0001193125-17-113916.txt : 20170406 0001193125-17-113916.hdr.sgml : 20170406 20170406172506 ACCESSION NUMBER: 0001193125-17-113916 CONFORMED SUBMISSION TYPE: N-CSR/A PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20161031 FILED AS OF DATE: 20170406 DATE AS OF CHANGE: 20170406 EFFECTIVENESS DATE: 20170406 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/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 17746856 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/A 1 d354223dncsra.txt DIMENSIONAL EMERGING MARKETS VALUE FUND ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ----------------- FORM N-CSR/A ----------------- 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, 2016 Explanatory Note: This Form N-CSR/A for Dimensional Emerging Markets Value Fund ---------------- (the "Registrant") is being filed to include the Report of the Independent Registered Public Accounting Firm with respect to the schedule of investments provided in Item 6 of Form N-CSR. This Form N-CSR/A also updates Item 11 "Controls and Procedures" and Item 12 "Exhibits." Other than the aforementioned amendment, no other information or disclosures contained in the Registrant's Form N-CSR filed on January 9, 2017 is being amended by this Form N-CSR/A. ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. ANNUAL REPORT --------------------------------------------------- year ended: October 31, 2016 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 December 2016 Dear Fellow Shareholder, On behalf of our team at Dimensional, I want to thank you for trusting us with your investments. We recognize the important role those investments play in your future plans, and we take the responsibility implied by this trust with the utmost dedication and seriousness that it deserves. Dimensional is focused on offering consistent ways to access the performance delivered by securities in different markets and asset classes through well-diversified, efficiently managed portfolios. The importance of the word CONSISTENCY cannot be overemphasized. By being consistent in our investment approach and the quality of our implementation, we create opportunities for you to combine funds into an asset allocation that fits your goals and preferences -- enabling you to be a long-term investor in control of your investments. We recognize markets are full of uncertainties, which highlights the importance of having efficiently managed funds focused on delivering value to investors as part of an overall asset allocation that can help overcome those uncertainties. We are fortunate to work with clients who are committed to a long-term investment philosophy. We remain committed to managing investments for our clients with the same dedication, transparency, efficiency, and consistency we have for more than 35 years. Sincerely, /s/ Eduardo A. Repetto Eduardo A. Repetto CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT 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........................................ 32 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.................... 87 International Vector Equity Portfolio.......................... 91 World ex U.S. Value Portfolio.................................. 95 World ex U.S. Targeted Value Portfolio......................... 96 World ex U.S. Core Equity Portfolio............................ 102 World Core Equity Portfolio.................................... 108 Selectively Hedged Global Equity Portfolio..................... 109 Emerging Markets Portfolio..................................... 110 Emerging Markets Small Cap Portfolio........................... 110 Emerging Markets Value Portfolio............................... 110 Emerging Markets Core Equity Portfolio......................... 111 Statements of Assets and Liabilities............................... 115 Statements of Operations........................................... 122 Statements of Changes in Net Assets................................ 129 Financial Highlights............................................... 139 Notes to Financial Statements...................................... 161 Report of Independent Registered Public Accounting Firm............ 194 Section 19(a) Notice............................................... 195
i TABLE OF CONTENTS CONTINUED
PAGE ---- DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO Performance Charts................................................. 198 Management's Discussion and Analysis............................... 199 Consolidated Disclosure of Fund Expenses........................... 200 Consolidated Disclosure of Portfolio Holdings...................... 201 Consolidated Schedule of Investments............................... 202 Consolidated Statement of Assets and Liabilities................... 207 Consolidated Statement of Operations............................... 208 Consolidated Statements of Changes in Net Assets................... 209 Consolidated Financial Highlights.................................. 210 Consolidated Notes to Financial Statements......................... 211 Report of Independent Registered Public Accounting Firm............ 224 DIMENSIONAL INVESTMENT GROUP INC. Performance Charts................................................. 225 Management's Discussion and Analysis............................... 227 Disclosure of Fund Expenses........................................ 230 Disclosure of Portfolio Holdings................................... 232 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio.............................. 233 U.S. Large Company Portfolio................................... 234 Statements of Assets and Liabilities............................... 237 Statements of Operations........................................... 238 Statements of Changes in Net Assets................................ 239 Financial Highlights............................................... 240 Notes to Financial Statements...................................... 243 Report of Independent Registered Public Accounting Firm............ 253 Section 19(a) Notice............................................... 254 THE DFA INVESTMENT TRUST COMPANY Performance Charts................................................. 255 Management's Discussion and Analysis............................... 260 Disclosure of Fund Expenses........................................ 265 Disclosure of Portfolio Holdings................................... 267 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series................................ 269 The DFA International Value Series............................. 272 The Japanese Small Company Series.............................. 276 The Asia Pacific Small Company Series.......................... 279 The United Kingdom Small Company Series........................ 282 The Continental Small Company Series........................... 285 The Canadian Small Company Series.............................. 288 The Emerging Markets Series.................................... 291 The Emerging Markets Small Cap Series.......................... 295 Statements of Assets and Liabilities............................... 299 Statements of Operations........................................... 301 Statements of Changes in Net Assets................................ 303 Financial Highlights............................................... 306 Notes to Financial Statements...................................... 311 Report of Independent Registered Public Accounting Firm............ 323
ii TABLE OF CONTENTS CONTINUED
PAGE ---- DIMENSIONAL EMERGING MARKETS VALUE FUND Performance Charts................................................. 324 Management's Discussion and Analysis............................... 325 Disclosure of Fund Expenses........................................ 327 Disclosure of Portfolio Holdings................................... 328 Summary Schedule of Portfolio Holdings............................. 329 Statement of Assets and Liabilities................................ 333 Statement of Operations............................................ 334 Statements of Changes in Net Assets................................ 335 Financial Highlights............................................... 336 Notes to Financial Statements...................................... 337 Report of Independent Registered Public Accounting Firm............ 345 FUND MANAGEMENT....................................................... 346 VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 361 NOTICE TO SHAREHOLDERS................................................ 362
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 P.L.C. Public Limited Company USD United States Dollars Investment Footnotes + See Note B to Financial Statements. ++ Securities that have generally been fair value factored. 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 in unaffiliated issuers 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. ## Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. ^^ 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 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, 2006-OCTOBER 31, 2016 [CHART] Enhanced U.S. Large Company Portfolio S&P 500/R/ Index --------------------------------- ------------------ 10/1/2006 $10,000 $10,000 11/1/2006 10,196 10,190 12/1/2006 10,332 10,333 1/1/2007 10,479 10,489 2/1/2007 10,273 10,284 3/1/2007 10,391 10,399 4/1/2007 10,840 10,860 5/1/2007 11,212 11,239 6/1/2007 11,016 11,052 7/1/2007 10,684 10,709 8/1/2007 10,830 10,870 9/1/2007 11,233 11,277 10/1/2007 11,413 11,456 11/1/2007 10,933 10,977 12/1/2007 10,855 10,901 1/1/2008 10,175 10,247 2/1/2008 9,846 9,914 3/1/2008 9,802 9,871 4/1/2008 10,263 10,352 5/1/2008 10,405 10,486 6/1/2008 9,521 9,602 7/1/2008 9,444 9,522 8/1/2008 9,588 9,659 9/1/2008 8,705 8,799 10/1/2008 7,221 7,321 11/1/2008 6,730 6,796 12/1/2008 6,809 6,868 1/1/2009 6,238 6,289 2/1/2009 5,556 5,619 3/1/2009 6,062 6,112 4/1/2009 6,660 6,696 5/1/2009 7,058 7,071 6/1/2009 7,083 7,085 7/1/2009 7,643 7,621 8/1/2009 7,942 7,896 9/1/2009 8,254 8,191 10/1/2009 8,104 8,039 11/1/2009 8,617 8,521 12/1/2009 8,765 8,685 1/1/2010 8,463 8,373 2/1/2010 8,740 8,632 3/1/2010 9,254 9,153 4/1/2010 9,405 9,298 5/1/2010 8,664 8,555 6/1/2010 8,219 8,107 7/1/2010 8,799 8,675 8/1/2010 8,408 8,284 9/1/2010 9,160 9,023 10/1/2010 9,514 9,366 11/1/2010 9,501 9,368 12/1/2010 10,137 9,994 1/1/2011 10,390 10,231 2/1/2011 10,732 10,581 3/1/2011 10,732 10,585 4/1/2011 11,074 10,899 5/1/2011 10,972 10,775 6/1/2011 10,783 10,596 7/1/2011 10,580 10,380 8/1/2011 9,998 9,816 9/1/2011 9,289 9,126 10/1/2011 10,314 10,124 11/1/2011 10,251 10,101 12/1/2011 10,365 10,205 1/1/2012 10,852 10,662 2/1/2012 11,325 11,123 3/1/2012 11,709 11,489 4/1/2012 11,645 11,417 5/1/2012 10,941 10,731 6/1/2012 11,400 11,173 7/1/2012 11,593 11,328 8/1/2012 11,862 11,583 9/1/2012 12,167 11,883 10/1/2012 11,948 11,663 11/1/2012 12,025 11,731 12/1/2012 12,124 11,838 1/1/2013 12,745 12,451 2/1/2013 12,926 12,620 3/1/2013 13,405 13,093 4/1/2013 13,663 13,346 5/1/2013 13,974 13,658 6/1/2013 13,760 13,474 7/1/2013 14,486 14,160 8/1/2013 14,058 13,750 9/1/2013 14,499 14,181 10/1/2013 15,173 14,833 11/1/2013 15,640 15,285 12/1/2013 16,017 15,672 1/1/2014 15,484 15,130 2/1/2014 16,185 15,822 3/1/2014 16,310 15,955 4/1/2014 16,440 16,073 5/1/2014 16,844 16,450 6/1/2014 17,167 16,790 7/1/2014 16,920 16,559 8/1/2014 17,610 17,221 9/1/2014 17,350 16,980 10/1/2014 17,779 17,394 11/1/2014 18,287 17,862 12/1/2014 18,186 17,817 1/1/2015 17,694 17,282 2/1/2015 18,678 18,276 3/1/2015 18,410 17,986 4/1/2015 18,574 18,159 5/1/2015 18,827 18,393 6/1/2015 18,429 18,037 7/1/2015 18,832 18,414 8/1/2015 17,653 17,303 9/1/2015 17,236 16,875 10/1/2015 18,713 18,299 11/1/2015 18,743 18,353 12/1/2015 18,382 18,064 1/1/2016 17,504 17,167 2/1/2016 17,504 17,144 3/1/2016 18,750 18,307 4/1/2016 18,846 18,378 5/1/2016 19,166 18,708 6/1/2016 19,252 18,757 7/1/2016 19,973 19,448 8/1/2016 19,973 19,476 9/1/2016 19,971 19,479 Past performance is not predictive of 10/1/2016 19,602 19,124 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 Standard 4.75% 13.70% 6.96% & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY PORTFOLIO VS. RUSSELL 1000(R) INDEX JUNE 25, 2013-OCTOBER 31, 2016 [CHART] U.S. Large Cap Equity Portfolio Russell 1000/R/ Index ----------------- --------------------- 6/1/2013 $10,000 $10,000 6/1/2013 10,020 10,130 7/1/2013 10,550 10,672 8/1/2013 10,270 10,378 9/1/2013 10,630 10,740 10/1/2013 11,101 11,213 11/1/2013 11,452 11,527 12/1/2013 11,757 11,838 1/1/2014 11,333 11,460 2/1/2014 11,878 12,004 3/1/2014 11,985 12,080 4/1/2014 12,046 12,137 5/1/2014 12,319 12,416 6/1/2014 12,623 12,699 7/1/2014 12,410 12,493 8/1/2014 12,928 13,010 9/1/2014 12,654 12,781 10/1/2014 12,899 13,094 11/1/2014 13,205 13,437 12/1/2014 13,175 13,405 1/1/2015 12,775 13,037 2/1/2015 13,555 13,790 3/1/2015 13,391 13,619 4/1/2015 13,463 13,715 5/1/2015 13,659 13,895 6/1/2015 13,399 13,634 7/1/2015 13,564 13,897 8/1/2015 12,768 13,061 9/1/2015 12,374 12,703 10/1/2015 13,350 13,731 11/1/2015 13,391 13,776 12/1/2015 13,081 13,528 1/1/2016 12,350 12,800 2/1/2016 12,412 12,796 3/1/2016 13,260 13,687 4/1/2016 13,302 13,762 5/1/2016 13,522 14,003 6/1/2016 13,491 14,034 Past performance is not predictive of 7/1/2016 14,029 14,569 future performance. 8/1/2016 14,071 14,588 The returns shown do not reflect the 9/1/2016 14,104 14,600 deduction of taxes that a shareholder 10/1/2016 13,818 14,315 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 1995-2016, all rights 3.51% 10.14% reserved.
-------------------------------------------------------------------------------- 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index ------------------------------- --------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,189 10,228 12/1/2006 10,393 10,458 1/1/2007 10,694 10,592 2/1/2007 10,533 10,427 3/1/2007 10,602 10,588 4/1/2007 11,052 10,979 5/1/2007 11,505 11,375 6/1/2007 11,318 11,109 7/1/2007 10,615 10,595 8/1/2007 10,413 10,714 9/1/2007 10,682 11,082 10/1/2007 10,740 11,083 11/1/2007 10,138 10,542 12/1/2007 10,106 10,440 1/1/2008 9,718 10,022 2/1/2008 9,418 9,602 3/1/2008 9,330 9,530 4/1/2008 9,915 9,994 5/1/2008 10,151 9,978 6/1/2008 9,038 9,023 7/1/2008 8,937 8,991 8/1/2008 9,113 9,144 9/1/2008 8,293 8,472 10/1/2008 6,425 7,005 11/1/2008 5,795 6,503 12/1/2008 5,983 6,593 1/1/2009 5,273 5,835 2/1/2009 4,533 5,055 3/1/2009 4,978 5,488 4/1/2009 5,784 6,076 5/1/2009 6,228 6,452 6/1/2009 6,152 6,404 7/1/2009 6,732 6,928 8/1/2009 7,190 7,290 9/1/2009 7,503 7,572 10/1/2009 7,180 7,340 11/1/2009 7,584 7,754 12/1/2009 7,789 7,891 1/1/2010 7,606 7,669 2/1/2010 7,935 7,911 3/1/2010 8,554 8,426 4/1/2010 8,824 8,645 5/1/2010 8,069 7,934 6/1/2010 7,459 7,487 7/1/2010 8,042 7,994 8/1/2010 7,550 7,652 9/1/2010 8,290 8,246 10/1/2010 8,596 8,493 11/1/2010 8,531 8,448 12/1/2010 9,360 9,115 1/1/2011 9,662 9,321 2/1/2011 10,184 9,665 3/1/2011 10,230 9,703 4/1/2011 10,486 9,962 5/1/2011 10,337 9,856 6/1/2011 10,149 9,654 7/1/2011 9,686 9,334 8/1/2011 8,866 8,752 9/1/2011 7,971 8,090 10/1/2011 9,071 9,016 11/1/2011 8,996 8,970 12/1/2011 9,066 9,151 1/1/2012 9,516 9,497 2/1/2012 10,066 9,875 3/1/2012 10,250 10,168 4/1/2012 10,037 10,064 5/1/2012 9,324 9,474 6/1/2012 9,824 9,945 7/1/2012 9,920 10,047 8/1/2012 10,311 10,266 9/1/2012 10,687 10,591 10/1/2012 10,716 10,539 11/1/2012 10,740 10,535 12/1/2012 11,066 10,753 1/1/2013 11,834 11,452 2/1/2013 11,984 11,616 3/1/2013 12,560 12,076 4/1/2013 12,686 12,259 5/1/2013 13,209 12,573 6/1/2013 13,057 12,463 7/1/2013 13,841 13,135 8/1/2013 13,427 12,637 9/1/2013 13,824 12,954 10/1/2013 14,522 13,521 11/1/2013 15,128 13,898 12/1/2013 15,528 14,250 1/1/2014 14,914 13,744 2/1/2014 15,415 14,338 3/1/2014 15,776 14,681 4/1/2014 15,880 14,820 5/1/2014 16,224 15,037 6/1/2014 16,666 15,430 7/1/2014 16,543 15,167 8/1/2014 17,067 15,725 9/1/2014 16,642 15,400 10/1/2014 16,771 15,746 11/1/2014 16,965 16,069 12/1/2014 17,091 16,167 1/1/2015 16,241 15,521 2/1/2015 17,387 16,272 3/1/2015 17,054 16,050 4/1/2015 17,402 16,200 5/1/2015 17,589 16,395 6/1/2015 17,304 16,068 7/1/2015 17,259 16,138 8/1/2015 16,209 15,177 9/1/2015 15,685 14,719 10/1/2015 16,965 15,830 11/1/2015 17,026 15,890 12/1/2015 16,494 15,548 1/1/2016 15,370 14,745 2/1/2016 15,396 14,741 3/1/2016 16,515 15,803 4/1/2016 16,961 16,135 5/1/2016 17,187 16,386 6/1/2016 17,169 16,527 Past performance is not predictive of 7/1/2016 17,759 17,007 future performance. 8/1/2016 17,965 17,138 The returns shown do not reflect the 9/1/2016 18,051 17,103 deduction of taxes that a shareholder 10/1/2016 17,741 16,838 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 1995-2016, all rights 4.58% 14.36% 5.90% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS. RUSSELL 2000(R) VALUE INDEX JANUARY 31, 2008-OCTOBER 31, 2016 [CHART] U.S. Targeted Value Portfolio - Class R1 Russell 2000/R/ Value Index -------------------------- --------------------------- 1/1/2008 $10,000 $10,000 2/1/2008 9,750 9,603 3/1/2008 9,821 9,747 4/1/2008 10,152 10,056 5/1/2008 10,613 10,400 6/1/2008 9,538 9,402 7/1/2008 9,790 9,884 8/1/2008 10,233 10,353 9/1/2008 9,575 9,868 10/1/2008 7,504 7,897 11/1/2008 6,525 6,982 12/1/2008 6,946 7,412 1/1/2009 5,999 6,353 2/1/2009 5,204 5,471 3/1/2009 5,777 5,956 4/1/2009 6,902 6,901 5/1/2009 7,137 7,051 6/1/2009 7,107 7,028 7/1/2009 7,959 7,841 8/1/2009 8,379 8,212 9/1/2009 8,844 8,624 10/1/2009 8,207 8,051 11/1/2009 8,484 8,308 12/1/2009 9,150 8,937 1/1/2010 8,943 8,675 2/1/2010 9,449 9,077 3/1/2010 10,229 9,832 4/1/2010 10,973 10,520 5/1/2010 9,981 9,631 6/1/2010 9,031 8,790 7/1/2010 9,735 9,418 8/1/2010 8,948 8,710 9/1/2010 10,044 9,645 10/1/2010 10,417 10,019 11/1/2010 10,840 10,273 12/1/2010 11,805 11,127 1/1/2011 11,883 11,133 2/1/2011 12,550 11,698 3/1/2011 12,792 11,861 4/1/2011 12,998 12,053 5/1/2011 12,678 11,837 6/1/2011 12,397 11,546 7/1/2011 11,964 11,165 8/1/2011 10,763 10,178 9/1/2011 9,425 9,067 10/1/2011 10,905 10,373 11/1/2011 10,941 10,353 12/1/2011 11,049 10,515 1/1/2012 11,719 11,214 2/1/2012 12,144 11,380 3/1/2012 12,369 11,733 4/1/2012 12,168 11,564 5/1/2012 11,260 10,857 6/1/2012 11,715 11,380 7/1/2012 11,657 11,264 8/1/2012 12,192 11,612 9/1/2012 12,577 12,025 10/1/2012 12,505 11,874 11/1/2012 12,715 11,911 12/1/2012 13,155 12,413 1/1/2013 14,059 13,152 2/1/2013 14,291 13,303 3/1/2013 14,987 13,856 4/1/2013 14,840 13,843 5/1/2013 15,567 14,257 6/1/2013 15,460 14,199 7/1/2013 16,545 15,111 8/1/2013 15,941 14,443 9/1/2013 16,826 15,277 10/1/2013 17,555 15,773 11/1/2013 18,331 16,389 12/1/2013 18,804 16,698 1/1/2014 17,913 16,052 2/1/2014 18,845 16,787 3/1/2014 19,217 16,994 4/1/2014 18,862 16,557 5/1/2014 19,044 16,662 6/1/2014 19,852 17,399 7/1/2014 18,859 16,347 8/1/2014 19,819 17,058 9/1/2014 18,629 15,907 10/1/2014 19,217 17,018 11/1/2014 19,110 16,939 12/1/2014 19,348 17,402 1/1/2015 18,502 16,678 2/1/2015 19,828 17,452 3/1/2015 20,100 17,747 4/1/2015 19,891 17,367 5/1/2015 20,179 17,511 6/1/2015 20,105 17,534 7/1/2015 19,580 17,051 8/1/2015 18,783 16,213 9/1/2015 17,863 15,652 10/1/2015 18,962 16,528 11/1/2015 19,410 16,998 12/1/2015 18,219 16,102 1/1/2016 16,984 15,020 2/1/2016 17,214 15,123 3/1/2016 18,680 16,376 4/1/2016 19,069 16,723 5/1/2016 19,189 17,030 6/1/2016 18,937 17,082 Past performance is not predictive of 7/1/2016 19,874 18,003 future performance. 8/1/2016 20,171 18,451 The returns shown do not reflect the 9/1/2016 20,355 18,596 deduction of taxes that a shareholder 10/1/2016 19,760 17,985 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 1995-2016, all rights 4.21% 12.62% 8.10% 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, 2016 [CHART] U.S. Targeted Value Portfolio - Class R2 Russell 2000/R/ Value Index ------------------------ --------------------------- 6/1/2008 $10,000 $10,000 7/1/2008 10,260 10,513 8/1/2008 10,720 11,012 9/1/2008 10,038 10,496 10/1/2008 7,860 8,399 11/1/2008 6,836 7,427 12/1/2008 7,274 7,883 1/1/2009 6,272 6,757 2/1/2009 5,443 5,819 3/1/2009 6,038 6,335 4/1/2009 7,216 7,341 5/1/2009 7,459 7,499 6/1/2009 7,436 7,476 7/1/2009 8,321 8,340 8/1/2009 8,768 8,735 9/1/2009 9,248 9,173 10/1/2009 8,585 8,564 11/1/2009 8,871 8,836 12/1/2009 9,568 9,506 1/1/2010 9,343 9,227 2/1/2010 9,865 9,655 3/1/2010 10,685 10,458 4/1/2010 11,453 11,190 5/1/2010 10,419 10,244 6/1/2010 9,434 9,350 7/1/2010 10,161 10,017 8/1/2010 9,341 9,264 9/1/2010 10,484 10,259 10/1/2010 10,874 10,656 11/1/2010 11,306 10,927 12/1/2010 12,308 11,835 1/1/2011 12,396 11,841 2/1/2011 13,085 12,443 3/1/2011 13,336 12,615 4/1/2011 13,544 12,820 5/1/2011 13,211 12,591 6/1/2011 12,926 12,281 7/1/2011 12,466 11,875 8/1/2011 11,214 10,826 9/1/2011 9,820 9,644 10/1/2011 11,364 11,034 11/1/2011 11,401 11,011 12/1/2011 11,510 11,184 1/1/2012 12,209 11,927 2/1/2012 12,644 12,105 3/1/2012 12,877 12,480 4/1/2012 12,667 12,299 5/1/2012 11,721 11,548 6/1/2012 12,189 12,105 7/1/2012 12,129 11,981 8/1/2012 12,686 12,351 9/1/2012 13,082 12,791 10/1/2012 13,007 12,630 11/1/2012 13,225 12,669 12/1/2012 13,677 13,203 1/1/2013 14,611 13,989 2/1/2013 14,861 14,149 3/1/2013 15,577 14,738 4/1/2013 15,424 14,724 5/1/2013 16,181 15,164 6/1/2013 16,064 15,102 7/1/2013 17,185 16,073 8/1/2013 16,548 15,362 9/1/2013 17,472 16,249 10/1/2013 18,223 16,777 11/1/2013 19,022 17,432 12/1/2013 19,515 17,760 1/1/2014 18,587 17,073 2/1/2014 19,549 17,855 3/1/2014 19,932 18,076 4/1/2014 19,563 17,611 5/1/2014 19,752 17,723 6/1/2014 20,586 18,507 7/1/2014 19,553 17,387 8/1/2014 20,551 18,143 9/1/2014 19,315 16,919 10/1/2014 19,918 18,101 11/1/2014 19,798 18,017 12/1/2014 20,051 18,509 1/1/2015 19,171 17,739 2/1/2015 20,540 18,563 3/1/2015 20,817 18,876 4/1/2015 20,600 18,473 5/1/2015 20,890 18,626 6/1/2015 20,816 18,650 7/1/2015 20,271 18,136 8/1/2015 19,443 17,245 9/1/2015 18,490 16,648 10/1/2015 19,621 17,580 11/1/2015 20,077 18,080 12/1/2015 18,856 17,127 1/1/2016 17,574 15,976 2/1/2016 17,804 16,085 3/1/2016 19,327 17,419 4/1/2016 19,721 17,787 5/1/2016 19,846 18,114 6/1/2016 19,587 18,169 7/1/2016 20,550 19,149 8/1/2016 20,848 19,625 9/1/2016 21,041 19,779 10/1/2016 20,414 19,129 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 1995-2016, all rights 4.04% 12.43% 8.94% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Targeted Value Portfolio - Institutional Class Russell 2000/R/ Value Index --------------------------------- --------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,343 10,285 12/1/2006 10,406 10,375 1/1/2007 10,623 10,530 2/1/2007 10,569 10,401 3/1/2007 10,650 10,526 4/1/2007 10,867 10,636 5/1/2007 11,338 11,026 6/1/2007 11,188 10,769 7/1/2007 10,378 9,852 8/1/2007 10,347 10,049 9/1/2007 10,378 10,095 10/1/2007 10,403 10,205 11/1/2007 9,661 9,440 12/1/2007 9,554 9,360 1/1/2008 9,097 8,976 2/1/2008 8,865 8,620 3/1/2008 8,941 8,749 4/1/2008 9,236 9,026 5/1/2008 9,662 9,335 6/1/2008 8,685 8,439 7/1/2008 8,911 8,872 8/1/2008 9,313 9,294 9/1/2008 8,724 8,858 10/1/2008 6,833 7,088 11/1/2008 5,944 6,267 12/1/2008 6,326 6,653 1/1/2009 5,457 5,703 2/1/2009 4,740 4,910 3/1/2009 5,257 5,346 4/1/2009 6,282 6,195 5/1/2009 6,498 6,329 6/1/2009 6,476 6,309 7/1/2009 7,248 7,038 8/1/2009 7,637 7,372 9/1/2009 8,061 7,741 10/1/2009 7,480 7,227 11/1/2009 7,729 7,457 12/1/2009 8,343 8,022 1/1/2010 8,150 7,787 2/1/2010 8,606 8,148 3/1/2010 9,322 8,826 4/1/2010 9,996 9,443 5/1/2010 9,097 8,645 6/1/2010 8,233 7,891 7/1/2010 8,875 8,454 8/1/2010 8,156 7,818 9/1/2010 9,159 8,657 10/1/2010 9,500 8,993 11/1/2010 9,880 9,221 12/1/2010 10,763 9,988 1/1/2011 10,834 9,993 2/1/2011 11,449 10,500 3/1/2011 11,669 10,646 4/1/2011 11,851 10,819 5/1/2011 11,559 10,626 6/1/2011 11,311 10,364 7/1/2011 10,916 10,022 8/1/2011 9,820 9,136 9/1/2011 8,601 8,139 10/1/2011 9,952 9,311 11/1/2011 9,985 9,293 12/1/2011 10,086 9,438 1/1/2012 10,698 10,066 2/1/2012 11,085 10,215 3/1/2012 11,294 10,532 4/1/2012 11,110 10,380 5/1/2012 10,281 9,746 6/1/2012 10,699 10,215 7/1/2012 10,647 10,111 8/1/2012 11,135 10,423 9/1/2012 11,489 10,794 10/1/2012 11,423 10,659 11/1/2012 11,615 10,691 12/1/2012 12,021 11,142 1/1/2013 12,841 11,806 2/1/2013 13,060 11,941 3/1/2013 13,696 12,438 4/1/2013 13,562 12,426 5/1/2013 14,233 12,797 6/1/2013 14,132 12,745 7/1/2013 15,124 13,564 8/1/2013 14,564 12,964 9/1/2013 15,378 13,713 10/1/2013 16,038 14,159 11/1/2013 16,755 14,711 12/1/2013 17,194 14,988 1/1/2014 16,378 14,408 2/1/2014 17,224 15,068 3/1/2014 17,567 15,255 4/1/2014 17,249 14,862 5/1/2014 17,416 14,956 6/1/2014 18,152 15,618 7/1/2014 17,251 14,674 8/1/2014 18,129 15,311 9/1/2014 17,044 14,278 10/1/2014 17,575 15,276 11/1/2014 17,484 15,205 12/1/2014 17,699 15,620 1/1/2015 16,932 14,970 2/1/2015 18,147 15,665 3/1/2015 18,392 15,930 4/1/2015 18,208 15,590 5/1/2015 18,472 15,719 6/1/2015 18,401 15,739 7/1/2015 17,927 15,305 8/1/2015 17,197 14,553 9/1/2015 16,358 14,050 10/1/2015 17,365 14,836 11/1/2015 17,776 15,258 12/1/2015 16,687 14,454 1/1/2016 15,555 13,483 2/1/2016 15,774 13,575 3/1/2016 17,113 14,700 4/1/2016 17,469 15,011 5/1/2016 17,587 15,286 6/1/2016 17,352 15,333 7/1/2016 18,211 16,160 Past performance is not predictive of 8/1/2016 18,483 16,562 future performance. 9/1/2016 18,656 16,692 The returns shown do not reflect the 10/1/2016 18,111 16,144 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 1995-2016, all rights 4.29% 12.72% 6.12% reserved.
-------------------------------------------------------------------------------- 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index -------------------------------- ----------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,303 10,285 12/1/2006 10,446 10,375 1/1/2007 10,676 10,530 2/1/2007 10,651 10,401 3/1/2007 10,767 10,526 4/1/2007 10,961 10,636 5/1/2007 11,361 11,026 6/1/2007 11,186 10,769 7/1/2007 10,331 9,852 8/1/2007 10,253 10,049 9/1/2007 10,224 10,095 10/1/2007 10,338 10,205 11/1/2007 9,437 9,440 12/1/2007 9,324 9,360 1/1/2008 8,956 8,976 2/1/2008 8,702 8,620 3/1/2008 8,775 8,749 4/1/2008 8,920 9,026 5/1/2008 9,290 9,335 6/1/2008 8,351 8,439 7/1/2008 8,524 8,872 8/1/2008 8,878 9,294 9/1/2008 8,266 8,858 10/1/2008 6,436 7,088 11/1/2008 5,600 6,267 12/1/2008 5,894 6,653 1/1/2009 5,052 5,703 2/1/2009 4,410 4,910 3/1/2009 4,869 5,346 4/1/2009 5,826 6,195 5/1/2009 6,013 6,329 6/1/2009 6,035 6,309 7/1/2009 6,846 7,038 8/1/2009 7,198 7,372 9/1/2009 7,654 7,741 10/1/2009 7,077 7,227 11/1/2009 7,298 7,457 12/1/2009 7,875 8,022 1/1/2010 7,627 7,787 2/1/2010 8,096 8,148 3/1/2010 8,813 8,826 4/1/2010 9,528 9,443 5/1/2010 8,585 8,645 6/1/2010 7,714 7,891 7/1/2010 8,384 8,454 8/1/2010 7,682 7,818 9/1/2010 8,675 8,657 10/1/2010 9,037 8,993 11/1/2010 9,443 9,221 12/1/2010 10,309 9,988 1/1/2011 10,341 9,993 2/1/2011 10,990 10,500 3/1/2011 11,216 10,646 4/1/2011 11,357 10,819 5/1/2011 11,003 10,626 6/1/2011 10,804 10,364 7/1/2011 10,493 10,022 8/1/2011 9,383 9,136 9/1/2011 8,203 8,139 10/1/2011 9,501 9,311 11/1/2011 9,436 9,293 12/1/2011 9,531 9,438 1/1/2012 10,239 10,066 2/1/2012 10,564 10,215 3/1/2012 10,807 10,532 4/1/2012 10,634 10,380 5/1/2012 9,877 9,746 6/1/2012 10,310 10,215 7/1/2012 10,285 10,111 8/1/2012 10,718 10,423 9/1/2012 11,074 10,794 10/1/2012 10,983 10,659 11/1/2012 11,185 10,691 12/1/2012 11,602 11,142 1/1/2013 12,363 11,806 2/1/2013 12,580 11,941 3/1/2013 13,197 12,438 4/1/2013 13,051 12,426 5/1/2013 13,755 12,797 6/1/2013 13,658 12,745 7/1/2013 14,660 13,564 8/1/2013 14,049 12,964 9/1/2013 14,785 13,713 10/1/2013 15,304 14,159 11/1/2013 16,081 14,711 12/1/2013 16,519 14,988 1/1/2014 15,670 14,408 2/1/2014 16,524 15,068 3/1/2014 16,720 15,255 4/1/2014 16,398 14,862 5/1/2014 16,533 14,956 6/1/2014 17,266 15,618 7/1/2014 16,272 14,674 8/1/2014 17,220 15,311 9/1/2014 16,018 14,278 10/1/2014 16,757 15,276 11/1/2014 16,711 15,205 12/1/2014 17,094 15,620 1/1/2015 16,248 14,970 2/1/2015 17,206 15,665 3/1/2015 17,512 15,930 4/1/2015 17,277 15,590 5/1/2015 17,512 15,719 6/1/2015 17,521 15,739 7/1/2015 16,878 15,305 8/1/2015 16,197 14,553 9/1/2015 15,467 14,050 10/1/2015 16,284 14,836 11/1/2015 16,801 15,258 12/1/2015 15,758 14,454 1/1/2016 14,627 13,483 2/1/2016 14,797 13,575 3/1/2016 16,094 14,700 4/1/2016 16,384 15,011 5/1/2016 16,462 15,286 6/1/2016 16,271 15,333 7/1/2016 17,061 16,160 Past performance is not predictive of 8/1/2016 17,357 16,562 future performance. 9/1/2016 17,566 16,692 The returns shown do not reflect the 10/1/2016 17,015 16,144 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 1995-2016, all rights 4.49% 12.36% 5.46% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. CORE EQUITY 1 PORTFOLIO VS. RUSSELL 3000(R) INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Core Equity 1 Portfolio Russell 3000/R/ Index ------------------------------ ----------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,238 10,218 12/1/2006 10,363 10,340 1/1/2007 10,560 10,537 2/1/2007 10,443 10,364 3/1/2007 10,548 10,472 4/1/2007 10,942 10,890 5/1/2007 11,363 11,287 6/1/2007 11,179 11,076 7/1/2007 10,712 10,698 8/1/2007 10,819 10,851 9/1/2007 11,130 11,247 10/1/2007 11,301 11,453 11/1/2007 10,717 10,938 12/1/2007 10,652 10,872 1/1/2008 10,044 10,213 2/1/2008 9,745 9,895 3/1/2008 9,675 9,837 4/1/2008 10,158 10,329 5/1/2008 10,422 10,540 6/1/2008 9,529 9,671 7/1/2008 9,529 9,593 8/1/2008 9,739 9,742 9/1/2008 8,837 8,826 10/1/2008 7,196 7,261 11/1/2008 6,588 6,688 12/1/2008 6,762 6,816 1/1/2009 6,150 6,244 2/1/2009 5,493 5,590 3/1/2009 5,997 6,079 4/1/2009 6,724 6,719 5/1/2009 7,040 7,078 6/1/2009 7,072 7,102 7/1/2009 7,671 7,654 8/1/2009 7,951 7,928 9/1/2009 8,328 8,260 10/1/2009 8,034 8,048 11/1/2009 8,438 8,505 12/1/2009 8,779 8,747 1/1/2010 8,496 8,432 2/1/2010 8,826 8,718 3/1/2010 9,413 9,267 4/1/2010 9,706 9,467 5/1/2010 8,940 8,719 6/1/2010 8,364 8,218 7/1/2010 8,962 8,789 8/1/2010 8,478 8,375 9/1/2010 9,342 9,166 10/1/2010 9,705 9,524 11/1/2010 9,829 9,579 12/1/2010 10,544 10,228 1/1/2011 10,755 10,452 2/1/2011 11,186 10,832 3/1/2011 11,305 10,881 4/1/2011 11,612 11,205 5/1/2011 11,449 11,077 6/1/2011 11,237 10,878 7/1/2011 10,919 10,629 8/1/2011 10,157 9,991 9/1/2011 9,269 9,216 10/1/2011 10,430 10,277 11/1/2011 10,410 10,249 12/1/2011 10,477 10,333 1/1/2012 11,042 10,855 2/1/2012 11,519 11,314 3/1/2012 11,824 11,663 4/1/2012 11,707 11,586 5/1/2012 10,937 10,870 6/1/2012 11,341 11,296 7/1/2012 11,419 11,408 8/1/2012 11,753 11,692 9/1/2012 12,087 11,999 10/1/2012 11,920 11,792 11/1/2012 12,048 11,884 12/1/2012 12,249 12,029 1/1/2013 12,993 12,689 2/1/2013 13,152 12,858 3/1/2013 13,691 13,361 4/1/2013 13,840 13,580 5/1/2013 14,297 13,900 6/1/2013 14,153 13,720 7/1/2013 14,972 14,472 8/1/2013 14,552 14,068 9/1/2013 15,151 14,591 10/1/2013 15,773 15,211 11/1/2013 16,284 15,652 12/1/2013 16,733 16,065 1/1/2014 16,156 15,558 2/1/2014 16,935 16,296 3/1/2014 17,071 16,382 4/1/2014 17,030 16,402 5/1/2014 17,365 16,760 6/1/2014 17,867 17,180 7/1/2014 17,409 16,841 8/1/2014 18,152 17,548 9/1/2014 17,655 17,182 10/1/2014 18,094 17,655 11/1/2014 18,472 18,083 12/1/2014 18,493 18,083 1/1/2015 17,915 17,579 2/1/2015 19,030 18,597 3/1/2015 18,906 18,408 4/1/2015 18,958 18,491 5/1/2015 19,206 18,747 6/1/2015 18,927 18,434 7/1/2015 19,051 18,742 8/1/2015 17,981 17,610 9/1/2015 17,390 17,097 10/1/2015 18,685 18,448 11/1/2015 18,810 18,550 12/1/2015 18,244 18,169 1/1/2016 17,171 17,144 2/1/2016 17,277 17,139 3/1/2016 18,521 18,345 4/1/2016 18,649 18,459 5/1/2016 18,938 18,789 6/1/2016 18,883 18,828 7/1/2016 19,655 19,575 Past performance is not predictive of 8/1/2016 19,773 19,625 future performance. 9/1/2016 19,813 19,656 The returns shown do not reflect the 10/1/2016 19,372 19,230 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 1995-2016, all rights 3.68% 13.18% 6.84% reserved.
