corp................ 8,522,990 5,534,944 0.0% # Lingsen Precision Industries, Ltd....... 6,583,480 3,354,208 0.0% Lite-On Semiconductor Corp.............. 3,366,729 2,217,601 0.0% Lite-On Technology Corp................. 30,769,265 43,182,108 0.2% # Long Chen Paper Co., Ltd................ 9,059,098 4,534,856 0.0% # Longwell Co............................. 1,499,000 1,326,072 0.0% # Lotes Co., Ltd.......................... 1,030,000 4,278,633 0.0% # Lucky Cement Corp....................... 3,252,000 1,076,346 0.0% #* Macronix International.................. 72,368,913 16,261,900 0.1% # Marketech International Corp............ 1,948,000 1,374,552 0.0% Masterlink Securities Corp.............. 16,836,644 5,365,536 0.0% Mayer Steel Pipe Corp................... 2,501,456 1,188,949 0.0% # Maywufa Co., Ltd........................ 252,070 116,006 0.0% Mega Financial Holding Co., Ltd......... 136,903,915 113,547,756 0.6% * Megamedia Corp.......................... 782 -- 0.0% Meiloon Industrial Co................... 1,613,084 681,626 0.0% Mercuries & Associates, Ltd............. 1,524,937 882,824 0.0%
33 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) * Mercuries Life Insurance Co., Ltd......... 1,417,206 $ 795,904 0.0% # Micro-Star International Co., Ltd......... 14,030,985 17,184,620 0.1% #* Microelectronics Technology, Inc.......... 689,826 333,012 0.0% # Mirle Automation Corp..................... 565,550 470,721 0.0% # Mitac Holdings Corp....................... 9,347,725 7,236,533 0.1% * Mosel Vitelic, Inc........................ 4,991,506 1,074,842 0.0% # Motech Industries, Inc.................... 2,362,000 2,920,283 0.0% # Nan Ren Lake Leisure Amusement Co., Ltd... 1,652,000 624,457 0.0% #* Nan Ya Printed Circuit Board Corp......... 3,879,000 5,384,935 0.0% Nantex Industry Co., Ltd.................. 2,468,716 1,232,947 0.0% # Neo Solar Power Corp...................... 2,489,066 2,359,911 0.0% New Asia Construction & Development Corp.. 1,810,304 475,824 0.0% # New Era Electronics Co., Ltd.............. 203,000 212,690 0.0% # Newmax Technology Co., Ltd................ 230,000 268,376 0.0% Nien Hsing Textile Co., Ltd............... 4,491,721 3,714,038 0.0% Nishoku Technology, Inc................... 268,000 369,580 0.0% #* O-TA Precision Industry Co., Ltd.......... 24,000 13,190 0.0% * Ocean Plastics Co., Ltd................... 369,000 442,055 0.0% * Optimax Technology Corp................... 1,085,597 169,639 0.0% # OptoTech Corp............................. 9,532,000 3,894,399 0.0% Oriental Union Chemical Corp.............. 54,000 40,850 0.0% # Pacific Construction Co................... 2,529,452 847,746 0.0% * Pan Jit International, Inc................ 6,047,837 2,531,385 0.0% # Pan-International Industrial Corp......... 4,663,444 2,905,079 0.0% # Paragon Technologies Co., Ltd............. 1,115,191 1,607,183 0.0% # Pegatron Corp............................. 29,062,998 52,967,133 0.3% # Phihong Technology Co., Ltd............... 3,860,320 2,035,180 0.0% # Pixart Imaging, Inc....................... 48,000 106,614 0.0% #* Plotech Co., Ltd.......................... 760,282 284,366 0.0% # Portwell, Inc............................. 1,167,000 1,603,092 0.0% * Potrans Electrical Corp................... 1,139,000 -- 0.0% Pou Chen Corp............................. 24,985,550 27,551,269 0.2% #* Power Quotient International Co., Ltd..... 59,000 30,054 0.0% * Powercom Co., Ltd......................... 904,500 143,661 0.0% * Powertech Industrial Co., Ltd............. 271,000 196,486 0.0% # Powertech Technology, Inc................. 12,247,000 20,590,273 0.1% President Securities Corp................. 12,690,992 6,638,984 0.1% # Prime Electronics Satellitics, Inc........ 623,000 247,050 0.0% # Prince Housing & Development Corp......... 4,330,018 1,624,747 0.0% * Prodisc Technology, Inc................... 6,185,157 -- 0.0% Promate Electronic Co., Ltd............... 132,000 153,462 0.0% #* Qisda Corp................................ 27,863,171 12,516,596 0.1% # Qualipoly Chemical Corp................... 143,000 103,378 0.0% # Quanta Storage, Inc....................... 2,413,000 2,658,922 0.0% #* Quintain Steel Co., Ltd................... 5,893,629 1,215,196 0.0% # Radium Life Tech Co., Ltd................. 9,231,455 5,307,404 0.0% # Ralec Electronic Corp..................... 526,087 990,835 0.0% # Rich Development Co., Ltd................. 6,901,054 2,866,972 0.0% #* Ritek Corp................................ 47,909,622 5,460,437 0.0% # Rotam Global Agrosciences, Ltd............ 98,000 174,307 0.0% # Ruentex Development Co., Ltd.............. 1,122,000 1,674,882 0.0% # Ruentex Industries, Ltd................... 1,339,000 2,862,486 0.0% * Sainfoin Technology Corp.................. 835,498 -- 0.0% # Sampo Corp................................ 9,863,925 3,908,343 0.0% * Sanyang Industry Co., Ltd................. 3,820,624 3,377,257 0.0% SDI Corp.................................. 346,000 443,721 0.0% # Sesoda Corp............................... 1,089,768 1,242,872 0.0%