-------------------------------------------------------------------------------- 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Core Equity 2 Portfolio Russell 3000/R/ Index ------------------------------- ------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,253 10,218 12/1/2006 10,393 10,340 1/1/2007 10,588 10,537 2/1/2007 10,482 10,364 3/1/2007 10,592 10,472 4/1/2007 10,956 10,890 5/1/2007 11,398 11,287 6/1/2007 11,215 11,076 7/1/2007 10,691 10,698 8/1/2007 10,788 10,851 9/1/2007 11,059 11,247 10/1/2007 11,175 11,453 11/1/2007 10,538 10,938 12/1/2007 10,446 10,872 1/1/2008 9,908 10,213 2/1/2008 9,594 9,895 3/1/2008 9,497 9,837 4/1/2008 9,974 10,329 5/1/2008 10,253 10,540 6/1/2008 9,326 9,671 7/1/2008 9,353 9,593 8/1/2008 9,561 9,742 9/1/2008 8,697 8,826 10/1/2008 7,043 7,261 11/1/2008 6,405 6,688 12/1/2008 6,595 6,816 1/1/2009 5,908 6,244 2/1/2009 5,221 5,590 3/1/2009 5,735 6,079 4/1/2009 6,536 6,719 5/1/2009 6,849 7,078 6/1/2009 6,839 7,102 7/1/2009 7,459 7,654 8/1/2009 7,764 7,928 9/1/2009 8,151 8,260 10/1/2009 7,794 8,048 11/1/2009 8,147 8,505 12/1/2009 8,518 8,747 1/1/2010 8,257 8,432 2/1/2010 8,602 8,718 3/1/2010 9,216 9,267 4/1/2010 9,552 9,467 5/1/2010 8,796 8,719 6/1/2010 8,177 8,218 7/1/2010 8,777 8,789 8/1/2010 8,252 8,375 9/1/2010 9,124 9,166 10/1/2010 9,463 9,524 11/1/2010 9,613 9,579 12/1/2010 10,376 10,228 1/1/2011 10,574 10,452 2/1/2011 11,047 10,832 3/1/2011 11,181 10,881 4/1/2011 11,437 11,205 5/1/2011 11,257 11,077 6/1/2011 11,036 10,878 7/1/2011 10,665 10,629 8/1/2011 9,857 9,991 9/1/2011 8,921 9,216 10/1/2011 10,123 10,277 11/1/2011 10,085 10,249 12/1/2011 10,159 10,333 1/1/2012 10,725 10,855 2/1/2012 11,185 11,314 3/1/2012 11,455 11,663 4/1/2012 11,340 11,586 5/1/2012 10,562 10,870 6/1/2012 10,978 11,296 7/1/2012 11,036 11,408 8/1/2012 11,384 11,692 9/1/2012 11,730 11,999 10/1/2012 11,623 11,792 11/1/2012 11,730 11,884 12/1/2012 11,995 12,029 1/1/2013 12,753 12,689 2/1/2013 12,911 12,858 3/1/2013 13,453 13,361 4/1/2013 13,552 13,580 5/1/2013 14,065 13,900 6/1/2013 13,931 13,720 7/1/2013 14,773 14,472 8/1/2013 14,317 14,068 9/1/2013 14,929 14,591 10/1/2013 15,535 15,211 11/1/2013 16,062 15,652 12/1/2013 16,524 16,065 1/1/2014 15,908 15,558 2/1/2014 16,655 16,296 3/1/2014 16,849 16,382 4/1/2014 16,768 16,402 5/1/2014 17,061 16,760 6/1/2014 17,601 17,180 7/1/2014 17,114 16,841 8/1/2014 17,825 17,548 9/1/2014 17,258 17,182 10/1/2014 17,676 17,655 11/1/2014 17,992 18,083 12/1/2014 18,064 18,083 1/1/2015 17,414 17,579 2/1/2015 18,539 18,597 3/1/2015 18,450 18,408 4/1/2015 18,492 18,491 5/1/2015 18,730 18,747 6/1/2015 18,480 18,434 7/1/2015 18,449 18,742 8/1/2015 17,420 17,610 9/1/2015 16,794 17,097 10/1/2015 18,016 18,448 11/1/2015 18,162 18,550 12/1/2015 17,509 18,169 1/1/2016 16,438 17,144 2/1/2016 16,556 17,139 3/1/2016 17,763 18,345 4/1/2016 17,935 18,459 5/1/2016 18,215 18,789 6/1/2016 18,121 18,828 7/1/2016 18,867 19,575 Past performance is not predictive of 8/1/2016 19,029 19,625 future performance. 9/1/2016 19,075 19,656 The returns shown do not reflect the 10/1/2016 18,641 19,230 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 1995-2016, all rights 3.47% 12.99% 6.43% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. VECTOR EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Vector Equity Portfolio Russell 3000/R/ Index ------------------------------- ------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,288 10,218 12/1/2006 10,406 10,340 1/1/2007 10,610 10,537 2/1/2007 10,539 10,364 3/1/2007 10,637 10,472 4/1/2007 10,949 10,890 5/1/2007 11,403 11,287 6/1/2007 11,229 11,076 7/1/2007 10,595 10,698 8/1/2007 10,649 10,851 9/1/2007 10,835 11,247 10/1/2007 10,907 11,453 11/1/2007 10,199 10,938 12/1/2007 10,086 10,872 1/1/2008 9,608 10,213 2/1/2008 9,284 9,895 3/1/2008 9,246 9,837 4/1/2008 9,661 10,329 5/1/2008 9,986 10,540 6/1/2008 9,032 9,671 7/1/2008 9,105 9,593 8/1/2008 9,367 9,742 9/1/2008 8,577 8,826 10/1/2008 6,804 7,261 11/1/2008 6,058 6,688 12/1/2008 6,336 6,816 1/1/2009 5,564 6,244 2/1/2009 4,866 5,590 3/1/2009 5,357 6,079 4/1/2009 6,224 6,719 5/1/2009 6,491 7,078 6/1/2009 6,494 7,102 7/1/2009 7,160 7,654 8/1/2009 7,493 7,928 9/1/2009 7,884 8,260 10/1/2009 7,448 8,048 11/1/2009 7,726 8,505 12/1/2009 8,187 8,747 1/1/2010 7,954 8,432 2/1/2010 8,345 8,718 3/1/2010 8,971 9,267 4/1/2010 9,428 9,467 5/1/2010 8,673 8,719 6/1/2010 8,000 8,218 7/1/2010 8,589 8,789 8/1/2010 8,000 8,375 9/1/2010 8,881 9,166 10/1/2010 9,209 9,524 11/1/2010 9,434 9,579 12/1/2010 10,243 10,228 1/1/2011 10,384 10,452 2/1/2011 10,912 10,832 3/1/2011 11,093 10,881 4/1/2011 11,320 11,205 5/1/2011 11,103 11,077 6/1/2011 10,864 10,878 7/1/2011 10,467 10,629 8/1/2011 9,550 9,991 9/1/2011 8,516 9,216 10/1/2011 9,749 10,277 11/1/2011 9,702 10,249 12/1/2011 9,776 10,333 1/1/2012 10,376 10,855 2/1/2012 10,806 11,314 3/1/2012 11,065 11,663 4/1/2012 10,903 11,586 5/1/2012 10,111 10,870 6/1/2012 10,510 11,296 7/1/2012 10,491 11,408 8/1/2012 10,875 11,692 9/1/2012 11,226 11,999 10/1/2012 11,168 11,792 11/1/2012 11,303 11,884 12/1/2012 11,630 12,029 1/1/2013 12,436 12,689 2/1/2013 12,572 12,858 3/1/2013 13,134 13,361 4/1/2013 13,124 13,580 5/1/2013 13,698 13,900 6/1/2013 13,584 13,720 7/1/2013 14,462 14,472 8/1/2013 13,994 14,068 9/1/2013 14,681 14,591 10/1/2013 15,277 15,211 11/1/2013 15,864 15,652 12/1/2013 16,306 16,065 1/1/2014 15,639 15,558 2/1/2014 16,366 16,296 3/1/2014 16,584 16,382 4/1/2014 16,394 16,402 5/1/2014 16,634 16,760 6/1/2014 17,265 17,180 7/1/2014 16,635 16,841 8/1/2014 17,375 17,548 9/1/2014 16,625 17,182 10/1/2014 17,097 17,655 11/1/2014 17,207 18,083 12/1/2014 17,368 18,083 1/1/2015 16,608 17,579 2/1/2015 17,733 18,597 3/1/2015 17,769 18,408 4/1/2015 17,728 18,491 5/1/2015 17,936 18,747 6/1/2015 17,829 18,434 7/1/2015 17,599 18,742 8/1/2015 16,708 17,610 9/1/2015 16,014 17,097 10/1/2015 17,066 18,448 11/1/2015 17,319 18,550 12/1/2015 16,494 18,169 1/1/2016 15,346 17,144 2/1/2016 15,477 17,139 3/1/2016 16,685 18,345 4/1/2016 16,971 18,459 5/1/2016 17,168 18,789 6/1/2016 17,003 18,828 7/1/2016 17,775 19,575 8/1/2016 18,007 19,625 Past performance is not predictive of 9/1/2016 18,080 19,656 future performance. 10/1/2016 17,627 19,230 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 1995-2016, all rights 3.28% 12.57% 5.83% reserved.
-------------------------------------------------------------------------------- 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Small Cap Portfolio Russell 2000/R/ Index ----------------------------- ----------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,251 10,263 12/1/2006 10,324 10,297 1/1/2007 10,478 10,470 2/1/2007 10,425 10,387 3/1/2007 10,535 10,498 4/1/2007 10,728 10,686 5/1/2007 11,134 11,124 6/1/2007 11,012 10,961 7/1/2007 10,348 10,212 8/1/2007 10,494 10,443 9/1/2007 10,626 10,622 10/1/2007 10,835 10,927 11/1/2007 10,029 10,142 12/1/2007 10,008 10,136 1/1/2008 9,316 9,445 2/1/2008 9,016 9,095 3/1/2008 9,049 9,133 4/1/2008 9,333 9,515 5/1/2008 9,779 9,952 6/1/2008 8,904 9,186 7/1/2008 9,184 9,526 8/1/2008 9,516 9,870 9/1/2008 8,755 9,084 10/1/2008 6,953 7,194 11/1/2008 6,104 6,343 12/1/2008 6,404 6,711 1/1/2009 5,696 5,965 2/1/2009 5,008 5,240 3/1/2009 5,524 5,708 4/1/2009 6,549 6,590 5/1/2009 6,781 6,789 6/1/2009 6,957 6,889 7/1/2009 7,679 7,552 8/1/2009 7,953 7,769 9/1/2009 8,449 8,217 10/1/2009 7,863 7,659 11/1/2009 8,063 7,899 12/1/2009 8,732 8,535 1/1/2010 8,467 8,221 2/1/2010 8,880 8,591 3/1/2010 9,608 9,290 4/1/2010 10,260 9,816 5/1/2010 9,459 9,072 6/1/2010 8,703 8,369 7/1/2010 9,330 8,944 8/1/2010 8,618 8,282 9/1/2010 9,743 9,313 10/1/2010 10,142 9,694 11/1/2010 10,568 10,031 12/1/2010 11,413 10,827 1/1/2011 11,423 10,799 2/1/2011 12,064 11,391 3/1/2011 12,410 11,687 4/1/2011 12,704 11,995 5/1/2011 12,447 11,770 6/1/2011 12,248 11,499 7/1/2011 11,820 11,083 8/1/2011 9,565 8,985 10/1/2011 11,030 10,345 11/1/2011 10,992 10,307 12/1/2011 11,053 10,375 1/1/2012 11,796 11,108 2/1/2012 12,136 11,374 3/1/2012 12,453 11,665 4/1/2012 12,280 11,485 5/1/2012 11,483 10,725 6/1/2012 11,968 11,260 7/1/2012 11,870 11,104 8/1/2012 12,287 11,475 9/1/2012 12,688 11,852 10/1/2012 12,531 11,594 11/1/2012 12,677 11,656 12/1/2012 13,086 12,071 1/1/2013 13,906 12,827 2/1/2013 14,044 12,968 3/1/2013 14,723 13,567 4/1/2013 14,601 13,517 5/1/2013 15,352 14,058 6/1/2013 15,335 13,986 7/1/2013 16,440 14,964 8/1/2013 15,885 14,489 9/1/2013 16,870 15,414 10/1/2013 17,421 15,801 11/1/2013 18,239 16,434 12/1/2013 18,609 16,758 1/1/2014 17,847 16,294 2/1/2014 18,664 17,061 3/1/2014 18,764 16,945 4/1/2014 18,211 16,288 5/1/2014 18,313 16,419 6/1/2014 19,183 17,292 7/1/2014 18,033 16,245 8/1/2014 18,888 17,051 9/1/2014 17,869 16,020 10/1/2014 18,931 17,076 11/1/2014 18,998 17,091 12/1/2014 19,436 17,578 1/1/2015 18,631 17,013 2/1/2015 19,860 18,022 3/1/2015 20,211 18,336 4/1/2015 19,742 17,869 5/1/2015 20,086 18,277 6/1/2015 20,289 18,414 7/1/2015 20,032 18,200 8/1/2015 19,029 17,056 9/1/2015 18,301 16,219 10/1/2015 19,375 17,133 11/1/2015 19,865 17,690 12/1/2015 18,797 16,802 1/1/2016 17,604 15,325 2/1/2016 17,790 15,324 3/1/2016 19,143 16,547 4/1/2016 19,322 16,807 5/1/2016 19,568 17,185 6/1/2016 19,467 17,174 7/1/2016 20,440 18,200 Past performance is not predictive of 8/1/2016 20,746 18,522 future performance. 9/1/2016 20,830 18,728 The returns shown do not reflect the 10/1/2016 20,129 17,838 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 1995-2016, all rights 3.89% 12.78% 7.25% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Micro Cap Portfolio Russell 2000/R/ Index -------------------------- --------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,225 10,263 12/1/2006 10,390 10,297 1/1/2007 10,509 10,470 2/1/2007 10,456 10,387 3/1/2007 10,563 10,498 4/1/2007 10,722 10,686 5/1/2007 11,059 11,124 6/1/2007 11,022 10,961 7/1/2007 10,305 10,212 8/1/2007 10,425 10,443 9/1/2007 10,579 10,622 10/1/2007 10,758 10,927 11/1/2007 9,853 10,142 12/1/2007 9,847 10,136 1/1/2008 9,094 9,445 2/1/2008 8,809 9,095 3/1/2008 8,836 9,133 4/1/2008 9,019 9,515 5/1/2008 9,378 9,952 6/1/2008 8,529 9,186 7/1/2008 8,911 9,526 8/1/2008 9,212 9,870 9/1/2008 8,534 9,084 10/1/2008 6,766 7,194 11/1/2008 5,898 6,343 12/1/2008 6,231 6,711 1/1/2009 5,489 5,965 2/1/2009 4,769 5,240 3/1/2009 5,226 5,708 4/1/2009 6,135 6,590 5/1/2009 6,345 6,789 6/1/2009 6,520 6,889 7/1/2009 7,160 7,552 8/1/2009 7,356 7,769 9/1/2009 7,779 8,217 10/1/2009 7,214 7,659 11/1/2009 7,342 7,899 12/1/2009 7,980 8,535 1/1/2010 7,746 8,221 2/1/2010 8,086 8,591 3/1/2010 8,739 9,290 4/1/2010 9,374 9,816 5/1/2010 8,679 9,072 6/1/2010 8,051 8,369 7/1/2010 8,626 8,944 8/1/2010 7,937 8,282 9/1/2010 8,902 9,313 10/1/2010 9,289 9,694 11/1/2010 9,683 10,031 12/1/2010 10,477 10,827 1/1/2011 10,362 10,799 2/1/2011 10,971 11,391 3/1/2011 11,327 11,687 4/1/2011 11,518 11,995 5/1/2011 11,297 11,770 6/1/2011 11,053 11,499 7/1/2011 10,756 11,083 8/1/2011 9,795 10,119 9/1/2011 8,759 8,985 10/1/2011 10,111 10,345 11/1/2011 10,050 10,307 12/1/2011 10,136 10,375 1/1/2012 10,841 11,108 2/1/2012 11,048 11,374 3/1/2012 11,378 11,665 4/1/2012 11,217 11,485 5/1/2012 10,435 10,725 6/1/2012 10,969 11,260 7/1/2012 10,869 11,104 8/1/2012 11,208 11,475 9/1/2012 11,678 11,852 10/1/2012 11,439 11,594 11/1/2012 11,547 11,656 12/1/2012 11,985 12,071 1/1/2013 12,666 12,827 2/1/2013 12,806 12,968 3/1/2013 13,430 13,567 4/1/2013 13,323 13,517 5/1/2013 14,013 14,058 6/1/2013 14,076 13,986 7/1/2013 15,120 14,964 8/1/2013 14,594 14,489 9/1/2013 15,624 15,414 10/1/2013 16,167 15,801 11/1/2013 17,064 16,434 12/1/2013 17,386 16,758 1/1/2014 16,616 16,294 2/1/2014 17,317 17,061 3/1/2014 17,485 16,945 4/1/2014 16,889 16,288 5/1/2014 16,906 16,419 6/1/2014 17,639 17,292 7/1/2014 16,608 16,245 8/1/2014 17,362 17,051 9/1/2014 16,374 16,020 10/1/2014 17,441 17,076 11/1/2014 17,311 17,091 12/1/2014 17,894 17,578 1/1/2015 17,016 17,013 2/1/2015 18,042 18,022 3/1/2015 18,454 18,336 4/1/2015 18,094 17,869 5/1/2015 18,343 18,277 6/1/2015 18,641 18,414 7/1/2015 18,187 18,200 8/1/2015 17,381 17,056 9/1/2015 16,632 16,219 10/1/2015 17,634 17,133 11/1/2015 18,135 17,690 12/1/2015 17,246 16,802 1/1/2016 16,074 15,325 2/1/2016 16,251 15,324 3/1/2016 17,401 16,547 4/1/2016 17,588 16,807 5/1/2016 17,776 17,185 6/1/2016 17,745 17,174 7/1/2016 18,635 18,200 Past performance is not predictive of 8/1/2016 18,932 18,522 future performance. 9/1/2016 19,069 18,728 The returns shown do not reflect the 10/1/2016 18,396 17,838 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 1995-2016, all rights 4.32% 12.72% 6.28% 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, 2006-OCTOBER 31, 2016 [CHART] DFA Real Estate Dow Jones U.S. Select Securities Portfolio S&P 500/R/ Index REIT Index ---------------------- ------------------ --------------------- 10/1/2006 $10,000 $10,000 $10,000 11/1/2006 10,475 10,190 10,477 12/1/2006 10,252 10,333 10,240 1/1/2007 11,140 10,489 11,152 2/1/2007 10,881 10,284 10,902 3/1/2007 10,610 10,399 10,623 4/1/2007 10,601 10,860 10,618 5/1/2007 10,601 11,239 10,626 6/1/2007 9,606 11,052 9,628 7/1/2007 8,850 10,709 8,872 8/1/2007 9,386 10,870 9,397 9/1/2007 9,752 11,277 9,765 10/1/2007 9,863 11,456 9,876 11/1/2007 8,857 10,977 8,916 12/1/2007 8,338 10,901 8,442 1/1/2008 8,342 10,247 8,402 2/1/2008 8,025 9,914 8,085 3/1/2008 8,529 9,871 8,623 4/1/2008 9,032 10,352 9,154 5/1/2008 9,050 10,486 9,175 6/1/2008 8,057 9,602 8,158 7/1/2008 8,290 9,522 8,394 8/1/2008 8,495 9,659 8,584 9/1/2008 8,477 8,799 8,548 10/1/2008 5,805 7,321 5,780 11/1/2008 4,461 6,796 4,361 12/1/2008 5,223 6,868 5,133 1/1/2009 4,296 6,289 4,205 2/1/2009 3,395 5,619 3,286 3/1/2009 3,515 6,112 3,392 4/1/2009 4,615 6,696 4,505 5/1/2009 4,736 7,071 4,620 6/1/2009 4,589 7,085 4,459 7/1/2009 5,070 7,621 4,923 8/1/2009 5,756 7,896 5,644 9/1/2009 6,141 8,191 6,039 10/1/2009 5,861 8,039 5,765 11/1/2009 6,264 8,521 6,162 12/1/2009 6,694 8,685 6,593 1/1/2010 6,344 8,373 6,216 2/1/2010 6,694 8,632 6,569 3/1/2010 7,375 9,153 7,241 4/1/2010 7,893 9,298 7,752 5/1/2010 7,472 8,555 7,335 6/1/2010 7,085 8,107 6,941 7/1/2010 7,784 8,675 7,628 8/1/2010 7,686 8,284 7,526 9/1/2010 8,019 9,023 7,859 10/1/2010 8,394 9,366 8,223 11/1/2010 8,228 9,368 8,063 12/1/2010 8,613 9,994 8,445 1/1/2011 8,917 10,231 8,744 2/1/2011 9,320 10,581 9,144 3/1/2011 9,180 10,585 9,010 4/1/2011 9,712 10,899 9,544 5/1/2011 9,844 10,775 9,692 6/1/2011 9,520 10,596 9,367 7/1/2011 9,676 10,380 9,538 8/1/2011 9,155 9,816 9,015 9/1/2011 8,150 9,126 8,006 10/1/2011 9,325 10,124 9,182 11/1/2011 8,972 10,101 8,821 12/1/2011 9,384 10,205 9,236 1/1/2012 9,977 10,662 9,829 2/1/2012 9,872 11,123 9,720 3/1/2012 10,380 11,489 10,229 4/1/2012 10,676 11,417 10,537 5/1/2012 10,189 10,731 10,056 6/1/2012 10,763 11,173 10,612 7/1/2012 10,976 11,328 10,814 8/1/2012 10,959 11,583 10,785 9/1/2012 10,755 11,883 10,572 10/1/2012 10,672 11,663 10,476 11/1/2012 10,635 11,731 10,424 12/1/2012 11,025 11,838 10,817 1/1/2013 11,414 12,451 11,184 2/1/2013 11,540 12,620 11,277 3/1/2013 11,858 13,093 11,578 4/1/2013 12,658 13,346 12,374 5/1/2013 11,904 13,658 11,633 6/1/2013 11,681 13,474 11,428 7/1/2013 11,783 14,160 11,516 8/1/2013 10,953 13,750 10,726 9/1/2013 11,295 14,181 11,069 10/1/2013 11,769 14,833 11,520 11/1/2013 11,142 15,285 10,888 12/1/2013 11,178 15,672 10,948 1/1/2014 11,652 15,130 11,393 2/1/2014 12,243 15,822 11,976 3/1/2014 12,322 15,955 12,081 4/1/2014 12,768 16,073 12,526 5/1/2014 13,071 16,450 12,834 6/1/2014 13,207 16,790 12,945 7/1/2014 13,216 16,559 12,972 8/1/2014 13,591 17,221 13,333 9/1/2014 12,774 16,980 12,557 10/1/2014 14,100 17,394 13,903 11/1/2014 14,393 17,862 14,196 12/1/2014 14,656 17,817 14,452 1/1/2015 15,666 17,282 15,418 2/1/2015 15,086 18,276 14,866 3/1/2015 15,353 17,986 15,133 4/1/2015 14,450 18,159 14,256 5/1/2015 14,414 18,393 14,250 6/1/2015 13,783 18,037 13,620 7/1/2015 14,573 18,414 14,428 8/1/2015 13,688 17,303 13,582 9/1/2015 14,122 16,875 14,041 10/1/2015 14,930 18,299 14,859 11/1/2015 14,849 18,353 14,777 12/1/2015 15,130 18,064 15,099 1/1/2016 14,619 17,167 14,503 2/1/2016 14,569 17,144 14,373 3/1/2016 16,073 18,307 15,872 4/1/2016 15,672 18,378 15,407 5/1/2016 16,017 18,708 15,716 6/1/2016 17,145 18,757 16,733 Past performance is not predictive of 7/1/2016 17,875 19,448 17,465 future performance. 8/1/2016 17,271 19,476 16,874 The returns shown do not reflect the 9/1/2016 16,945 19,479 16,526 deduction of taxes that a shareholder 10/1/2016 15,959 19,124 15,596 would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN The S&P data are provided by Standard TOTAL RETURN YEAR YEARS YEARS & Poor's Index Services Group. --------------------------------------------------------------- Dow Jones data provided by Dow Jones 6.89% 11.35% 4.79% Indexes.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] Large Cap International MSCI World ex USA Portfolio Index (net dividends) ------------------------- --------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,296 10,298 12/1/2006 10,568 10,593 1/1/2007 10,704 10,658 2/1/2007 10,734 10,743 3/1/2007 11,031 11,018 4/1/2007 11,421 11,520 5/1/2007 11,775 11,775 6/1/2007 11,753 11,787 7/1/2007 11,531 11,624 8/1/2007 11,452 11,456 9/1/2007 12,080 12,107 10/1/2007 12,619 12,633 11/1/2007 12,169 12,139 12/1/2007 11,885 11,911 1/1/2008 10,985 10,837 2/1/2008 10,976 11,033 3/1/2008 10,937 10,876 4/1/2008 11,516 11,480 5/1/2008 11,757 11,655 6/1/2008 10,821 10,748 7/1/2008 10,427 10,366 8/1/2008 9,982 9,965 9/1/2008 8,768 8,526 10/1/2008 6,919 6,753 11/1/2008 6,504 6,386 12/1/2008 6,959 6,723 1/1/2009 6,178 6,096 2/1/2009 5,556 5,479 3/1/2009 5,984 5,840 4/1/2009 6,664 6,593 5/1/2009 7,595 7,427 6/1/2009 7,490 7,350 7/1/2009 8,209 8,040 8/1/2009 8,530 8,425 9/1/2009 8,894 8,773 10/1/2009 8,663 8,632 11/1/2009 8,985 8,845 12/1/2009 9,092 8,986 1/1/2010 8,621 8,565 2/1/2010 8,680 8,557 3/1/2010 9,226 9,107 4/1/2010 9,047 8,972 5/1/2010 8,060 7,982 6/1/2010 7,929 7,866 7/1/2010 8,748 8,593 8/1/2010 8,447 8,336 9/1/2010 9,278 9,136 10/1/2010 9,615 9,462 11/1/2010 9,194 9,061 12/1/2010 9,933 9,790 1/1/2011 10,157 10,001 2/1/2011 10,556 10,372 3/1/2011 10,315 10,164 4/1/2011 10,905 10,718 5/1/2011 10,595 10,400 6/1/2011 10,445 10,252 7/1/2011 10,231 10,083 8/1/2011 9,373 9,231 9/1/2011 8,341 8,304 10/1/2011 9,148 9,111 11/1/2011 8,918 8,690 12/1/2011 8,713 8,595 1/1/2012 9,239 9,059 2/1/2012 9,688 9,557 3/1/2012 9,671 9,487 4/1/2012 9,485 9,326 5/1/2012 8,435 8,262 6/1/2012 8,994 8,804 7/1/2012 9,020 8,913 8/1/2012 9,325 9,168 9/1/2012 9,603 9,446 10/1/2012 9,687 9,512 11/1/2012 9,883 9,712 12/1/2012 10,260 10,006 1/1/2013 10,676 10,498 2/1/2013 10,532 10,393 3/1/2013 10,675 10,476 4/1/2013 11,135 10,953 5/1/2013 10,841 10,708 6/1/2013 10,523 10,307 7/1/2013 11,103 10,855 8/1/2013 10,940 10,715 9/1/2013 11,713 11,472 10/1/2013 12,094 11,857 11/1/2013 12,160 11,930 12/1/2013 12,383 12,110 1/1/2014 11,829 11,621 2/1/2014 12,525 12,255 3/1/2014 12,491 12,200 4/1/2014 12,695 12,392 5/1/2014 12,872 12,584 6/1/2014 13,050 12,763 7/1/2014 12,747 12,536 8/1/2014 12,803 12,546 9/1/2014 12,258 12,030 10/1/2014 12,151 11,839 11/1/2014 12,185 11,985 12/1/2014 11,735 11,586 1/1/2015 11,735 11,545 2/1/2015 12,448 12,235 3/1/2015 12,230 12,030 4/1/2015 12,780 12,551 5/1/2015 12,735 12,442 6/1/2015 12,376 12,089 7/1/2015 12,474 12,280 8/1/2015 11,594 11,386 9/1/2015 11,052 10,811 10/1/2015 11,775 11,624 11/1/2015 11,665 11,439 12/1/2015 11,398 11,234 1/1/2016 10,770 10,461 2/1/2016 10,467 10,315 3/1/2016 11,197 11,015 4/1/2016 11,495 11,369 5/1/2016 11,431 11,241 6/1/2016 11,163 10,899 7/1/2016 11,632 11,435 8/1/2016 11,697 11,446 Past performance is not predictive of 9/1/2016 11,854 11,585 future performance. 10/1/2016 11,622 11,360 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 2016, all -1.30% 4.90% 1.51% rights reserved.