34 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Shan-Loong Transportation Co., Ltd.............. 66,000 $ 51,282 0.0% Sheng Yu Steel Co., Ltd......................... 1,935,000 1,280,037 0.0% # ShenMao Technology, Inc......................... 1,267,000 1,346,873 0.0% # Shih Her Technologies, Inc...................... 411,000 749,947 0.0% Shih Wei Navigation Co., Ltd.................... 2,785,718 1,714,488 0.0% # Shihlin Electric & Engineering Corp............. 4,470,000 5,840,187 0.0% # Shin Kong Financial Holding Co., Ltd............ 147,139,146 44,691,310 0.3% Shin Zu Shing Co., Ltd.......................... 1,123,000 2,469,689 0.0% # Shinkong Insurance Co., Ltd..................... 3,610,412 2,695,648 0.0% Shinkong Synthetic Fibers Corp.................. 27,670,754 9,832,759 0.1% # Shuttle, Inc.................................... 4,602,015 1,253,076 0.0% # Sigurd Microelectronics Corp.................... 6,663,047 6,377,441 0.1% #* Silicon Integrated Systems Corp................. 6,455,165 1,789,243 0.0% # Silitech Technology Corp........................ 1,476,924 997,637 0.0% Sincere Navigation Corp......................... 4,946,740 4,283,911 0.0% # Singatron Enterprise Co., Ltd................... 63,000 23,963 0.0% # Sinkang Industries Co., Ltd..................... 699,557 253,166 0.0% # Sino-American Silicon Products, Inc............. 7,750,000 11,977,037 0.1% # Sinon Corp...................................... 6,282,877 3,419,635 0.0% # SinoPac Financial Holdings Co., Ltd............. 135,264,317 58,728,390 0.3% # Siward Crystal Technology Co., Ltd.............. 2,520,875 1,812,346 0.0% # Solar Applied Materials Technology Co........... 1,820,000 1,433,207 0.0% #* Solartech Energy Corp........................... 4,156,165 2,661,632 0.0% Solomon Technology Corp......................... 1,254,590 766,748 0.0% #* Solytech Enterprise Corp........................ 3,043,000 826,845 0.0% Southeast Cement Co., Ltd....................... 3,539,700 1,820,251 0.0% # Spirox Corp..................................... 631,661 486,208 0.0% Stark Technology, Inc........................... 2,259,200 2,117,717 0.0% # Sunonwealth Electric Machine Industry Co., Ltd.. 1,157,421 760,151 0.0% #* Sunplus Technology Co., Ltd..................... 8,214,620 3,131,438 0.0% # Sunrex Technology Corp.......................... 1,799,000 990,077 0.0% Super Dragon Technology Co., Ltd................ 26,175 15,042 0.0% # Supreme Electronics Co., Ltd.................... 3,798,277 2,111,021 0.0% # Sweeten Construction Co., Ltd................... 1,296,256 741,577 0.0% # Sysage Technology Co., Ltd...................... 114,950 129,160 0.0% # Systex Corp..................................... 801,801 1,465,953 0.0% # T-Mac Techvest PCB Co., Ltd..................... 1,603,000 816,783 0.0% # TA Chen Stainless Pipe.......................... 8,476,281 5,220,844 0.0% #* Ta Chong Bank, Ltd.............................. 31,010,870 10,307,692 0.1% Ta Chong Securities Co., Ltd.................... 214,000 71,316 0.0% Ta Ya Electric Wire & Cable..................... 8,261,329 1,777,474 0.0% # TA-I Technology Co., Ltd........................ 2,084,084 1,163,820 0.0% Tah Hsin Industrial Co., Ltd.................... 1,521,900 1,443,520 0.0% TAI Roun Products Co., Ltd...................... 63,000 21,040 0.0% # Taichung Commercial Bank Co., Ltd............... 32,244,991 10,824,084 0.1% # Tainan Enterprises Co., Ltd..................... 1,985,183 1,644,420 0.0% # Tainan Spinning Co., Ltd........................ 18,531,996 10,282,936 0.1% Taishin Financial Holding Co., Ltd.............. 136,730,491 65,225,009 0.4% #* Taisun Enterprise Co., Ltd...................... 2,034,410 770,137 0.0% #* Taita Chemical Co., Ltd......................... 2,626,864 726,430 0.0% * Taiwan Business Bank............................ 60,083,410 18,075,009 0.1% # Taiwan Calsonic Co., Ltd........................ 48,000 32,841 0.0% Taiwan Cement Corp.............................. 45,114,440 69,013,294 0.4% # Taiwan Cogeneration Corp........................ 3,096,333 2,453,594 0.0% # Taiwan Cooperative Financial Holding Co., Ltd... 92,383,241 49,412,015 0.3% # Taiwan Fertilizer Co., Ltd...................... 3,775,000 6,697,270 0.1% Taiwan Fire & Marine Insurance Co., Ltd......... 1,235,000 891,397 0.0% * Taiwan Flourescent Lamp Co., Ltd................ 756,000 -- 0.0%