-------------------------------------------------------------------------------- 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- INTERNATIONAL CORE EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] International Core Equity MSCI World ex USA Portfolio Index (net dividends) ------------------------- ---------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,352 10,298 12/1/2006 10,672 10,593 1/1/2007 10,867 10,658 2/1/2007 10,924 10,743 3/1/2007 11,270 11,018 4/1/2007 11,692 11,520 5/1/2007 12,017 11,775 6/1/2007 11,944 11,787 7/1/2007 11,739 11,624 8/1/2007 11,517 11,456 9/1/2007 12,009 12,107 10/1/2007 12,578 12,633 11/1/2007 11,888 12,139 12/1/2007 11,579 11,911 1/1/2008 10,706 10,837 2/1/2008 10,723 11,033 3/1/2008 10,772 10,876 4/1/2008 11,217 11,480 5/1/2008 11,402 11,655 6/1/2008 10,343 10,748 7/1/2008 9,933 10,366 8/1/2008 9,557 9,965 9/1/2008 8,337 8,526 10/1/2008 6,448 6,753 11/1/2008 6,059 6,386 12/1/2008 6,483 6,723 1/1/2009 5,780 6,096 2/1/2009 5,172 5,479 3/1/2009 5,608 5,840 4/1/2009 6,453 6,593 5/1/2009 7,428 7,427 6/1/2009 7,366 7,350 7/1/2009 8,098 8,040 8/1/2009 8,548 8,425 9/1/2009 8,963 8,773 10/1/2009 8,692 8,632 11/1/2009 8,923 8,845 12/1/2009 9,030 8,986 1/1/2010 8,647 8,565 2/1/2010 8,656 8,557 3/1/2010 9,302 9,107 4/1/2010 9,257 8,972 5/1/2010 8,169 7,982 6/1/2010 8,033 7,866 7/1/2010 8,882 8,593 8/1/2010 8,521 8,336 9/1/2010 9,432 9,136 10/1/2010 9,777 9,462 11/1/2010 9,387 9,061 12/1/2010 10,286 9,790 1/1/2011 10,551 10,001 2/1/2011 10,907 10,372 3/1/2011 10,716 10,164 4/1/2011 11,293 10,718 5/1/2011 10,945 10,400 6/1/2011 10,751 10,252 7/1/2011 10,510 10,083 8/1/2011 9,581 9,231 9/1/2011 8,464 8,304 10/1/2011 9,240 9,111 11/1/2011 8,960 8,690 12/1/2011 8,731 8,595 1/1/2012 9,372 9,059 2/1/2012 9,853 9,557 3/1/2012 9,852 9,487 4/1/2012 9,635 9,326 5/1/2012 8,483 8,262 6/1/2012 9,002 8,804 7/1/2012 8,993 8,913 8/1/2012 9,310 9,168 9/1/2012 9,641 9,446 10/1/2012 9,747 9,512 11/1/2012 9,911 9,712 12/1/2012 10,367 10,006 1/1/2013 10,815 10,498 2/1/2013 10,698 10,393 3/1/2013 10,827 10,476 4/1/2013 11,246 10,953 5/1/2013 10,993 10,708 6/1/2013 10,657 10,307 7/1/2013 11,319 10,855 8/1/2013 11,201 10,715 9/1/2013 12,058 11,472 10/1/2013 12,474 11,857 11/1/2013 12,534 11,930 12/1/2013 12,796 12,110 1/1/2014 12,367 11,621 2/1/2014 13,096 12,255 3/1/2014 13,069 12,200 4/1/2014 13,219 12,392 5/1/2014 13,360 12,584 6/1/2014 13,569 12,763 7/1/2014 13,203 12,536 8/1/2014 13,253 12,546 9/1/2014 12,590 12,030 10/1/2014 12,406 11,839 11/1/2014 12,375 11,985 12/1/2014 12,031 11,586 1/1/2015 11,990 11,545 2/1/2015 12,761 12,235 3/1/2015 12,527 12,030 4/1/2015 13,145 12,551 5/1/2015 13,166 12,442 6/1/2015 12,853 12,089 7/1/2015 12,863 12,280 8/1/2015 12,070 11,386 9/1/2015 11,546 10,811 10/1/2015 12,269 11,624 11/1/2015 12,217 11,439 12/1/2015 12,006 11,234 1/1/2016 11,268 10,461 2/1/2016 11,036 10,315 3/1/2016 11,897 11,015 4/1/2016 12,236 11,369 5/1/2016 12,193 11,241 6/1/2016 11,787 10,899 7/1/2016 12,389 11,435 8/1/2016 12,453 11,446 Past performance is not predictive of 9/1/2016 12,694 11,585 future performance. 10/1/2016 12,468 11,360 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 2016, all 1.62% 6.18% 2.23% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] International Small Company MSCI World ex USA Small Portfolio Cap Index (net dividends) --------------------------- -------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,452 10,430 12/1/2006 10,832 10,739 1/1/2007 11,135 10,958 2/1/2007 11,292 11,150 3/1/2007 11,715 11,520 4/1/2007 12,102 11,964 5/1/2007 12,349 12,141 6/1/2007 12,329 12,114 7/1/2007 12,335 12,040 8/1/2007 11,859 11,405 9/1/2007 12,120 11,662 10/1/2007 12,774 12,450 11/1/2007 11,841 11,426 12/1/2007 11,445 11,091 1/1/2008 10,575 10,016 2/1/2008 10,843 10,492 3/1/2008 10,857 10,376 4/1/2008 11,089 10,629 5/1/2008 11,381 10,843 6/1/2008 10,539 10,006 7/1/2008 10,032 9,501 8/1/2008 9,636 9,150 9/1/2008 8,175 7,541 10/1/2008 6,260 5,679 11/1/2008 5,937 5,404 12/1/2008 6,424 5,764 1/1/2009 5,917 5,430 2/1/2009 5,378 4,934 3/1/2009 5,733 5,250 4/1/2009 6,493 6,060 5/1/2009 7,460 6,957 6/1/2009 7,539 7,040 7/1/2009 8,104 7,606 8/1/2009 8,618 8,192 9/1/2009 9,077 8,653 10/1/2009 8,911 8,519 11/1/2009 9,032 8,585 12/1/2009 9,120 8,694 1/1/2010 8,979 8,580 2/1/2010 8,966 8,530 3/1/2010 9,607 9,165 4/1/2010 9,754 9,346 5/1/2010 8,600 8,223 6/1/2010 8,580 8,146 7/1/2010 9,364 8,844 8/1/2010 9,085 8,614 9/1/2010 10,084 9,592 10/1/2010 10,480 9,987 11/1/2010 10,188 9,725 12/1/2010 11,301 10,825 1/1/2010 11,439 10,882 2/1/2011 11,787 11,191 3/1/2011 11,769 11,181 4/1/2011 12,328 11,735 5/1/2011 11,986 11,410 6/1/2011 11,743 11,163 7/1/2011 11,630 11,102 8/1/2011 10,718 10,225 9/1/2011 9,451 9,051 10/1/2011 10,174 9,786 11/1/2011 9,853 9,295 12/1/2011 9,566 9,114 1/1/2012 10,382 9,866 2/1/2012 10,907 10,425 3/1/2012 10,949 10,356 4/1/2012 10,818 10,302 5/1/2012 9,559 9,092 6/1/2012 9,933 9,405 7/1/2012 9,905 9,478 8/1/2012 10,248 9,750 9/1/2012 10,676 10,212 10/1/2012 10,746 10,262 11/1/2012 10,838 10,315 12/1/2012 11,370 10,706 1/1/2013 11,870 11,222 2/1/2013 11,863 11,262 3/1/2013 12,078 11,482 4/1/2013 12,399 11,815 5/1/2013 12,128 11,537 6/1/2013 11,807 11,081 7/1/2013 12,588 11,774 8/1/2013 12,544 11,753 9/1/2013 13,578 12,740 10/1/2013 14,041 13,116 11/1/2013 14,106 13,133 12/1/2013 14,491 13,442 1/1/2014 14,234 13,210 2/1/2014 15,124 13,959 3/1/2014 15,102 13,906 4/1/2014 15,109 13,863 5/1/2014 15,207 14,037 6/1/2014 15,488 14,356 7/1/2014 14,995 13,984 8/1/2014 15,094 14,018 9/1/2014 14,177 13,169 10/1/2014 13,887 12,835 11/1/2014 13,750 12,823 12/1/2014 13,577 12,724 1/1/2015 13,465 12,611 2/1/2015 14,329 13,418 3/1/2015 14,105 13,237 4/1/2015 14,897 13,910 5/1/2015 15,073 13,994 6/1/2015 14,844 13,787 7/1/2015 14,747 13,766 8/1/2015 14,129 13,154 9/1/2015 13,659 12,681 10/1/2015 14,345 13,433 11/1/2015 14,361 13,404 12/1/2015 14,380 13,418 1/1/2016 13,445 12,397 2/1/2016 13,361 12,463 3/1/2016 14,436 13,499 4/1/2016 14,771 13,926 5/1/2016 14,855 13,943 6/1/2016 14,272 13,326 7/1/2016 15,096 14,118 8/1/2016 15,087 13,999 Past performance is not predictive of 9/1/2016 15,532 14,393 future performance. 10/1/2016 15,124 13,965 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 2016, all 5.43% 8.25% 4.22% 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, 2006-OCTOBER 31, 2016 [CHART] Japanese Small Company MSCI Japan Small Cap Portfolio Index (net dividends) ------------------------------- --------------------- 10/1/2006 $10,000 $10,000 11/1/2006 9,931 9,916 12/1/2006 10,017 9,974 1/1/2007 10,220 10,167 2/1/2007 10,632 10,569 3/1/2007 10,545 10,471 4/1/2007 10,400 10,292 5/1/2007 10,185 10,047 6/1/2007 10,349 10,113 7/1/2007 10,402 10,110 8/1/2007 9,964 9,494 9/1/2007 9,950 9,437 10/1/2007 10,014 9,778 11/1/2007 9,781 9,367 12/1/2007 9,163 8,806 1/1/2008 8,910 8,374 2/1/2008 8,833 8,466 3/1/2008 9,007 8,468 4/1/2008 9,071 8,573 5/1/2008 9,401 8,838 6/1/2008 8,955 8,295 7/1/2008 8,705 8,023 8/1/2008 8,224 7,669 9/1/2008 7,683 6,920 10/1/2008 7,124 6,190 11/1/2008 7,309 6,442 12/1/2008 8,052 6,944 1/1/2009 7,499 6,580 2/1/2009 6,520 5,715 3/1/2009 6,822 5,917 4/1/2009 7,093 6,220 5/1/2009 7,965 6,981 6/1/2009 8,492 7,425 7/1/2009 8,668 7,611 8/1/2009 9,123 8,037 9/1/2009 9,025 8,005 10/1/2009 8,697 7,712 11/1/2009 8,345 7,437 12/1/2009 8,310 7,298 1/1/2010 8,420 7,455 2/1/2010 8,580 7,597 3/1/2010 9,015 7,943 4/1/2010 9,279 8,158 5/1/2010 8,501 7,592 6/1/2010 8,632 7,625 7/1/2010 8,781 7,718 8/1/2010 8,540 7,554 9/1/2010 8,917 7,863 10/1/2010 8,726 7,799 11/1/2010 8,942 7,951 12/1/2010 9,765 8,753 1/1/2011 9,982 8,857 2/1/2011 10,442 9 213 3/1/2011 9,790 8,645 4/1/2011 9,740 8,652 5/1/2011 9,578 8,524 6/1/2011 10,055 8,841 7/1/2011 10,419 9,209 8/1/2011 10,136 8,832 9/1/2011 10,081 8,840 10/1/2011 9,560 8,514 11/1/2011 9,717 8,283 12/1/2011 9,666 8,413 1/1/2012 10,273 8,758 2/1/2012 10,286 8,853 3/1/2012 10,577 9,090 4/1/2012 10,355 8,958 5/1/2012 9,489 8,214 6/1/2012 9,991 8,564 7/1/2012 9,653 8,430 8/1/2012 9,653 8,382 9/1/2012 9,791 8,614 10/1/2012 9,580 8,428 11/1/2012 9,714 8,486 12/1/2012 10,068 8,750 1/1/2013 10,384 9,077 2/1/2013 10,636 9,385 3/1/2013 11,448 10,143 4/1/2013 12,054 10,811 5/1/2013 11,067 9,954 6/1/2013 11,164 9,927 7/1/2013 11,428 10,088 8/1/2013 11,171 9,952 9/1/2013 12,427 11,085 10/1/2013 12,460 11,040 11/1/2013 12,363 10,967 12/1/2013 12,451 11,055 1/1/2014 12,318 11,023 2/1/2014 12,265 10,778 3/1/2014 12,325 10,806 4/1/2014 12,139 10,605 5/1/2014 12,451 10,953 6/1/2014 13,327 11,728 7/1/2014 13,240 11,791 8/1/2014 13,367 11,707 9/1/2014 12,948 11,315 10/1/2014 12,710 11,013 11/1/2014 12,232 10,888 12/1/2014 12,334 11,003 1/1/2015 12,631 11,372 2/1/2015 13,151 11,782 3/1/2015 13,313 12,009 4/1/2015 13,637 12,234 5/1/2015 13,772 12,378 6/1/2015 14,055 12,559 7/1/2015 13,967 12,511 8/1/2015 13,535 12,082 9/1/2015 13,124 11,648 10/1/2015 13,805 12,426 11/1/2015 14,109 12,584 12/1/2015 14,060 12,688 1/1/2016 13,348 11,881 2/1/2016 12,876 11,758 3/1/2016 13,718 12,491 4/1/2016 13,889 13,035 5/1/2016 14,238 13,038 6/1/2016 14,170 12,961 7/1/2016 14,929 13,656 8/1/2016 14,580 13,172 Past performance is not predictive of 9/1/2016 15,456 13,883 future performance. 10/1/2016 15,743 14,068 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 2016, all 14.04% 10.49% 4.64% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ASIA PACIFIC SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] Asia Pacific Small MSCI Pacific ex Japan Small Cap Company Portfolio Index (net dividends) ------------------------------- -------------------------------- 10/31/06 $10,000 $10,000 11/30/06 10,552 10,608 12/31/06 10,849 11,004 1/31/07 11,131 11,283 2/28/07 11,423 11,498 3/31/07 12,018 12,092 4/30/07 12,857 12,930 5/31/07 13,951 13,438 6/30/07 14,520 13,787 7/31/07 14,745 13,784 8/31/07 13,637 12,896 9/30/07 15,233 14,041 10/31/07 16,562 15,001 11/30/07 15,464 13,796 12/31/07 15,195 13,606 1/31/08 13,664 11,783 2/29/08 14,078 12,483 3/31/08 13,394 11,695 4/30/08 14,325 12,478 5/31/08 14,950 12,612 6/30/08 13,472 11,201 7/31/08 12,676 10,686 8/31/08 11,785 9,818 9/30/08 9,760 7,901 10/31/08 6,510 5,111 11/30/08 5,886 4,553 12/31/08 6,527 5,082 1/31/09 5,720 4,522 2/28/09 5,405 4,241 3/31/09 6,243 4,849 4/30/09 7,173 5,717 5/31/09 9,026 7,088 6/30/09 9,091 7,288 7/31/09 10,401 8,340 8/31/09 10,876 8,769 9/30/09 11,720 9,503 10/31/09 11,976 9,731 11/30/09 12,534 10,011 12/31/09 12,862 10,411 1/31/10 12,161 9,745 2/28/10 12,373 9,867 3/31/10 13,390 10,680 4/30/10 13,567 10,979 5/31/10 11,687 9,321 6/30/10 11,540 9,268 7/31/10 12,818 10,211 8/31/10 12,800 10,189 9/30/10 14,742 11,718 10/31/10 15,371 12,238 11/30/10 15,161 12,075 12/31/10 16,645 13,294 1/31/11 16,284 12,907 2/28/11 16,384 12,978 3/31/11 16,728 13,376 4/30/11 17,430 13,917 5/31/11 16,914 13,599 6/30/11 16,339 13,115 7/31/11 16,603 13,308 8/31/11 15,441 12,383 9/30/11 12,558 10,131 10/31/11 14,512 11,791 11/30/11 14,121 10,987 12/31/11 13,294 10,635 1/31/12 14,665 11,739 2/29/12 15,774 12,652 3/31/12 15,538 12,256 4/30/12 15,472 12,322 5/31/12 13,539 10,723 6/30/12 13,820 10,873 7/31/12 14,020 11,230 8/31/12 14,486 11,410 9/30/12 15,199 12,017 10/31/12 15,540 12,264 11/30/12 15,754 12,385 12/31/12 16,488 12,696 1/31/13 17,311 13,369 2/28/13 17,380 13,528 3/31/13 17,456 13,562 4/30/13 17,159 13,454 5/31/13 15,880 12,464 6/30/13 14,759 11,398 7/31/13 15,478 11,854 8/31/13 15,596 11,956 9/30/13 16,689 12,876 10/31/13 17,166 13,102 11/30/13 16,557 12,549 12/31/13 16,760 12,608 1/31/14 15,966 12,024 2/28/14 16,883 12,671 3/31/14 17,128 12,905 4/30/14 17,164 12,989 5/31/14 17,178 13,095 6/30/14 17,301 13,166 7/31/14 17,662 13,453 8/31/14 17,936 13,557 9/30/14 16,277 12,311 10/31/14 16,508 12,456 11/30/14 15,851 12,061 12/31/14 15,385 11,759 1/31/15 15,020 11,527 2/28/15 15,750 12,087 3/31/15 15,522 11,869 4/30/15 16,769 12,550 5/31/15 16,952 12,489 6/30/15 15,750 11,590 7/31/15 14,982 11,067 8/31/15 13,697 10,035 9/30/15 13,499 9,827 10/31/15 14,495 10,629 11/30/15 14,442 10,541 12/31/15 14,838 10,720 1/31/16 13,761 9,788 2/29/16 13,959 10,027 3/31/16 15,622 11,185 4/30/16 15,828 11,386 5/31/16 15,653 11,196 6/30/16 15,907 11,272 7/31/16 16,999 12,106 8/31/16 16,873 12,016 Past performance is not predictive of 9/30/16 17,372 12,267 future performance. 10/31/16 16,841 11,751 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 2016, all 16.18% 3.02% 5.35% 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, 2006-OCTOBER 31, 2016 [CHART] United Kingdom Small Company MSCI UK Small Cap Portfolio Index (net dividends) ------------------------------- ---------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,625 10,648 12/1/2006 11,202 11,148 1/1/2007 11,274 11,122 2/1/2007 11,270 11,156 3/1/2007 11,793 11,618 4/1/2007 12,197 12,195 5/1/2007 11,901 11,916 7/1/2007 11,832 11,849 8/1/2007 11,760 11,414 9/1/2007 11,350 10,767 10/1/2007 12,254 11,951 11/1/2007 10,831 10,568 12/1/2007 10,257 10,037 1/1/2008 9,565 9,230 2/1/2008 9,700 9,542 3/1/2008 9,659 9,422 4/1/2008 9,820 9,598 5/1/2008 9,845 9,643 6/1/2008 9,059 8,984 7/1/2008 8,738 8,625 8/1/2008 8,590 8,400 9/1/2008 7,261 6,855 10/1/2008 5,311 4,953 11/1/2008 4,931 4,494 12/1/2008 4,819 4,380 1/1/2009 4,702 4,356 2/1/2009 4,507 4,211 3/1/2009 4,700 4,455 4/1/2009 5,683 5,479 5/1/2009 6,263 6,058 6/1/2009 6,290 6,100 7/1/2009 6,834 6,662 8/1/2009 7,364 7,304 9/1/2009 7,577 7,473 10/1/2009 7,585 7,483 11/1/2009 7,558 7,406 12/1/2009 7,714 7,588 1/1/2010 7,636 7,553 2/1/2010 7,374 7,215 3/1/2010 7,989 7,851 4/1/2010 8,279 8,164 5/1/2010 7,339 7,183 6/1/2010 7,478 7,214 7/1/2010 8,485 8,082 8/1/2010 8,168 7,862 9/1/2010 9,038 8,728 10/1/2010 9,509 9,100 11/1/2010 9,038 8,721 12/1/2010 9,957 9,634 1/1/2011 10,099 9,727 2/1/2011 10,400 9,984 3/1/2011 10,202 9,811 4/1/2011 11,103 10,711 5/1/2011 11,031 10,575 6/1/2011 10,679 10,219 7/1/2011 10,603 10,191 8/1/2011 9,542 9,151 9/1/2011 8,576 8,186 10/1/2011 9,482 9,081 11/1/2011 9,191 8,728 12/1/2011 8,902 8,437 1/1/2012 9,685 9,293 2/1/2012 10,475 10,156 3/1/2012 10,696 10,189 4/1/2012 10,878 10,363 5/1/2012 9,649 9,079 6/1/2012 10,118 9,511 7/1/2012 10,285 9,684 8/1/2012 10,845 10,197 9/1/2012 11,399 10,741 10/1/2012 11,646 10,963 11/1/2012 11,718 10,967 12/1/2012 12,358 11,472 1/1/2013 12,574 11,774 2/1/2013 12,684 11,840 3/1/2013 13,059 12,159 4/1/2013 13,386 12,463 5/1/2013 13,504 12,631 6/1/2013 13,207 12,176 7/1/2013 14,318 13,190 8/1/2013 14,417 13,370 9/1/2013 15,386 14,374 10/1/2013 15,934 14,880 11/1/2013 16,292 15,230 12/1/2013 17,185 15,966 1/1/2014 16,774 15,627 2/1/2014 18,273 17,142 3/1/2014 17,707 16,524 4/1/2014 17,411 16,129 5/1/2014 17,389 16,160 6/1/2014 17,369 16,121 7/1/2014 16,822 15,666 8/1/2014 17,071 15,831 9/1/2014 16,096 14,902 10/1/2014 16,051 14,807 11/1/2014 15,926 14,812 12/1/2014 16,178 15,055 1/1/2015 15,806 14,645 2/1/2015 17,287 16,091 3/1/2015 16,383 15,351 4/1/2015 17,414 16,335 5/1/2015 18,284 17,085 6/1/2015 18,229 17,106 7/1/2015 18,263 17,228 8/1/2015 17,487 16,550 9/1/2015 16,956 15,940 10/1/2015 17,565 16,646 11/1/2015 17,535 16,511 12/1/2015 17,339 16,335 1/1/2016 15,962 14,749 2/1/2016 16,607 15,624 4/1/2016 16,687 15,834 5/1/2016 16,949 16,290 6/1/2016 14,808 13,974 7/1/2016 15,607 14,778 8/1/2016 15,936 15,025 Past performance is not predictive of 9/1/2016 15,952 15,153 future performance. 10/1/2016 14,718 14,001 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 2016, all -16.20% 9.19% 3.94% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] Continental Small Company MSCI Europe ex UK Portfolio Small Cap Index (net dividends) ------------------------- -------------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,689 10,700 12/1/2006 11,198 11,204 1/1/2007 11,714 11,563 2/1/2007 11,725 11,613 3/1/2007 12,408 12,230 4/1/2007 13,059 12,970 5/1/2007 13,306 13,197 6/1/2007 13,157 13,070 7/1/2007 13,081 12,975 8/1/2007 12,609 12,388 9/1/2007 12,887 12,634 10/1/2007 13,508 13,390 11/1/2007 12,505 12,432 12/1/2007 12,256 12,180 1/1/2008 11,087 10,713 2/1/2008 11,560 11,362 3/1/2008 11,924 11,593 4/1/2008 12,061 11,791 5/1/2008 12,289 11,974 6/1/2008 11,249 10,868 7/1/2008 10,652 10,251 8/1/2008 10,356 9,971 9/1/2008 8,551 7,906 10/1/2008 6,267 5,682 11/1/2008 5,776 5,211 12/1/2008 6,378 5,692 1/1/2009 5,654 5,181 2/1/2009 5,162 4,725 3/1/2009 5,533 5,090 4/1/2009 6,434 6,150 5/1/2009 7,370 7,068 6/1/2009 7,275 6,977 7/1/2009 7,852 7,604 8/1/2009 8,506 8,384 9/1/2009 9,232 9,188 10/1/2009 8,969 8,937 11/1/2009 9,238 9,121 12/1/2009 9,206 9,162 1/1/2010 9,050 9,040 2/1/2010 8,858 8,782 3/1/2010 9,512 9,494 4/1/2010 9,422 9,435 5/1/2010 8,079 7,975 6/1/2010 8,022 7,856 7/1/2010 8,983 8,797 8/1/2010 8,570 8,379 9/1/2010 9,754 9,672 10/1/2010 10,301 10,292 11/1/2010 9,498 9,513 12/1/2010 10,732 10,844 1/1/2011 11,031 11,090 2/1/2011 11,215 11,278 3/1/2011 11,594 11,658 4/1/2011 12,371 12,473 5/1/2011 11,949 11,997 6/1/2011 11,561 11,610 7/1/2011 10,903 10,905 8/1/2011 9,785 9,766 9/1/2011 8,303 8,299 10/1/2011 9,159 9,208 11/1/2011 8,546 8,488 12/1/2011 8,212 8,200 1/1/2012 8,990 9,013 2/1/2012 9,560 9,705 3/1/2012 9,579 9,626 4/1/2012 9,353 9,466 5/1/2012 8,073 8,168 6/1/2012 8,420 8,570 7/1/2012 8,337 8,540 8/1/2012 8,709 8,912 9/1/2012 9,167 9,392 10/1/2012 9,328 9,554 11/1/2012 9,443 9,700 12/1/2012 10,013 10,223 1/1/2013 10,769 11,055 2/1/2013 10,659 11,022 3/1/2013 10,420 10,738 4/1/2013 10,840 11,155 5/1/2013 11,041 11,409 6/1/2013 10,672 10,901 7/1/2013 11,598 11,892 8/1/2013 11,611 11,870 9/1/2013 12,620 12,885 10/1/2013 13,338 13,661 11/1/2013 13,575 13,904 12/1/2013 13,952 14,265 1/1/2014 13,866 14,147 2/1/2014 15,080 15,383 3/1/2014 15,153 15,396 4/1/2014 15,291 15,460 5/1/2014 15,350 15,634 6/1/2014 15,214 15,482 7/1/2014 14,317 14,569 8/1/2014 14,143 14,451 9/1/2014 13,383 13,655 10/1/2014 12,980 13,209 11/1/2014 13,289 13,596 12/1/2014 12,867 13,271 1/1/2015 12,947 13,302 2/1/2015 13,835 14,284 3/1/2015 13,768 14,139 4/1/2015 14,501 14,896 5/1/2015 14,514 14,797 6/1/2015 14,202 14,447 7/1/2015 14,597 14,983 8/1/2015 14,045 14,404 9/1/2015 13,545 13,917 10/1/2015 14,196 14,713 11/1/2015 14,168 14,674 12/1/2015 14,340 14,892 1/1/2016 13,366 13,714 2/1/2016 13,339 13,762 3/1/2016 14,472 14,996 4/1/2016 14,767 15,184 5/1/2016 14,794 15,248 6/1/2016 13,983 14,258 7/1/2016 14,898 15,183 8/1/2016 15,086 15,313 Past performance is not predictive of 9/1/2016 15,458 15,680 future performance. 10/1/2016 15,004 15,097 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 2016, all 5.70% 10.38% 4.14% 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, 2016 [CHART] DFA International Real Estate Securities S&P Global ex U.S. Portfolio REIT Index (net dividends) ------------------------------- -------------------------- 3/1/2007 $10,000 $10,000 3/1/2007 10,480 10,343 4/1/2007 10,570 10,492 5/1/2007 10,780 10,647 6/1/2007 10,061 9,995 7/1/2007 9,459 9,513 8/1/2007 9,679 9,662 9/1/2007 10,130 10,149 10/1/2007 10,211 10,249 11/1/2007 9,462 9,433 12/1/2007 8,995 9,061 1/1/2008 8,627 8,529 2/1/2008 8,585 8,635 3/1/2008 8,606 8,552 4/1/2008 8,659 8,703 5/1/2008 8,332 8,348 6/1/2008 7,450 7,505 7/1/2008 7,215 7,301 8/1/2008 6,970 7,088 9/1/2008 6,457 6,368 10/1/2008 4,461 4,537 11/1/2008 4,152 4,234 12/1/2008 4,325 4,363 1/1/2009 3,873 3,947 2/1/2009 3,356 3,433 3/1/2009 3,587 3,636 4/1/2009 3,950 4,053 5/1/2009 4,479 4,503 6/1/2009 4,578 4,610 7/1/2009 4,985 5,022 8/1/2009 5,535 5,634 9/1/2009 5,887 6,017 10/1/2009 5,766 5,922 11/1/2009 5,832 5,926 12/1/2009 5,925 6,027 1/1/2010 5,704 5,831 2/1/2010 5,728 5,809 3/1/2010 5,925 6,011 4/1/2010 5,974 6,082 5/1/2010 5,347 5,414 6/1/2010 5,360 5,435 7/1/2010 5,987 6,026 8/1/2010 5,999 6,044 9/1/2010 6,577 6,624 10/1/2010 6,859 6,894 11/1/2010 6,429 6,471 12/1/2010 6,997 7,046 1/1/2011 7,025 7,045 2/1/2011 7,318 7,329 3/1/2011 7,332 7,348 4/1/2011 7,792 7,804 5/1/2011 7,750 7,761 6/1/2011 7,694 7,685 7/1/2011 7,569 7,575 8/1/2011 7,262 7,261 9/1/2011 6,328 6,367 10/1/2011 6,830 6,889 11/1/2011 6,691 6,606 12/1/2011 6,455 6,440 1/1/2012 6,897 6,857 2/1/2012 7,133 7,133 3/1/2012 7,221 7,159 4/1/2012 7,369 7,331 5/1/2012 6,941 6,853 6/1/2012 7,398 7,322 7/1/2012 7,737 7,719 8/1/2012 7,855 7,792 9/1/2012 8,032 8,000 10/1/2012 8,356 8,295 11/1/2012 8,415 8,352 12/1/2012 8,611 8,495 1/1/2013 8,745 8,714 2/1/2013 8,811 8,792 3/1/2013 9,161 9,125 4/1/2013 9,644 9,604 5/1/2013 8,761 8,738 6/1/2013 8,445 8,368 7/1/2013 8,478 8,386 8/1/2013 8,162 8,091 9/1/2013 8,861 8,784 10/1/2013 9,128 9,045 11/1/2013 8,845 8,764 12/1/2013 8,807 8,696 1/1/2014 8,649 8,539 2/1/2014 9,158 9,013 3/1/2014 9,140 8,980 4/1/2014 9,526 9,339 5/1/2014 9,807 9,618 6/1/2014 10,018 9,863 7/1/2014 10,000 9,879 8/1/2014 10,175 10,042 9/1/2014 9,509 9,368 10/1/2014 9,877 9,661 11/1/2014 9,912 9,755 12/1/2014 9,785 9,647 1/1/2015 10,158 9,968 2/1/2015 10,326 10,149 3/1/2015 10,046 9,857 4/1/2015 10,270 10,074 5/1/2015 9,990 9,793 6/1/2015 9,766 9,546 7/1/2015 9,841 9,650 8/1/2015 9,299 9,107 9/1/2015 9,374 9,136 10/1/2015 9,841 9,665 11/1/2015 9,542 9,361 12/1/2015 9,431 9,306 1/1/2016 9,278 9,054 2/1/2016 9,469 9,349 3/1/2016 10,248 10,106 4/1/2016 10,590 10,457 5/1/2016 10,305 10,150 6/1/2016 10,438 10,238 7/1/2016 10,914 10,730 Past performance is not predictive of 8/1/2016 10,647 10,488 future performance. 9/1/2016 10,647 10,471 The returns shown do not reflect the 10/1/2016 9,944 9,789 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 Standard 1.05% 7.80% -0.06% & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL REIT INDEX (NET DIVIDENDS) JUNE 4, 2008-OCTOBER 31, 2016 [CHART] DFA Global Real S&P Global Estate Securities Portfolio REIT Index (net dividends) --------------------------- -------------------------- 6/1/2008 $10,000 $10,000 6/1/2008 9,000 8,970 7/1/2008 9,020 8,995 8/1/2008 9,000 8,979 9/1/2008 8,710 8,552 10/1/2008 6,040 5,939 11/1/2008 5,040 4,955 12/1/2008 5,632 5,465 1/1/2009 4,817 4,698 2/1/2009 3,982 3,887 3/1/2009 4,186 4,070 4/1/2009 5,051 4,921 5/1/2009 5,438 5,235 6/1/2009 5,408 5,208 7/1/2009 5,937 5,716 8/1/2009 6,670 6,460 9/1/2009 7,108 6,889 10/1/2009 6,874 6,673 11/1/2009 7,159 6,897 12/1/2009 7,471 7,199 1/1/2010 7,133 6,884 2/1/2010 7,362 7,066 3/1/2010 7,875 7,557 4/1/2010 8,202 7,887 5/1/2010 7,591 7,270 6/1/2010 7,373 7,054 7/1/2010 8,158 7,772 8/1/2010 8,115 7,722 9/1/2010 8,649 8,231 10/1/2010 9,031 8,595 11/1/2010 8,682 8,264 12/1/2010 9,249 8,789 1/1/2011 9,448 8,947 2/1/2011 9,856 9,334 3/1/2011 9,786 9,258 4/1/2011 10,370 9,804 5/1/2011 10,428 9,853 6/1/2011 10,195 9,617 7/1/2011 10,218 9,647 8/1/2011 9,728 9,153 9/1/2011 8,583 8,093 10/1/2011 9,588 9,052 11/1/2011 9,296 8,693 12/1/2011 9,417 8,843 1/1/2012 10,020 9,412 2/1/2012 10,092 9,489 3/1/2012 10,454 9,791 4/1/2012 10,719 10,055 5/1/2012 10,176 9,518 6/1/2012 10,791 10,090 7/1/2012 11,105 10,413 8/1/2012 11,153 10,448 9/1/2012 11,117 10,424 10/1/2012 11,249 10,520 11/1/2012 11,249 10,526 12/1/2012 11,599 10,822 1/1/2013 11,921 11,170 2/1/2013 12,037 11,290 3/1/2013 12,423 11,651 4/1/2013 13,182 12,361 5/1/2013 12,230 11,472 6/1/2013 11,921 11,139 7/1/2013 11,998 11,213 8/1/2013 11,316 10,573 9/1/2013 11,908 11,121 10/1/2013 12,346 11,548 11/1/2013 11,805 11,041 12/1/2013 11,804 11,010 1/1/2014 12,005 11,195 2/1/2014 12,659 11,773 3/1/2014 12,699 11,783 4/1/2014 13,180 12,205 5/1/2014 13,527 12,519 6/1/2014 13,714 12,718 7/1/2014 13,714 12,724 8/1/2014 14,048 13,028 9/1/2014 13,166 12,200 10/1/2014 14,195 13,084 11/1/2014 14,395 13,289 12/1/2014 14,489 13,381 1/1/2015 15,321 14,107 2/1/2015 15,057 13,878 3/1/2015 15,071 13,866 4/1/2015 14,628 13,456 5/1/2015 14,447 13,286 6/1/2015 13,934 12,771 7/1/2015 14,461 13,264 8/1/2015 13,615 12,462 9/1/2015 13,934 12,702 10/1/2015 14,683 13,423 11/1/2015 14,475 13,210 12/1/2015 14,589 13,323 1/1/2016 14,191 12,894 2/1/2016 14,262 13,015 3/1/2016 15,626 14,247 4/1/2016 15,555 14,194 5/1/2016 15,626 14,226 6/1/2016 16,421 14,885 7/1/2016 17,131 15,561 Past performance is not predictive of 8/1/2016 16,606 15,049 future performance. 9/1/2016 16,407 14,851 The returns shown do not reflect the 10/1/2016 15,398 13,944 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 Standard 4.87% 9.94% 5.27% & 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, 2006-OCTOBER 31, 2016 [CHART] DFA International Small Cap Value MSCI World ex USA Portfolio Small Cap Index (net dividends) --------------------------------- ------------------------------- 10/31/06 $10,000 $10,000 11/30/06 10,483 10,430 12/31/06 10,876 10,739 01/31/07 11,166 10,958 02/28/07 11,368 11,150 03/31/07 11,862 11,520 04/30/07 12,214 11,964 05/31/07 12,447 12,141 06/30/07 12,394 12,114 07/31/07 12,363 12,040 08/31/07 11,856 11,405 09/30/07 12,102 11,662 10/31/07 12,579 12,450 11/30/07 11,557 11,426 12/31/07 11,196 11,091 01/31/08 10,458 10,016 02/29/08 10,687 10,492 03/31/08 10,786 10,376 04/30/08 10,970 10,629 05/31/08 11,211 10,843 06/30/08 10,231 10,006 07/31/08 9,777 9,501 08/31/08 9,462 9,150 09/30/08 8,100 7,541 10/31/08 6,337 5,679 11/30/08 5,986 5,404 12/31/08 6,530 5,764 01/31/09 5,979 5,430 02/28/09 5,322 4,934 03/31/09 5,669 5,250 04/30/09 6,589 6,060 05/31/09 7,496 6,957 06/30/09 7,471 7,040 07/31/09 8,167 7,606 08/31/09 8,874 8,192 09/30/09 9,292 8,653 10/31/09 8,962 8,519 11/30/09 9,004 8,585 12/31/09 9,110 8,694 01/31/10 8,935 8,580 02/28/10 8,850 8,530 03/31/10 9,569 9,165 04/30/10 9,689 9,346 05/31/10 8,385 8,223 06/30/10 8,217 8,146 07/31/10 9,016 8,844 08/31/10 8,595 8,614 09/30/10 9,560 9,592 10/31/10 9,859 9,987 11/30/10 9,578 9,725 12/31/10 10,759 10,825 01/31/11 10,984 10,882 02/28/11 11,303 11,191 03/31/11 11,359 11,181 04/30/11 11,847 11,735 05/31/11 11,441 11,410 06/30/11 11,191 11,163 07/31/11 10,976 11,102 08/31/11 9,932 10,225 09/30/11 8,760 9,051 10/31/11 9,427 9,786 11/30/11 9,122 9,295 12/31/11 8,880 9,114 01/31/12 9,769 9,866 02/29/12 10,351 10,425 03/31/12 10,364 10,356 04/30/12 10,076 10,302 05/31/12 8,795 9,092 06/30/12 9,228 9,405 07/31/12 9,202 9,478 08/31/12 9,540 9,750 09/30/12 9,986 10,212 10/31/12 10,079 10,262 11/30/12 10,219 10,315 12/31/12 10,856 10,706 01/31/13 11,413 11,222 02/28/13 11,481 11,262 03/31/13 11,715 11,482 04/30/13 12,048 11,815 05/31/13 11,810 11,537 06/30/13 11,450 11,081 07/31/13 12,304 11,774 08/31/13 12,153 11,753 09/30/13 13,330 12,740 10/31/13 13,888 13,116 11/30/13 13,909 13,133 12/31/13 14,372 13,442 01/31/14 14,174 13,210 02/28/14 15,149 13,959 03/31/14 15,248 13,906 04/30/14 15,184 13,863 05/31/14 15,304 14,037 06/30/14 15,544 14,356 07/31/14 14,999 13,984 08/31/14 15,098 14,018 09/30/14 14,219 13,169 10/31/14 13,906 12,835 11/30/14 13,807 12,823 12/31/14 13,655 12,724 01/31/15 13,567 12,611 02/28/15 14,580 13,418 03/31/15 14,294 13,237 04/30/15 15,013 13,910 05/31/15 15,248 13,994 06/30/15 15,036 13,787 07/31/15 14,851 13,766 08/31/15 14,217 13,154 09/30/15 13,650 12,681 10/31/15 14,367 13,433 11/30/15 14,256 13,404 12/31/15 14,200 13,418 01/31/16 13,151 12,397 02/29/16 13,037 12,463 03/31/16 14,085 13,499 04/30/16 14,566 13,926 05/31/16 14,451 13,943 06/30/16 13,640 13,326 07/31/16 14,622 14,118 Past performance is not predictive of 08/31/16 14,676 13,999 future performance. 09/30/16 15,078 14,393 The returns shown do not reflect the 10/31/16 14,954 13,965 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 2016, all 4.09% 9.67% 4.11% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL VECTOR EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 14, 2008-OCTOBER 31, 2016 [CHART] International Vector MSCI World ex USA Equity Portfolio Index (net dividends) -------------------- --------------------- 08/14/08 $10,000 $10,000 08/31/08 10,050 10,052 09/30/08 8,750 8,601 10/31/08 6,740 6,812 11/30/08 6,340 6,442 12/31/08 6,798 6,782 01/31/09 6,065 6,149 02/28/09 5,392 5,527 03/31/09 5,903 5,891 04/30/09 6,919 6,650 05/31/09 7,985 7,491 06/30/09 7,932 7,414 07/31/09 8,715 8,110 08/31/09 9,274 8,499 09/30/09 9,740 8,849 10/31/09 9,404 8,707 11/30/09 9,608 8,923 12/31/09 9,715 9,065 01/31/10 9,377 8,640 02/28/10 9,357 8,631 03/31/10 10,099 9,187 04/30/10 10,120 9,050 05/31/10 8,870 8,051 06/30/10 8,736 7,935 07/31/10 9,659 8,668 08/31/10 9,254 8,409 09/30/10 10,289 9,216 10/31/10 10,684 9,544 11/30/10 10,300 9,140 12/31/10 11,397 9,876 01/31/11 11,660 10,089 02/28/11 12,050 10,463 03/31/11 11,881 10,253 04/30/11 12,482 10,812 05/31/11 12,071 10,491 06/30/11 11,823 10,342 07/31/11 11,545 10,171 08/31/11 10,519 9,311 09/30/11 9,260 8,376 10/31/11 10,045 9,191 11/30/11 9,733 8,766 12/31/11 9,464 8,670 01/31/12 10,238 9,138 02/29/12 10,780 9,641 03/31/12 10,780 9,570 04/30/12 10,514 9,407 05/31/12 9,219 8,335 06/30/12 9,745 8,881 07/31/12 9,700 8,991 08/31/12 10,038 9,248 09/30/12 10,435 9,529 10/31/12 10,537 9,595 11/30/12 10,706 9,797 12/31/12 11,253 10,093 01/31/13 11,755 10,590 02/28/13 11,652 10,484 03/31/13 11,784 10,567 04/30/13 12,218 11,049 05/31/13 11,944 10,801 06/30/13 11,564 10,397 07/31/13 12,305 10,950 08/31/13 12,213 10,809 09/30/13 13,183 11,573 10/31/13 13,648 11,961 11/30/13 13,682 12,034 12/31/13 13,989 12,215 01/31/14 13,612 11,722 02/28/14 14,448 12,362 03/31/14 14,414 12,306 04/30/14 14,555 12,501 05/31/14 14,685 12,694 06/30/14 14,923 12,874 07/31/14 14,493 12,645 08/31/14 14,553 12,655 09/30/14 13,757 12,135 10/31/14 13,505 11,942 11/30/14 13,445 12,089 12/31/14 13,112 11,687 01/31/15 13,015 11,646 02/28/15 13,893 12,342 03/31/15 13,649 12,135 04/30/15 14,356 12,661 05/31/15 14,393 12,551 06/30/15 14,064 12,194 07/31/15 13,990 12,387 08/31/15 13,186 11,485 09/30/15 12,594 10,905 10/31/15 13,351 11,726 11/30/15 13,289 11,539 12/31/15 13,112 11,332 01/31/16 12,248 10,552 02/29/16 12,047 10,405 03/31/16 13,002 11,111 04/30/16 13,429 11,468 05/31/16 13,379 11,339 06/30/16 12,867 10,994 07/31/16 13,568 11,535 08/31/16 13,670 11,546 Past performance is not predictive of 09/30/16 13,972 11,686 future performance. 10/31/16 13,780 11,459 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 2016, all 3.21% 6.53% 3.98% 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, 2016 [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 14,203 8/31/2014 13,857 14,281 9/30/2014 13,101 13,590 10/31/2014 12,921 13,455 11/30/2014 12,864 13,552 12/31/2014 12,384 13,064 1/31/2015 12,293 13,044 2/28/2015 13,080 13,742 3/31/2015 12,783 13,520 4/30/2015 13,604 14,203 5/31/2015 13,490 13,981 6/30/2015 13,108 13,591 7/31/2015 12,774 13,553 8/31/2015 11,805 12,517 9/30/2015 11,128 11,937 10/31/2015 11,916 12,825 11/30/2015 11,696 12,561 12/31/2015 11,357 12,324 1/31/2016 10,526 11,486 2/29/2016 10,304 11,354 3/31/2016 11,258 12,278 4/30/2016 11,728 12,601 5/31/2016 11,399 12,388 6/30/2016 11,179 12,199 7/31/2016 11,763 12,802 8/31/2016 12,026 12,883 9/30/2016 12,182 13,042 10/31/2016 12,338 12,854 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 2016, all 3.54% 3.75% 3.45% 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, 2016 [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 9/30/2014 12,908 12,464 10/31/2014 12,698 12,170 11/30/2014 12,571 12,119 12/31/2014 12,294 11,969 1/31/2015 12,219 11,925 2/28/2015 12,977 12,575 3/31/2015 12,710 12,439 4/30/2015 13,511 13,182 5/31/2015 13,489 13,256 6/30/2015 13,224 12,964 7/31/2015 12,816 12,717 8/31/2015 12,088 12,007 9/30/2015 11,599 11,665 10/31/2015 12,332 12,356 11/30/2015 12,170 12,268 12/31/2015 12,035 12,280 1/31/2016 11,171 11,339 2/29/2016 11,149 11,377 3/31/2016 12,256 12,364 4/30/2016 12,733 12,710 5/31/2016 12,408 12,626 6/30/2016 12,109 12,256 7/31/2016 12,909 12,938 8/31/2016 13,019 12,907 9/30/2016 13,305 13,225 Past performance is not predictive of 10/31/2016 13,218 12,877 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 2016, all 7.18% 7.23% 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, 2016 [CHART] World Ex U.S. Core MSCI All Country World Equity Portfolio ex USA Index (net dividends) ------------------ ---------------------------- 4/09/2013 $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 9/30/2014 11,072 11,226 10/31/2014 10,957 11,115 11/30/2014 10,916 11,195 12/31/2014 10,565 10,791 1/31/2015 10,565 10,775 2/28/2015 11,162 11,351 3/31/2015 10,968 11,168 4/30/2015 11,608 11,732 5/31/2015 11,534 11,549 6/30/2015 11,209 11,227 7/31/2015 10,976 11,196 8/31/2015 10,234 10,340 9/30/2015 9,847 9,860 10/31/2015 10,465 10,595 11/30/2015 10,348 10,376 12/31/2015 10,164 10,180 1/31/2016 9,533 9,488 2/29/2016 9,372 9,379 3/31/2016 10,212 10,142 4/30/2016 10,459 10,409 5/31/2016 10,319 10,233 6/30/2016 10,173 10,077 7/31/2016 10,705 10,575 8/31/2016 10,792 10,642 Past performance is not predictive of 9/30/2016 10,993 10,773 future performance. 10/31/2016 10,840 10,618 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 2016, all 3.58% 2.29% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- WORLD CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) MARCH 7, 2012-OCTOBER 31, 2016 [CHART] MSCI All Country World World Core Equity Portfolio Index (net dividends) ---------------------------- ------------------------- 3/07/2012 $10,000 $10,000 3/31/2012 10,170 10,307 4/30/2012 10,050 10,189 5/31/2012 9,400 9,276 6/30/2012 9,822 9,734 7/31/2012 9,913 9,867 8/31/2012 10,175 10,082 9/30/2012 10,465 10,399 10/31/2012 10,354 10,330 11/30/2012 10,425 10,462 12/31/2012 10,644 10,699 1/31/2013 11,175 11,192 2/28/2013 11,266 11,190 3/31/2013 11,598 11,395 4/30/2013 11,843 11,720 5/31/2013 11,986 11,688 6/30/2013 11,754 11,346 7/31/2013 12,382 11,890 8/31/2013 12,053 11,642 9/30/2013 12,609 12,243 10/31/2013 13,125 12,735 11/30/2013 13,477 12,916 12/31/2013 13,786 13,138 1/31/2014 13,260 12,613 2/28/2014 13,902 13,222 3/31/2014 14,000 13,281 4/30/2014 14,074 13,407 5/31/2014 14,359 13,693 6/30/2014 14,684 13,950 7/31/2014 14,355 13,781 8/31/2014 14,726 14,086 9/30/2014 14,116 13,629 10/31/2014 14,222 13,725 11/30/2014 14,340 13,954 12/31/2014 14,128 13,685 1/31/2015 13,902 13,471 2/28/2015 14,731 14,221 3/31/2015 14,555 14,001 4/30/2015 14,944 14,407 5/31/2015 14,987 14,388 6/30/2015 14,696 14,049 7/31/2015 14,642 14,171 8/31/2015 13,729 13,200 9/30/2015 13,239 12,722 10/31/2015 14,135 13,720 11/30/2015 14,113 13,607 12/31/2015 13,780 13,362 1/31/2016 12,967 12,556 2/29/2016 12,901 12,469 3/31/2016 13,930 13,393 4/30/2016 14,140 13,591 5/31/2016 14,173 13,608 6/30/2016 14,055 13,526 7/31/2016 14,700 14,109 8/31/2016 14,789 14,156 Past performance is not predictive of 9/30/2016 14,929 14,243 future performance. 10/31/2016 14,662 14,001 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 2016, all 3.73% 8.58% 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, 2016 [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 9/30/2014 15,061 14,576 10/31/2014 15,200 14,679 11/30/2014 15,360 14,924 12/31/2014 15,182 14,636 1/31/2015 14,958 14,408 2/28/2015 15,878 15,210 3/31/2015 15,766 14,974 4/30/2015 16,136 15,409 5/31/2015 16,226 15,388 6/30/2015 15,867 15,026 7/31/2015 15,754 15,157 8/31/2015 14,700 14,118 9/30/2015 14,172 13,606 10/31/2015 15,148 14,674 11/30/2015 15,204 14,553 12/31/2015 14,728 14,290 1/31/2016 13,907 13,429 2/29/2016 13,768 13,336 3/31/2016 14,797 14,324 4/30/2016 14,948 14,536 5/31/2016 15,063 14,554 6/30/2016 14,971 14,466 7/31/2016 15,641 15,090 8/31/2016 15,792 15,140 Past performance is not predictive of 9/30/2016 15,930 15,233 future performance. 10/31/2016 15,803 14,975 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 2016, all 4.32% 9.66% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] MSCI Emerging Markets Emerging Markets Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,637 10,743 12/31/2006 11,065 11,227 1/31/2007 11,226 11,108 2/28/2007 11,048 11,043 3/31/2007 11,552 11,481 4/30/2007 12,284 12,025 5/31/2007 13,106 12,609 6/30/2007 13,319 13,200 7/31/2007 13,635 13,897 8/31/2007 13,396 13,601 9/30/2007 14,576 15,103 10/31/2007 16,168 16,788 11/30/2007 15,112 15,597 12/31/2007 15,051 15,652 1/31/2008 13,735 13,699 2/29/2008 14,171 14,710 3/31/2008 13,728 13,932 4/30/2008 14,704 15,062 5/31/2008 14,790 15,342 6/30/2008 13,268 13,811 7/31/2008 13,091 13,290 8/31/2008 12,311 12,229 9/30/2008 10,594 10,089 10/31/2008 7,802 7,328 11/30/2008 7,093 6,776 12/31/2008 7,646 7,305 1/31/2009 7,061 6,833 2/28/2009 6,598 6,447 3/31/2009 7,552 7,374 4/30/2009 8,668 8,601 5/31/2009 10,144 10,071 6/30/2009 10,055 9,935 7/31/2009 11,202 11,052 8/31/2009 11,239 11,013 9/30/2009 12,224 12,012 10/31/2009 11,968 12,027 11/30/2009 12,680 12,544 12/31/2009 13,133 13,039 1/31/2010 12,414 12,312 2/28/2010 12,563 12,355 3/31/2010 13,611 13,353 4/30/2010 13,689 13,514 5/31/2010 12,412 12,326 6/30/2010 12,431 12,235 7/31/2010 13,522 13,254 8/31/2010 13,205 12,997 9/30/2010 14,703 14,441 10/31/2010 15,144 14,860 11/30/2010 14,801 14,468 12/31/2010 15,998 15,500 1/31/2011 15,581 15,080 2/28/2011 15,466 14,939 3/31/2011 16,322 15,818 4/30/2011 16,891 16,308 5/31/2011 16,421 15,880 6/30/2011 16,221 15,636 7/31/2011 16,090 15,567 8/31/2011 14,783 14,176 9/30/2011 12,545 12,109 10/31/2011 14,111 13,713 11/30/2011 13,614 12,799 12/31/2011 13,212 12,645 1/31/2012 14,630 14,079 2/29/2012 15,419 14,922 3/31/2012 15,013 14,424 4/30/2012 14,741 14,252 5/31/2012 13,151 12,653 6/30/2012 13,794 13,142 7/31/2012 13,906 13,398 8/31/2012 13,990 13,354 9/30/2012 14,771 14,159 10/31/2012 14,687 14,073 11/30/2012 14,878 14,252 12/31/2012 15,743 14,949 1/31/2013 15,823 15,155 2/28/2013 15,635 14,965 3/31/2013 15,409 14,707 4/30/2013 15,575 14,818 5/31/2013 15,065 14,438 6/30/2013 14,117 13,518 7/31/2013 14,319 13,660 8/31/2013 13,978 13,425 9/30/2013 14,975 14,298 10/31/2013 15,654 14,993 11/30/2013 15,416 14,774 12/31/2013 15,252 14,560 1/31/2014 14,189 13,615 2/28/2014 14,700 14,066 3/31/2014 15,211 14,497 4/30/2014 15,299 14,546 5/31/2014 15,816 15,053 6/30/2014 16,251 15,453 7/31/2014 16,440 15,752 8/31/2014 16,948 16,107 9/30/2014 15,696 14,913 10/31/2014 15,863 15,089 11/30/2014 15,702 14,930 12/31/2014 14,991 14,241 1/31/2015 15,087 14,327 2/28/2015 15,542 14,770 3/31/2015 15,213 14,560 4/30/2015 16,225 15,680 5/31/2015 15,572 15,052 6/30/2015 15,193 14,661 7/31/2015 14,213 13,645 8/31/2015 13,036 12,411 9/30/2015 12,682 12,038 10/31/2015 13,446 12,896 11/30/2015 12,979 12,393 12/31/2015 12,621 12,117 1/31/2016 12,084 11,331 2/29/2016 12,011 11,312 3/31/2016 13,595 12,809 4/30/2016 13,675 12,879 5/31/2016 13,136 12,398 6/30/2016 13,830 12,894 7/31/2016 14,539 13,543 8/31/2016 14,711 13,879 Past performance is not predictive of 9/30/2016 14,895 14,058 future performance. 10/31/2016 14,926 14,091 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 2016, all 11.01% 1.13% 4.09% 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, 2006-OCTOBER 31, 2016 [CHART] Emerging Markets Small Cap MSCI Emerging Markets Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,761 10,743 12/31/2006 11,250 11,227 1/31/2007 11,461 11,108 2/28/2007 11,564 11,043 3/31/2007 12,076 11,481 4/30/2007 12,999 12,025 5/31/2007 14,030 12,609 6/30/2007 14,449 13,200 7/31/2007 15,151 13,897 8/31/2007 14,520 13,601 9/30/2007 15,518 15,103 10/31/2007 16,681 16,788 11/30/2007 15,343 15,597 12/31/2007 15,526 15,652 1/31/2008 13,654 13,699 2/29/2008 14,049 14,710 3/31/2008 13,384 13,932 4/30/2008 14,202 15,062 5/31/2008 14,112 15,342 6/30/2008 12,486 13,811 7/31/2008 12,290 13,290 8/31/2008 11,548 12,229 9/30/2008 9,462 10,089 10/31/2008 6,591 7,328 11/30/2008 6,188 6,776 12/31/2008 7,059 7,305 1/31/2009 6,516 6,833 2/28/2009 6,116 6,447 3/31/2009 6,958 7,374 4/30/2009 8,366 8,601 5/31/2009 10,283 10,071 6/30/2009 10,232 9,935 7/31/2009 11,530 11,052 8/31/2009 11,667 11,013 9/30/2009 12,640 12,012 10/31/2009 12,625 12,027 11/30/2009 13,363 12,544 12/31/2009 14,100 13,039 1/31/2010 13,475 12,312 2/28/2010 13,708 12,355 3/31/2010 14,878 13,353 4/30/2010 15,118 13,514 5/31/2010 13,592 12,326 6/30/2010 13,952 12,235 7/31/2010 15,232 13,254 8/31/2010 15,305 12,997 9/30/2010 17,159 14,441 10/31/2010 17,843 14,860 11/30/2010 17,358 14,468 12/31/2010 18,356 15,500 1/31/2011 17,577 15,080 2/28/2011 17,059 14,939 3/31/2011 18,005 15,818 4/30/2011 18,951 16,308 5/31/2011 18,516 15,880 6/30/2011 18,366 15,636 7/31/2011 18,573 15,567 8/31/2011 16,807 14,176 9/30/2011 13,818 12,109 10/31/2011 15,340 13,713 11/30/2011 14,591 12,799 12/31/2011 14,203 12,645 1/31/2012 15,804 14,079 2/29/2012 17,095 14,922 3/31/2012 16,649 14,424 4/30/2012 16,250 14,252 5/31/2012 14,761 12,653 6/30/2012 15,326 13,142 7/31/2012 15,134 13,398 8/31/2012 15,527 13,354 9/30/2012 16,434 14,159 10/31/2012 16,370 14,073 11/30/2012 16,652 14,252 12/31/2012 17,675 14,949 1/31/2013 18,001 15,155 2/28/2013 18,184 14,965 3/31/2013 18,099 14,707 4/30/2013 18,467 14,818 5/31/2013 18,199 14,438 6/30/2013 16,625 13,518 7/31/2013 16,700 13,660 8/31/2013 16,003 13,425 9/30/2013 17,171 14,298 10/31/2013 17,830 14,993 11/30/2013 17,577 14,774 12/31/2013 17,431 14,560 1/31/2014 16,685 13,615 2/28/2014 17,422 14,066 3/31/2014 18,020 14,497 4/30/2014 18,168 14,546 5/31/2014 18,783 15,053 6/30/2014 19,266 15,453 7/31/2014 19,310 15,752 8/31/2014 19,901 16,107 9/30/2014 18,910 14,913 10/31/2014 18,744 15,089 11/30/2014 18,525 14,930 12/31/2014 17,954 14,241 1/31/2015 18,243 14,327 2/28/2015 18,712 14,770 3/31/2015 18,568 14,560 4/30/2015 19,886 15,680 5/31/2015 19,606 15,052 6/30/2015 18,933 14,661 7/31/2015 17,777 13,645 8/31/2015 16,033 12,411 9/30/2015 16,007 12,038 10/31/2015 16,893 12,896 11/30/2015 16,546 12,393 12/31/2015 16,393 12,117 1/31/2016 15,414 11,331 2/29/2016 15,349 11,312 3/31/2016 17,237 12,809 4/30/2016 17,668 12,879 5/31/2016 16,929 12,398 6/30/2016 17,865 12,894 7/31/2016 18,903 13,543 8/31/2016 19,016 13,879 Past performance is not predictive of 9/30/2016 19,326 14,058 future performance. 10/31/2016 19,251 14,091 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 2016, all 13.96% 4.65% 6.77% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) JANUARY 29, 2008-OCTOBER 31, 2016 [CHART] Emerging Markets Value MSCI Emerging Markets Index Portfolio Class R2 (net dividends) ---------------------- --------------------------- 1/29/2008 $10,000 $10,000 1/31/2008 10,050 9,871 2/29/2008 10,450 10,599 3/31/2008 10,097 10,038 4/30/2008 10,872 10,853 5/31/2008 10,962 11,054 6/30/2008 9,677 9,952 7/31/2008 9,489 9,576 8/31/2008 8,674 8,811 9/30/2008 7,174 7,269 10/31/2008 4,949 5,280 11/30/2008 4,569 4,882 12/31/2008 5,120 5,263 1/31/2009 4,675 4,923 2/28/2009 4,262 4,646 3/31/2009 5,002 5,313 4/30/2009 5,996 6,197 5/31/2009 7,342 7,256 6/30/2009 7,241 7,159 7/31/2009 8,197 7,964 8/31/2009 8,265 7,935 9/30/2009 9,035 8,655 10/31/2009 8,823 8,666 11/30/2009 9,388 9,038 12/31/2009 9,847 9,395 1/31/2010 9,297 8,871 2/28/2010 9,347 8,902 3/31/2010 10,147 9,621 4/30/2010 10,246 9,738 5/31/2010 9,147 8,881 6/30/2010 9,199 8,816 7/31/2010 10,085 9,550 8/31/2010 9,864 9,365 9/30/2010 11,031 10,405 10/31/2010 11,444 10,707 11/30/2010 11,031 10,425 12/31/2010 11,960 11,169 1/31/2011 11,583 10,866 2/28/2011 11,391 10,764 3/31/2011 12,043 11,397 4/30/2011 12,466 11,751 5/31/2011 11,990 11,443 6/30/2011 11,738 11,267 7/31/2011 11,639 11,217 8/31/2011 10,454 10,214 9/30/2011 8,577 8,725 10/31/2011 9,701 9,881 11/30/2011 9,206 9,222 12/31/2011 8,875 9,111 1/31/2012 10,102 10,144 2/29/2012 10,714 10,752 3/31/2012 10,253 10,393 4/30/2012 9,918 10,269 5/31/2012 8,817 9,117 6/30/2012 9,214 9,469 7/31/2012 9,155 9,654 8/31/2012 9,279 9,622 9/30/2012 9,873 10,202 10/31/2012 9,742 10,140 11/30/2012 9,849 10,269 12/31/2012 10,564 10,771 1/31/2013 10,734 10,920 2/28/2013 10,550 10,783 3/31/2013 10,459 10,597 4/30/2013 10,547 10,677 5/31/2013 10,243 10,403 6/30/2013 9,377 9,741 7/31/2013 9,559 9,842 8/31/2013 9,356 9,673 9/30/2013 10,045 10,302 10/31/2013 10,497 10,803 11/30/2013 10,242 10,645 12/31/2013 10,137 10,491 1/31/2014 9,424 9,810 2/28/2014 9,634 10,135 3/31/2014 10,060 10,446 4/30/2014 10,122 10,481 5/31/2014 10,533 10,847 6/30/2014 10,806 11,135 7/31/2014 11,008 11,350 8/31/2014 11,250 11,606 9/30/2014 10,328 10,746 10/31/2014 10,313 10,872 11/30/2014 10,139 10,757 12/31/2014 9,665 10,262 1/31/2015 9,586 10,323 2/28/2015 9,924 10,643 3/31/2015 9,643 10,491 4/30/2015 10,597 11,298 5/31/2015 10,123 10,846 6/30/2015 9,800 10,564 7/31/2015 9,012 9,832 8/31/2015 8,193 8,943 9/30/2015 7,917 8,674 10/31/2015 8,406 9,292 11/30/2015 8,077 8,930 12/31/2015 7,831 8,731 1/31/2016 7,392 8,164 2/29/2016 7,434 8,151 3/31/2016 8,524 9,230 4/30/2016 8,753 9,280 5/31/2016 8,180 8,934 6/30/2016 8,625 9,291 7/31/2016 9,167 9,758 8/31/2016 9,334 10,001 Past performance is not predictive of 9/30/2016 9,463 10,129 future performance. 10/31/2016 9,666 10,153 The returns shown do not reflect the deduction of taxes that a shareholder AVERAGE ANNUAL ONE FIVE FROM would pay on fund distributions or the TOTAL RETURN YEAR YEARS 01/29/2008 redemption of fund shares. -------------------------------------------------------------- MSCI data copyright MSCI 2016, all 14.98% -0.07% -0.39% 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, 2006-OCTOBER 31, 2016 [CHART] Emerging Markets Value Portfolio - MSCI Emerging Markets Institutional Class Index (net dividends) ----------------------- --------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,731 10,743 12/31/2006 11,107 11,227 1/31/2007 11,278 11,108 2/28/2007 11,341 11,043 3/31/2007 11,931 11,481 4/30/2007 12,882 12,025 5/31/2007 13,861 12,609 6/30/2007 14,254 13,200 7/31/2007 14,929 13,897 8/31/2007 14,448 13,601 9/30/2007 15,750 15,103 10/31/2007 17,478 16,788 11/30/2007 16,202 15,597 12/31/2007 16,177 15,652 1/31/2008 14,566 13,699 2/29/2008 15,148 14,710 3/31/2008 14,638 13,932 4/30/2008 15,767 15,062 5/31/2008 15,901 15,342 6/30/2008 14,052 13,811 7/31/2008 13,776 13,290 8/31/2008 12,596 12,229 9/30/2008 10,423 10,089 10/31/2008 7,186 7,328 11/30/2008 6,640 6,776 12/31/2008 7,451 7,305 1/31/2009 6,778 6,833 2/28/2009 6,202 6,447 3/31/2009 7,275 7,374 4/30/2009 8,706 8,601 5/31/2009 10,664 10,071 6/30/2009 10,533 9,935 7/31/2009 11,945 11,052 8/31/2009 12,034 11,013 9/30/2009 13,144 12,012 10/31/2009 12,833 12,027 11/30/2009 13,650 12,544 12/31/2009 14,327 13,039 1/31/2010 13,511 12,312 2/28/2010 13,616 12,355 3/31/2010 14,814 13,353 4/30/2010 14,910 13,514 5/31/2010 13,347 12,326 6/30/2010 13,430 12,235 7/31/2010 14,673 13,254 8/31/2010 14,407 12,997 9/30/2010 16,136 14,441 10/31/2010 16,689 14,860 11/30/2010 16,146 14,468 12/31/2010 17,487 15,500 1/31/2011 16,940 15,080 2/28/2011 16,655 14,939 3/31/2011 17,612 15,818 4/30/2011 18,241 16,308 5/31/2011 17,545 15,880 6/30/2011 17,185 15,636 7/31/2011 17,040 15,567 8/31/2011 15,310 14,176 9/30/2011 12,561 12,109 10/31/2011 14,212 13,713 11/30/2011 13,492 12,799 12/31/2011 13,007 12,645 1/31/2012 14,811 14,079 2/29/2012 15,713 14,922 3/31/2012 15,036 14,424 4/30/2012 14,545 14,252 5/31/2012 12,937 12,653 6/30/2012 13,522 13,142 7/31/2012 13,436 13,398 8/31/2012 13,623 13,354 9/30/2012 14,499 14,159 10/31/2012 14,311 14,073 11/30/2012 14,468 14,252 12/31/2012 15,526 14,949 1/31/2013 15,775 15,155 2/28/2013 15,510 14,965 3/31/2013 15,377 14,707 4/30/2013 15,513 14,818 5/31/2013 15,070 14,438 6/30/2013 13,801 13,518 7/31/2013 14,069 13,660 8/31/2013 13,770 13,425 9/30/2013 14,787 14,298 10/31/2013 15,457 14,993 11/30/2013 15,083 14,774 12/31/2013 14,935 14,560 1/31/2014 13,891 13,615 2/28/2014 14,199 14,066 3/31/2014 14,832 14,497 4/30/2014 14,930 14,546 5/31/2014 15,536 15,053 6/30/2014 15,941 15,453 7/31/2014 16,239 15,752 8/31/2014 16,602 16,107 9/30/2014 15,240 14,913 10/31/2014 15,224 15,089 11/30/2014 14,972 14,930 12/31/2014 14,276 14,241 1/31/2015 14,159 14,327 2/28/2015 14,664 14,770 3/31/2015 14,248 14,560 4/30/2015 15,667 15,680 5/31/2015 14,969 15,052 6/30/2015 14,492 14,661 7/31/2015 13,328 13,645 8/31/2015 12,119 12,411 9/30/2015 11,715 12,038 10/31/2015 12,443 12,896 11/30/2015 11,956 12,393 12/31/2015 11,596 12,117 1/31/2016 10,942 11,331 2/29/2016 11,010 11,312 3/31/2016 12,628 12,809 4/30/2016 12,970 12,879 5/31/2016 12,126 12,398 6/30/2016 12,790 12,894 7/31/2016 13,594 13,543 8/31/2016 13,841 13,879 Past performance is not predictive of 9/30/2016 14,032 14,058 future performance. 10/31/2016 14,338 14,091 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 2016, all 15.23% 0.18% 3.67% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS CORE EQUITY PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] Emerging Markets Core Equity MSCI Emerging Markets Portfolio Index (net dividends) ------------------------------- --------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,692 10,743 12/31/2006 11,113 11,227 1/31/2007 11,270 11,108 2/28/2007 11,185 11,043 3/31/2007 11,669 11,481 4/30/2007 12,453 12,025 5/31/2007 13,359 12,609 6/30/2007 13,675 13,200 7/31/2007 14,140 13,897 8/31/2007 13,775 13,601 9/30/2007 14,958 15,103 10/31/2007 16,513 16,788 11/30/2007 15,311 15,597 12/31/2007 15,279 15,652 1/31/2008 13,783 13,699 2/29/2008 14,233 14,710 3/31/2008 13,716 13,932 4/30/2008 14,756 15,062 5/31/2008 14,822 15,342 6/30/2008 13,169 13,811 7/31/2008 13,030 13,290 8/31/2008 12,165 12,229 9/30/2008 10,258 10,089 10/31/2008 7,359 7,328 11/30/2008 6,868 6,776 12/31/2008 7,539 7,305 1/31/2009 6,866 6,833 2/28/2009 6,403 6,447 3/31/2009 7,414 7,374 4/30/2009 8,768 8,601 5/31/2009 10,496 10,071 6/30/2009 10,394 9,935 7/31/2009 11,652 11,052 8/31/2009 11,697 11,013 9/30/2009 12,706 12,012 10/31/2009 12,471 12,027 11/30/2009 13,235 12,544 12/31/2009 13,840 13,039 1/31/2010 13,080 12,312 2/28/2010 13,225 12,355 3/31/2010 14,365 13,353 4/30/2010 14,502 13,514 5/31/2010 13,097 12,326 6/30/2010 13,207 12,235 7/31/2010 14,400 13,254 8/31/2010 14,209 12,997 9/30/2010 15,907 14,441 10/31/2010 16,376 14,860 11/30/2010 15,938 14,468 12/31/2010 17,108 15,500 1/31/2011 16,568 15,080 2/28/2011 16,282 14,939 3/31/2011 17,209 15,818 4/30/2011 17,888 16,308 5/31/2011 17,394 15,880 6/30/2011 17,152 15,636 7/31/2011 17,113 15,567 8/31/2011 15,569 14,176 9/30/2011 12,993 12,109 10/31/2011 14,642 13,713 11/30/2011 14,017 12,799 12/31/2011 13,576 12,645 1/31/2012 15,175 14,079 2/29/2012 16,128 14,922 3/31/2012 15,624 14,424 4/30/2012 15,277 14,252 5/31/2012 13,671 12,653 6/30/2012 14,284 13,142 7/31/2012 14,292 13,398 8/31/2012 14,442 13,354 9/30/2012 15,265 14,159 10/31/2012 15,161 14,073 11/30/2012 15,393 14,252 12/31/2012 16,357 14,949 1/31/2013 16,502 15,155 2/28/2013 16,389 14,965 3/31/2013 16,215 14,707 4/30/2013 16,400 14,818 5/31/2013 15,950 14,438 6/30/2013 14,804 13,518 7/31/2013 15,006 13,660 8/31/2013 14,618 13,425 9/30/2013 15,662 14,298 10/31/2013 16,337 14,993 11/30/2013 16,069 14,774 12/31/2013 15,926 14,560 1/31/2014 14,919 13,615 2/28/2014 15,459 14,066 3/31/2014 16,024 14,497 4/30/2014 16,139 14,546 5/31/2014 16,670 15,053 6/30/2014 17,104 15,453 7/31/2014 17,260 15,752 8/31/2014 17,794 16,107 9/30/2014 16,555 14,913 10/31/2014 16,646 15,089 11/30/2014 16,472 14,930 12/31/2014 15,780 14,241 1/31/2015 15,905 14,327 2/28/2015 16,364 14,770 3/31/2015 16,089 14,560 4/30/2015 17,198 15,680 5/31/2015 16,589 15,052 6/30/2015 16,147 14,661 7/31/2015 15,067 13,645 8/31/2015 13,753 12,411 9/30/2015 13,463 12,038 10/31/2015 14,234 12,896 11/30/2015 13,776 12,393 12/31/2015 13,436 12,117 1/31/2016 12,813 11,331 2/29/2016 12,737 11,312 3/31/2016 14,411 12,809 4/30/2016 14,583 12,879 5/31/2016 13,958 12,398 6/30/2016 14,731 12,894 7/31/2016 15,541 13,543 8/31/2016 15,696 13,879 Past performance is not predictive of 9/30/2016 15,906 14,058 future performance. 10/31/2016 15,923 14,091 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 2016, all 11.87% 1.69% 4.76% rights reserved.
-------------------------------------------------------------------------------- 18 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (UNAUDITED) U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Most U.S. equities had positive returns during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, gained approximately 4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016 ------------------------------------------------- Russell 3000(R) Index............................. 4.24% Russell Microcap(R) Index (micro-cap stocks)...... 1.54% Russell 2000(R) Index (small-cap stocks).......... 4.11% Russell 1000(R) Index (large-cap stocks).......... 4.26% Dow Jones U.S. Select REIT Index/SM/.............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016 ------------------------------------------------- Russell 2000(R) Value Index (small-cap value stocks)......................................... 8.81% Russell 2000(R) Growth Index (small-cap growth stocks)......................................... -0.49% Russell 1000(R) Value Index (large-cap value stocks)......................................... 6.37% Russell 1000(R) Growth Index (large-cap growth stocks)......................................... 2.28%
---------- Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. 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 directly. 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 uses S&P 500(R) Index futures contracts, swaps, and/or ETFs in conjunction with short-term investment grade fixed income instruments. As of October 31, 2016, 100% of the equity exposure consisted of S&P 500(R) Index futures contracts. The behavior of S&P 500(R) Index futures contracts is determined principally by the performance of the S&P 500(R) Index. For the 12 months ended October 31, 2016, the total return was 4.75% for the Portfolio and 4.51% for the S&P 500(R) Index, the Portfolio's benchmark. Relative to the benchmark, the Portfolio's outperformance was primarily due to the performance of the fixed income component of the Portfolio. The net return of the fixed income component was greater than the average interest rate priced into the S&P 500(R) Index futures contracts that the Portfolio purchased throughout the year. U.S. LARGE CAP EQUITY PORTFOLIO The U.S. Large Cap Equity Portfolio invests in a broadly diversified group of U.S. securities with increased exposure to lower total market capitalization large company stocks, value stocks, and higher large cap profitability stocks relative to the U.S. large-cap universe. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 900 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. 19 For the 12 months ended October 31, 2016, total returns were 3.51% for the Portfolio and 4.26% for the Russell 1000(R) Index, the Portfolio's benchmark. 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 benchmark to lower total market capitalization stocks of large companies, which detracted from the Portfolio's performance as mid-cap stocks underperformed. U.S. LARGE CAP VALUE PORTFOLIO The U.S. Large Cap Value Portfolio is designed to capture the returns of U.S. large-cap 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, 2016, the Master Fund held approximately 300 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 4.58% for the Portfolio and 6.37% for the Russell 1000(R) Value Index, the Portfolio's benchmark. 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 had a larger allocation than the benchmark to lower relative price stocks, which detracted from the Portfolio's performance relative to the benchmark, as the lowest relative price quartile underperformed. The Master Fund's exclusion of real estate investment trusts (REITs) and utilities detracted from performance relative to the benchmark, as REITs and utilities outperformed most other sectors during the period. U.S. TARGETED VALUE PORTFOLIO The U.S. Targeted Value Portfolio invests in a broadly diversified group of U.S. small and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The U.S. Targeted Value Portfolio also may consider profitability in the Portfolio's construction. In assessing profitability, the Advisor may consider such factors as earnings or profits from operations relative to book value or assets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,500 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 4.21% for the Portfolio's Class R1 shares, 4.04% for the Portfolio's Class R2 shares, 4.29% for the Portfolio's Institutional Class shares, and 8.81% for the Russell 2000(R) Value Index, the Portfolio's benchmark. 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 benchmark to mid-cap stocks and a lower allocation to small-cap stocks. Mid-cap stocks underperformed small-caps during the period and detracted from the Portfolio's performance, relative to the benchmark. Within small-cap and mid-cap value stocks, the Portfolio's greater emphasis on higher profitability stocks detracted from relative performance as these stocks underperformed lower profitability stocks during the period. The Portfolio's exclusion of real estate investment trusts (REITs) and utilities detracted from relative performance as these sectors outperformed most other sectors during the period. U.S. SMALL CAP VALUE PORTFOLIO The U.S. Small Cap Value Portfolio invests in a broadly diversified group of U.S. small capitalization value stocks. Value is measured primarily by book-to-market ratio. The U.S. Small Cap Value Portfolio also may consider profitability in the Portfolio's construction. In assessing profitability, the Advisor may consider such factors as earnings or profits from operations relative to book value or assets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,100 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 4.49% for the Portfolio and 8.81% for the Russell 2000(R) Value Index, the Portfolio's benchmark. 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 20 behavior of a limited number of stocks. The Portfolio invests in a broader market capitalization range of securities than the benchmark. This detracted from the Portfolio's performance relative to the benchmark, as stocks above the range of market capitalization held by the benchmark underperformed. The Portfolio's greater allocation than the benchmark to deep value stocks also detracted from relative performance. Within small-cap value stocks, the Portfolio's greater emphasis on stocks with higher profitability detracted from relative performance as these stocks underperformed lower profitability stocks during the period. The Portfolio's exclusion of real estate investment trusts and utilities detracted from relative performance as these sectors outperformed most other sectors during the period. U.S. CORE EQUITY 1 PORTFOLIO The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of U.S. securities 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, 2016, the Portfolio held approximately 2,700 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.68% for the Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark. 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 benchmark to lower total market capitalization stocks, which detracted from the Portfolio's performance as mid-cap stocks underperformed. The Portfolio also had a lesser allocation to large cap growth stocks, which outperformed. U.S. CORE EQUITY 2 PORTFOLIO The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of U.S. securities 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, 2016, the Portfolio held approximately 2,700 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.47% for the Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark. 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 benchmark to lower total market capitalization stocks, which detracted from the Portfolio's performance as mid-cap stocks underperformed. The Portfolio also had a lesser allocation to large cap growth stocks, which outperformed. U.S. VECTOR EQUITY PORTFOLIO The U.S. Vector Equity Portfolio invests in a broadly diversified group of U.S. securities 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, 2016, the Portfolio held approximately 2,600 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.28% for the Portfolio and 4.24% for the Russell 3000(R) Index, the Portfolio's benchmark. 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 benchmark to lower total market capitalization stocks, which detracted from the Portfolio's performance as mid-cap stocks underperformed. The Portfolio also had a lesser allocation to large cap growth stocks, which outperformed. U.S. SMALL CAP PORTFOLIO The U.S. Small Cap Portfolio invests in a broadly diversified group of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held 21 approximately 2,000 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.89% for the Portfolio and 4.11% for the Russell 2000(R) Index, the Portfolio's benchmark. 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's exclusion of real estate investment trusts (REITs) detracted from its performance relative to the benchmark, as REITs outperformed most other sectors during the period. Within small-cap stocks, the Portfolio excluded certain stocks with lower profitability and higher relative price, which benefited the Portfolio's performance. These excluded stocks generally underperformed the benchmark return during the period. U.S. MICRO CAP PORTFOLIO The U.S. Micro Cap Portfolio invests in a broadly diversified group 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, 2016, the Portfolio held approximately 1,600 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 4.32% for the Portfolio and 4.11% for the Russell 2000(R) Index, the Portfolio's benchmark. 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. Within small-caps, the Portfolio excluded certain stocks with lower profitability and higher relative price, which contributed to outperformance over the benchmark. These excluded stocks generally underperformed the benchmark return during the period. The Portfolio's exclusion of real estate investment trusts (REITs) detracted from its performance relative to the benchmark 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, 2016, the Portfolio held approximately 150 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, 2016, total returns were 6.89% for the Portfolio, 4.96% for the Dow Jones U.S. Select REIT Index/SM/, the Portfolio's benchmark, and 4.51% 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. Differences in REIT eligibility between the Portfolio and the Dow Jones U.S. Select REIT Index/SM/ were the primary driver of the Portfolio's outperformance relative to the benchmark. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Performance of non-U.S. developed markets was varied for the period. Small-cap stocks had positive returns, while large-cap stocks had negative returns. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS ---------------------- MSCI World ex USA Index............ -2.27% MSCI World ex USA Small Cap Index.. 3.96% MSCI World ex USA Value Index...... -2.07% MSCI World ex USA Growth Index..... -2.58%
During the period, the performance of the U.S. dollar was mixed when compared against currencies of other developed markets. In particular, while the U.S. dollar appreciated significantly against the British pound, it 22 depreciated significantly against the Japanese yen. Overall, currency fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS --------------------------------------------------- ------------ ---------------------- Japan............................. -10.14% 3.19% United Kingdom.................... 13.55% -10.24% France............................ -4.31% -5.04% Switzerland....................... -8.27% -8.57% Canada............................ 11.55% 8.90% Germany........................... -2.14% -2.89% Australia......................... 5.52% 12.55% Hong Kong......................... 8.52% 8.45% Spain............................. -8.40% -9.10% Netherlands....................... 0.63% -0.20%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS ---------------------- MSCI Emerging Markets Index............. 9.27% MSCI Emerging Markets Small Cap Index... 4.78% MSCI Emerging Markets Value Index....... 8.60% MSCI Emerging Markets Growth Index...... 9.81%
During the period, the performance of the U.S. dollar was mixed when compared against currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benfitted from USD-denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS -------------------------------------- ------------ ---------------------- China................................... 1.62% 1.54% Korea................................... 5.56% 5.17% Taiwan.................................. 14.56% 17.85% India................................... 6.28% 3.99% South Africa............................ -0.92% 1.46% Brazil.................................. 40.59% 70.69% Mexico.................................. 8.65% -4.51% Russia.................................. 17.86% 18.61% Malaysia................................ 4.44% 6.95% Indonesia............................... 26.13% 32.31%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the 23 referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds' relative performance. GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Publicly traded global real estate investment trusts (REITs) and REIT-like securities produced positive overall returns during the period. REITs and REIT-like securities generally outperformed developed non-U.S. equity markets but underperformed U.S. and emerging markets equities. The U.S. REIT market, the world's largest, had positive performance and outperformed non-U.S. REITs and REIT-like securities overall. Across larger REIT and REIT-like markets, Japan and Australia were among the stronger performers, while the U.K. had the weakest performance during the period. As measured by the S&P Global REIT Index, industrial and healthcare REITs and REIT-like securities had the largest gains, while hotel/resort and retail REITs and REIT-like securities had the weakest returns.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS ---------------------- S&P Global ex U.S. REIT Index (net dividends)... 1.28% S&P Global REIT Index (net dividends)........... 3.89%
---------- Source: Standard and Poor's. Copyright S&P, 2016. All rights reserved. For funds investing in non-US REITs and REIT-like securities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds' relative performance. 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 directly. LARGE CAP INTERNATIONAL PORTFOLIO The Large Cap International Portfolio seeks to capture the returns of a broadly diversified portfolio of developed ex U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,300 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were -1.30% for the Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio's emphasis on large company stocks with relatively smaller market capitalization rather than on the broad large-cap universe contributed positively to its performance relative to the benchmark, as those stocks outperformed for the period. INTERNATIONAL CORE EQUITY PORTFOLIO The International Core Equity Portfolio invests in a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization and lower relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 5,100 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. 24 For the 12 months ended October 31, 2016, total returns were 1.62% for the Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories, while the benchmark primarily includes large- and mid-cap stocks. With developed ex U.S. small-cap stocks generally outperforming large-cap stocks during the period, the Portfolio's inclusion of small-cap stocks contributed positively to performance relative to the benchmark. To a lesser extent, the Portfolio's greater emphasis than the benchmark on low relative price (value) stocks also had a positive impact on the Portfolio's relative performance, as value stocks generally outperformed during the period. INTERNATIONAL SMALL COMPANY PORTFOLIO The International Small Company Portfolio is designed to capture the returns of developed ex U.S. small company stocks by purchasing shares of five Master Funds managed by Dimensional that invest individually in Canada, the United Kingdom, 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, 2016, the Master Funds collectively held approximately 4,200 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 5.43% for the Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio's benchmark. As a result of each Master Fund's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Master Funds' greater allocation than the benchmark to micro-cap securities was the primary driver of outperformance, as micro caps generally outperformed other small-cap securities. The Master Funds generally exclude real estate investment trusts (REITs), which also contributed positively to relative performance, as REITs generally underperformed the benchmark. 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 managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 1,500 securities. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were 14.04% for the Portfolio and 13.21% for the MSCI Japan Small Cap Index (net dividends), the Portfolio's benchmark. 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 by the behavior of a limited number of stocks. The Master Fund's greater allocation than the benchmark to micro-cap securities had a positive impact on its performance relative to the benchmark , as micro-caps generally outperformed other small-cap securities. The Master Fund's outperformance was partially offset by the exclusion of real estate investment trusts (REITs), which outperformed the overall benchmark. 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 managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 850 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, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were 16.18% for the Portfolio and 10.56% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Portfolio's benchmark. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in Asia Pacific 25 equity markets rather than by the behavior of a limited number of stocks. The Master Fund's exclusion of small- and micro-cap stocks with high relative price (growth) and low profitability contributed to outperformance relative to the benchmark, as that segment of the market underperformed. The Master Fund's holdings of micro-cap securities, which were held at higher weight than in the benchmark, outperformed and also contributed positively to relative performance. In addition, due to differences in methodology the Master Fund may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion; during the period, these securities also outperformed, contributing to the Master Fund's relative performance. UNITED KINGDOM SMALL COMPANY PORTFOLIO The United Kingdom Small Company Portfolio is designed to capture the returns of small company stocks in the U.K. by purchasing shares of the United Kingdom Small Company 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, 2016, the Master Fund held approximately 320 securities. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were -16.20% for the Portfolio and -15.89% for the MSCI UK Small Cap Index (net dividends), the Portfolio's benchmark. 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 by the behavior of a limited number of stocks. The Master Fund's overall performance was adversely affected by the British vote on June 23, 2016 to exit the European Union. The Master Fund's investments are denominated primarily in British pounds, which depreciated approximately 16% from the aftermath of the vote through October 31, 2016. The Master Fund generally excludes real estate investment trusts (REITs), which contributed positively to its performance relative to the benchmark, as REITs in the U.K. underperformed all other sectors during the period. This was offset by differences between the Master Fund's and the benchmark's holdings in the consumer discretionary sector, as the benchmark's holdings in this sector outperformed those of the Master Fund. 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 managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 1,160 securities in 14 eligible developed European countries plus Israel. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were 5.70% for the Portfolio and 2.61% for the MSCI Europe ex UK Small Cap Index (net dividends), the Portfolio's benchmark. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in the European (excluding the U.K.) and Israeli equity markets rather than by the behavior of a limited number of stocks. The Master Fund's holdings of microcap securities, held at a higher weight than in the benchmark, outperformed and contributed to performance relative to the benchmark. In addition, due to differences in methodology, the Master Fund may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion. During the period, the Master Fund's holdings of these securities outperformed and contributed positively to relative performance. The Master Fund generally excludes real estate investment trusts (REITs), which contributed positively to outperformance relative to the benchmark, as REITs underperformed the overall index. 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 developed ex U.S. and emerging markets. As of October 31, 2016, the Portfolio held approximately 260 securities in 21 approved developed ex U.S. and emerging markets countries. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 1.05% for the Portfolio and 1.28% for the S&P Global ex US REIT Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified approach, performance was generally determined by broad trends in developed ex U.S. real estate securities 26 markets rather than by the behavior of a limited number of stocks. The Portfolio's overall performance and its benchmark were adversely affected by the British vote on June 23, 2016 to exit the European Union. The Portfolio held an average weight of approximately 15% in UK REITs over the one year period ended October 31, 2016. The Portfolio's exclusion of Thailand REITs, which outperformed and were included in the benchmark, detracted from the Portfolio's performance relative to the benchmark. In addition, small holdings differences in Japan, the U.K., and Australia, resulting from differences in the classification of eligible securities between the Portfolio and the benchmark, also detracted from relative performance. DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO The DFA Global Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified group of real estate securities in developed and emerging markets. As of October 31, 2016, the Portfolio invested in the DFA International Real Estate Securities Portfolio, the DFA Real Estate Securities Portfolio, and individual securities. As of October 31, 2016, the Portfolio held, either directly or through the underlying portfolios, approximately 410 securities in 22 approved developed and emerging markets countries. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 4.87% for the Portfolio and 3.89% for the S&P Global REIT Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified approach, performance was generally determined by broad trends in global real estate markets rather than by the behavior of a limited number of stocks. The Portfolio's overall performance and its benchmark were adversely affected by the British vote on June 23, 2016 to exit the European Union. The Portfolio held an average weight of approximately 5% in UK REITs over the one year period ended October 31, 2016. The Portfolio's holdings in the U.S. outperformed those in the benchmark. Withholding tax rate differences between the Portfolio and the benchmark also contributed positively to the Portfolio's relative performance relative to the benchmark. DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO The DFA International Small Cap Value Portfolio is designed to capture the returns of small-cap value stocks in developed ex U.S. markets. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held over 2,200 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 4.09% for the Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio focuses on deep value stocks, while the benchmark does not. This difference had a positive impact on the Portfolio's performance relative to the benchmark, as value stocks generally outperformed during the period. The Portfolio generally excludes real estate investment trusts (REITs), which also had a positive impact on relative outperformance as REITs underperformed the benchmark. INTERNATIONAL VECTOR EQUITY PORTFOLIO The International Vector Equity Portfolio is designed to capture the returns of a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization, lower relative price, and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 4,600 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.21% for the Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories, while the benchmark primarily includes large and mid-cap stocks. With developed ex U.S. small-cap stocks generally 27 outperforming large-cap stocks during the period, the Portfolio's inclusion of small-cap stocks contributed positively to performance relative to the benchmark. To a lesser extent, the Portfolio's greater emphasis than the benchmark on low relative price (value) stocks also had a positive impact on the Portfolio's relative performance, as value stocks outperformed 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 developed ex U.S. and emerging markets. The Portfolio may pursue its objective by holding direct securities; by purchasing shares of funds managed by Dimensional: the DFA International Value Series, the DFA International Small Cap Value Portfolio, and the Dimensional Emerging Markets Value Fund (the "Underlying Funds"); or by a combination of securities and Underlying Funds. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Underlying Funds collectively held approximately 4,900 securities in 41 eligible developed ex US and emerging markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.54% for the Portfolio and 0.22% for the MSCI All Country World ex USA Index (net dividends), the Portfolio's benchmark. As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad trends in developed ex U.S. and emerging equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds invest primarily in value stocks, while the benchmark is neutral with regard to value or growth stocks. The Underlying Funds' emphasis on deep value stocks contributed positively to the Portfolio's performance relative to the benchmark, as that segment of the market outperformed for the year. The Underlying Funds' inclusion of and emphasis on small and mid-cap stocks also contributed positively to the Portfolio's performance relative to the benchmark, as those stocks outperformed for 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 developed ex U.S. and emerging markets. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 3,600 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 7.18% for the Portfolio and 4.22% for the MSCI All Country World ex USA Small Cap Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. and emerging markets rather than by the behavior of a limited number of stocks. The Portfolio's emphasis on value stocks, compared to the benchmark, which is neutral with regard to value or growth stocks, had a positive impact on the Portfolio's performance relative to the benchmark, as value stocks generally outperformed during the period. The Portfolio generally excludes real estate investment trusts (REITs), which also contributed positively to relative performance as REITs underperformed the benchmark. 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 group of stocks in developed ex U.S. and emerging markets with increased exposure to stocks with smaller market capitalization and lower relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 7,000 securities in 43 eligible developed and emerging markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 3.58% for the Portfolio and 0.22% for the MSCI All Country World ex USA Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. and emerging equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories, while the benchmark primarily holds large and mid-cap stocks. The Portfolio's inclusion of 28 small-cap stocks contributed positively to performance relative to the benchmark. To a lesser extent, the Portfolio's greater emphasis than the benchmark on low relative price (value) stocks also had a positive impact on the Portfolio's relative performance, as value stocks outperformed during the period. 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. As of the date of this report, the Portfolio's investments included 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, 2016, the Underlying Funds collectively held more than 12,000 equity securities in 44 countries. For the 12 months ended October 31, 2016, total returns were 3.73% for the Portfolio and 2.05% for the MSCI All Country World Index (net dividends), the Portfolio's benchmark. 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' greater exposure than the benchmark to smaller and deeper value stocks, both of which generally outperformed the benchmark, contributed to the Portfolio's performance relative to the benchmark. SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of mutual funds managed by Dimensional. As of the date of this report, the Portfolio invests in 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, 2016, the Underlying Funds collectively held more than 12,000 equity securities in 44 countries. For the 12 months ended October 31, 2016, total returns were 4.32% for the Portfolio and 2.05% for the MSCI All Country World Index (net dividends), the Portfolio's benchmark. 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 Underlying Funds invest in stocks across all eligible countries but had a lower allocation than the benchmark to the U.S. and a higher allocation than the benchmark to emerging markets. For the period, emerging markets securities outperformed both U.S. and developed ex U.S. securities, and the Underlying Funds' country allocation contributed to the Portfolio's performance relative to the benchmark. The Underlying Funds' greater exposure than the benchmark to smaller and deeper value stocks, both of which outperformed, contributed to the Portfolio's relative performance. To a lesser extent, the Portfolio's strategy of selectively hedging foreign currency exposure contributed to relative returns, particularly hedging British pound exposure, as the British pound depreciated against the U.S. dollar. 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, 2016, the Master Fund held approximately 1,000 securities across 21 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were 11.01% for the Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio's benchmark. As a result of the Master Fund's diversified approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The relative outperformance of the Master Fund was driven primarily by country allocation differences between the Master Fund and the benchmark. The Master Fund's lesser allocation to China contributed positively to the Portfolio's performance relative to the benchmark, as China underperformed the benchmark during the period. The Master Fund's greater allocation to Brazil (due to caps on larger countries such as China) also had a positive impact on relative performance, as Brazil was the strongest-performing country for 29 the year. In addition, the Master Fund's emphasis on value stocks contributed positively to relative performance, as that segment of the market outperformed for the year. 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, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 3,600 securities across 17 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were 13.96% for the Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio's benchmark. As a result of the Master Fund's diversified approach, performance was principally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The relative outperformance of the Master Fund was driven primarily by size allocation differences between the Master Fund and the benchmark. The Master Fund focuses on small-cap stocks while the benchmark primarily holds large-cap and mid-cap stocks. Emerging markets small-cap stocks outperformed emerging markets large-caps and mid-caps during the period, contributing to the Master Fund's outperformance relative to the benchmark. The Master Fund's lesser allocation to China also contributed positively to relative performance, as China underperformed the benchmark during the period. The Master Fund's greater allocation to Brazil also had a positive impact on relative performance, as Brazil was the strongest-performing country for the year. 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 price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were 14.98% for the Portfolio's Class R2 shares, 15.23% for the Portfolio's Institutional Class shares, and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio's benchmark. As a result of the Master Fund's diversified investment approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The Master Fund invests primarily in low relative price (value) stocks, while the benchmark is neutral with regard to value or growth stocks. The Master Fund's emphasis on the lowest relative price (deep value) stocks contributed positively to the Portfolio's performance relative to the benchmark, as that segment of the market outperformed for the year, especially among small-caps. In addition, differences in country allocations contributed positively to the Master Fund's relative performance. The Master Fund held a lesser allocation to China, which underperformed, and a greater allocation to Brazil, which outperformed, in each case contributing positively to relative performance. EMERGING MARKETS CORE EQUITY PORTFOLIO The Emerging Markets Core Equity Portfolio is designed to capture the returns of a broadly diversified group of stocks in emerging markets, with increased exposure to stocks with smaller market capitalization, lower relative price, and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 4,400 securities across 21 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, total returns were 11.87% for the Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio's benchmark. As a result of the Portfolio's diversified approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The Portfolio's inclusion of small-cap securities, particularly the lowest relative price 30 (deep value) small-cap securities, contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year. At the country level, the Portfolio's lesser allocation to China benefited relative performance, as China underperformed. In addition, the Portfolio's greater allocation to Brazil had a positive impact on the Portfolio's relative performance, as Brazil was the strongest performer in the benchmark for the year. 31 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, 2016 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- ENHANCED U.S. LARGE COMPANY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,040.10 0.23% $1.18 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,023.98 0.23% $1.17