35 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Taiwan FU Hsing Industrial Co., Ltd............ 2,128,000 $ 2,043,884 0.0% Taiwan Glass Industry Corp..................... 9,558,710 7,415,596 0.1% # Taiwan Hon Chuan Enterprise Co., Ltd........... 102,000 167,164 0.0% # Taiwan Hopax Chemicals Manufacturing Co., Ltd.. 1,508,000 1,031,567 0.0% * Taiwan Kolin Co., Ltd.......................... 5,797,000 -- 0.0% # Taiwan Land Development Corp................... 12,641,235 4,491,190 0.0% #* Taiwan Life Insurance Co., Ltd................. 850,419 509,636 0.0% Taiwan Line Tek Electronic..................... 76,640 58,045 0.0% # Taiwan Mask Corp............................... 3,154,250 978,746 0.0% Taiwan Navigation Co., Ltd..................... 1,428,000 1,013,039 0.0% # Taiwan PCB Techvest Co., Ltd................... 3,567,946 5,264,641 0.0% #* Taiwan Prosperity Chemical Corp................ 974,000 693,196 0.0% * Taiwan Pulp & Paper Corp....................... 7,065,660 2,647,393 0.0% Taiwan Sakura Corp............................. 2,890,472 2,007,415 0.0% Taiwan Semiconductor Co., Ltd.................. 2,366,000 2,159,780 0.0% Taiwan Styrene Monomer......................... 4,652,647 1,920,669 0.0% Taiwan Surface Mounting Technology Co., Ltd.... 2,628,944 3,683,541 0.0% # Taiwan TEA Corp................................ 11,811,092 6,416,163 0.1% # Taiwan Union Technology Corp................... 3,421,000 2,843,734 0.0% # Taiyen Biotech Co., Ltd........................ 2,363,217 1,889,697 0.0% #* Tatung Co., Ltd................................ 37,430,342 10,630,329 0.1% # Te Chang Construction Co., Ltd................. 90,300 73,997 0.0% Teco Electric and Machinery Co., Ltd........... 32,704,725 36,389,719 0.2% * Tecom Co., Ltd................................. 229,753 19,876 0.0% #* Tekcore Co., Ltd............................... 399,000 116,995 0.0% Test-Rite International Co., Ltd............... 737,266 487,163 0.0% # Tex-Ray Industrial Co., Ltd.................... 407,000 176,464 0.0% # ThaiLin Semiconductor Corp..................... 1,139,000 762,652 0.0% # Thinking Electronic Industrial Co., Ltd........ 1,293,000 1,880,399 0.0% Ton Yi Industrial Corp......................... 2,150,600 1,278,682 0.0% Tong Yang Industry Co., Ltd.................... 5,888,228 6,013,428 0.1% # Tong-Tai Machine & Tool Co., Ltd............... 3,209,368 2,849,063 0.0% Topco Scientific Co., Ltd...................... 719,589 1,300,954 0.0% # Topoint Technology Co., Ltd.................... 2,564,288 2,438,333 0.0% # TPK Holding Co., Ltd........................... 973,000 5,743,941 0.0% # Transasia Airways Corp......................... 865,000 324,230 0.0% # Tripod Technology Corp......................... 1,722,000 3,223,216 0.0% Tsann Kuen Enterprise Co., Ltd................. 58,000 61,042 0.0% # Tung Ho Steel Enterprise Corp.................. 12,887,274 10,162,554 0.1% # Tung Ho Textile Co., Ltd....................... 2,454,000 644,567 0.0% TXC Corp....................................... 289,000 358,200 0.0% * TYC Brother Industrial Co., Ltd................ 2,570,723 1,418,924 0.0% #* Tycoons Group Enterprise....................... 7,958,938 1,466,935 0.0% * Tyntek Corp.................................... 1,755,936 393,139 0.0% TZE Shin International Co., Ltd................ 253,212 73,533 0.0% #* U-Tech Media Corp.............................. 1,946,799 394,673 0.0% Unic Technology Corp........................... 36,361 15,390 0.0% # Unimicron Technology Corp...................... 24,718,363 19,027,104 0.1% #* Union Bank Of Taiwan........................... 12,347,526 4,188,292 0.0% # Unitech Computer Co., Ltd...................... 1,682,739 970,073 0.0% # Unitech Printed Circuit Board Corp............. 10,230,281 4,195,504 0.0% United Integrated Services Co., Ltd............ 1,629,000 1,548,515 0.0% # United Microelectronics Corp................... 217,150,681 96,414,681 0.5% Universal Cement Corp.......................... 6,481,642 5,705,729 0.0% Unizyx Holding Corp............................ 6,393,000 3,773,394 0.0% # UPC Technology Corp............................ 12,783,746 4,375,189 0.0% # USI Corp....................................... 6,761,691 3,202,974 0.0%