32 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE CAP EQUITY PORTFOLIO ------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,038.80 0.17% $0.87 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.28 0.17% $0.87 U.S. LARGE CAP VALUE PORTFOLIO** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,046.00 0.27% $1.39 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.78 0.27% $1.37 U.S. TARGETED VALUE PORTFOLIO ----------------------------- Actual Fund Return Class R1 Shares................. $1,000.00 $1,036.30 0.47% $2.41 Class R2 Shares................. $1,000.00 $1,035.10 0.62% $3.17 Institutional Class Shares...... $1,000.00 $1,036.80 0.37% $1.89 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.77 0.47% $2.39 Class R2 Shares................. $1,000.00 $1,022.02 0.62% $3.15 Institutional Class Shares...... $1,000.00 $1,023.28 0.37% $1.88 U.S. SMALL CAP VALUE PORTFOLIO ------------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,038.50 0.52% $2.66 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.52 0.52% $2.64 U.S. CORE EQUITY 1 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,038.70 0.19% $0.97 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.18 0.19% $0.97 U.S. CORE EQUITY 2 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,039.40 0.22% $1.13 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.03 0.22% $1.12 U.S. VECTOR EQUITY PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,038.70 0.32% $1.64 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.53 0.32% $1.63
33 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- U.S. SMALL CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,041.40 0.37% $1.90 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.28 0.37% $1.88 U.S. MICRO CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,045.90 0.52% $2.67 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.52 0.52% $2.64 DFA REAL ESTATE SECURITIES PORTFOLIO ------------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,018.40 0.18% $0.91 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,024.23 0.18% $0.92 LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,011.00 0.28% $1.42 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.73 0.28% $1.42 INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,019.00 0.38% $1.93 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.23 0.38% $1.93 INTERNATIONAL SMALL COMPANY PORTFOLIO***** ------------------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,023.90 0.54% $2.75 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.42 0.54% $2.75 JAPANESE SMALL COMPANY PORTFOLIO** ---------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,133.50 0.54% $2.90 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.42 0.54% $2.75 ASIA PACIFIC SMALL COMPANY PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,064.00 0.55% $2.85 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.37 0.55% $2.80
34 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- UNITED KINGDOM SMALL COMPANY PORTFOLIO** ---------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 882.00 0.59% $2.79 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.17 0.59% $3.00 CONTINENTAL SMALL COMPANY PORTFOLIO** ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,016.10 0.55% $2.79 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.37 0.55% $2.80 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 939.00 0.28% $1.36 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.73 0.28% $1.42 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO**** ----------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 990.00 0.24% $1.20 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.93 0.24% $1.22 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,026.70 0.68% $3.46 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.72 0.68% $3.46 INTERNATIONAL VECTOR EQUITY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,026.10 0.49% $2.50 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.67 0.49% $2.49 WORLD EX U.S. VALUE PORTFOLIO*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,052.00 0.52% $2.68 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.52 0.52% $2.64 WORLD EX U.S. TARGETED VALUE PORTFOLIO -------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,038.00 0.79% $4.05 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.17 0.79% $4.01
35 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- WORLD EX U.S. CORE EQUITY PORTFOLIO ----------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,036.40 0.47% $2.41 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.77 0.47% $2.39 WORLD CORE EQUITY PORTFOLIO*** ------------------------------ Actual Fund Return Institutional Class Shares................... $1,000.00 $1,036.90 0.30% $1.54 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.63 0.30% $1.53 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,057.20 0.35% $1.81 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.38 0.35% $1.78 EMERGING MARKETS PORTFOLIO** ---------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,091.50 0.56% $2.94 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.32 0.56% $2.85 EMERGING MARKETS SMALL CAP PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,089.60 0.71% $3.73 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.57 0.71% $3.61 EMERGING MARKETS VALUE PORTFOLIO** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $1,104.40 0.81% $4.28 Institutional Class Shares................... $1,000.00 $1,105.50 0.56% $2.96 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,021.06 0.81% $4.12 Institutional Class Shares................... $1,000.00 $1,022.32 0.56% $2.85 EMERGING MARKETS CORE EQUITY PORTFOLIO -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,092.00 0.61% $3.21 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.07 0.61% $3.10
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of its Master Funds. ***The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds' portion of the expenses of its Underlying Funds (Affiliated Investment Companies). ****The Portfolio invests directly and indirectly through other funds. The expenses shown reflect the direct expenses of the fund and the fund's portion of the expenses of its Underlying Funds (Affiliated Investment Companies). *****The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds' portion of the expenses of its Master Funds. 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 28, 2016. They are 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 regulations 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% World ex U.S. Value 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.................................... 27.2% Government................................... 38.1% Foreign Corporate............................ 16.8% Foreign Government........................... 15.9% Supranational................................ 2.0% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. LARGE CAP EQUITY PORTFOLIO Consumer Discretionary....................... 15.1% Consumer Staples............................. 9.3% Energy....................................... 6.2% Financials................................... 13.6% Health Care.................................. 13.0% Industrials.................................. 11.9% Information Technology....................... 21.1% Materials.................................... 3.9% Real Estate.................................. 0.2% Telecommunication Services................... 3.1% Utilities.................................... 2.6% ----- 100.0%
U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary....................... 12.9% Consumer Staples............................. 2.8% Energy....................................... 8.1% Financials................................... 27.5% Health Care.................................. 4.7% Industrials.................................. 20.1% Information Technology....................... 14.8% Materials.................................... 6.9% Real Estate.................................. 0.4% Telecommunication Services................... 1.3% Utilities.................................... 0.5% ----- 100.0%
U.S. SMALL CAP VALUE PORTFOLIO Consumer Discretionary....................... 13.1% Consumer Staples............................. 4.6% Energy....................................... 10.7% Financials................................... 27.3% Health Care.................................. 4.5% Industrials.................................. 19.1% Information Technology....................... 13.8% Materials.................................... 5.7% Real Estate.................................. 0.2% Telecommunication Services................... 0.8% Utilities.................................... 0.2% ----- 100.0%
U.S. CORE EQUITY 1 PORTFOLIO Consumer Discretionary....................... 15.5% Consumer Staples............................. 8.6% Energy....................................... 6.0% Financials................................... 14.7% Health Care.................................. 11.4% Industrials.................................. 13.3% Information Technology....................... 20.0% Materials.................................... 4.5% Real Estate.................................. 0.2% Telecommunication Services................... 2.7% Utilities.................................... 3.1% ----- 100.0%
U.S. CORE EQUITY 2 PORTFOLIO Consumer Discretionary....................... 14.4% Consumer Staples............................. 7.3% Energy....................................... 7.4% Financials................................... 17.3% Health Care.................................. 10.7% Industrials.................................. 14.0% Information Technology....................... 18.7% Materials.................................... 4.7% Real Estate.................................. 0.3% Telecommunication Services................... 3.0% Utilities.................................... 2.2% ----- 100.0%
U.S. VECTOR EQUITY PORTFOLIO Consumer Discretionary....................... 14.2% Consumer Staples............................. 4.8% Energy....................................... 7.9% Financials................................... 24.6% Health Care.................................. 8.1% Industrials.................................. 15.6% Information Technology....................... 15.1% Materials.................................... 5.3% Real Estate.................................. 0.5% Telecommunication Services................... 2.7% Utilities.................................... 1.2% ----- 100.0%
U.S. SMALL CAP PORTFOLIO Consumer Discretionary....................... 16.0% Consumer Staples............................. 4.6% Energy....................................... 4.2% Financials................................... 19.8% Health Care.................................. 8.3% Industrials.................................. 19.1% Information Technology....................... 16.2% Materials.................................... 5.8% Real Estate.................................. 0.6% Telecommunication Services................... 1.0% Utilities.................................... 4.4% ----- 100.0%
U.S. MICRO CAP PORTFOLIO Consumer Discretionary....................... 16.3% Consumer Staples............................. 3.5% Energy....................................... 2.7% Financials................................... 21.8% Health Care.................................. 9.6% Industrials.................................. 20.8% Information Technology....................... 14.3% Materials.................................... 5.6% Real Estate.................................. 0.9% Telecommunication Services................... 1.8% Utilities.................................... 2.7% ----- 100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO Real Estate.................................. 100.0% ----- 100.0%
38 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED LARGE CAP INTERNATIONAL PORTFOLIO Consumer Discretionary....................... 13.4% Consumer Staples............................. 11.2% Energy....................................... 6.3% Financials................................... 20.1% Health Care.................................. 9.6% Industrials.................................. 14.2% Information Technology....................... 5.0% Materials.................................... 9.7% Real Estate.................................. 2.1% Telecommunication Services................... 4.8% Utilities.................................... 3.6% ----- 100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO Consumer Discretionary....................... 15.8% Consumer Staples............................. 8.1% Energy....................................... 7.2% Financials................................... 17.0% Health Care.................................. 5.7% Industrials.................................. 18.0% Information Technology....................... 6.4% Materials.................................... 13.2% Real Estate.................................. 2.6% Telecommunication Services................... 2.9% Utilities.................................... 3.1% ----- 100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Health Care.................................. 0.2% Real Estate.................................. 99.8% ----- 100.0%
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO Affiliated Investment Companies.............. 67.4% Real Estate.................................. 32.6% ----- 100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Consumer Discretionary....................... 14.1% Consumer Staples............................. 5.5% Energy....................................... 7.0% Financials................................... 18.5% Health Care.................................. 1.7% Industrials.................................. 23.8% Information Technology....................... 5.2% Materials.................................... 19.9% Real Estate.................................. 2.8% Telecommunication Services................... 0.5% Utilities.................................... 1.0% ----- 100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO Consumer Discretionary....................... 15.1% Consumer Staples............................. 7.0% Energy....................................... 7.8% Financials................................... 18.0% Health Care.................................. 4.7% Industrials.................................. 18.9% Information Technology....................... 6.9% Materials.................................... 14.8% Real Estate.................................. 2.7% Telecommunication Services................... 2.0% Utilities.................................... 2.1% ----- 100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary....................... 14.9% Consumer Staples............................. 5.6% Energy....................................... 5.7% Financials................................... 18.3% Health Care.................................. 2.2% Industrials.................................. 20.0% Information Technology....................... 7.0% Materials.................................... 19.4% Real Estate.................................. 4.3% Telecommunication Services................... 1.2% Utilities.................................... 1.4% ----- 100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO Consumer Discretionary....................... 15.1% Consumer Staples............................. 7.7% Energy....................................... 6.9% Financials................................... 17.9% Health Care.................................. 5.0% Industrials.................................. 16.4% Information Technology....................... 8.9% Materials.................................... 12.8% Real Estate.................................. 3.2% Telecommunication Services................... 2.9% Utilities.................................... 3.2% ----- 100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO Consumer Discretionary....................... 11.7% Consumer Staples............................. 8.6% Energy....................................... 6.3% Financials................................... 19.9% Health Care.................................. 3.7% Industrials.................................. 9.6% Information Technology....................... 18.6% Materials.................................... 9.9% Real Estate.................................. 3.5% Telecommunication Services................... 4.3% Utilities.................................... 3.9% ----- 100.0%
39 ENHANCED U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
FACE AMOUNT^ VALUE+ ------- ------ (000) BONDS -- (83.5%) AUSTRALIA -- (7.0%) ANZ New Zealand International Ltd. 1.400%, 04/27/17............................. 1,600 $ 1,601,467 Commonwealth Bank of Australia 1.900%, 09/18/17............................. 3,250 3,266,997 ## 1.375%, 09/06/18............................. 3,000 2,990,274 Westpac Banking Corp. 1.500%, 12/01/17............................. 2,500 2,504,013 2.250%, 07/30/18............................. 3,000 3,037,617 Other Securities............................................ 2,919,569 ----------- TOTAL AUSTRALIA............................................. 16,319,937 ----------- CANADA -- (11.4%) Ontario, Province of Canada 2.000%, 09/27/18............................. 6,700 6,797,934 Quebec, Province of Canada 4.625%, 05/14/18............................. 5,000 5,265,115 Royal Bank of Canada 1.250%, 06/16/17............................. 2,000 2,000,960 1.500%, 01/16/18............................. 2,000 2,003,486 Toronto-Dominion Bank (The) 1.400%, 04/30/18............................. 3,000 3,001,851 1.750%, 07/23/18............................. 2,000 2,010,198 Other Securities............................................ 5,625,334 ----------- TOTAL CANADA................................................ 26,704,878 ----------- DENMARK -- (2.0%) Kommunekredit 1.250%, 08/27/18............................. 3,300 3,305,610 Other Securities............................................ 1,501,200 ----------- TOTAL DENMARK............................................... 4,806,810 ----------- FINLAND -- (2.8%) Municipality Finance P.L.C. 1.125%, 04/17/18............................. 4,500 4,500,454 Other Securities............................................ 2,002,806 ----------- TOTAL FINLAND............................................... 6,503,260 ----------- FRANCE -- (2.0%) BNP Paribas SA 1.375%, 03/17/17............................. 1,800 1,801,743 Societe Generale SA 2.750%, 10/12/17............................. 1,980 2,005,522 Other Securities............................................ 1,001,024 ----------- TOTAL FRANCE................................................ 4,808,289 ----------- GERMANY -- (11.0%) Erste Abwicklungsanstalt 1.000%, 10/13/17............................. 1,800 1,798,166 1.125%, 02/12/18............................. 2,000 1,997,082
FACE AMOUNT^ VALUE+ ------- ------ (000) GERMANY -- (Continued) FMS Wertmanagement AoeR 1.125%, 09/05/17............................. 5,000 $ 5,005,225 KFW 1.000%, 09/07/18............................. 3,000 2,995,332 Landeskreditbank Baden- Wuerttemberg Foerderbank 1.000%, 04/23/18............................. 5,500 5,489,847 State of North Rhine-Westphalia 1.125%, 11/21/17............................. 3,000 2,999,586 1.375%, 07/16/18............................. 2,500 2,508,507 Other Securities................................. 2,915,935 ----------- TOTAL GERMANY.................................... 25,709,680 ----------- IRELAND -- (0.5%) Other Securities................................. 1,204,738 ----------- JAPAN -- (3.9%) Toyota Motor Credit Corp. 1.750%, 05/22/17............................. 5,000 5,019,315 1.550%, 07/13/18............................. 1,500 1,506,684 Other Securities................................. 2,726,816 ----------- TOTAL JAPAN...................................... 9,252,815 ----------- NETHERLANDS -- (6.7%) Bank Nederlandse Gemeenten NV ## 1.000%, 09/20/18............................. 5,000 4,982,860 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 1.700%, 03/19/18............................. 3,435 3,446,600 Nederlandse Waterschapsbank NV 0.875%, 07/13/18............................. 3,500 3,482,451 Other Securities................................. 3,839,402 ----------- TOTAL NETHERLANDS................................ 15,751,313 ----------- NORWAY -- (1.2%) Statoil ASA 1.200%, 01/17/18............................. 2,000 1,995,908 Other Securities................................. 748,997 ----------- TOTAL NORWAY..................................... 2,744,905 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.0%) African Development Bank 1.625%, 10/02/18............................. 2,250 2,271,440 ----------- SWEDEN -- (3.6%) Kommuninvest I Sverige AB 1.000%, 01/29/18............................. 3,000 2,997,069 Svensk Exportkredit AB 1.125%, 04/05/18............................. 2,430 2,430,705
40 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) SWEDEN -- (Continued) Svenska Handelsbanken AB 1.625%, 03/21/18............................. 3,000 $3,007,401 ---------- TOTAL SWEDEN..................................... 8,435,175 ---------- SWITZERLAND -- (0.9%) Other Securities................................. 2,098,249 ---------- UNITED KINGDOM -- (3.5%) Network Rail Infrastructure Finance P.L.C. 0.875%, 05/15/18............................. 4,000 3,983,600 Other Securities................................. 4,117,071 ---------- TOTAL UNITED KINGDOM............................. 8,100,671 ---------- UNITED STATES -- (26.0%) AT&T, Inc. 2.400%, 03/15/17............................. $1,500 1,507,641 Berkshire Hathaway Finance Corp 1.450%, 03/07/18............................. 2,000 2,009,944 Berkshire Hathaway, Inc. 1.550%, 02/09/18............................. 4,000 4,018,224 Capital One Financial Corp. 5.250%, 02/21/17............................. 1,492 1,510,249 Cardinal Health, Inc. 1.900%, 06/15/17............................. 1,500 1,507,014 Chevron Corp. 1.344%, 11/09/17............................. 3,200 3,206,624 1.365%, 03/02/18............................. 1,762 1,764,867 Cisco Systems, Inc. 1.650%, 06/15/18............................. 5,300 5,337,243 Exxon Mobil Corp. 1.439%, 03/01/18............................. 3,000 3,010,707 Molson Coors Brewing Co. 2.000%, 05/01/17............................. 1,715 1,721,949 NYSE Euronext 2.000%, 10/05/17............................. 1,500 1,512,765
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Pfizer, Inc. 1.200%, 06/01/18......................... $ 5,000 $ 5,003,205 UnitedHealth Group, Inc. 6.000%, 06/15/17......................... 1,500 1,545,975 Other Securities............................... 27,214,231 ------------ TOTAL UNITED STATES............................ 60,870,638 ------------ TOTAL BONDS.................................... 195,582,798 ------------ AGENCY OBLIGATIONS -- (5.6%) Federal Home Loan Mortgage Corporation 0.750%, 01/12/18......................... 8,000 7,998,264 Federal National Mortgage Association 1.875%, 09/18/18......................... 5,000 5,089,485 ------------ TOTAL AGENCY OBLIGATIONS....................... 13,087,749 ------------ U.S. TREASURY OBLIGATIONS -- (10.9%) U.S. Treasury Notes ^^ 0.875%, 11/15/17......................... 22,500 22,532,512 0.875%, 01/15/18......................... 3,000 3,004,806 ------------ TOTAL U.S. TREASURY OBLIGATIONS................ 25,537,318 ------------ TOTAL INVESTMENT SECURITIES.................... 234,207,865 ------------ SHARES ------ SECURITIES LENDING COLLATERAL -- (--%) (S)@ DFA Short Term Investment Fund........... 23 270 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $234,199,804).......................... $234,208,135 ============
Summary of the Portfolio's investments as of October 31, 2016, 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.................... -- $ 16,319,937 -- $ 16,319,937 Canada....................... -- 26,704,878 -- 26,704,878 Denmark...................... -- 4,806,810 -- 4,806,810 Finland...................... -- 6,503,260 -- 6,503,260 France....................... -- 4,808,289 -- 4,808,289 Germany...................... -- 25,709,680 -- 25,709,680 Ireland...................... -- 1,204,738 -- 1,204,738 Japan........................ -- 9,252,815 -- 9,252,815 Netherlands.................. -- 15,751,313 -- 15,751,313 Norway....................... -- 2,744,905 -- 2,744,905
41 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------- ------------ ------- ------------ Supranational Organization Obligations...................... -- $ 2,271,440 -- $ 2,271,440 Sweden............................. -- 8,435,175 -- 8,435,175 Switzerland........................ -- 2,098,249 -- 2,098,249 United Kingdom..................... -- 8,100,671 -- 8,100,671 United States...................... -- 60,870,638 -- 60,870,638 Agency Obligations.................. -- 13,087,749 -- 13,087,749 U.S. Treasury Obligations........... -- 25,537,318 -- 25,537,318 Securities Lending Collateral....... -- 270 -- 270 Futures Contracts**................. $251,626 -- -- 251,626 -------- ------------ -- ------------ TOTAL............................... $251,626 $234,208,135 -- $234,459,761 ======== ============ == ============
**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, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (94.5%) Consumer Discretionary -- (14.2%) * Amazon.com, Inc............... 16,644 $ 13,145,764 1.5% Comcast Corp. Class A......... 135,240 8,360,537 1.0% Home Depot, Inc. (The)........ 49,003 5,978,856 0.7% McDonald's Corp............... 34,541 3,888,280 0.5% Time Warner, Inc.............. 36,139 3,216,010 0.4% Walt Disney Co. (The)......... 67,452 6,252,126 0.7% Other Securities.............. 86,938,994 10.2% ------------ ----- Total Consumer Discretionary...... 127,780,567 15.0% ------------ ----- Consumer Staples -- (8.8%) Altria Group, Inc............. 79,821 5,277,765 0.6% Coca-Cola Co. (The)........... 142,593 6,045,943 0.7% CVS Health Corp............... 48,410 4,071,281 0.5% PepsiCo, Inc.................. 58,593 6,281,170 0.7% Philip Morris International, Inc.......................... 47,352 4,566,627 0.5% Procter & Gamble Co. (The).... 103,082 8,947,518 1.1% Wal-Mart Stores, Inc.......... 86,141 6,031,593 0.7% Other Securities.............. 37,710,466 4.5% ------------ ----- Total Consumer Staples............ 78,932,363 9.3% ------------ ----- Energy -- (5.9%) Chevron Corp.................. 61,119 6,402,215 0.8% Exxon Mobil Corp.............. 138,324 11,525,156 1.4% Schlumberger, Ltd............. 41,728 3,264,381 0.4% Other Securities.............. 31,555,639 3.6% ------------ ----- Total Energy...................... 52,747,391 6.2% ------------ ----- Financials -- (12.9%) Bank of America Corp.......... 267,185 4,408,553 0.5% * Berkshire Hathaway, Inc. Class B...................... 60,345 8,707,784 1.0% Citigroup, Inc................ 75,262 3,699,127 0.4% JPMorgan Chase & Co........... 145,465 10,074,906 1.2% Wells Fargo & Co.............. 191,846 8,826,834 1.0% Other Securities.............. 79,882,386 9.5% ------------ ----- Total Financials.................. 115,599,590 13.6% ------------ ----- Health Care -- (12.3%) AbbVie, Inc................... 66,571 3,713,330 0.4% Amgen, Inc.................... 29,359 4,144,316 0.5% Gilead Sciences, Inc.......... 54,053 3,979,922 0.5% Johnson & Johnson............. 107,847 12,509,174 1.5% Medtronic P.L.C............... 40,674 3,336,082 0.4% Merck & Co., Inc.............. 119,713 7,029,547 0.8% Pfizer, Inc................... 292,583 9,277,807 1.1% UnitedHealth Group, Inc....... 37,625 5,317,541 0.6% Other Securities.............. 60,905,220 7.1% ------------ ----- Total Health Care................. 110,212,939 12.9% ------------ -----
43 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (11.2%) 3M Co......................................................... 24,565 $ 4,060,594 0.5% Boeing Co. (The).............................................. 23,780 3,386,985 0.4% General Electric Co........................................... 230,877 6,718,521 0.8% Honeywell International, Inc.................................. 31,952 3,504,495 0.4% Union Pacific Corp............................................ 37,430 3,300,577 0.4% United Parcel Service, Inc. Class B........................... 28,060 3,023,746 0.4% United Technologies Corp...................................... 36,270 3,706,794 0.4% Other Securities.............................................. 73,222,851 8.6% ------------ ------ Total Industrials................................................... 100,924,563 11.9% ------------ ------ Information Technology -- (19.9%) * Alphabet, Inc. Class A........................................ 9,593 7,769,371 0.9% * Alphabet, Inc. Class C........................................ 10,253 8,043,889 1.0% Apple, Inc.................................................... 272,646 30,956,227 3.6% Cisco Systems, Inc............................................ 198,197 6,080,684 0.7% * Facebook, Inc. Class A........................................ 59,975 7,856,125 0.9% Intel Corp.................................................... 250,249 8,726,183 1.0% International Business Machines Corp.......................... 36,994 5,685,608 0.7% Mastercard, Inc. Class A...................................... 39,435 4,220,334 0.5% Microsoft Corp................................................ 268,968 16,116,563 1.9% Oracle Corp................................................... 121,109 4,653,008 0.6% QUALCOMM, Inc................................................. 57,128 3,925,836 0.5% # Visa, Inc. Class A............................................ 58,180 4,800,432 0.6% Other Securities.............................................. 69,767,237 8.1% ------------ ------ Total Information Technology........................................ 178,601,497 21.0% ------------ ------ Materials -- (3.6%) Other Securities.............................................. 32,740,265 3.8% ------------ ------ Real Estate -- (0.2%) Other Securities.............................................. 1,600,080 0.2% ------------ ------ Telecommunication Services -- (3.0%) AT&T, Inc..................................................... 347,768 12,794,385 1.5% Verizon Communications, Inc................................... 202,782 9,753,814 1.1% Other Securities.............................................. 4,152,720 0.5% ------------ ------ Total Telecommunication Services.................................... 26,700,919 3.1% ------------ ------ Utilities -- (2.5%) Other Securities.............................................. 22,316,605 2.6% ------------ ------ TOTAL COMMON STOCKS................................................. 848,156,779 99.6% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 7,339 0.0% ------------ ------ TOTAL INVESTMENT SECURITIES......................................... 848,164,118 ------------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................................... 3,254,122 3,254,122 0.4% ------------ ------ SECURITIES LENDING COLLATERAL -- (5.1%) (S)@ DFA Short Term Investment Fund................................ 3,978,329 46,037,222 5.4% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $843,199,221)............................................. $897,455,462 105.4% ============ ======
44 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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......... $127,780,567 -- -- $127,780,567 Consumer Staples............... 78,932,363 -- -- 78,932,363 Energy......................... 52,747,391 -- -- 52,747,391 Financials..................... 115,599,590 -- -- 115,599,590 Health Care.................... 110,212,939 -- -- 110,212,939 Industrials.................... 100,924,563 -- -- 100,924,563 Information Technology......... 178,601,497 -- -- 178,601,497 Materials...................... 32,740,265 -- -- 32,740,265 Real Estate.................... 1,600,080 -- -- 1,600,080 Telecommunication Services..... 26,700,919 -- -- 26,700,919 Utilities...................... 22,316,605 -- -- 22,316,605 Rights/Warrants................. -- $ 7,339 -- 7,339 Temporary Cash Investments...... 3,254,122 -- -- 3,254,122 Securities Lending Collateral... -- 46,037,222 -- 46,037,222 ------------ ----------- -- ------------ TOTAL........................... $851,410,901 $46,044,561 -- $897,455,462 ============ =========== == ============
See accompanying Notes to Financial Statements. 45 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
VALUE+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.................................. $17,646,269,059 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $13,161,852,368)....................................... $17,646,269,059 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (85.7%) Consumer Discretionary -- (11.1%) # CalAtlantic Group, Inc............................ 950,452 $ 30,718,609 0.4% # Penske Automotive Group, Inc...................... 670,459 30,003,040 0.4% PulteGroup, Inc................................... 2,619,087 48,715,018 0.6% #* Toll Brothers, Inc................................ 1,825,686 50,096,824 0.6% # Wendy's Co. (The)................................. 2,467,549 26,748,231 0.3% Other Securities.................................. 842,546,526 10.5% -------------- ----- Total Consumer Discretionary.......................... 1,028,828,248 12.8% -------------- ----- Consumer Staples -- (2.4%) Ingredion, Inc.................................... 308,331 40,443,777 0.5% * Post Holdings, Inc................................ 452,753 34,513,361 0.4% Other Securities.................................. 152,404,280 1.9% -------------- ----- Total Consumer Staples................................ 227,361,418 2.8% -------------- ----- Energy -- (7.0%) # CONSOL Energy, Inc................................ 2,053,549 34,807,656 0.4% # Helmerich & Payne, Inc............................ 981,328 61,931,610 0.8% # Nabors Industries, Ltd............................ 2,649,417 31,528,062 0.4% # Patterson-UTI Energy, Inc......................... 1,467,463 32,988,568 0.4% #* Transocean, Ltd................................... 3,859,284 37,087,719 0.5% * WPX Energy, Inc................................... 2,495,721 27,103,530 0.3% Other Securities.................................. 423,271,669 5.2% -------------- ----- Total Energy.......................................... 648,718,814 8.0% -------------- ----- Financials -- (23.5%) Allied World Assurance Co. Holdings AG............ 916,893 39,408,061 0.5% American Financial Group, Inc..................... 410,982 30,618,159 0.4% Assurant, Inc..................................... 690,273 55,580,782 0.7% Assured Guaranty, Ltd............................. 1,411,615 42,193,172 0.5% Axis Capital Holdings, Ltd........................ 833,379 47,477,602 0.6% Endurance Specialty Holdings, Ltd................. 556,970 51,213,391 0.6% # Investors Bancorp, Inc............................ 3,372,014 41,340,892 0.5% Old Republic International Corp................... 1,651,907 27,851,152 0.4% # PacWest Bancorp................................... 1,062,252 46,091,114 0.6% # People's United Financial, Inc.................... 3,573,174 58,028,346 0.7% # Prosperity Bancshares, Inc........................ 566,971 31,449,881 0.4% Reinsurance Group of America, Inc................. 529,505 57,112,409 0.7% # RenaissanceRe Holdings, Ltd....................... 413,158 51,351,408 0.6% Umpqua Holdings Corp.............................. 2,309,943 35,295,929 0.4% Validus Holdings, Ltd............................. 731,070 37,357,677 0.5% # WR Berkley Corp................................... 503,536 28,751,906 0.4% # Zions Bancorporation.............................. 2,055,260 66,199,925 0.8% Other Securities.................................. 1,442,305,161 17.8% -------------- ----- Total Financials...................................... 2,189,626,967 27.1% -------------- ----- Health Care -- (4.1%) Other Securities.................................. 378,473,936 4.7% -------------- -----
47 U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (17.2%) * AECOM......................................................... 1,159,540 $ 32,293,189 0.4% AGCO Corp..................................................... 894,626 45,697,496 0.6% Curtiss-Wright Corp........................................... 299,743 26,862,968 0.3% #* Genesee & Wyoming, Inc. Class A............................... 449,223 30,520,211 0.4% * Jacobs Engineering Group, Inc................................. 1,318,143 67,989,816 0.8% * Quanta Services, Inc.......................................... 1,588,395 45,666,356 0.6% Ryder System, Inc............................................. 518,458 35,975,801 0.5% # Trinity Industries, Inc....................................... 1,681,931 35,909,227 0.4% * United Rentals, Inc........................................... 381,529 28,866,484 0.4% Other Securities.............................................. 1,250,108,938 15.4% -------------- ------ Total Industrials................................................... 1,599,890,486 19.8% -------------- ------ Information Technology -- (12.7%) * Arrow Electronics, Inc........................................ 917,670 56,087,990 0.7% Avnet, Inc.................................................... 1,392,357 58,409,376 0.7% #* Cirrus Logic, Inc............................................. 580,482 31,334,418 0.4% #* First Solar, Inc.............................................. 938,396 37,995,654 0.5% Ingram Micro, Inc. Class A.................................... 1,355,507 50,424,860 0.6% Marvell Technology Group, Ltd................................. 2,895,763 37,731,792 0.5% Other Securities.............................................. 906,143,941 11.2% -------------- ------ Total Information Technology........................................ 1,178,128,031 14.6% -------------- ------ Materials -- (5.9%) Albemarle Corp................................................ 447,820 37,415,361 0.5% Huntsman Corp................................................. 1,712,055 29,019,332 0.4% Reliance Steel & Aluminum Co.................................. 799,232 54,971,177 0.7% Steel Dynamics, Inc........................................... 1,783,702 48,980,457 0.6% Other Securities.............................................. 377,919,526 4.6% -------------- ------ Total Materials..................................................... 548,305,853 6.8% -------------- ------ Real Estate -- (0.3%) Other Securities.............................................. 31,044,144 0.4% -------------- ------ Telecommunication Services -- (1.1%) # Frontier Communications Corp.................................. 10,593,249 42,584,861 0.5% Other Securities.............................................. 60,816,043 0.8% -------------- ------ Total Telecommunication Services.................................... 103,400,904 1.3% -------------- ------ Utilities -- (0.4%) Other Securities.............................................. 41,264,674 0.5% -------------- ------ TOTAL COMMON STOCKS................................................. 7,975,043,475 98.8% -------------- ------ TOTAL INVESTMENT SECURITIES......................................... 7,975,043,475 -------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................................... 87,592,812 87,592,812 1.1% -------------- ------ SECURITIES LENDING COLLATERAL -- (13.4%) (S)@ DFA Short Term Investment Fund................................ 107,201,971 1,240,541,205 15.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,412,322,925)........................................... $9,303,177,492 115.3% ============== ======
48 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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......... $1,028,828,248 -- -- $1,028,828,248 Consumer Staples............... 227,361,418 -- -- 227,361,418 Energy......................... 648,718,814 -- -- 648,718,814 Financials..................... 2,189,620,054 $ 6,913 -- 2,189,626,967 Health Care.................... 378,473,936 -- -- 378,473,936 Industrials.................... 1,599,890,486 -- -- 1,599,890,486 Information Technology......... 1,178,128,031 -- -- 1,178,128,031 Materials...................... 548,305,853 -- -- 548,305,853 Real Estate.................... 31,044,144 -- -- 31,044,144 Telecommunication Services..... 103,400,904 -- -- 103,400,904 Utilities...................... 41,264,674 -- -- 41,264,674 Temporary Cash Investments...... 87,592,812 -- -- 87,592,812 Securities Lending Collateral... -- 1,240,541,205 -- 1,240,541,205 Futures Contracts**............. (2,038,880) -- -- (2,038,880) -------------- -------------- -- -------------- TOTAL........................... $8,060,590,494 $1,240,548,118 -- $9,301,138,612 ============== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 49 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (85.5%) Consumer Discretionary -- (11.2%) Aaron's, Inc...................................... 2,619,654 $ 64,731,650 0.5% # Marriott Vacations Worldwide Corp................. 886,647 56,373,016 0.5% Scholastic Corp................................... 1,405,229 53,750,009 0.4% Other Securities.................................. 1,437,550,390 11.4% -------------- ----- Total Consumer Discretionary.......................... 1,612,405,065 12.8% -------------- ----- Consumer Staples -- (3.9%) * Darling Ingredients, Inc.......................... 5,273,808 71,723,789 0.6% # Fresh Del Monte Produce, Inc...................... 1,819,097 109,782,504 0.9% #* Post Holdings, Inc................................ 729,726 55,627,013 0.4% #* Seaboard Corp..................................... 18,550 62,791,750 0.5% Other Securities.................................. 266,035,208 2.1% -------------- ----- Total Consumer Staples................................ 565,960,264 4.5% -------------- ----- Energy -- (9.1%) # Nabors Industries, Ltd............................ 6,743,367 80,246,067 0.6% #* Oasis Petroleum, Inc.............................. 7,099,759 74,476,472 0.6% # Patterson-UTI Energy, Inc......................... 5,206,407 117,040,029 0.9% #* PDC Energy, Inc................................... 1,354,503 83,071,669 0.7% # Rowan Cos. P.L.C. Class A......................... 4,670,168 61,973,129 0.5% * RSP Permian, Inc.................................. 2,076,424 74,958,906 0.6% #* WPX Energy, Inc................................... 8,320,294 90,358,393 0.7% Other Securities.................................. 728,160,751 5.8% -------------- ----- Total Energy.......................................... 1,310,285,416 10.4% -------------- ----- Financials -- (23.3%) American Equity Investment Life Holding Co........ 3,022,120 54,186,612 0.4% Argo Group International Holdings, Ltd............ 1,114,881 61,987,384 0.5% Aspen Insurance Holdings, Ltd..................... 2,180,395 105,204,059 0.8% # Associated Banc-Corp.............................. 5,119,075 103,917,222 0.8% CNO Financial Group, Inc.......................... 5,075,652 76,540,832 0.6% Endurance Specialty Holdings, Ltd................. 1,510,269 138,869,235 1.1% # FNB Corp.......................................... 4,087,225 53,420,031 0.4% # Fulton Financial Corp............................. 5,483,715 81,707,353 0.7% # Hancock Holding Co................................ 2,430,305 81,536,733 0.7% # Hanover Insurance Group, Inc. (The)............... 1,211,123 92,275,461 0.7% # Iberiabank Corp................................... 1,089,503 71,525,872 0.6% # Kemper Corp....................................... 1,719,925 64,583,184 0.5% MB Financial, Inc................................. 2,019,391 73,485,638 0.6% # Old National Bancorp.............................. 3,911,008 57,491,818 0.5% # Provident Financial Services, Inc................. 2,304,932 52,298,907 0.4% # Selective Insurance Group, Inc.................... 1,813,049 66,992,161 0.5% # Washington Federal, Inc........................... 3,026,177 82,463,323 0.7% # Webster Financial Corp............................ 1,721,848 69,562,659 0.6% # Wintrust Financial Corp........................... 1,662,760 89,705,902 0.7% Other Securities.................................. 1,872,244,452 14.8% -------------- ----- Total Financials...................................... 3,349,998,838 26.6% -------------- ----- Health Care -- (3.9%) #* LifePoint Health, Inc............................. 1,329,027 79,542,266 0.6% Other Securities.................................. 478,998,709 3.8% -------------- ----- Total Health Care..................................... 558,540,975 4.4% -------------- -----
50 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (16.3%) # AMERCO........................................................ 257,968 $ 83,166,304 0.7% #* DigitalGlobe, Inc............................................. 2,364,203 59,341,495 0.5% #* Esterline Technologies Corp................................... 1,119,490 82,226,540 0.7% # GATX Corp..................................................... 1,668,824 73,044,426 0.6% # Terex Corp.................................................... 2,260,148 53,972,334 0.4% #* WESCO International, Inc...................................... 1,292,611 70,059,516 0.6% Other Securities.............................................. 1,921,247,349 15.1% --------------- ------ Total Industrials................................................... 2,343,057,964 18.6% --------------- ------ Information Technology -- (11.8%) * CACI International, Inc. Class A.............................. 858,360 83,990,526 0.7% # Convergys Corp................................................ 3,815,481 111,412,045 0.9% MKS Instruments, Inc.......................................... 1,746,536 88,112,741 0.7% * Sanmina Corp.................................................. 2,632,783 72,796,450 0.6% # SYNNEX Corp................................................... 1,127,587 115,622,771 0.9% * Tech Data Corp................................................ 1,052,415 81,057,003 0.7% # Vishay Intertechnology, Inc................................... 4,973,378 70,124,630 0.6% Other Securities.............................................. 1,073,379,767 8.3% --------------- ------ Total Information Technology........................................ 1,696,495,933 13.4% --------------- ------ Materials -- (4.9%) # Commercial Metals Co.......................................... 4,211,702 66,165,838 0.5% Domtar Corp................................................... 2,244,104 80,675,539 0.6% Hecla Mining Co............................................... 11,724,548 70,230,043 0.6% Other Securities.............................................. 487,436,138 3.9% --------------- ------ Total Materials..................................................... 704,507,558 5.6% --------------- ------ Real Estate -- (0.2%) Other Securities.............................................. 23,804,157 0.2% --------------- ------ Telecommunication Services -- (0.7%) Other Securities.............................................. 103,486,357 0.8% --------------- ------ Utilities -- (0.2%) Other Securities.............................................. 23,427,929 0.2% --------------- ------ TOTAL COMMON STOCKS................................................. 12,291,970,456 97.5% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 12,291,970,456 --------------- TEMPORARY CASH INVESTMENTS -- (2.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................................... 283,404,183 283,404,183 2.2% --------------- ------ SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund................................ 155,722,809 1,802,024,349 14.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,171,084,667).......................................... $14,377,398,988 114.0% =============== ======
51 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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............ $ 1,612,405,065 -- -- $ 1,612,405,065 Consumer Staples.................. 565,960,264 -- -- 565,960,264 Energy............................ 1,310,285,416 -- -- 1,310,285,416 Financials........................ 3,349,986,790 $ 12,048 -- 3,349,998,838 Health Care....................... 558,540,975 -- -- 558,540,975 Industrials....................... 2,343,057,964 -- -- 2,343,057,964 Information Technology............ 1,696,495,933 -- -- 1,696,495,933 Materials......................... 704,507,558 -- -- 704,507,558 Real Estate....................... 23,804,157 -- -- 23,804,157 Telecommunication Services........ 103,486,357 -- -- 103,486,357 Utilities......................... 23,427,929 -- -- 23,427,929 Temporary Cash Investments......... 283,404,183 -- -- 283,404,183 Securities Lending Collateral...... -- 1,802,024,349 -- 1,802,024,349 Futures Contracts**................ (3,945,888) -- -- (3,945,888) --------------- -------------- -- --------------- TOTAL.............................. $12,571,416,703 $1,802,036,397 -- $14,373,453,100 =============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 52 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.3%) Consumer Discretionary -- (14.0%) * Amazon.com, Inc......................... 250,397 $ 197,768,559 1.3% Comcast Corp. Class A................... 1,901,433 117,546,588 0.8% Home Depot, Inc. (The).................. 756,178 92,261,278 0.6% McDonald's Corp......................... 530,776 59,749,454 0.4% Starbucks Corp.......................... 870,072 46,174,721 0.3% Time Warner, Inc........................ 482,981 42,980,479 0.3% Walt Disney Co. (The)................... 805,208 74,634,730 0.5% Other Securities........................ 1,657,204,270 11.1% ---------------- ----- Total Consumer Discretionary................ 2,288,320,079 15.3% ---------------- ----- Consumer Staples -- (7.8%) Altria Group, Inc....................... 1,195,886 79,071,982 0.5% Coca-Cola Co. (The)..................... 2,096,157 88,877,057 0.6% CVS Health Corp......................... 645,839 54,315,060 0.4% PepsiCo, Inc............................ 877,848 94,105,306 0.6% Philip Morris International, Inc........ 687,129 66,266,721 0.5% Procter & Gamble Co. (The).............. 1,135,621 98,571,903 0.7% Wal-Mart Stores, Inc.................... 1,208,559 84,623,301 0.6% Other Securities........................ 706,978,514 4.6% ---------------- ----- Total Consumer Staples...................... 1,272,809,844 8.5% ---------------- ----- Energy -- (5.4%) Chevron Corp............................ 976,212 102,258,207 0.7% Exxon Mobil Corp........................ 2,081,293 173,413,333 1.2% Other Securities........................ 613,459,356 4.0% ---------------- ----- Total Energy................................ 889,130,896 5.9% ---------------- ----- Financials -- (13.2%) Bank of America Corp.................... 4,254,770 70,203,705 0.5% * Berkshire Hathaway, Inc. Class B........ 839,905 121,198,291 0.8% Citigroup, Inc.......................... 1,228,689 60,390,064 0.4% JPMorgan Chase & Co..................... 1,957,414 135,570,494 0.9% Wells Fargo & Co........................ 2,832,919 130,342,603 0.9% Other Securities........................ 1,653,107,668 11.0% ---------------- ----- Total Financials............................ 2,170,812,825 14.5% ---------------- ----- Health Care -- (10.3%) AbbVie, Inc............................. 996,807 55,601,894 0.4% Amgen, Inc.............................. 323,892 45,720,595 0.3% Gilead Sciences, Inc.................... 809,650 59,614,529 0.4% Johnson & Johnson....................... 1,195,271 138,639,483 0.9% Merck & Co., Inc........................ 1,202,109 70,587,840 0.5% Pfizer, Inc............................. 2,732,131 86,635,874 0.6% UnitedHealth Group, Inc................. 505,441 71,433,977 0.5% Other Securities........................ 1,152,557,911 7.6% ---------------- ----- Total Health Care........................... 1,680,792,103 11.2% ---------------- ----- Industrials -- (12.0%) 3M Co................................... 374,232 61,860,550 0.4% # Boeing Co. (The)........................ 368,258 52,450,987 0.4% General Electric Co..................... 2,137,237 62,193,597 0.4% Lockheed Martin Corp.................... 168,798 41,588,451 0.3% Union Pacific Corp...................... 498,031 43,916,374 0.3% United Parcel Service, Inc. Class B..... 428,021 46,123,543 0.3%
53 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (Continued) United Technologies Corp................................ 496,912 $ 50,784,406 0.4% Other Securities........................................ 1,615,098,714 10.7% ---------------- ------ Total Industrials............................................. 1,974,016,622 13.2% ---------------- ------ Information Technology -- (18.1%) Accenture P.L.C. Class A................................ 364,757 42,399,354 0.3% * Alphabet, Inc. Class A.................................. 96,373 78,052,493 0.5% * Alphabet, Inc. Class C.................................. 101,097 79,314,640 0.5% Apple, Inc.............................................. 3,494,715 396,789,941 2.7% Cisco Systems, Inc...................................... 3,096,820 95,010,438 0.6% * Facebook, Inc. Class A.................................. 724,263 94,871,210 0.6% Intel Corp.............................................. 3,555,626 123,984,679 0.8% # International Business Machines Corp.................... 550,964 84,677,657 0.6% Mastercard, Inc. Class A................................ 586,074 62,721,639 0.4% Microsoft Corp.......................................... 3,909,747 234,272,040 1.6% Oracle Corp............................................. 1,433,762 55,085,136 0.4% QUALCOMM, Inc........................................... 905,277 62,210,635 0.4% # Visa, Inc. Class A...................................... 980,278 80,882,738 0.6% Other Securities........................................ 1,467,222,979 9.8% ---------------- ------ Total Information Technology.................................. 2,957,495,579 19.8% ---------------- ------ Materials -- (4.1%) Other Securities........................................ 665,729,324 4.5% ---------------- ------ Real Estate -- (0.2%) Other Securities........................................ 36,928,080 0.3% ---------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc............................................... 4,867,797 179,086,252 1.2% Verizon Communications, Inc............................. 2,600,726 125,094,921 0.9% Other Securities........................................ 89,185,801 0.5% ---------------- ------ Total Telecommunication Services.............................. 393,366,974 2.6% ---------------- ------ Utilities -- (2.8%) Other Securities........................................ 466,182,552 3.1% ---------------- ------ TOTAL COMMON STOCKS........................................... 14,795,584,878 98.9% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities........................................ 288,782 0.0% ---------------- ------ FACE AMOUNT ------ (000) BONDS -- (0.0%) Financials -- (0.0%) Other Securities........................................ 486 0.0% ---------------- ------ TOTAL INVESTMENT SECURITIES................................... 14,795,874,146 ---------------- SHARES ------ TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%........................................... 164,854,069 164,854,069 1.1% ---------------- ------ SECURITIES LENDING COLLATERAL -- (8.7%) (S)@ DFA Short Term Investment Fund.......................... 122,384,250 1,416,230,536 9.5% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,906,896,966).................................... $ 16,376,958,751 109.5% ================ ======
54 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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......... $ 2,288,319,629 $ 450 -- $ 2,288,320,079 Consumer Staples............... 1,272,809,844 -- -- 1,272,809,844 Energy......................... 889,130,896 -- -- 889,130,896 Financials..................... 2,170,812,811 14 -- 2,170,812,825 Health Care.................... 1,680,792,103 -- -- 1,680,792,103 Industrials.................... 1,974,016,622 -- -- 1,974,016,622 Information Technology......... 2,957,495,579 -- -- 2,957,495,579 Materials...................... 665,729,324 -- -- 665,729,324 Real Estate.................... 36,928,080 -- -- 36,928,080 Telecommunication Services..... 393,366,974 -- -- 393,366,974 Utilities...................... 466,182,552 -- -- 466,182,552 Rights/Warrants................. -- 288,782 -- 288,782 Bonds Financials..................... -- 486 -- 486 Temporary Cash Investments...... 164,854,069 -- -- 164,854,069 Securities Lending Collateral... -- 1,416,230,536 -- 1,416,230,536 Futures Contracts**............. (3,223,874) -- -- (3,223,874) --------------- -------------- -- --------------- TOTAL........................... $14,957,214,609 $1,416,520,268 -- $16,373,734,877 =============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 55 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (89.1%) Consumer Discretionary -- (12.8%) * Amazon.com, Inc....................... 92,798 $ 73,293,716 0.4% Comcast Corp. Class A................. 2,688,214 166,185,389 1.0% Ford Motor Co......................... 4,094,278 48,066,824 0.3% General Motors Co..................... 1,628,062 51,446,759 0.3% Time Warner, Inc...................... 819,384 72,916,982 0.4% Walt Disney Co. (The)................. 797,924 73,959,576 0.4% Other Securities...................... 1,912,343,860 11.4% ---------------- ----- Total Consumer Discretionary.............. 2,398,213,106 14.2% ---------------- ----- Consumer Staples -- (6.5%) Coca-Cola Co. (The)................... 1,116,947 47,358,553 0.3% CVS Health Corp....................... 951,257 80,000,714 0.5% Mondelez International, Inc. Class A.. 1,063,522 47,794,679 0.3% PepsiCo, Inc.......................... 441,915 47,373,288 0.3% Procter & Gamble Co. (The)............ 1,378,860 119,685,048 0.7% Wal-Mart Stores, Inc.................. 1,736,979 121,623,270 0.7% Walgreens Boots Alliance, Inc......... 601,602 49,770,533 0.3% Other Securities...................... 704,946,070 4.1% ---------------- ----- Total Consumer Staples.................... 1,218,552,155 7.2% ---------------- ----- Energy -- (6.6%) Chevron Corp.......................... 903,415 94,632,721 0.6% Exxon Mobil Corp...................... 3,452,202 287,637,471 1.7% Schlumberger, Ltd..................... 707,001 55,308,688 0.3% Other Securities...................... 792,436,584 4.7% ---------------- ----- Total Energy.............................. 1,230,015,464 7.3% ---------------- ----- Financials -- (15.4%) American Express Co................... 891,891 59,239,400 0.4% Bank of America Corp.................. 4,757,621 78,500,746 0.5% * Berkshire Hathaway, Inc. Class B...... 418,047 60,324,182 0.4% Citigroup, Inc........................ 1,387,754 68,208,109 0.4% JPMorgan Chase & Co................... 2,648,420 183,429,569 1.1% U.S. Bancorp.......................... 1,202,817 53,838,089 0.3% Wells Fargo & Co...................... 4,176,562 192,163,618 1.1% Other Securities...................... 2,186,100,062 12.9% ---------------- ----- Total Financials.......................... 2,881,803,775 17.1% ---------------- ----- Health Care -- (9.6%) Abbott Laboratories................... 977,224 38,346,270 0.2% Amgen, Inc............................ 302,107 42,645,424 0.3% * Express Scripts Holding Co............ 708,012 47,720,009 0.3% Johnson & Johnson..................... 1,146,077 132,933,471 0.8% Medtronic P.L.C....................... 632,272 51,858,949 0.3% Merck & Co., Inc...................... 1,166,009 68,468,048 0.4% Pfizer, Inc........................... 4,006,194 127,036,412 0.8% Thermo Fisher Scientific, Inc......... 263,037 38,674,330 0.2% UnitedHealth Group, Inc............... 576,403 81,463,036 0.5% Other Securities...................... 1,159,142,075 6.8% ---------------- ----- Total Health Care......................... 1,788,288,024 10.6% ---------------- -----
56 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (12.4%) FedEx Corp...................... 216,896 $ 37,809,311 0.2% General Electric Co............. 2,865,545 83,387,360 0.5% Union Pacific Corp.............. 697,153 61,474,952 0.4% United Technologies Corp........ 668,943 68,365,975 0.4% Other Securities................ 2,076,061,696 12.3% ---------------- ----- Total Industrials.................... 2,327,099,294 13.8% ---------------- ----- Information Technology -- (16.7%) * Alphabet, Inc. Class A.......... 92,515 74,927,898 0.5% * Alphabet, Inc. Class C.......... 97,000 76,100,380 0.5% Apple, Inc...................... 3,310,342 375,856,231 2.2% Cisco Systems, Inc.............. 4,466,540 137,033,447 0.8% * Facebook, Inc. Class A.......... 369,031 48,339,371 0.3% Hewlett Packard Enterprise Co... 1,807,285 40,609,694 0.3% Intel Corp...................... 5,141,165 179,272,424 1.1% Microsoft Corp.................. 3,539,615 212,093,731 1.3% Oracle Corp..................... 1,315,382 50,536,976 0.3% QUALCOMM, Inc................... 1,310,728 90,073,228 0.5% # Visa, Inc. Class A.............. 547,188 45,148,482 0.3% Other Securities................ 1,784,149,765 10.4% ---------------- ----- Total Information Technology......... 3,114,141,627 18.5% ---------------- ----- Materials -- (4.2%) Dow Chemical Co. (The).......... 878,752 47,285,645 0.3% Other Securities................ 742,321,499 4.4% ---------------- ----- Total Materials...................... 789,607,144 4.7% ---------------- ----- Real Estate -- (0.3%) Other Securities................ 54,654,832 0.3% ---------------- ----- Telecommunication Services -- (2.7%) AT&T, Inc....................... 7,348,948 270,367,797 1.6% Verizon Communications, Inc..... 2,287,031 110,006,191 0.7% Other Securities................ 121,517,343 0.7% ---------------- ----- Total Telecommunication Services..... 501,891,331 3.0% ---------------- ----- Utilities -- (1.9%) Other Securities................ 359,606,647 2.2% ---------------- ----- TOTAL COMMON STOCKS.................. 16,663,873,399 98.9% ---------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities................ 316,401 0.0% ---------------- ----- FACE AMOUNT ------ (000) BONDS -- (0.0%) Financials -- (0.0%) Other Securities................ 1,134 0.0% ---------------- ----- TOTAL INVESTMENT SECURITIES.......... 16,664,190,934 ----------------
57 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%........................................... 183,777,496 $ 183,777,496 1.1% ---------------- ------ SECURITIES LENDING COLLATERAL -- (9.9%) (S)@ DFA Short Term Investment Fund.......................... 161,181,286 1,865,189,843 11.1% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $14,482,818,245).................................... $ 18,713,158,273 111.1% ================ ======
Summary of the Portfolio's investments as of October 31, 2016, 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......... $ 2,398,212,074 $ 1,032 -- $ 2,398,213,106 Consumer Staples............... 1,218,552,155 -- -- 1,218,552,155 Energy......................... 1,230,015,464 -- -- 1,230,015,464 Financials..................... 2,881,802,054 1,721 -- 2,881,803,775 Health Care.................... 1,788,288,024 -- -- 1,788,288,024 Industrials.................... 2,327,099,294 -- -- 2,327,099,294 Information Technology......... 3,114,141,627 -- -- 3,114,141,627 Materials...................... 789,607,144 -- -- 789,607,144 Real Estate.................... 54,654,832 -- -- 54,654,832 Telecommunication Services..... 501,891,331 -- -- 501,891,331 Utilities...................... 359,606,647 -- -- 359,606,647 Rights/Warrants................. -- 316,401 -- 316,401 Bonds Financials..................... -- 1,134 -- 1,134 Temporary Cash Investments...... 183,777,496 -- -- 183,777,496 Securities Lending Collateral... -- 1,865,189,843 -- 1,865,189,843 Futures Contracts**............. (3,629,644) -- -- (3,629,644) --------------- -------------- -- --------------- TOTAL........................... $16,844,018,498 $1,865,510,131 -- $18,709,528,629 =============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 58 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (87.4%) Consumer Discretionary -- (12.4%) * Charter Communications, Inc. Class A.. 37,711 $ 9,423,602 0.3% Comcast Corp. Class A................. 467,989 28,931,080 0.8% Ford Motor Co......................... 829,745 9,741,206 0.3% General Motors Co..................... 339,484 10,727,694 0.3% Time Warner, Inc...................... 94,912 8,446,219 0.2% Walt Disney Co. (The)................. 118,253 10,960,871 0.3% Other Securities...................... 459,291,025 11.9% ------------ ----- Total Consumer Discretionary.............. 537,521,697 14.1% ------------ ----- Consumer Staples -- (4.2%) CVS Health Corp....................... 102,304 8,603,766 0.2% JM Smucker Co. (The).................. 60,483 7,942,023 0.2% Procter & Gamble Co. (The)............ 99,988 8,678,958 0.2% Wal-Mart Stores, Inc.................. 179,784 12,588,476 0.3% Other Securities...................... 144,905,623 3.9% ------------ ----- Total Consumer Staples.................... 182,718,846 4.8% ------------ ----- Energy -- (6.9%) Chevron Corp.......................... 222,498 23,306,665 0.6% Exxon Mobil Corp...................... 465,409 38,777,878 1.0% Tesoro Corp........................... 121,066 10,286,978 0.3% Valero Energy Corp.................... 125,201 7,416,907 0.2% Other Securities...................... 218,565,840 5.7% ------------ ----- Total Energy.............................. 298,354,268 7.8% ------------ ----- Financials -- (21.5%) American International Group, Inc..... 128,798 7,946,837 0.2% Bank of America Corp.................. 1,204,998 19,882,467 0.5% Chubb, Ltd............................ 58,676 7,451,852 0.2% Citigroup, Inc........................ 347,253 17,067,485 0.5% Endurance Specialty Holdings, Ltd..... 95,353 8,767,708 0.2% Fifth Third Bancorp................... 403,189 8,773,393 0.2% Goldman Sachs Group, Inc. (The)....... 44,550 7,940,592 0.2% Huntington Bancshares, Inc............ 748,332 7,932,319 0.2% JPMorgan Chase & Co................... 550,713 38,142,382 1.0% KeyCorp............................... 521,658 7,365,811 0.2% Principal Financial Group, Inc........ 157,281 8,587,543 0.2% Travelers Cos., Inc. (The)............ 66,684 7,213,875 0.2% Wells Fargo & Co...................... 913,280 42,020,013 1.1% Other Securities...................... 743,387,298 19.5% ------------ ----- Total Financials.......................... 932,479,575 24.4% ------------ ----- Health Care -- (7.1%) * Allergan P.L.C........................ 38,459 8,035,623 0.2% Johnson & Johnson..................... 98,222 11,392,770 0.3% Merck & Co., Inc...................... 149,737 8,792,557 0.2% Pfizer, Inc........................... 459,005 14,555,049 0.4% UnitedHealth Group, Inc............... 69,193 9,779,047 0.3% Other Securities...................... 254,811,203 6.6% ------------ ----- Total Health Care......................... 307,366,249 8.0% ------------ -----
59 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (13.7%) General Electric Co............ 299,460 $ 8,714,286 0.2% Union Pacific Corp............. 79,133 6,977,948 0.2% * United Rentals, Inc............ 117,421 8,884,073 0.2% United Technologies Corp....... 74,891 7,653,860 0.2% Other Securities............... 559,426,056 14.7% -------------- ----- Total Industrials.................... 591,656,223 15.5% -------------- ----- Information Technology -- (13.2%) * Alphabet, Inc. Class A......... 9,286 7,520,731 0.2% * Alphabet, Inc. Class C......... 9,743 7,643,773 0.2% Apple, Inc..................... 329,973 37,465,134 1.0% Cisco Systems, Inc............. 479,871 14,722,442 0.4% Intel Corp..................... 578,019 20,155,523 0.5% * Micron Technology, Inc......... 650,355 11,160,092 0.3% Microsoft Corp................. 278,222 16,671,062 0.4% QUALCOMM, Inc.................. 140,266 9,639,080 0.3% # Visa, Inc. Class A............. 116,012 9,572,150 0.3% Other Securities............... 438,055,756 11.4% -------------- ----- Total Information Technology......... 572,605,743 15.0% -------------- ----- Materials -- (4.6%) Newmont Mining Corp............ 252,066 9,336,525 0.3% Other Securities............... 191,048,264 4.9% -------------- ----- Total Materials...................... 200,384,789 5.2% -------------- ----- Real Estate -- (0.4%) Other Securities............... 16,384,164 0.4% -------------- ----- Telecommunication Services -- (2.3%) AT&T, Inc...................... 1,215,522 44,719,054 1.2% # CenturyLink, Inc............... 526,869 14,004,178 0.4% Verizon Communications, Inc.... 259,639 12,488,636 0.3% Other Securities............... 30,610,456 0.8% -------------- ----- Total Telecommunication Services..... 101,822,324 2.7% -------------- ----- Utilities -- (1.1%) UGI Corp....................... 157,006 7,267,808 0.2% Other Securities............... 38,789,597 1.0% -------------- ----- Total Utilities...................... 46,057,405 1.2% -------------- ----- TOTAL COMMON STOCKS.................. 3,787,351,283 99.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities............... 61,431 0.0% -------------- ----- FACE AMOUNT ------ (000) BONDS -- (0.0%) Financials -- (0.0%) Other Securities............... 249 0.0% -------------- ----- TOTAL INVESTMENT SECURITIES.......... 3,787,412,963 --------------
60 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................................... 37,303,788 $ 37,303,788 1.0% -------------- ------ SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund................................ 44,015,065 509,342,336 13.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,439,212,409)........................................... $4,334,059,087 113.4% ============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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......... $ 537,521,697 -- -- $ 537,521,697 Consumer Staples............... 182,718,846 -- -- 182,718,846 Energy......................... 298,354,268 -- -- 298,354,268 Financials..................... 932,479,561 $ 14 -- 932,479,575 Health Care.................... 307,366,249 -- -- 307,366,249 Industrials.................... 591,656,223 -- -- 591,656,223 Information Technology......... 572,605,743 -- -- 572,605,743 Materials...................... 200,384,789 -- -- 200,384,789 Real Estate.................... 16,384,164 -- -- 16,384,164 Telecommunication Services..... 101,822,324 -- -- 101,822,324 Utilities...................... 46,057,405 -- -- 46,057,405 Rights/Warrants................. -- 61,431 -- 61,431 Bonds Financials..................... -- 249 -- 249 Temporary Cash Investments...... 37,303,788 -- -- 37,303,788 Securities Lending Collateral... -- 509,342,336 -- 509,342,336 Futures Contracts**............. (834,976) -- -- (834,976) -------------- ------------ -- -------------- TOTAL........................... $3,823,820,081 $509,404,030 -- $4,333,224,111 ============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 61 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (82.5%) Consumer Discretionary -- (13.2%) # Brinker International, Inc........................ 617,456 $ 30,403,533 0.2% Jack in the Box, Inc.............................. 357,108 33,471,733 0.3% * Murphy USA, Inc................................... 419,540 28,855,961 0.2% # Papa John's International, Inc.................... 393,634 29,699,685 0.2% #* Tenneco, Inc...................................... 550,288 30,304,360 0.2% # Texas Roadhouse, Inc.............................. 698,310 28,295,521 0.2% Thor Industries, Inc.............................. 471,347 37,382,531 0.3% # Wendy's Co. (The)................................. 2,782,938 30,167,048 0.2% Other Securities.................................. 1,799,231,492 14.0% -------------- ----- Total Consumer Discretionary.......................... 2,047,811,864 15.8% -------------- ----- Consumer Staples -- (3.8%) # Snyder's-Lance, Inc............................... 822,391 29,252,448 0.2% Other Securities.................................. 557,877,990 4.3% -------------- ----- Total Consumer Staples................................ 587,130,438 4.5% -------------- ----- Energy -- (3.5%) * Parsley Energy, Inc. Class A...................... 1,036,429 34,098,514 0.3% # Patterson-UTI Energy, Inc......................... 1,368,035 30,753,427 0.2% # Superior Energy Services, Inc..................... 2,025,077 28,675,090 0.2% Other Securities.................................. 452,526,393 3.5% -------------- ----- Total Energy.......................................... 546,053,424 4.2% -------------- ----- Financials -- (16.3%) # Associated Banc-Corp.............................. 1,454,729 29,530,999 0.2% # Bank of Hawaii Corp............................... 422,076 31,719,011 0.2% # FNB Corp.......................................... 2,174,721 28,423,603 0.2% MarketAxess Holdings, Inc......................... 232,513 35,053,660 0.3% # Mercury General Corp.............................. 537,758 29,291,678 0.2% # Primerica, Inc.................................... 604,825 33,083,927 0.3% PrivateBancorp, Inc............................... 716,638 32,420,703 0.3% ProAssurance Corp................................. 573,835 30,585,405 0.2% #* Texas Capital Bancshares, Inc..................... 519,188 30,787,848 0.2% # UMB Financial Corp................................ 504,045 31,275,992 0.2% # United Bankshares, Inc............................ 780,243 29,415,161 0.2% Other Securities.................................. 2,192,611,155 17.0% -------------- ----- Total Financials...................................... 2,534,199,142 19.5% -------------- ----- Health Care -- (6.8%) Cantel Medical Corp............................... 414,757 29,543,141 0.2% #* Integra LifeSciences Holdings Corp................ 391,182 31,102,881 0.2% #* NuVasive, Inc..................................... 483,734 28,893,432 0.2% Other Securities.................................. 974,356,810 7.6% -------------- ----- Total Health Care..................................... 1,063,896,264 8.2% -------------- ----- Industrials -- (15.8%) # CLARCOR, Inc...................................... 480,948 29,919,775 0.2% EMCOR Group, Inc.................................. 543,968 32,888,305 0.3% EnerSys........................................... 439,795 28,643,848 0.2% # Landstar System, Inc.............................. 405,580 28,857,017 0.2% # Valmont Industries, Inc........................... 241,944 30,956,735 0.2% Other Securities.................................. 2,303,425,786 17.8% -------------- ----- Total Industrials..................................... 2,454,691,466 18.9% -------------- -----
62 U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Information Technology -- (13.4%) * Cirrus Logic, Inc............................................. 640,150 $ 34,555,297 0.3% * Coherent, Inc................................................. 280,344 29,189,417 0.2% Fair Isaac Corp............................................... 241,729 29,171,856 0.2% #* Finisar Corp.................................................. 1,068,758 29,262,594 0.2% * Integrated Device Technology, Inc............................. 1,375,469 28,485,963 0.2% Intersil Corp. Class A........................................ 1,298,168 28,663,549 0.2% Littelfuse, Inc............................................... 214,417 29,911,171 0.2% Mentor Graphics Corp.......................................... 1,218,313 35,209,246 0.3% #* Paycom Software, Inc.......................................... 565,608 29,258,902 0.2% Science Applications International Corp....................... 441,505 30,424,110 0.2% Other Securities.............................................. 1,773,252,649 13.8% --------------- ------ Total Information Technology........................................ 2,077,384,754 16.0% --------------- ------ Materials -- (4.8%) Hecla Mining Co............................................... 5,071,896 30,380,657 0.2% * Louisiana-Pacific Corp........................................ 1,673,693 30,712,267 0.2% Sensient Technologies Corp.................................... 410,208 30,564,598 0.2% # United States Steel Corp...................................... 2,199,218 42,532,876 0.3% Worthington Industries, Inc................................... 635,344 29,861,168 0.2% Other Securities.............................................. 580,757,928 4.6% --------------- ------ Total Materials..................................................... 744,809,494 5.7% --------------- ------ Real Estate -- (0.5%) Other Securities.............................................. 76,852,267 0.6% --------------- ------ Telecommunication Services -- (0.8%) Other Securities.............................................. 123,052,617 1.0% --------------- ------ Utilities -- (3.6%) ALLETE, Inc................................................... 482,475 29,570,893 0.2% # Black Hills Corp.............................................. 507,714 31,402,111 0.2% Portland General Electric Co.................................. 690,542 30,135,253 0.2% Southwest Gas Corp............................................ 436,198 31,606,907 0.3% Other Securities.............................................. 446,178,138 3.5% --------------- ------ Total Utilities..................................................... 568,893,302 4.4% --------------- ------ TOTAL COMMON STOCKS................................................. 12,824,775,032 98.8% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 20 0.0% --------------- ------ FACE AMOUNT ------ (000) BONDS -- (0.0%) Financials -- (0.0%) Other Securities.............................................. 2,106 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 12,824,777,158 --------------- TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................................... 159,359,591 159,359,591 1.2% --------------- ------ SECURITIES LENDING COLLATERAL -- (16.5%) (S)@ DFA Short Term Investment Fund................................ 221,707,965 2,565,604,574 19.8% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $13,461,178,185).......................................... $15,549,741,323 119.8% =============== ======