36 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Ve Wong Corp..................................... 1,616,806 $ 1,192,835 0.0% Viking Tech Corp................................. 86,000 59,044 0.0% #* Wafer Works Corp................................. 5,117,000 2,122,143 0.0% Wah Hong Industrial Corp......................... 395,516 415,485 0.0% # Wah Lee Industrial Corp.......................... 2,011,000 3,510,779 0.0% #* Walsin Lihwa Corp................................ 54,995,412 18,257,900 0.1% #* Walsin Technology Corp........................... 10,131,230 3,504,139 0.0% # Walton Advanced Engineering, Inc................. 5,170,853 2,420,347 0.0% Wan Hai Lines, Ltd............................... 9,776,000 7,230,301 0.1% WAN HWA Enterprise Co............................ 442,038 215,137 0.0% # Waterland Financial Holdings Co., Ltd............ 31,195,094 8,673,363 0.1% #* Ways Technical Corp., Ltd........................ 191,000 190,474 0.0% * WEI Chih Steel Industrial Co., Ltd............... 1,124,898 159,014 0.0% #* Wei Mon Industry Co., Ltd........................ 5,541,691 1,262,446 0.0% # Weikeng Industrial Co., Ltd...................... 1,884,550 1,438,580 0.0% # Well Shin Technology Co., Ltd.................... 1,070,080 1,595,055 0.0% # Wha Yu Industrial Co., Ltd....................... 438,000 174,061 0.0% Win Semiconductors Corp.......................... 6,494,000 5,859,090 0.0% #* Winbond Electronics Corp......................... 53,895,885 17,292,146 0.1% * Wintek Corp...................................... 39,702,484 2,532,237 0.0% # Wisdom Marine Lines Co., Ltd..................... 1,585,326 1,838,956 0.0% # Wistron Corp..................................... 38,341,608 40,282,290 0.2% WPG Holdings, Ltd................................ 515,092 627,449 0.0% # WT Microelectronics Co., Ltd..................... 4,800,900 7,666,543 0.1% # WUS Printed Circuit Co., Ltd..................... 5,181,928 2,374,619 0.0% # Yageo Corp....................................... 7,717,574 11,995,204 0.1% * Yang Ming Marine Transport Corp.................. 23,051,676 10,552,550 0.1% # YC Co., Ltd...................................... 6,163,104 3,264,320 0.0% # YC INOX Co., Ltd................................. 4,719,667 3,607,475 0.0% # YeaShin International Development Co., Ltd....... 286,830 162,286 0.0% # YFY, Inc......................................... 19,386,847 8,036,769 0.1% # Yi Jinn Industrial Co., Ltd...................... 3,841,938 997,145 0.0% # Yieh Phui Enterprise Co., Ltd.................... 17,378,199 5,146,174 0.0% #* Young Fast Optoelectronics Co., Ltd.............. 2,546,000 1,610,877 0.0% # Youngtek Electronics Corp........................ 727,116 1,394,322 0.0% # Yuanta Financial Holding Co., Ltd................ 143,586,770 72,328,347 0.4% Yulon Motor Co., Ltd............................. 13,971,572 20,612,635 0.1% Yung Chi Paint & Varnish Manufacturing Co., Ltd.. 312,687 836,841 0.0% # Zenitron Corp.................................... 3,226,000 1,809,603 0.0% # Zig Sheng Industrial Co., Ltd.................... 8,536,352 2,359,218 0.0% Zinwell Corp..................................... 2,074,000 2,000,366 0.0% ZongTai Real Estate Development Co., Ltd......... 103,000 61,516 0.0% -------------- ----- TOTAL TAIWAN......................................... 2,898,845,848 15.3% -------------- ----- THAILAND -- (2.8%) AAPICO Hitech PCL................................ 681,760 322,355 0.0% * AJ Plast PCL..................................... 2,076,900 656,803 0.0% AP Thailand PCL.................................. 25,172,730 5,139,658 0.0% Asia Plus Securities PCL......................... 12,400,900 1,492,525 0.0% Bangchak Petroleum PCL (The)..................... 10,134,500 10,423,879 0.1% Bangkok Bank PCL(6368360)........................ 5,898,900 35,860,675 0.2% Bangkok Bank PCL(6077019)........................ 1,849,900 11,473,129 0.1% Bangkok Expressway PCL........................... 5,726,100 6,680,743 0.0% Bangkok Insurance PCL............................ 212,828 2,398,154 0.0% Bangkokland PCL.................................. 7,642,500 469,297 0.0% Banpu PCL........................................ 18,687,700 16,209,012 0.1%
37 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- THAILAND -- (Continued) Cal-Comp Electronics Thailand PCL.................. 28,423,136 $ 2,635,489 0.0% Charoong Thai Wire & Cable PCL..................... 1,255,800 458,828 0.0% Delta Electronics Thailand PCL..................... 2,956,400 5,854,707 0.0% Eastern Water Resources Development and Management PCL............................................... 4,814,600 1,611,272 0.0% * Esso Thailand PCL.................................. 22,012,600 3,717,203 0.0% * G J Steel PCL...................................... 537,140,250 1,484,268 0.0% * G Steel PCL........................................ 52,021,100 319,442 0.0% Hana Microelectronics PCL.......................... 5,180,100 6,918,463 0.0% ICC International PCL.............................. 2,682,700 3,315,280 0.0% IRPC PCL........................................... 130,153,300 13,666,696 0.1% Kang Yong Electric PCL............................. 6,600 51,876 0.0% KGI Securities Thailand PCL........................ 19,837,300 2,022,101 0.0% Kiatnakin Bank PCL................................. 5,785,100 7,504,467 0.1% Krung Thai Bank PCL................................ 72,258,100 51,692,162 