63 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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......... $ 2,047,809,164 $ 2,700 -- $ 2,047,811,864 Consumer Staples............... 587,130,438 -- -- 587,130,438 Energy......................... 546,048,955 4,469 -- 546,053,424 Financials..................... 2,534,173,706 25,436 -- 2,534,199,142 Health Care.................... 1,063,896,264 -- -- 1,063,896,264 Industrials.................... 2,454,691,466 -- -- 2,454,691,466 Information Technology......... 2,077,384,754 -- -- 2,077,384,754 Materials...................... 744,809,494 -- -- 744,809,494 Real Estate.................... 76,852,267 -- -- 76,852,267 Telecommunication Services..... 123,052,617 -- -- 123,052,617 Utilities...................... 568,893,302 -- -- 568,893,302 Rights/Warrants................. -- 20 -- 20 Bonds Financials..................... -- 2,106 -- 2,106 Temporary Cash Investments...... 159,359,591 -- -- 159,359,591 Securities Lending Collateral... -- 2,565,604,574 -- 2,565,604,574 Futures Contracts**............. (4,289,881) -- -- (4,289,881) --------------- -------------- -- --------------- TOTAL........................... $12,979,812,137 $2,565,639,305 -- $15,545,451,442 =============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 64 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (85.6%) Consumer Discretionary -- (14.0%) * American Axle & Manufacturing Holdings, Inc.. 801,076 $ 14,355,282 0.3% # Children's Place, Inc. (The)................. 197,911 15,031,340 0.3% #* iRobot Corp.................................. 256,033 12,980,873 0.3% La-Z-Boy, Inc................................ 582,277 13,625,282 0.3% # Nexstar Broadcasting Group, Inc. Class A..... 270,654 13,207,915 0.3% #* Popeyes Louisiana Kitchen, Inc............... 268,854 14,351,427 0.3% #* Smith & Wesson Holding Corp.................. 524,678 13,867,240 0.3% # Sonic Corp................................... 598,492 13,711,452 0.3% Standard Motor Products, Inc................. 256,836 12,559,280 0.3% Other Securities............................. 700,845,778 13.4% -------------- ----- Total Consumer Discretionary..................... 824,535,869 16.1% -------------- ----- Consumer Staples -- (3.0%) # WD-40 Co..................................... 145,060 15,467,022 0.3% Other Securities............................. 163,581,879 3.2% -------------- ----- Total Consumer Staples........................... 179,048,901 3.5% -------------- ----- Energy -- (2.3%) Other Securities............................. 133,958,199 2.6% -------------- ----- Financials -- (18.7%) #* BofI Holding, Inc............................ 689,616 12,847,546 0.3% # Columbia Banking System, Inc................. 385,842 12,740,503 0.3% # Community Bank System, Inc................... 265,690 12,516,656 0.3% FBL Financial Group, Inc. Class A............ 265,072 16,779,058 0.3% First Midwest Bancorp, Inc................... 753,336 14,546,918 0.3% FirstCash, Inc............................... 343,499 16,213,153 0.3% Horace Mann Educators Corp................... 408,077 14,670,368 0.3% Independent Bank Corp........................ 230,864 12,732,150 0.3% # LegacyTexas Financial Group, Inc............. 475,476 16,266,034 0.3% # Northwest Bancshares, Inc.................... 947,369 14,911,588 0.3% Other Securities............................. 956,160,755 18.5% -------------- ----- Total Financials................................. 1,100,384,729 21.5% -------------- ----- Health Care -- (8.2%) #* Cambrex Corp................................. 340,394 13,717,878 0.3% #* ICU Medical, Inc............................. 113,977 15,876,996 0.3% * Natus Medical, Inc........................... 355,299 13,981,016 0.3% * Omnicell, Inc................................ 388,890 12,687,536 0.3% Other Securities............................. 425,847,551 8.2% -------------- ----- Total Health Care................................ 482,110,977 9.4% -------------- ----- Industrials -- (17.8%) # AAON, Inc.................................... 563,173 16,867,031 0.3% Exponent, Inc................................ 266,014 15,229,301 0.3% Forward Air Corp............................. 308,222 12,735,733 0.3% G&K Services, Inc. Class A................... 178,867 16,938,705 0.3% Insperity, Inc............................... 230,702 17,348,790 0.3% John Bean Technologies Corp.................. 209,011 16,689,528 0.3% * MRC Global, Inc.............................. 966,521 14,246,520 0.3% Mueller Water Products, Inc. Class A......... 1,171,951 14,438,436 0.3% #* Trex Co., Inc................................ 299,194 16,099,629 0.3% Other Securities............................. 907,722,426 17.7% -------------- ----- Total Industrials................................ 1,048,316,099 20.4% -------------- -----
65 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Information Technology -- (12.3%) * Advanced Energy Industries, Inc................... 353,998 $ 16,885,705 0.3% Cabot Microelectronics Corp....................... 273,995 15,140,964 0.3% # CSG Systems International, Inc.................... 348,861 13,267,184 0.3% * ExlService Holdings, Inc.......................... 330,438 14,549,185 0.3% Methode Electronics, Inc.......................... 456,176 14,232,691 0.3% #* NETGEAR, Inc...................................... 248,640 12,556,320 0.3% NIC, Inc.......................................... 621,988 14,274,625 0.3% #* OSI Systems, Inc.................................. 210,211 14,742,097 0.3% Other Securities.................................. 608,447,189 11.7% -------------- ----- Total Information Technology.......................... 724,095,960 14.1% -------------- ----- Materials -- (4.8%) Innospec, Inc..................................... 251,708 15,165,407 0.3% Neenah Paper, Inc................................. 166,919 13,336,828 0.3% Quaker Chemical Corp.............................. 133,400 14,340,500 0.3% Stepan Co......................................... 188,462 13,386,456 0.3% Other Securities.................................. 227,984,277 4.3% -------------- ----- Total Materials....................................... 284,213,468 5.5% -------------- ----- Real Estate -- (0.7%) Other Securities.................................. 43,411,885 0.9% -------------- ----- Telecommunication Services -- (1.5%) # Shenandoah Telecommunications Co.................. 502,216 13,258,502 0.3% Other Securities.................................. 78,954,809 1.5% -------------- ----- Total Telecommunication Services...................... 92,213,311 1.8% -------------- ----- Utilities -- (2.3%) # American States Water Co.......................... 394,204 15,760,276 0.3% # California Water Service Group.................... 493,470 15,297,570 0.3% # MGE Energy, Inc................................... 270,481 15,809,614 0.3% Northwest Natural Gas Co.......................... 215,566 12,675,281 0.3% Other Securities.................................. 74,233,231 1.4% -------------- ----- Total Utilities....................................... 133,775,972 2.6% -------------- ----- TOTAL COMMON STOCKS................................... 5,046,065,370 98.4% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities.................................. 16 0.0% -------------- ----- FACE AMOUNT ------ (000) BONDS -- (0.0%) Financials -- (0.0%) Other Securities.................................. 8,945 0.0% -------------- ----- TOTAL INVESTMENT SECURITIES........................... 5,046,074,331 --------------
66 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.7%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................................... 42,875,826 $ 42,875,826 0.8% -------------- ------ SECURITIES LENDING COLLATERAL -- (13.7%) (S)@ DFA Short Term Investment Fund................................ 69,547,620 804,805,059 15.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,608,078,487)........................................... $5,893,755,216 114.9% ============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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........................... $ 824,512,903 $ 22,966 -- $ 824,535,869 Consumer Staples................................. 179,048,901 -- -- 179,048,901 Energy........................................... 133,941,707 16,492 -- 133,958,199 Financials....................................... 1,100,381,682 3,047 -- 1,100,384,729 Health Care...................................... 482,110,977 -- -- 482,110,977 Industrials...................................... 1,048,316,099 -- -- 1,048,316,099 Information Technology........................... 724,095,960 -- -- 724,095,960 Materials........................................ 284,213,468 -- -- 284,213,468 Real Estate...................................... 43,411,885 -- -- 43,411,885 Telecommunication Services....................... 92,213,311 -- -- 92,213,311 Utilities........................................ 133,775,972 -- -- 133,775,972 Rights/Warrants................................... -- 16 -- 16 Bonds Financials....................................... -- 8,945 -- 8,945 Temporary Cash Investments........................ 42,875,826 -- -- 42,875,826 Securities Lending Collateral..................... -- 804,805,059 -- 804,805,059 Futures Contracts**............................... (1,662,432) -- -- (1,662,432) -------------- ------------ -- -------------- TOTAL............................................. $5,087,236,259 $804,856,525 -- $5,892,092,784 ============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 67 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (93.1%) Real Estate -- (93.1%) # Alexandria Real Estate Equities, Inc.............. 720,216 $ 77,646,487 1.1% # American Campus Communities, Inc.................. 1,213,467 63,233,765 0.9% Apartment Investment & Management Co. Class A..... 1,525,464 67,227,198 0.9% AvalonBay Communities, Inc........................ 1,327,485 227,238,882 3.1% Boston Properties, Inc............................ 1,506,103 181,455,289 2.5% Brixmor Property Group, Inc....................... 2,184,902 55,540,209 0.8% # Camden Property Trust............................. 844,698 68,792,205 0.9% CubeSmart......................................... 1,753,596 45,716,248 0.6% DCT Industrial Trust, Inc......................... 903,208 42,224,974 0.6% DDR Corp.......................................... 3,104,998 47,475,419 0.7% # Digital Realty Trust, Inc......................... 1,447,241 135,215,727 1.9% # Douglas Emmett, Inc............................... 1,378,896 50,329,704 0.7% # Duke Realty Corp.................................. 3,381,456 88,425,074 1.2% EPR Properties.................................... 582,095 42,329,948 0.6% Equinix, Inc...................................... 544,188 194,427,489 2.7% Equity Lifestyle Properties, Inc.................. 784,291 59,480,629 0.8% Equity Residential................................ 3,532,521 218,133,172 3.0% Essex Property Trust, Inc......................... 642,088 137,464,620 1.9% # Extra Space Storage, Inc.......................... 1,156,690 84,611,873 1.2% Federal Realty Investment Trust................... 677,286 98,362,246 1.4% Gaming and Leisure Properties, Inc................ 1,519,882 49,897,726 0.7% General Growth Properties, Inc.................... 5,585,578 139,360,171 1.9% HCP, Inc.......................................... 4,530,819 155,180,551 2.1% Highwoods Properties, Inc......................... 930,202 46,165,925 0.6% # Host Hotels & Resorts, Inc........................ 7,456,077 115,420,072 1.6% # Iron Mountain, Inc................................ 2,162,348 72,935,998 1.0% Kilroy Realty Corp................................ 896,716 64,411,110 0.9% Kimco Realty Corp................................. 4,031,807 107,286,384 1.5% Liberty Property Trust............................ 1,471,333 59,485,993 0.8% Macerich Co. (The)................................ 1,466,447 103,795,119 1.4% Mid-America Apartment Communities, Inc............ 735,123 68,182,658 0.9% National Retail Properties, Inc................... 1,321,316 60,278,436 0.8% # Omega Healthcare Investors, Inc................... 1,734,691 55,215,215 0.8% Prologis, Inc..................................... 5,065,428 264,212,724 3.6% Public Storage.................................... 1,433,171 306,297,306 4.2% # Realty Income Corp................................ 2,392,365 141,723,703 2.0% Regency Centers Corp.............................. 958,173 69,055,528 1.0% Senior Housing Properties Trust................... 2,309,088 49,114,302 0.7% Simon Property Group, Inc......................... 2,957,958 550,061,870 7.6% # SL Green Realty Corp.............................. 972,860 95,554,309 1.3% Spirit Realty Capital, Inc........................ 4,534,334 54,003,918 0.7% Sun Communities, Inc.............................. 586,641 45,130,292 0.6% Taubman Centers, Inc.............................. 620,452 44,957,952 0.6% UDR, Inc.......................................... 2,556,062 89,385,488 1.2% Ventas, Inc....................................... 3,250,505 220,221,714 3.0% VEREIT, Inc. REIT................................. 8,620,068 81,028,639 1.1% Vornado Realty Trust.............................. 1,669,064 154,855,758 2.1% Weingarten Realty Investors....................... 1,173,966 42,509,309 0.6% Welltower, Inc.................................... 3,434,840 235,389,585 3.2% WP Carey, Inc..................................... 949,550 57,675,667 0.8% Other Securities.................................. 1,609,452,453 22.3% -------------- ----- TOTAL COMMON STOCKS................................... 7,193,577,033 99.1% -------------- ----- TOTAL INVESTMENT SECURITIES........................... 7,193,577,033 --------------
68 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%.............................. 67,516,660 $ 67,516,660 0.9% -------------- ------ SECURITIES LENDING COLLATERAL -- (6.0%) (S)@ DFA Short Term Investment Fund.................... 39,885,634 461,556,560 6.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,617,986,921)................................. $7,722,650,253 106.4% ============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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...................................... $7,193,577,033 -- -- $7,193,577,033 Temporary Cash Investments........................ 67,516,660 -- -- 67,516,660 Securities Lending Collateral..................... -- $461,556,560 -- 461,556,560 Futures Contracts**............................... (1,518,080) -- -- (1,518,080) -------------- ------------ -- -------------- TOTAL............................................. $7,259,575,613 $461,556,560 -- $7,721,132,173 ============== ============ == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 69 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (93.9%) AUSTRALIA -- (5.8%) Australia & New Zealand Banking Group, Ltd.... 643,282 $ 13,583,162 0.4% BHP Billiton, Ltd............................. 816,132 14,258,502 0.4% # Commonwealth Bank of Australia................ 360,229 20,054,267 0.6% National Australia Bank, Ltd.................. 570,039 12,100,464 0.4% Westpac Banking Corp.......................... 790,393 18,277,786 0.5% Other Securities.............................. 136,917,797 3.8% ------------ ---- TOTAL AUSTRALIA................................... 215,191,978 6.1% ------------ ---- AUSTRIA -- (0.2%) Other Securities.............................. 6,631,352 0.2% ------------ ---- BELGIUM -- (1.2%) Anheuser-Busch InBev SA....................... 170,354 19,551,493 0.6% Other Securities.............................. 24,710,275 0.7% ------------ ---- TOTAL BELGIUM..................................... 44,261,768 1.3% ------------ ---- CANADA -- (8.3%) Bank of Nova Scotia (The)..................... 181,668 9,762,640 0.3% Royal Bank of Canada.......................... 246,120 15,376,766 0.4% Toronto-Dominion Bank (The)................... 270,619 12,279,037 0.4% Other Securities.............................. 268,497,721 7.6% ------------ ---- TOTAL CANADA...................................... 305,916,164 8.7% ------------ ---- DENMARK -- (1.5%) Novo Nordisk A.S. Class B..................... 411,533 14,661,061 0.3% Other Securities.............................. 39,053,449 1.2% ------------ ---- TOTAL DENMARK..................................... 53,714,510 1.5% ------------ ---- FINLAND -- (0.9%) Other Securities.............................. 33,176,858 0.9% ------------ ---- FRANCE -- (8.2%) BNP Paribas SA................................ 261,502 15,162,737 0.4% Danone SA..................................... 140,586 9,750,811 0.3% L'Oreal SA.................................... 61,025 10,933,185 0.3% LVMH Moet Hennessy Louis Vuitton SE........... 74,220 13,512,577 0.4% Sanofi........................................ 243,641 18,959,844 0.5% Total SA...................................... 399,254 19,126,223 0.5% Other Securities.............................. 215,281,036 6.2% ------------ ---- TOTAL FRANCE...................................... 302,726,413 8.6% ------------ ---- GERMANY -- (7.2%) Allianz SE.................................... 76,148 11,887,025 0.3% BASF SE....................................... 233,002 20,568,940 0.6% Bayer AG...................................... 177,385 17,612,490 0.5% Daimler AG.................................... 265,526 18,943,149 0.5% Deutsche Telekom AG........................... 829,875 13,539,591 0.4% SAP SE........................................ 185,556 16,347,377 0.5% Siemens AG.................................... 151,354 17,196,439 0.5% Other Securities.............................. 148,923,152 4.2% ------------ ---- TOTAL GERMANY..................................... 265,018,163 7.5% ------------ ----
70 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.9%) AIA Group, Ltd.......................... 2,502,600 $ 15,743,861 0.5% Other Securities........................ 89,463,523 2.5% ------------ ----- TOTAL HONG KONG............................. 105,207,384 3.0% ------------ ----- IRELAND -- (0.5%) Other Securities........................ 17,246,217 0.5% ------------ ----- ISRAEL -- (0.5%) Other Securities........................ 17,274,396 0.5% ------------ ----- ITALY -- (1.7%) Other Securities........................ 61,192,587 1.7% ------------ ----- JAPAN -- (22.8%) Japan Tobacco, Inc...................... 294,200 11,185,520 0.3% KDDI Corp............................... 492,100 14,956,471 0.4% SoftBank Group Corp..................... 258,360 16,271,791 0.5% Sumitomo Mitsui Financial Group, Inc.... 300,940 10,434,090 0.3% Toyota Motor Corp....................... 516,669 29,970,271 0.9% Toyota Motor Corp. Sponsored ADR........ 96,721 11,186,751 0.3% Other Securities........................ 745,363,913 21.1% ------------ ----- TOTAL JAPAN................................. 839,368,807 23.8% ------------ ----- NETHERLANDS -- (2.6%) # Unilever NV............................. 256,547 10,730,329 0.3% Other Securities........................ 85,584,302 2.4% ------------ ----- TOTAL NETHERLANDS........................... 96,314,631 2.7% ------------ ----- NEW ZEALAND -- (0.2%) Other Securities........................ 7,703,900 0.2% ------------ ----- NORWAY -- (0.7%) Other Securities........................ 24,569,910 0.7% ------------ ----- PORTUGAL -- (0.2%) Other Securities........................ 5,616,292 0.2% ------------ ----- SINGAPORE -- (1.0%) Other Securities........................ 38,097,183 1.1% ------------ ----- SPAIN -- (2.6%) Banco Santander SA...................... 2,510,082 12,299,466 0.3% Other Securities........................ 85,110,915 2.5% ------------ ----- TOTAL SPAIN................................. 97,410,381 2.8% ------------ ----- SWEDEN -- (2.4%) Other Securities........................ 90,092,687 2.5% ------------ ----- SWITZERLAND -- (7.2%) Nestle SA............................... 782,441 56,737,823 1.6% Novartis AG............................. 431,870 30,648,770 0.9% Roche Holding AG........................ 183,267 42,093,048 1.2% Other Securities........................ 137,305,900 3.9% ------------ ----- TOTAL SWITZERLAND........................... 266,785,541 7.6% ------------ -----
71 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (15.3%) BP P.L.C. Sponsored ADR............................ 798,270 $ 28,378,481 0.8% British American Tobacco P.L.C..................... 322,533 18,485,313 0.5% # Diageo P.L.C. Sponsored ADR........................ 106,769 11,480,871 0.3% GlaxoSmithKline P.L.C.............................. 566,003 11,181,008 0.3% # GlaxoSmithKline P.L.C. Sponsored ADR............... 364,297 14,575,523 0.4% * Glencore P.L.C..................................... 3,170,885 9,706,413 0.3% HSBC Holdings P.L.C................................ 1,783,266 13,430,020 0.4% # HSBC Holdings P.L.C. Sponsored ADR................. 538,345 20,257,922 0.6% Imperial Brands P.L.C.............................. 213,827 10,343,202 0.3% Reckitt Benckiser Group P.L.C...................... 153,746 13,754,195 0.4% Royal Dutch Shell P.L.C. Class A................... 449,764 11,202,290 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A.... 293,116 14,600,121 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B.... 270,733 14,162,043 0.4% Unilever P.L.C. Sponsored ADR...................... 241,380 10,058,305 0.3% Vodafone Group P.L.C............................... 4,075,813 11,193,505 0.3% Other Securities................................... 349,728,527 9.9% -------------- ------ TOTAL UNITED KINGDOM..................................... 562,537,739 15.9% -------------- ------ UNITED STATES -- (0.0%) Other Securities................................... 227,016 0.0% -------------- ------ TOTAL COMMON STOCKS...................................... 3,456,281,877 98.0% -------------- ------ PREFERRED STOCKS -- (0.5%) GERMANY -- (0.5%) Other Securities................................... 16,981,064 0.5% -------------- ------ TOTAL PREFERRED STOCKS................................... 16,981,064 0.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities................................... 202,968 0.0% -------------- ------ SWEDEN -- (0.0%) Other Securities................................... 42,577 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................................... 245,545 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES.............................. 3,473,508,486 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (5.6%) (S)@ DFA Short Term Investment Fund..................... 17,954,930 207,774,454 5.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,448,198,124).................................. $3,681,282,940 104.4% ============== ======
72 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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...................... $ 5,086,440 $ 210,105,538 -- $ 215,191,978 Austria........................ -- 6,631,352 -- 6,631,352 Belgium........................ 22,518,893 21,742,875 -- 44,261,768 Canada......................... 305,916,164 -- -- 305,916,164 Denmark........................ 2,149,708 51,564,802 -- 53,714,510 Finland........................ 1,417,006 31,759,852 -- 33,176,858 France......................... 9,305,388 293,421,025 -- 302,726,413 Germany........................ 16,983,548 248,034,615 -- 265,018,163 Hong Kong...................... 571,437 104,635,947 -- 105,207,384 Ireland........................ 3,949,806 13,296,411 -- 17,246,217 Israel......................... 9,067,086 8,207,310 -- 17,274,396 Italy.......................... 3,474,243 57,718,344 -- 61,192,587 Japan.......................... 36,199,503 803,169,304 -- 839,368,807 Netherlands.................... 20,384,578 75,930,053 -- 96,314,631 New Zealand.................... -- 7,703,900 -- 7,703,900 Norway......................... 768,438 23,801,472 -- 24,569,910 Portugal....................... -- 5,616,292 -- 5,616,292 Singapore...................... -- 38,097,183 -- 38,097,183 Spain.......................... 12,512,270 84,898,111 -- 97,410,381 Sweden......................... -- 90,092,687 -- 90,092,687 Switzerland.................... 16,403,240 250,382,301 -- 266,785,541 United Kingdom................. 181,389,085 381,148,654 -- 562,537,739 United States.................. -- 227,016 -- 227,016 Preferred Stocks Germany........................ -- 16,981,064 -- 16,981,064 Rights/Warrants Spain.......................... -- 202,968 -- 202,968 Sweden......................... -- 42,577 -- 42,577 Securities Lending Collateral... -- 207,774,454 -- 207,774,454 Futures Contracts**............. (869,741) -- -- (869,741) ------------ -------------- -- -------------- TOTAL........................... $647,227,092 $3,033,186,107 -- $3,680,413,199 ============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 73 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.7%) AUSTRALIA -- (6.0%) # Australia & New Zealand Banking Group, Ltd... 2,056,866 $ 43,431,565 0.3% BHP Billiton, Ltd............................ 2,388,698 41,732,533 0.3% # Commonwealth Bank of Australia............... 536,081 29,844,102 0.2% Macquarie Group, Ltd......................... 602,362 36,412,406 0.2% National Australia Bank, Ltd................. 1,864,442 39,577,315 0.2% Westpac Banking Corp......................... 1,908,557 44,135,255 0.3% Woodside Petroleum, Ltd...................... 1,399,661 29,961,126 0.2% Other Securities............................. 809,573,794 4.6% -------------- ---- TOTAL AUSTRALIA.................................. 1,074,668,096 6.3% -------------- ---- AUSTRIA -- (0.5%) Other Securities............................. 91,731,975 0.5% -------------- ---- BELGIUM -- (1.4%) Anheuser-Busch InBev SA...................... 393,517 45,163,864 0.3% Other Securities............................. 199,927,530 1.1% -------------- ---- TOTAL BELGIUM.................................... 245,091,394 1.4% -------------- ---- CANADA -- (8.5%) Royal Bank of Canada......................... 699,021 43,674,832 0.3% Toronto-Dominion Bank (The).................. 680,144 30,860,780 0.2% Other Securities............................. 1,449,023,827 8.5% -------------- ---- TOTAL CANADA..................................... 1,523,559,439 9.0% -------------- ---- CHINA -- (0.0%) Other Securities............................. 2,708,191 0.0% -------------- ---- DENMARK -- (1.8%) Other Securities............................. 320,918,627 1.9% -------------- ---- FINLAND -- (1.7%) UPM-Kymmene Oyj.............................. 1,573,268 36,596,585 0.2% Other Securities............................. 270,742,567 1.6% -------------- ---- TOTAL FINLAND.................................... 307,339,152 1.8% -------------- ---- FRANCE -- (6.7%) BNP Paribas SA............................... 796,740 46,197,577 0.3% Cie de Saint-Gobain.......................... 677,742 30,093,894 0.2% Cie Generale des Etablissements Michelin..... 362,160 39,224,836 0.2% Orange SA.................................... 2,108,185 33,169,456 0.2% Total SA..................................... 1,954,493 93,629,793 0.6% Other Securities............................. 956,157,803 5.5% -------------- ---- TOTAL FRANCE..................................... 1,198,473,359 7.0% -------------- ---- GERMANY -- (6.6%) Adidas AG.................................... 191,209 31,414,494 0.2% BASF SE...................................... 707,050 62,416,929 0.4% Bayerische Motoren Werke AG.................. 472,907 41,258,985 0.3% Daimler AG................................... 1,158,983 82,684,133 0.5% Deutsche Telekom AG.......................... 2,550,534 41,612,518 0.3% E.ON SE...................................... 5,371,567 39,367,437 0.2%
74 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) Fresenius SE & Co. KGaA............ 594,150 $ 43,900,083 0.3% Other Securities................... 836,999,292 4.7% -------------- ----- TOTAL GERMANY.......................... 1,179,653,871 6.9% -------------- ----- HONG KONG -- (2.8%) AIA Group, Ltd..................... 6,136,600 38,605,361 0.2% Other Securities................... 462,170,603 2.7% -------------- ----- TOTAL HONG KONG........................ 500,775,964 2.9% -------------- ----- IRELAND -- (0.5%) Other Securities................... 85,350,165 0.5% -------------- ----- ISRAEL -- (0.6%) Other Securities................... 104,555,277 0.6% -------------- ----- ITALY -- (2.3%) Assicurazioni Generali SpA......... 2,476,453 31,989,189 0.2% Eni SpA............................ 2,230,601 32,371,056 0.2% Other Securities................... 354,242,498 2.1% -------------- ----- TOTAL ITALY............................ 418,602,743 2.5% -------------- ----- JAPAN -- (23.2%) # Honda Motor Co., Ltd............... 1,287,400 38,521,073 0.2% Mitsubishi UFJ Financial Group, Inc............................... 6,194,700 31,963,466 0.2% Nissan Motor Co., Ltd.............. 3,081,900 31,350,574 0.2% NTT DOCOMO, Inc.................... 1,305,900 32,796,350 0.2% Toyota Motor Corp.................. 1,432,494 83,094,269 0.5% # Toyota Motor Corp. Sponsored ADR... 384,641 44,487,578 0.3% Other Securities................... 3,908,722,637 23.0% -------------- ----- TOTAL JAPAN............................ 4,170,935,947 24.6% -------------- ----- NETHERLANDS -- (2.5%) Koninklijke Ahold Delhaize NV...... 2,136,192 48,731,664 0.3% Other Securities................... 406,732,883 2.4% -------------- ----- TOTAL NETHERLANDS...................... 455,464,547 2.7% -------------- ----- NEW ZEALAND -- (0.4%) Other Securities................... 75,118,626 0.4% -------------- ----- NORWAY -- (0.8%) Other Securities................... 149,177,332 0.9% -------------- ----- PORTUGAL -- (0.3%) Other Securities................... 44,394,308 0.3% -------------- ----- SINGAPORE -- (1.0%) Other Securities................... 182,338,798 1.1% -------------- ----- SPAIN -- (2.2%) Banco Santander SA................. 8,235,475 40,354,037 0.3% Iberdrola SA....................... 6,182,145 42,072,266 0.3% Other Securities................... 321,145,827 1.8% -------------- ----- TOTAL SPAIN............................ 403,572,130 2.4% -------------- -----
75 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWEDEN -- (2.6%) Other Securities.................................. $ 474,138,525 2.8% --------------- ----- SWITZERLAND -- (6.0%) ABB, Ltd.......................................... 1,450,592 29,926,319 0.2% Nestle SA......................................... 2,417,067 175,270,877 1.0% Novartis AG Sponsored ADR......................... 794,013 56,390,803 0.3% Roche Holding AG.................................. 153,905 35,349,138 0.2% Syngenta AG....................................... 92,858 37,158,601 0.2% Other Securities.................................. 745,940,760 4.5% --------------- ----- TOTAL SWITZERLAND..................................... 1,080,036,498 6.4% --------------- ----- UNITED KINGDOM -- (14.3%) BP P.L.C. Sponsored ADR........................... 2,592,381 92,159,153 0.6% # HSBC Holdings P.L.C. Sponsored ADR................ 1,960,952 73,790,624 0.4% Lloyds Banking Group P.L.C........................ 46,732,230 32,634,191 0.2% # Rio Tinto P.L.C. Sponsored ADR.................... 929,561 32,395,201 0.2% Royal Dutch Shell P.L.C. Class A.................. 1,299,991 32,378,927 0.2% Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 1,185,020 59,025,846 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 1,354,884 70,873,982 0.4% * Tesco P.L.C....................................... 11,587,266 29,845,153 0.2% # Vodafone Group P.L.C. Sponsored ADR............... 1,397,631 38,910,039 0.2% Other Securities.................................. 2,114,841,864 12.4% --------------- ----- TOTAL UNITED KINGDOM.................................. 2,576,854,980 15.2% --------------- ----- UNITED STATES -- (0.0%) Other Securities.................................. 3,901,386 0.0% --------------- ----- TOTAL COMMON STOCKS................................... 16,669,361,330 98.1% --------------- ----- PREFERRED STOCKS -- (0.4%) GERMANY -- (0.4%) Volkswagen AG..................................... 225,791 31,131,053 0.2% Other Securities.................................. 34,513,017 0.2% --------------- ----- TOTAL GERMANY......................................... 65,644,070 0.4% --------------- ----- UNITED KINGDOM -- (0.0%) Other Securities.................................. 14,278 0.0% --------------- ----- TOTAL PREFERRED STOCKS................................ 65,658,348 0.4% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................................. 87,327 0.0% --------------- ----- FRANCE -- (0.0%) Other Securities.................................. 35 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities.................................. 736 0.0% --------------- ----- SINGAPORE -- (0.0%) Other Securities.................................. 26,148 0.0% --------------- ----- SPAIN -- (0.0%) Other Securities.................................. 604,074 0.0% --------------- -----
76 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWEDEN -- (0.0%) Other Securities................ $ 299,130 0.0% --------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 1,203,565 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 2,221,015 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES............ 16,737,240,693 --------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (6.9%) (S)@ DFA Short Term Investment Fund.. 106,864,635 1,236,637,558 7.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $17,498,407,878)............. $17,973,878,251 105.8% =============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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.................... $ 37,103,287 $1,037,564,809 -- $1,074,668,096 Austria...................... 49,098 91,682,877 -- 91,731,975 Belgium...................... 58,744,725 186,346,669 -- 245,091,394 Canada....................... 1,523,377,449 181,990 -- 1,523,559,439 China........................ -- 2,708,191 -- 2,708,191 Denmark...................... 21,156,358 299,762,269 -- 320,918,627 Finland...................... 6,367,123 300,972,029 -- 307,339,152 France....................... 69,350,590 1,129,122,769 -- 1,198,473,359 Germany...................... 79,163,985 1,100,489,886 -- 1,179,653,871 Hong Kong.................... 1,718,770 499,057,194 -- 500,775,964 Ireland...................... 19,547,023 65,803,142 -- 85,350,165 Israel....................... 28,473,368 76,081,909 -- 104,555,277 Italy........................ 11,331,958 407,270,785 -- 418,602,743 Japan........................ 115,521,400 4,055,414,547 -- 4,170,935,947 Netherlands.................. 67,080,426 388,384,121 -- 455,464,547 New Zealand.................. 656,849 74,461,777 -- 75,118,626 Norway....................... 12,717,633 136,459,699 -- 149,177,332 Portugal..................... 238,098 44,156,210 -- 44,394,308 Singapore.................... 680 182,338,118 -- 182,338,798 Spain........................ 25,603,409 377,968,721 -- 403,572,130 Sweden....................... 2,614,670 471,523,855 -- 474,138,525 Switzerland.................. 93,775,066 986,261,432 -- 1,080,036,498 United Kingdom............... 602,836,047 1,974,018,933 -- 2,576,854,980 United States................ 1,630,990 2,270,396 -- 3,901,386 Preferred Stocks Germany...................... -- 65,644,070 -- 65,644,070 United Kingdom............... -- 14,278 -- 14,278
77 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Rights/Warrants Australia...................... -- $ 87,327 -- $ 87,327 France......................... -- 35 -- 35 Hong Kong...................... -- 736 -- 736 Singapore...................... -- 26,148 -- 26,148 Spain.......................... -- 604,074 -- 604,074 Sweden......................... -- 299,130 -- 299,130 United Kingdom................. -- 1,203,565 -- 1,203,565 Securities Lending Collateral... -- 1,236,637,558 -- 1,236,637,558 Futures Contracts**............. $ (2,947,701) -- -- (2,947,701) -------------- --------------- -- --------------- TOTAL........................... $2,776,111,301 $15,194,819,249 -- $17,970,930,550 ============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 78 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
VALUE+ --------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $ 3,831,133,408 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 2,622,939,356 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 1,623,793,646 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 1,304,060,854 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 912,080,702 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $9,548,011,247)............................... 10,294,007,966 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $9,548,011,247)............................... $10,294,007,966 ===============
Summary of the Portfolio's investments as of October 31, 2016, 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... $10,294,007,966 -- -- $10,294,007,966 Futures Contracts**............... (2,788,124) -- -- (2,788,124) --------------- -- -- --------------- TOTAL............................. $10,291,219,842 -- -- $10,291,219,842 =============== == == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 79 SCHEDULES OF INVESTMENTS OCTOBER 31, 2016 JAPANESE SMALL COMPANY PORTFOLIO
VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company..................... $509,654,577 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $438,858,924)............................... $509,654,577 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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..................... $251,675,013 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $260,212,173)............................... $251,675,013 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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, 2016 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....................... $32,369,395 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $30,007,760).................................. $32,369,395 ===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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..................... $292,248,971 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $254,355,139)............................... $292,248,971 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (96.3%) AUSTRALIA -- (19.3%) Dexus Property Group..... 10,421,155 $ 70,792,307 1.7% Goodman Group............ 18,851,899 97,172,423 2.3% GPT Group (The).......... 19,362,947 68,455,268 1.6% Scentre Group............ 54,296,774 173,778,720 4.2% Stockland................ 25,313,761 85,014,734 2.0% Vicinity Centres......... 34,732,755 75,743,821 1.8% Westfield Corp........... 20,974,759 141,744,743 3.4% Other Securities......... 109,559,306 2.7% ------------ ----- TOTAL AUSTRALIA.............. 822,261,322 19.7% ------------ ----- BELGIUM -- (1.9%) Cofinimmo SA............. 238,829 27,961,580 0.6% Other Securities......... 53,212,619 1.3% ------------ ----- TOTAL BELGIUM................ 81,174,199 1.9% ------------ ----- CANADA -- (5.4%) H&R REIT................. 1,595,665 27,135,707 0.7% # RioCan REIT.............. 1,689,942 32,858,933 0.8% Other Securities......... 172,649,171 4.1% ------------ ----- TOTAL CANADA................. 232,643,811 5.6% ------------ ----- CHINA -- (0.3%) Other Securities......... 11,237,887 0.3% ------------ ----- FRANCE -- (5.7%) Fonciere Des Regions..... 379,734 33,187,074 0.8% Gecina SA................ 377,040 54,972,887 1.3% ICADE.................... 402,909 28,934,036 0.7% Klepierre................ 2,396,542 97,941,331 2.4% Other Securities......... 28,802,314 0.6% ------------ ----- TOTAL FRANCE................. 243,837,642 5.8% ------------ ----- GERMANY -- (0.6%) Other Securities......... 25,143,013 0.6% ------------ ----- GREECE -- (0.0%) Other Securities......... 744,713 0.0% ------------ ----- HONG KONG -- (4.9%) Link REIT................ 23,556,305 167,578,021 4.0% Other Securities......... 43,309,315 1.1% ------------ ----- TOTAL HONG KONG.............. 210,887,336 5.1% ------------ ----- IRELAND -- (0.0%) Other Securities......... 1,374,206 0.0% ------------ ----- ITALY -- (0.3%) Other Securities......... 11,138,933 0.3% ------------ ----- JAPAN -- (23.0%) Advance Residence Investment Corp......... 13,996 39,173,593 0.9% # Daiwa House REIT Investment Corp......... 12,360 33,510,134 0.8% # Daiwa Office Investment Corp.................... 3,983 22,498,132 0.5%
82 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- JAPAN -- (Continued) # Frontier Real Estate Investment Corp......... 5,413 $ 25,460,606 0.6% # GLP J-Reit................................... 22,433 28,111,373 0.7% Japan Hotel REIT Investment Corp............. 40,160 27,094,758 0.6% # Japan Logistics Fund, Inc.................... 10,121 22,012,338 0.5% Japan Prime Realty Investment Corp........... 9,039 39,035,811 0.9% Japan Real Estate Investment Corp............ 14,179 82,108,307 2.0% Japan Retail Fund Investment Corp............ 27,239 61,968,555 1.5% # Kenedix Office Investment Corp............... 5,113 28,829,953 0.7% # Mori Hills REIT Investment Corp.............. 17,770 25,055,593 0.6% # Nippon Accommodations Fund, Inc.............. 5,159 23,476,891 0.6% # Nippon Building Fund, Inc.................... 15,266 90,714,220 2.2% # Nomura Real Estate Master Fund, Inc.......... 39,926 64,808,049 1.6% Orix JREIT, Inc.............................. 26,064 44,647,991 1.1% # United Urban Investment Corp................. 31,108 52,604,206 1.3% Other Securities............................. 270,972,139 6.4% ------------ ----- TOTAL JAPAN...................................... 982,082,649 23.5% ------------ ----- MALAYSIA -- (0.6%) Other Securities............................. 26,876,659 0.7% ------------ ----- MEXICO -- (2.0%) # Fibra Uno Administracion S.A. de C.V......... 27,780,766 52,868,851 1.3% Other Securities............................. 31,820,022 0.7% ------------ ----- TOTAL MEXICO..................................... 84,688,873 2.0% ------------ ----- NETHERLANDS -- (6.7%) Unibail-Rodamco SE........................... 978,160 232,180,914 5.6% Other Securities............................. 53,692,413 1.2% ------------ ----- TOTAL NETHERLANDS................................ 285,873,327 6.8% ------------ ----- NEW ZEALAND -- (0.9%) Other Securities............................. 38,938,815 0.9% ------------ ----- SINGAPORE -- (7.5%) Ascendas REIT................................ 25,809,800 43,983,702 1.1% CapitaLand Commercial Trust.................. 28,645,800 32,416,256 0.8% CapitaLand Mall Trust........................ 27,289,300 40,664,892 1.0% Suntec REIT.................................. 26,331,900 31,803,711 0.8% Other Securities............................. 171,622,152 4.0% ------------ ----- TOTAL SINGAPORE.................................. 320,490,713 7.7% ------------ ----- SOUTH AFRICA -- (3.9%) # Growthpoint Properties, Ltd.................. 25,861,189 48,224,649 1.2% Redefine Properties, Ltd..................... 45,551,268 38,977,751 0.9% Resilient REIT, Ltd.......................... 2,831,518 23,424,603 0.6% Other Securities............................. 53,783,748 1.2% ------------ ----- TOTAL SOUTH AFRICA............................... 164,410,751 3.9% ------------ ----- SPAIN -- (0.9%) Merlin Properties Socimi SA.................. 3,441,570 38,613,634 0.9% ------------ ----- TAIWAN -- (0.3%) Other Securities............................. 12,147,545 0.3% ------------ ----- TURKEY -- (0.7%) Other Securities............................. 29,344,452 0.7% ------------ ----- UNITED KINGDOM -- (11.4%) British Land Co. P.L.C. (The)................ 10,898,856 78,029,194 1.9% Derwent London P.L.C......................... 1,176,748 34,800,232 0.8%