0.3% Laguna Resorts & Hotels PCL........................ 1,073,800 1,046,765 0.0% Lanna Resources PCL................................ 822,400 328,253 0.0% LH Financial Group PCL............................. 16,439,351 918,625 0.0% Nation Multimedia Group PCL........................ 3,462,900 166,925 0.0% * Polyplex Thailand PCL.............................. 3,084,300 1,107,962 0.0% Precious Shipping PCL.............................. 6,442,200 4,213,045 0.0% PTT Exploration & Production PCL................... 2,351,000 10,574,808 0.1% PTT Global Chemical PCL............................ 28,978,141 55,162,565 0.3% PTT PCL............................................ 15,934,500 180,039,791 1.0% Quality Houses PCL................................. 16,751,941 2,211,647 0.0% Saha Pathana Inter-Holding PCL..................... 2,809,900 2,243,089 0.0% Saha Pathanapibul PCL.............................. 1,594,833 2,093,310 0.0% Saha-Union PCL..................................... 2,963,700 3,799,032 0.0% * Sahaviriya Steel Industries PCL.................... 110,704,540 1,155,651 0.0% Sansiri PCL........................................ 91,921,866 5,813,910 0.0% SC Asset Corp PCL.................................. 25,551,325 2,965,429 0.0% Siam Future Development PCL........................ 5,753,122 1,236,471 0.0% Siamgas & Petrochemicals PCL....................... 2,300,700 890,047 0.0% Somboon Advance Technology PCL..................... 2,801,200 1,582,502 0.0% Sri Ayudhya Capital PCL............................ 151,800 200,411 0.0% Sri Trang Agro-Industry PCL........................ 9,293,600 4,165,998 0.0% Srithai Superware PCL.............................. 16,979,100 1,417,966 0.0% * Tata Steel Thailand PCL............................ 48,005,000 1,370,729 0.0% * Thai Airways International PCL..................... 17,012,811 7,469,549 0.1% Thai Carbon Black PCL.............................. 441,000 375,737 0.0% Thai Oil PCL....................................... 14,164,600 19,461,647 0.1% Thai Rayon PCL..................................... 79,500 76,278 0.0% Thai Stanley Electric PCL(B01GKK6)................. 174,600 1,174,007 0.0% Thai Stanley Electric PCL(B01GKM8)................. 43,100 289,803 0.0% Thai Wacoal PCL.................................... 85,000 129,836 0.0% Thanachart Capital PCL............................. 10,803,400 11,609,426 0.1% Thitikorn PCL...................................... 962,200 292,471 0.0% * Thoresen Thai Agencies PCL......................... 10,463,770 7,003,690 0.0% * Tipco Asphalt PCL.................................. 295,800 547,189 0.0% Tisco Financial Group PCL.......................... 2,168,500 2,962,796 0.0% TMB Bank PCL....................................... 92,807,000 8,776,345 0.1% Total Access Communication PCL..................... 2,920,080 9,279,345 0.1% TPI Polene PCL..................................... 155,294,240 8,630,107 0.1% Vanachai Group PCL................................. 10,240,920 2,452,538 0.0% Vinythai PCL....................................... 6,688,917 2,176,927 0.0% ------------ ---- TOTAL THAILAND......................................... 559,791,106 3.0% ------------ ----
38 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TURKEY -- (2.3%) * Adana Cimento Sanayii TAS Class A............................. 1,072,051 $ 2,498,230 0.0% #* Adese Alisveris Merkezleri Ticaret A.S........................ 152,622 564,631 0.0% # Akbank TAS.................................................... 14,433,710 52,119,314 0.3% #* Akenerji Elektrik Uretim A.S.................................. 4,066,226 2,139,488 0.0% # Akfen Holding A.S............................................. 839,567 1,794,003 0.0% Aksa Akrilik Kimya Sanayii A.S................................ 1,735,088 5,705,480 0.0% Aksigorta A.S................................................. 877,125 1,061,492 0.0% # Alarko Holding A.S............................................ 1,562,507 2,825,254 0.0% # Albaraka Turk Katilim Bankasi A.S............................. 3,760,873 2,655,695 0.0% * Anadolu Anonim Turk Sigorta Sirketi........................... 4,326,842 2,745,587 0.0% # Anadolu Cam Sanayii A.S....................................... 2,650,582 2,265,077 0.0% # Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S.................. 24,066 250,502 0.0% * Asya Katilim Bankasi A.S...................................... 8,975,815 2,907,604 0.0% # Aygaz A.S..................................................... 1,020,159 4,302,545 0.0% # Baticim Bati Anadolu Cimento Sanayii A.S...................... 364,909 1,128,276 0.0% * Bolu Cimento Sanayii A.S...................................... 753,805 1,470,368 0.0% # Borusan Mannesmann Boru Sanayi ve Ticaret A.S................. 888,582 2,864,566 0.0% * Boyner Perakende Ve Tekstil Yatirimlari AS.................... 41,471 913,133 0.0% Cimsa Cimento Sanayi VE Ticaret A.S........................... 189,995 1,405,233 0.0% #* Deva Holding A.S.............................................. 590,657 544,659 0.0% #* Dogan Sirketler Grubu Holding A.S............................. 16,834,393 5,073,032 0.0% # Eczacibasi Yatirim Holding Ortakligi A.S...................... 294,692 814,129 0.0% EGE Seramik Sanayi ve Ticaret A.S............................. 1,418,706 2,277,710 0.0% EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S.................................................. 3,004,674 3,176,554 0.0% Eregli Demir ve Celik Fabrikalari TAS......................... 24,473,976 51,009,693 0.3% Gentas Genel Metal Sanayi ve Ticaret A.S...................... 1,048,776 773,480 0.0% * Global Yatirim Holding A.S.................................... 3,967,218 2,497,130 0.0% # Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S........... 46,460 1,238,463 0.0% #* GSD Holding................................................... 4,585,286 2,948,857 0.0% * Gunes Sigorta................................................. 219,430 194,437 0.0% #* Hurriyet Gazetecilik A.S...................................... 3,737,714 1,041,811 0.0% * Ihlas EV Aletleri............................................. 23,776 3,317 0.0% #* Ihlas Holding A.S............................................. 13,149,270 1,774,419 0.0% #* Ipek Dogal Enerji Kaynaklari Ve Uretim A.S.................... 1,771,050 1,361,757 0.0% Is Finansal Kiralama A.S...................................... 2,987,004 1,237,711 0.0% Is Yatirim Menkul Degerler A.S. Class A....................... 481,784 247,252 0.0% #* Izmir Demir Celik Sanayi A.S.................................. 412,878 551,004 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A...................................................... 2,049,803 2,626,970 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D...................................................... 1 1 0.0% #* Karsan Otomotiv Sanayii Ve Ticaret A.S........................ 1,409,780 862,383 0.0% # KOC Holding A.S............................................... 10,028,018 51,121,088 0.3% * Koza Anadolu Metal Madencilik Isletmeleri A.S................. 1,412,866 1,099,247 0.0% * Menderes Tekstil Sanayi ve Ticaret A.S........................ 1,017,777 508,213 0.0% #* Metro Ticari ve Mali Yatirimlar Holding A.S................... 4,790,610 1,163,153 0.0% # Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S......... 352,545 633,923 0.0% * Parsan Makina Parcalari....................................... 23,682 48,450 0.0% Pinar Entegre Et ve Un Sanayi A.S............................. 343,247 1,409,837 0.0% Pinar SUT Mamulleri Sanayii A.S............................... 98,872 951,841 0.0% * Raks Elektronik Sanayi ve Ticaret A.S......................... 5,859 -- 0.0% * Sabah Yayincilik.............................................. 31,938 -- 0.0% Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S............ 1,345,000 1,916,230 0.0% #* Sasa Polyester Sanayi A.S..................................... 2,315,248 2,103,094 0.0% #* Sekerbank TAS................................................. 7,744,813 7,071,598 0.1%
39 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TURKEY -- (Continued) # Selcuk Ecza Deposu Ticaret ve Sanayi A.S................. 2,387,936 $ 2,268,037 0.0% # Soda Sanayii A.S......................................... 2,302,976 4,258,675 0.0% #* Tekfen Holding A.S....................................... 77,748 195,494 0.0% #* Tekstil Bankasi A.S...................................... 1,683,023 1,384,943 0.0% # Trakya Cam Sanayi A.S.................................... 5,412,569 7,108,677 0.1% Turcas Petrol A.S........................................ 121,075 131,785 0.0% * Turk Hava Yollari........................................ 12,584,923 41,248,866 0.2% Turkiye Is Bankasi....................................... 33,315,167 83,301,332 0.5% Turkiye Sinai Kalkinma Bankasi A.S....................... 9,303,273 8,162,620 0.1% # Turkiye Sise ve Cam Fabrikalari A.S...................... 10,604,709 16,124,993 0.1% # Turkiye Vakiflar Bankasi Tao............................. 12,437,915 26,731,016 0.2% Vestel Beyaz Esya Sanayi ve Ticaret A.S.................. 443,194 1,944,021 0.0% #* Vestel Elektronik Sanayi ve Ticaret A.S.................. 1,948,645 6,444,017 0.1% # Yapi ve Kredi Bankasi A.S................................ 13,443,837 29,441,384 0.2% #* Zorlu Enerji Elektrik Uretim A.S......................... 1,130,962 1,345,159 0.0% --------------- ----- TOTAL TURKEY................................................. 469,988,940 2.5% --------------- ----- TOTAL COMMON STOCKS.......................................... 18,125,595,816 95.7% --------------- ----- PREFERRED STOCKS -- (3.4%) BRAZIL -- (3.3%) Banco ABC Brasil SA...................................... 1,128,732 6,264,632 0.0% Banco Alfa de Investimento SA............................ 41,426 118,886 0.0% Banco Daycoval SA........................................ 645,148 2,347,050 0.0% Banco do Estado do Rio Grande do Sul SA Class B.......... 1,057,568 6,317,943 0.0% * Banco Industrial e Comercial SA.......................... 1,675,900 4,236,033 0.0% * Banco Pan SA............................................. 2,002,192 2,327,481 0.0% Banco Pine SA............................................ 436,030 1,210,032 0.0% Banco Sofisa SA.......................................... 591,000 596,939 0.0% Braskem SA Class A....................................... 1,363,333 9,975,709 0.1% Cia Ferro Ligas da Bahia - Ferbasa....................... 906,134 3,045,828 0.0% Eucatex SA Industria e Comercio.......................... 353,288 621,137 0.0% Financeira Alfa SA Credito Financiamento e Investimentos. 5,000 6,608 0.0% * Forjas Taurus SA......................................... 532,990 81,593 0.0% Gerdau SA................................................ 6,169,399 27,632,442 0.2% Grazziotin SA............................................ 2,400 17,983 0.0% Parana Banco SA.......................................... 120,800 529,102 0.0% Petroleo Brasileiro SA................................... 18,238,804 112,184,242 0.6% Petroleo Brasileiro SA Sponsored ADR..................... 21,196,251 259,230,150 1.4% Randon Participacoes SA.................................. 151,800 382,147 0.0% Suzano Papel e Celulose SA Class A....................... 5,848,009 24,711,351 0.1% Unipar Carbocloro SA Class B............................. 9,258,736 1,862,295 0.0% * Usinas Siderurgicas de Minas Gerais SA Class A........... 7,356,626 16,915,493 0.1% Vale SA.................................................. 14,877,158 129,450,847 0.7% # Vale SA Sponsored ADR.................................... 5,996,988 52,533,615 0.3% --------------- ----- TOTAL BRAZIL................................................. 662,599,538 3.5% --------------- ----- COLOMBIA -- (0.1%) Grupo de Inversiones Suramericana SA..................... 857,076 17,278,985 0.1% --------------- ----- MALAYSIA -- (0.0%) Amcorp Properties Bhd, 4.000%............................ 85,450 11,301 0.0% --------------- ----- TOTAL PREFERRED STOCKS....................................... 679,889,824 3.6% --------------- -----
40 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * Banco Pan SA Rights 11/19/14......................... 107,469 $ 867 0.0% --------------- ------ CHINA -- (0.0%) * Golden Meditech Holdings, Ltd. Warrants 07/30/15..... 154,136 2,981 0.0% --------------- ------ HONG KONG -- (0.0%) #* Agile Property Holdings, Ltd. Rights 11/11/14........ 2,490,999 167,027 0.0% * HKC Holdings, Ltd. Warrants 10/15/15................. 5,017,976 25,235 0.0% * Tonly Electronics Holdings, Ltd. Rights.............. 188,110 37,354 0.0% --------------- ------ TOTAL HONG KONG............................................ 229,616 0.0% --------------- ------ INDONESIA -- (0.0%) * Pabrik Kertas Tjiwi Kimia Tbk PT Warrants 07/11/17... 82,000 1,310 0.0% --------------- ------ MALAYSIA -- (0.0%) * CB Industrial Product Holdings Bhd Warrants 12/31/15. 335,667 -- 0.0% --------------- ------ TAIWAN -- (0.0%) * Neo Solar Power Corp. Rights 11/24/14................ 157,709 -- 0.0% * Tong-Tai Machine & Tool Co., Ltd. Rights 12/17/14.... 223,426 3,306 0.0% --------------- ------ TOTAL TAIWAN............................................... 3,306 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS...................................... 238,080 0.0% --------------- ------ Value+ - ------ - SECURITIES LENDING COLLATERAL -- (6.9%) (S)@ DFA Short Term Investment Fund....................... 120,842,149 1,398,143,668 7.4% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $19,905,306,971)................................. $20,203,867,388 106.7% =============== ======
41 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of the Fund's investments as of October 31, 2014, 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...................... $ 592,943,637 $ 489,799,533 -- $ 1,082,743,170 Chile....................... 97,250,791 195,715,954 -- 292,966,745 China....................... 235,314,230 2,644,669,283 -- 2,879,983,513 Colombia.................... 26,308,586 -- -- 26,308,586 Czech Republic.............. -- 41,573,273 -- 41,573,273 Greece...................... 450,318 20,162,473 -- 20,612,791 Hong Kong................... -- 209,454 -- 209,454 Hungary..................... -- 74,137,391 -- 74,137,391 India....................... 232,489,675 1,502,789,118 -- 1,735,278,793 Indonesia................... 9,326,399 513,294,384 -- 522,620,783 Israel...................... -- 19,227 -- 19,227 Malaysia.................... 933,008 800,684,637 -- 801,617,645 Mexico...................... 1,419,694,498 576,790 -- 1,420,271,288 Philippines................. -- 213,846,255 -- 213,846,255 Poland...................... -- 367,748,884 -- 367,748,884 Russia...................... 410,701 492,489,702 -- 492,900,403 South Africa................ 140,329,828 1,265,721,951 -- 1,406,051,779 South Korea................. 372,923,779 2,426,546,600 -- 2,799,470,379 Spain....................... 18,609,563 -- -- 18,609,563 Taiwan...................... 47,122,723 2,851,723,125 -- 2,898,845,848 Thailand.................... 559,791,106 -- -- 559,791,106 Turkey...................... 2,907,604 467,081,336 -- 469,988,940 Preferred Stocks Brazil...................... 311,770,373 350,829,165 -- 662,599,538 Colombia.................... 17,278,985 -- -- 17,278,985 Malaysia.................... -- 11,301 -- 11,301 Rights/Warrants Brazil...................... -- 867 -- 867 China....................... -- 2,981 -- 2,981 Hong Kong................... -- 229,616 -- 229,616 Indonesia................... -- 1,310 -- 1,310 Malaysia.................... -- -- -- -- Taiwan...................... -- 3,306 -- 3,306 Securities Lending Collateral. -- 1,398,143,668 -- 1,398,143,668 -------------- --------------- -- --------------- TOTAL......................... $4,085,855,804 $16,118,011,584 -- $20,203,867,388 ============== =============== == ===============
See accompanying Notes to Financial Statements. 42 (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 5, 2015 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth ---------------------------------- David G. Booth Principal Executive Officer Dimensional Emerging Markets Value Fund Date: January 5, 2015 By: /s/ David R. Martin ---------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 5, 2015 EX-99.CODE ETH 2 d755391dex99codeeth.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 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 . 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 Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his area of responsibility, consult with other Fund officers and employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure. Each Covered Officer: . must familiarize himself with the disclosure requirements applicable to the Funds as well as the business and financial operations of the Funds; and . must not knowingly misrepresent, or intentionally cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds' directors/trustees and auditors, and to governmental regulators and self-regulatory organizations. V. COMPLIANCE It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters. VI.REPORTING AND ACCOUNTABILITY Each Covered Officer must: . upon adoption of the Code, affirm in writing to the Designated Ethics Officer that he has received, read, and understands the Code; . annually thereafter affirm to the Designated Ethics Officer that he has received, read and understands the Code and has complied with the requirements of the Code; . not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith; and . notify the Designated Ethics Officer promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Designated Ethics Officer is responsible for applying the provisions of the Code to specific situations in which questions arise under the Code, and the Designated Ethics Officer has the authority to interpret this Code in any particular situation. The Designated Ethics Officer is authorized (and encouraged) to consult, as appropriate, with the Audit Committee of the Funds, the members of the Boards who are not "interested persons" (together, the "Independent Directors"), and counsel to the Funds and the Independent Directors. The Funds will comply with the following procedures in investigating and enforcing this Code: 4 LOGO . 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. X. INTERNAL USE 5 LOGO 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 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 EX-99.CERT 3 d755391dex99cert.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 5, 2015 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 5, 2015 By: /s/ David R. Martin --------------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906CERT 4 d755391dex99906cert.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, 2014 (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 5, 2015 By: /s/ David R. Martin --------------------------------------- David R. Martin Principal Financial Officer Dimensional Emerging Markets Value Fund Date: January 5, 2015