83 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (Continued) Great Portland Estates P.L.C....... 3,858,150 $ 27,994,372 0.7% Hammerson P.L.C.................... 8,960,814 60,284,091 1.4% # Intu Properties P.L.C.............. 10,648,168 35,886,732 0.8% Land Securities Group P.L.C........ 8,807,163 107,540,737 2.6% Segro P.L.C........................ 8,436,335 45,185,521 1.1% Shaftesbury P.L.C.................. 2,926,579 32,832,178 0.8% Other Securities................... 63,665,670 1.5% -------------- ------ TOTAL UNITED KINGDOM..................... 486,218,727 11.6% -------------- ------ TOTAL COMMON STOCKS...................... 4,110,129,207 98.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SINGAPORE -- (0.0%) Other Securities................... 14,393 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES.............. 4,110,143,600 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (3.7%) (S)@ DFA Short Term Investment Fund..... 13,647,290 157,926,434 3.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,136,479,829).................. $4,268,070,034 102.1% ============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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...................... -- $ 822,261,322 -- $ 822,261,322 Belgium........................ -- 81,174,199 -- 81,174,199 Canada......................... $232,643,811 -- -- 232,643,811 China.......................... -- 11,237,887 -- 11,237,887 France......................... 8,846,020 234,991,622 -- 243,837,642 Germany........................ -- 25,143,013 -- 25,143,013 Greece......................... -- 744,713 -- 744,713 Hong Kong...................... -- 210,887,336 -- 210,887,336 Ireland........................ -- 1,374,206 -- 1,374,206 Italy.......................... -- 11,138,933 -- 11,138,933 Japan.......................... -- 982,082,649 -- 982,082,649 Malaysia....................... -- 26,876,659 -- 26,876,659 Mexico......................... 84,688,873 -- -- 84,688,873 Netherlands.................... -- 285,873,327 -- 285,873,327 New Zealand.................... -- 38,938,815 -- 38,938,815 Singapore...................... -- 320,490,713 -- 320,490,713 South Africa................... -- 164,410,751 -- 164,410,751 Spain.......................... -- 38,613,634 -- 38,613,634 Taiwan......................... -- 12,147,545 -- 12,147,545 Turkey......................... -- 29,344,452 -- 29,344,452 United Kingdom................. -- 486,218,727 -- 486,218,727 Rights/Warrants Singapore...................... -- 14,393 -- 14,393 Securities Lending Collateral... -- 157,926,434 -- 157,926,434 Futures Contracts**............. (303,666) -- -- (303,666) ------------ -------------- -- -------------- TOTAL........................... $325,875,038 $3,941,891,330 -- $4,267,766,368 ============ ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 84 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (32.3%) UNITED STATES -- (32.3%) Alexandria Real Estate Equities, Inc.... 174,347 $ 18,796,350 0.4% American Campus Communities, Inc........ 279,406 14,559,847 0.3% Apartment Investment & Management Co. Class A................................ 335,438 14,782,753 0.3% AvalonBay Communities, Inc.............. 291,915 49,970,010 1.0% Boston Properties, Inc.................. 327,235 39,425,273 0.8% Brixmor Property Group, Inc............. 530,182 13,477,226 0.3% # Camden Property Trust................... 187,245 15,249,233 0.3% CubeSmart............................... 382,314 9,966,926 0.2% DDR Corp................................ 666,214 10,186,412 0.2% Digital Realty Trust, Inc............... 326,268 30,483,219 0.6% # Douglas Emmett, Inc..................... 305,331 11,144,582 0.2% Duke Realty Corp........................ 751,217 19,644,325 0.4% EPR Properties.......................... 137,096 9,969,621 0.2% Equinix, Inc............................ 152,062 54,328,711 1.1% Equity Lifestyle Properties, Inc........ 163,143 12,372,765 0.3% Equity Residential...................... 779,120 48,110,660 1.0% Essex Property Trust, Inc............... 138,955 29,748,876 0.6% Extra Space Storage, Inc................ 269,405 19,706,976 0.4% Federal Realty Investment Trust......... 152,350 22,125,790 0.5% Gaming and Leisure Properties, Inc...... 353,547 11,606,948 0.2% General Growth Properties, Inc.......... 1,218,319 30,397,059 0.6% HCP, Inc................................ 996,797 34,140,297 0.7% # Highwoods Properties, Inc............... 212,512 10,546,971 0.2% Hospitality Properties Trust............ 348,626 9,538,407 0.2% # Host Hotels & Resorts, Inc.............. 1,590,717 24,624,299 0.5% Iron Mountain, Inc...................... 537,781 18,139,353 0.4% # Kilroy Realty Corp...................... 197,573 14,191,669 0.3% # Kimco Realty Corp....................... 891,266 23,716,588 0.5% Liberty Property Trust.................. 314,355 12,709,373 0.3% Macerich Co. (The)...................... 259,337 18,355,873 0.4% # Mid-America Apartment Communities, Inc.. 159,688 14,811,062 0.3% National Retail Properties, Inc......... 314,811 14,361,678 0.3% # Omega Healthcare Investors, Inc......... 414,309 13,187,455 0.3% Prologis, Inc........................... 1,126,524 58,759,492 1.2% Public Storage.......................... 316,191 67,576,341 1.4% Realty Income Corp...................... 548,676 32,503,566 0.7% Regency Centers Corp.................... 224,566 16,184,472 0.3% Senior Housing Properties Trust......... 511,739 10,884,689 0.2% Simon Property Group, Inc............... 675,550 125,625,278 2.6% # SL Green Realty Corp.................... 214,852 21,102,763 0.4% Spirit Realty Capital, Inc.............. 1,027,741 12,240,395 0.3% Sun Communities, Inc.................... 133,702 10,285,695 0.2% UDR, Inc................................ 568,465 19,879,221 0.4% Ventas, Inc............................. 745,527 50,509,454 1.0% VEREIT, Inc. REIT....................... 2,089,475 19,641,065 0.4% Vornado Realty Trust.................... 361,278 33,519,373 0.7% Welltower, Inc.......................... 764,813 52,412,635 1.1% WP Carey, Inc........................... 209,677 12,735,781 0.3% Other Securities........................ 354,946,650 7.1% -------------- ----- TOTAL COMMON STOCKS......................... 1,593,183,457 32.6% -------------- -----
85 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- AFFILIATED INVESTMENT COMPANIES -- (67.0%) UNITED STATES -- (67.0%) DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc.......................... 320,901,426 $1,678,314,456 34.3% DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc..................................... 47,182,930 1,619,318,167 33.1% -------------- ------ TOTAL UNITED STATES............................................. 3,297,632,623 67.4% -------------- ------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................................................... 3,297,632,623 67.4% -------------- ------ TOTAL INVESTMENT SECURITIES..................................... 4,890,816,080 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (0.7%) (S)@ DFA Short Term Investment Fund............................ 2,940,518 34,027,679 0.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,228,323,230)....................................... $4,924,843,759 100.7% ============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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 United States................. $1,593,183,457 -- -- $1,593,183,457 Affiliated Investment Companies United States................. 3,297,632,623 -- -- 3,297,632,623 Securities Lending Collateral... -- $34,027,679 -- 34,027,679 -------------- ----------- -- -------------- TOTAL........................... $4,890,816,080 $34,027,679 -- $4,924,843,759 ============== =========== == ==============
See accompanying Notes to Financial Statements. 86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.9%) AUSTRALIA -- (7.2%) BlueScope Steel, Ltd.............................. 10,422,296 $ 61,831,603 0.5% Downer EDI, Ltd................................... 10,628,374 46,976,239 0.4% OZ Minerals, Ltd.................................. 7,708,562 39,385,693 0.3% # Primary Health Care, Ltd.......................... 12,982,539 37,841,289 0.3% Treasury Wine Estates, Ltd........................ 5,628,238 45,883,460 0.4% Other Securities.................................. 765,041,938 5.8% ---------------- ---- TOTAL AUSTRALIA....................................... 996,960,222 7.7% ---------------- ---- AUSTRIA -- (1.0%) Wienerberger AG................................... 2,688,169 42,958,537 0.3% Other Securities.................................. 93,902,207 0.8% ---------------- ---- TOTAL AUSTRIA......................................... 136,860,744 1.1% ---------------- ---- BELGIUM -- (1.2%) Other Securities.................................. 168,390,567 1.3% ---------------- ---- CANADA -- (8.0%) * New Gold, Inc..................................... 11,382,167 44,890,527 0.4% # Precision Drilling Corp........................... 9,599,787 42,799,319 0.3% Other Securities.................................. 1,015,574,961 7.8% ---------------- ---- TOTAL CANADA.......................................... 1,103,264,807 8.5% ---------------- ---- CHINA -- (0.1%) Other Securities.................................. 10,731,956 0.1% ---------------- ---- DENMARK -- (1.7%) Jyske Bank A.S.................................... 1,025,280 46,486,501 0.4% Sydbank A.S....................................... 1,377,895 43,026,529 0.3% Other Securities.................................. 143,175,738 1.1% ---------------- ---- TOTAL DENMARK......................................... 232,688,768 1.8% ---------------- ---- FINLAND -- (2.5%) Cargotec Oyj Class B.............................. 973,185 39,910,579 0.3% Kesko Oyj Class B................................. 1,458,967 72,495,964 0.6% Other Securities.................................. 225,344,052 1.7% ---------------- ---- TOTAL FINLAND......................................... 337,750,595 2.6% ---------------- ---- FRANCE -- (4.4%) Arkema SA......................................... 1,001,886 95,001,175 0.7% * Nexans SA......................................... 759,787 43,188,043 0.3% Rexel SA.......................................... 3,645,764 50,563,981 0.4% Other Securities.................................. 412,423,919 3.2% ---------------- ---- TOTAL FRANCE.......................................... 601,177,118 4.6% ---------------- ---- GERMANY -- (6.8%) Aareal Bank AG.................................... 1,773,002 64,129,789 0.5% Aurubis AG........................................ 1,167,679 60,878,661 0.5% DMG Mori AG....................................... 999,797 45,763,876 0.4% Lanxess AG........................................ 1,639,319 105,120,810 0.8% Osram Licht AG.................................... 1,096,994 62,305,723 0.5% Rheinmetall AG.................................... 1,078,306 74,853,689 0.6%
87 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) Salzgitter AG........................... 1,332,610 $ 43,805,512 0.4% Other Securities........................ 481,546,452 3.5% ---------------- ----- TOTAL GERMANY............................... 938,404,512 7.2% ---------------- ----- GREECE -- (0.0%) Other Securities........................ 1,886 0.0% ---------------- ----- HONG KONG -- (3.1%) Other Securities........................ 420,368,732 3.2% ---------------- ----- IRELAND -- (0.3%) Other Securities........................ 43,620,825 0.3% ---------------- ----- ISRAEL -- (0.6%) Other Securities........................ 82,215,729 0.6% ---------------- ----- ITALY -- (3.0%) Banca Popolare dell'Emilia Romagna SC... 13,794,426 64,820,979 0.5% # Banca Popolare di Milano Scarl.......... 131,508,015 60,272,546 0.5% Unipol Gruppo Finanziario SpA........... 12,280,894 37,597,880 0.3% Other Securities........................ 256,609,430 1.9% ---------------- ----- TOTAL ITALY................................. 419,300,835 3.2% ---------------- ----- JAPAN -- (25.9%) Fujikura, Ltd........................... 6,644,200 39,038,012 0.3% Kyushu Financial Group, Inc............. 5,673,395 37,724,890 0.3% Other Securities........................ 3,491,498,246 26.8% ---------------- ----- TOTAL JAPAN................................. 3,568,261,148 27.4% ---------------- ----- NETHERLANDS -- (2.1%) # APERAM SA............................... 1,295,977 58,939,499 0.5% Delta Lloyd NV.......................... 7,177,283 43,360,353 0.3% # SBM Offshore NV......................... 4,403,531 63,209,832 0.5% Other Securities........................ 129,334,903 1.0% ---------------- ----- TOTAL NETHERLANDS........................... 294,844,587 2.3% ---------------- ----- NEW ZEALAND -- (0.4%) Other Securities........................ 58,409,655 0.4% ---------------- ----- NORWAY -- (0.7%) Other Securities........................ 94,820,762 0.7% ---------------- ----- PORTUGAL -- (0.3%) Other Securities........................ 39,952,792 0.3% ---------------- ----- SINGAPORE -- (1.2%) Other Securities........................ 158,940,173 1.2% ---------------- ----- SPAIN -- (2.3%) Acciona SA.............................. 641,361 48,739,153 0.4% # Acerinox SA............................. 3,328,284 40,957,184 0.3% Gamesa Corp. Tecnologica SA............. 2,275,221 52,531,263 0.4% Other Securities........................ 169,582,811 1.3% ---------------- ----- TOTAL SPAIN................................. 311,810,411 2.4% ---------------- -----
88 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWEDEN -- (3.0%) BillerudKorsnas AB.................. 2,518,920 $ 41,364,292 0.3% Holmen AB Class B................... 1,244,509 42,581,753 0.3% Saab AB Class B..................... 1,090,814 38,634,039 0.3% Other Securities.................... 290,912,982 2.3% ---------------- ----- TOTAL SWEDEN............................. 413,493,066 3.2% ---------------- ----- SWITZERLAND -- (4.4%) Baloise Holding AG.................. 499,895 61,501,836 0.5% Helvetia Holding AG................. 166,174 86,454,389 0.7% Other Securities.................... 458,006,489 3.5% ---------------- ----- TOTAL SWITZERLAND........................ 605,962,714 4.7% ---------------- ----- UNITED KINGDOM -- (12.7%) Beazley P.L.C....................... 13,328,414 59,345,802 0.5% Bellway P.L.C....................... 3,292,215 95,270,849 0.7% Bodycote P.L.C...................... 5,196,658 37,662,195 0.3% Bovis Homes Group P.L.C............. 4,562,935 42,247,075 0.3% Centamin P.L.C...................... 25,014,912 48,451,085 0.4% Close Brothers Group P.L.C.......... 2,394,726 38,860,135 0.3% Greene King P.L.C................... 7,070,307 63,247,094 0.5% Hiscox, Ltd......................... 7,430,506 92,783,332 0.7% Inchcape P.L.C...................... 6,553,522 52,105,182 0.4% John Wood Group P.L.C............... 7,902,149 74,273,651 0.6% Man Group P.L.C..................... 27,750,733 42,307,017 0.3% Melrose Industries P.L.C............ 38,390,186 79,225,571 0.6% Other Securities.................... 1,028,984,021 7.9% ---------------- ----- TOTAL UNITED KINGDOM..................... 1,754,763,009 13.5% ---------------- ----- UNITED STATES -- (0.0%) Other Securities.................... 3,056,896 0.0% ---------------- ----- TOTAL COMMON STOCKS...................... 12,796,052,509 98.3% ---------------- ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities.................... 7,352,563 0.1% ---------------- ----- TOTAL PREFERRED STOCKS................... 7,352,563 0.1% ---------------- ----- RIGHTS/WARRANTS -- (0.1%) AUSTRALIA -- (0.0%) Other Securities.................... 91,309 0.0% ---------------- ----- SINGAPORE -- (0.0%) Other Securities.................... 131,043 0.0% ---------------- ----- SPAIN -- (0.0%) Other Securities.................... 215,821 0.0% ---------------- ----- UNITED KINGDOM -- (0.1%) Other Securities.................... 6,722,457 0.1% ---------------- ----- TOTAL RIGHTS/WARRANTS.................... 7,160,630 0.1% ---------------- ----- TOTAL INVESTMENT SECURITIES.............. 12,810,565,702 ----------------
89 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (6.9%) (S)@ DFA Short Term Investment Fund.. 81,879,790 $ 947,512,927 7.3% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $12,684,369,059)............. $ 13,758,078,629 105.8% ================ ======
Summary of the Portfolio's investments as of October 31, 2016, 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...................... -- $ 996,960,222 -- $ 996,960,222 Austria........................ -- 136,860,744 -- 136,860,744 Belgium........................ -- 168,390,567 -- 168,390,567 Canada......................... $1,102,402,780 862,027 -- 1,103,264,807 China.......................... -- 10,731,956 -- 10,731,956 Denmark........................ -- 232,688,768 -- 232,688,768 Finland........................ -- 337,750,595 -- 337,750,595 France......................... 86,852 601,090,266 -- 601,177,118 Germany........................ -- 938,404,512 -- 938,404,512 Greece......................... -- 1,886 -- 1,886 Hong Kong...................... 79,646 420,289,086 -- 420,368,732 Ireland........................ -- 43,620,825 -- 43,620,825 Israel......................... -- 82,215,729 -- 82,215,729 Italy.......................... -- 419,300,835 -- 419,300,835 Japan.......................... 4,531,599 3,563,729,549 -- 3,568,261,148 Netherlands.................... -- 294,844,587 -- 294,844,587 New Zealand.................... -- 58,409,655 -- 58,409,655 Norway......................... -- 94,820,762 -- 94,820,762 Portugal....................... -- 39,952,792 -- 39,952,792 Singapore...................... 438,984 158,501,189 -- 158,940,173 Spain.......................... -- 311,810,411 -- 311,810,411 Sweden......................... -- 413,493,066 -- 413,493,066 Switzerland.................... -- 605,962,714 -- 605,962,714 United Kingdom................. -- 1,754,763,009 -- 1,754,763,009 United States.................. 150,425 2,906,471 -- 3,056,896 Preferred Stocks Germany........................ -- 7,352,563 -- 7,352,563 Rights/Warrants Australia...................... -- 91,309 -- 91,309 Singapore...................... -- 131,043 -- 131,043 Spain.......................... -- 215,821 -- 215,821 United Kingdom................. -- 6,722,457 -- 6,722,457 Securities Lending Collateral... -- 947,512,927 -- 947,512,927 Futures Contracts**............. (3,457,941) -- -- (3,457,941) -------------- --------------- -- --------------- TOTAL........................... $1,104,232,345 $12,650,388,343 -- $13,754,620,688 ============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 90 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.4%) AUSTRALIA -- (6.2%) Australia & New Zealand Banking Group, Ltd.. 214,260 $ 4,524,187 0.3% BHP Billiton, Ltd........................... 314,531 5,495,117 0.3% # Fortescue Metals Group, Ltd................. 868,376 3,644,250 0.2% Macquarie Group, Ltd........................ 80,830 4,886,127 0.3% Treasury Wine Estates, Ltd.................. 356,118 2,903,204 0.2% Woodside Petroleum, Ltd..................... 224,990 4,816,133 0.3% Other Securities............................ 97,973,431 5.1% --------------- ---- TOTAL AUSTRALIA................................. 124,242,449 6.7% --------------- ---- AUSTRIA -- (0.6%) Other Securities............................ 12,418,345 0.7% --------------- ---- BELGIUM -- (1.7%) Ageas....................................... 83,970 3,067,703 0.2% # Anheuser-Busch InBev SA..................... 27,589 3,166,384 0.2% Umicore SA.................................. 56,575 3,438,746 0.2% Other Securities............................ 23,106,059 1.2% --------------- ---- TOTAL BELGIUM................................... 32,778,892 1.8% --------------- ---- CANADA -- (8.2%) Suncor Energy, Inc.......................... 139,453 4,184,723 0.2% Other Securities............................ 160,062,099 8.7% --------------- ---- TOTAL CANADA.................................... 164,246,822 8.9% --------------- ---- CHINA -- (0.0%) Other Securities............................ 811,856 0.0% --------------- ---- DENMARK -- (1.8%) Other Securities............................ 36,479,776 2.0% --------------- ---- FINLAND -- (2.1%) UPM-Kymmene Oyj............................. 273,652 6,365,558 0.4% Other Securities............................ 35,417,221 1.9% --------------- ---- TOTAL FINLAND................................... 41,782,779 2.3% --------------- ---- FRANCE -- (6.0%) BNP Paribas SA.............................. 73,561 4,265,306 0.2% Cie de Saint-Gobain......................... 105,119 4,667,617 0.3% Technip SA.................................. 50,974 3,383,140 0.2% Total SA.................................... 240,139 11,503,835 0.6% Other Securities............................ 95,214,376 5.1% --------------- ---- TOTAL FRANCE.................................... 119,034,274 6.4% --------------- ---- GERMANY -- (5.6%) Allianz SE.................................. 25,753 4,020,152 0.2% BASF SE..................................... 38,075 3,361,183 0.2% Daimler AG.................................. 89,896 6,413,358 0.4% E.ON SE..................................... 588,434 4,312,548 0.2% * RWE AG...................................... 247,438 3,936,537 0.2% Other Securities............................ 89,878,733 4.8% --------------- ---- TOTAL GERMANY................................... 111,922,511 6.0% --------------- ----
91 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (3.0%) Other Securities................................... $ 60,120,275 3.2% --------------- ----- IRELAND -- (0.5%) Other Securities................................... 9,302,904 0.5% --------------- ----- ISRAEL -- (0.7%) Other Securities................................... 13,848,935 0.7% --------------- ----- ITALY -- (2.5%) Assicurazioni Generali SpA......................... 303,243 3,917,093 0.2% Eni SpA............................................ 211,731 3,072,695 0.2% Other Securities................................... 42,065,042 2.2% --------------- ----- TOTAL ITALY............................................. 49,054,830 2.6% --------------- ----- JAPAN -- (23.8%) Honda Motor Co., Ltd............................... 108,123 3,235,214 0.2% Mitsubishi Chemical Holdings Corp.................. 462,400 3,036,083 0.2% Mitsubishi UFJ Financial Group, Inc................ 817,300 4,217,111 0.2% Sumitomo Mitsui Financial Group, Inc............... 88,341 3,062,929 0.2% Toyota Motor Corp.................................. 55,363 3,211,426 0.2% Toyota Motor Corp. Sponsored ADR................... 36,827 4,259,411 0.3% Other Securities................................... 453,241,144 24.2% --------------- ----- TOTAL JAPAN............................................. 474,263,318 25.5% --------------- ----- NETHERLANDS -- (2.7%) Koninklijke Ahold Delhaize NV...................... 290,458 6,626,044 0.4% Koninklijke DSM NV................................. 62,767 4,034,318 0.2% Other Securities................................... 43,716,231 2.3% --------------- ----- TOTAL NETHERLANDS....................................... 54,376,593 2.9% --------------- ----- NEW ZEALAND -- (0.5%) Other Securities................................... 10,447,365 0.6% --------------- ----- NORWAY -- (0.9%) Other Securities................................... 18,361,505 1.0% --------------- ----- PORTUGAL -- (0.3%) Other Securities................................... 5,076,833 0.3% --------------- ----- SINGAPORE -- (1.1%) Other Securities................................... 21,758,685 1.2% --------------- ----- SPAIN -- (2.1%) Banco Santander SA................................. 853,014 4,179,790 0.2% Other Securities................................... 37,107,416 2.0% --------------- ----- TOTAL SPAIN............................................. 41,287,206 2.2% --------------- ----- SWEDEN -- (2.6%) Other Securities................................... 50,731,426 2.7% --------------- ----- SWITZERLAND -- (6.1%) Baloise Holding AG................................. 26,119 3,213,408 0.2% Clariant AG........................................ 182,599 3,023,740 0.2% Flughafen Zuerich AG............................... 16,575 3,046,882 0.2% Lonza Group AG..................................... 15,916 3,003,376 0.2% Nestle SA.......................................... 110,012 7,977,396 0.4%
92 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (Continued) Novartis AG....................................... 52,784 $ 3,745,953 0.2% Novartis AG Sponsored ADR......................... 73,269 5,203,564 0.3% Swiss Life Holding AG............................. 12,759 3,376,447 0.2% Swiss Re AG....................................... 39,527 3,668,568 0.2% Zurich Insurance Group AG......................... 11,416 2,988,212 0.2% Other Securities.................................. 81,499,610 4.2% --------------- ----- TOTAL SWITZERLAND..................................... 120,747,156 6.5% --------------- ----- UNITED KINGDOM -- (13.4%) * Anglo American P.L.C.............................. 210,298 2,918,769 0.2% BP P.L.C. Sponsored ADR........................... 259,985 9,242,472 0.5% HSBC Holdings P.L.C. Sponsored ADR................ 228,451 8,596,611 0.5% Melrose Industries P.L.C.......................... 1,702,272 3,512,968 0.2% Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 147,757 7,359,766 0.4% Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 113,939 5,960,149 0.3% * Standard Chartered P.L.C.......................... 374,495 3,256,575 0.2% # Vodafone Group P.L.C. Sponsored ADR............... 142,624 3,970,657 0.2% WM Morrison Supermarkets P.L.C.................... 1,327,157 3,673,920 0.2% Other Securities.................................. 218,402,900 11.7% --------------- ----- TOTAL UNITED KINGDOM.................................. 266,894,787 14.4% --------------- ----- UNITED STATES -- (0.0%) Other Securities.................................. 700,028 0.0% --------------- ----- TOTAL COMMON STOCKS................................... 1,840,689,550 99.1% --------------- ----- PREFERRED STOCKS -- (0.4%) GERMANY -- (0.4%) Other Securities.................................. 6,885,828 0.4% --------------- ----- UNITED KINGDOM -- (0.0%) Other Securities.................................. 1,326 0.0% --------------- ----- TOTAL PREFERRED STOCKS................................ 6,887,154 0.4% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................................. 4,475 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities.................................. 151 0.0% --------------- ----- SPAIN -- (0.0%) Other Securities.................................. 60,463 0.0% --------------- ----- SWEDEN -- (0.0%) Other Securities.................................. 37,741 0.0% --------------- ----- UNITED KINGDOM -- (0.0%) Other Securities.................................. 236,150 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS................................. 338,980 0.0% --------------- ----- TOTAL INVESTMENT SECURITIES........................... 1,847,915,684 ---------------
93 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (7.2%) (S)@ DFA Short Term Investment Fund.. 12,465,810 $ 144,254,351 7.8% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,899,597,169).............. $ 1,992,170,035 107.3% =============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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...................... $ 2,866,003 $ 121,376,446 -- $ 124,242,449 Austria........................ -- 12,418,345 -- 12,418,345 Belgium........................ 3,908,754 28,870,138 -- 32,778,892 Canada......................... 164,215,258 31,564 -- 164,246,822 China.......................... -- 811,856 -- 811,856 Denmark........................ -- 36,479,776 -- 36,479,776 Finland........................ -- 41,782,779 -- 41,782,779 France......................... 488,883 118,545,391 -- 119,034,274 Germany........................ 3,778,788 108,143,723 -- 111,922,511 Hong Kong...................... 372,251 59,748,024 -- 60,120,275 Ireland........................ 2,225,599 7,077,305 -- 9,302,904 Israel......................... 2,102,368 11,746,567 -- 13,848,935 Italy.......................... 507,826 48,547,004 -- 49,054,830 Japan.......................... 9,015,112 465,248,206 -- 474,263,318 Netherlands.................... 6,228,570 48,148,023 -- 54,376,593 New Zealand.................... 49,885 10,397,480 -- 10,447,365 Norway......................... 490,003 17,871,502 -- 18,361,505 Portugal....................... -- 5,076,833 -- 5,076,833 Singapore...................... 14,322 21,744,363 -- 21,758,685 Spain.......................... 2,418,495 38,868,711 -- 41,287,206 Sweden......................... 132,406 50,599,020 -- 50,731,426 Switzerland.................... 8,678,108 112,069,048 -- 120,747,156 United Kingdom................. 51,871,871 215,022,916 -- 266,894,787 United States.................. 248,573 451,455 -- 700,028 Preferred Stocks Germany........................ -- 6,885,828 -- 6,885,828 United Kingdom................. -- 1,326 -- 1,326 Rights/Warrants Australia...................... -- 4,475 -- 4,475 Hong Kong...................... -- 151 -- 151 Spain.......................... -- 60,463 -- 60,463 Sweden......................... -- 37,741 -- 37,741 United Kingdom................. -- 236,150 -- 236,150 Securities Lending Collateral... -- 144,254,351 -- 144,254,351 ------------ -------------- -- -------------- TOTAL........................... $259,613,075 $1,732,556,960 -- $1,992,170,035 ============ ============== == ==============
See accompanying Notes to Financial Statements. 94 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
SHARES VALUE+ --------- ------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company........................... $ 122,604,492 Investment in Dimensional Emerging Markets Value Fund........ 45,155,236 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 1,059,135 20,451,904 ------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $188,081,378)..................................... 188,211,632 ------------- TOTAL INVESTMENTS -- (100.0%) (Cost $188,081,378)..................................... $ 188,211,632 =============
Summary of the Portfolio's investments as of October 31, 2016, 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.... $188,211,632 -- -- $188,211,632 ------------ -- -- ------------ TOTAL.............................. $188,211,632 -- -- $188,211,632 ============ == == ============
See accompanying Notes to Financial Statements. 95 WORLD EX U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (96.8%) AUSTRALIA -- (4.7%) BlueScope Steel, Ltd............ 88,385 $ 524,355 0.2% Challenger, Ltd................. 73,657 601,300 0.2% Orica, Ltd...................... 46,842 578,704 0.2% Santos, Ltd..................... 212,526 568,666 0.2% Treasury Wine Estates, Ltd...... 78,127 636,920 0.2% Other Securities................ 10,485,523 3.8% ----------- ---- TOTAL AUSTRALIA..................... 13,395,468 4.8% ----------- ---- AUSTRIA -- (0.6%) Other Securities................ 1,846,597 0.7% ----------- ---- BELGIUM -- (0.9%) Ageas........................... 28,003 1,023,045 0.4% Other Securities................ 1,650,898 0.6% ----------- ---- TOTAL BELGIUM....................... 2,673,943 1.0% ----------- ---- BRAZIL -- (1.4%) Kroton Educacional SA........... 178,300 888,149 0.3% Other Securities................ 3,067,544 1.1% ----------- ---- TOTAL BRAZIL........................ 3,955,693 1.4% ----------- ---- CANADA -- (6.5%) First Quantum Minerals, Ltd..... 103,517 983,230 0.4% Teck Resources, Ltd. Class B.... 48,198 1,040,643 0.4% Other Securities................ 16,511,927 5.8% ----------- ---- TOTAL CANADA........................ 18,535,800 6.6% ----------- ---- CHILE -- (0.3%) Other Securities................ 820,569 0.3% ----------- ---- CHINA -- (6.6%) Other Securities................ 18,991,993 6.8% ----------- ---- COLOMBIA -- (0.1%) Other Securities................ 188,478 0.1% ----------- ---- DENMARK -- (1.4%) * TDC A.S......................... 96,517 532,146 0.2% Other Securities................ 3,355,721 1.2% ----------- ---- TOTAL DENMARK....................... 3,887,867 1.4% ----------- ---- FINLAND -- (2.1%) Neste Oyj....................... 17,647 761,329 0.3% Stora Enso Oyj Class R.......... 70,796 669,031 0.2% UPM-Kymmene Oyj................. 72,885 1,695,415 0.6% Other Securities................ 3,023,290 1.1% ----------- ---- TOTAL FINLAND....................... 6,149,065 2.2% ----------- ---- FRANCE -- (4.0%) Arkema SA....................... 9,229 875,115 0.3% Atos SE......................... 5,086 527,792 0.2%
96 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- FRANCE -- (Continued) Rexel SA........................ 43,153 $ 598,499 0.2% SCOR SE......................... 23,193 751,073 0.3% STMicroelectronics NV........... 87,664 832,020 0.3% Technip SA...................... 15,411 1,022,827 0.4% Other Securities................ 6,730,753 2.3% ----------- ----- TOTAL FRANCE........................ 11,338,079 4.0% ----------- ----- GERMANY -- (4.5%) Lanxess AG...................... 11,884 762,058 0.3% Osram Licht AG.................. 10,639 604,261 0.2% Rheinmetall AG.................. 8,438 585,748 0.2% * RWE AG.......................... 53,047 843,935 0.3% Other Securities................ 9,983,758 3.5% ----------- ----- TOTAL GERMANY....................... 12,779,760 4.5% ----------- ----- HONG KONG -- (2.1%) Hang Lung Group, Ltd............ 135,000 516,407 0.2% Other Securities................ 5,470,545 1.9% ----------- ----- TOTAL HONG KONG..................... 5,986,952 2.1% ----------- ----- INDIA -- (4.1%) Other Securities................ 11,697,767 4.2% ----------- ----- INDONESIA -- (1.0%) Other Securities................ 2,942,436 1.0% ----------- ----- IRELAND -- (0.5%) Smurfit Kappa Group P.L.C....... 34,342 753,542 0.3% Other Securities................ 735,704 0.2% ----------- ----- TOTAL IRELAND....................... 1,489,246 0.5% ----------- ----- ISRAEL -- (0.5%) Other Securities................ 1,527,113 0.5% ----------- ----- ITALY -- (2.5%) # Fiat Chrysler Automobiles NV.... 99,560 729,867 0.3% Other Securities................ 6,334,151 2.2% ----------- ----- TOTAL ITALY......................... 7,064,018 2.5% ----------- ----- JAPAN -- (17.7%) Other Securities................ 50,738,692 18.0% ----------- ----- MALAYSIA -- (0.9%) Other Securities................ 2,613,089 0.9% ----------- ----- MEXICO -- (1.2%) * Cemex S.A.B. de C.V............. 905,938 783,667 0.3% Other Securities................ 2,518,164 0.9% ----------- ----- TOTAL MEXICO........................ 3,301,831 1.2% ----------- ----- NETHERLANDS -- (1.0%) APERAM SA....................... 14,890 677,180 0.3% Other Securities................ 2,176,908 0.7% ----------- ----- TOTAL NETHERLANDS................... 2,854,088 1.0% ----------- -----
97 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- NEW ZEALAND -- (0.4%) Other Securities................ $ 1,288,946 0.5% ----------- ---- NORWAY -- (0.8%) Other Securities................ 2,227,940 0.8% ----------- ---- PHILIPPINES -- (0.3%) Other Securities................ 1,004,770 0.4% ----------- ---- POLAND -- (0.3%) Other Securities................ 939,013 0.3% ----------- ---- PORTUGAL -- (0.2%) Other Securities................ 550,784 0.2% ----------- ---- SINGAPORE -- (0.8%) Other Securities................ 2,206,646 0.8% ----------- ---- SOUTH AFRICA -- (2.0%) * AngloGold Ashanti, Ltd. Sponsored ADR.................. 47,956 658,916 0.2% Other Securities................ 5,090,776 1.8% ----------- ---- TOTAL SOUTH AFRICA.................. 5,749,692 2.0% ----------- ---- SOUTH KOREA -- (4.9%) Other Securities................ 14,046,582 5.0% ----------- ---- SPAIN -- (1.3%) Banco de Sabadell SA............ 566,408 756,284 0.3% Other Securities................ 3,087,463 1.1% ----------- ---- TOTAL SPAIN......................... 3,843,747 1.4% ----------- ---- SWEDEN -- (1.8%) Other Securities................ 5,080,507 1.8% ----------- ---- SWITZERLAND -- (3.4%) Baloise Holding AG.............. 6,236 767,212 0.3% * Dufry AG........................ 4,813 585,538 0.2% Helvetia Holding AG............. 1,207 627,959 0.2% Swiss Life Holding AG........... 4,696 1,242,715 0.5% Other Securities................ 6,423,050 2.2% ----------- ---- TOTAL SWITZERLAND................... 9,646,474 3.4% ----------- ---- TAIWAN -- (4.4%) Other Securities................ 12,698,779 4.5% ----------- ---- THAILAND -- (0.8%) Other Securities................ 2,273,285 0.8% ----------- ---- TURKEY -- (0.4%) Other Securities................ 1,037,862 0.4% ----------- ---- UNITED KINGDOM -- (10.4%) Barratt Developments P.L.C...... 95,492 529,544 0.2% Bellway P.L.C................... 25,648 742,208 0.3% Coca-Cola HBC AG................ 24,514 529,010 0.2% Direct Line Insurance Group P.L.C.......................... 174,812 739,555 0.3% GKN P.L.C....................... 201,823 787,073 0.3% Hiscox, Ltd..................... 55,044 687,324 0.3%
98 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (Continued) Inchcape P.L.C................................ 64,830 $ 515,445 0.2% J Sainsbury P.L.C............................. 241,161 739,410 0.3% Johnson Matthey P.L.C......................... 24,288 1,012,409 0.4% Marks & Spencer Group P.L.C................... 150,625 626,719 0.2% Persimmon P.L.C............................... 29,335 607,230 0.2% Royal Mail P.L.C.............................. 123,358 740,085 0.3% Smiths Group P.L.C............................ 49,987 866,184 0.3% Tate & Lyle P.L.C............................. 57,850 551,713 0.2% Travis Perkins P.L.C.......................... 34,083 554,511 0.2% WM Morrison Supermarkets P.L.C................ 299,653 829,518 0.3% Other Securities.............................. 18,779,099 6.4% ------------ ----- TOTAL UNITED KINGDOM............................... 29,837,037 10.6% ------------ ----- UNITED STATES -- (0.0%) Other Securities.............................. 66,196 0.0% ------------ ----- TOTAL COMMON STOCKS................................ 277,276,804 98.6% ------------ ----- PREFERRED STOCKS -- (0.7%) BRAZIL -- (0.5%) Other Securities.............................. 1,303,313 0.5% ------------ ----- CHILE -- (0.0%) Other Securities.............................. 30,737 0.0% ------------ ----- COLOMBIA -- (0.0%) Other Securities.............................. 129,859 0.0% ------------ ----- GERMANY -- (0.2%) Other Securities.............................. 487,381 0.2% ------------ ----- SOUTH KOREA -- (0.0%) Other Securities.............................. 27,468 0.0% ------------ ----- TOTAL PREFERRED STOCKS............................. 1,978,758 0.7% ------------ ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.............................. 3,794 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities.............................. 231 0.0% ------------ ----- INDIA -- (0.0%) Other Securities.............................. 8,078 0.0% ------------ ----- SPAIN -- (0.0%) Other Securities.............................. 1,620 0.0% ------------ ----- SWEDEN -- (0.0%) Other Securities.............................. 13,288 0.0% ------------ ----- UNITED KINGDOM -- (0.0%) Other Securities.............................. 48,844 0.1% ------------ ----- TOTAL RIGHTS/WARRANTS.............................. 75,855 0.1% ------------ ----- TOTAL INVESTMENT SECURITIES........................ 279,331,417 ------------
99 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (2.5%) (S)@ DFA Short Term Investment Fund.. 617,478 $ 7,145,456 2.5% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $272,647,227)................ $286,476,873 101.9% ============ ======
Summary of the Portfolio's investments as of October 31, 2016, 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...................... -- $ 13,395,468 -- $ 13,395,468 Austria........................ -- 1,846,597 -- 1,846,597 Belgium........................ -- 2,673,943 -- 2,673,943 Brazil......................... $ 3,955,693 -- -- 3,955,693 Canada......................... 18,533,056 2,744 -- 18,535,800 Chile.......................... 269,518 551,051 -- 820,569 China.......................... 272,255 18,719,738 -- 18,991,993 Colombia....................... 188,478 -- -- 188,478 Denmark........................ -- 3,887,867 -- 3,887,867 Finland........................ -- 6,149,065 -- 6,149,065 France......................... -- 11,338,079 -- 11,338,079 Germany........................ 31,774 12,747,986 -- 12,779,760 Hong Kong...................... 39,535 5,947,417 -- 5,986,952 India.......................... 28,376 11,669,391 -- 11,697,767 Indonesia...................... -- 2,942,436 -- 2,942,436 Ireland........................ -- 1,489,246 -- 1,489,246 Israel......................... 20,588 1,506,525 -- 1,527,113 Italy.......................... -- 7,064,018 -- 7,064,018 Japan.......................... 159,283 50,579,409 -- 50,738,692 Malaysia....................... -- 2,613,089 -- 2,613,089 Mexico......................... 3,301,831 -- -- 3,301,831 Netherlands.................... 55,536 2,798,552 -- 2,854,088 New Zealand.................... -- 1,288,946 -- 1,288,946 Norway......................... -- 2,227,940 -- 2,227,940 Philippines.................... -- 1,004,770 -- 1,004,770 Poland......................... -- 939,013 -- 939,013 Portugal....................... -- 550,784 -- 550,784 Singapore...................... 16,121 2,190,525 -- 2,206,646 South Africa................... 1,273,262 4,476,430 -- 5,749,692 South Korea.................... 15,289 14,031,293 -- 14,046,582 Spain.......................... -- 3,843,747 -- 3,843,747 Sweden......................... -- 5,080,507 -- 5,080,507 Switzerland.................... -- 9,646,474 -- 9,646,474 Taiwan......................... -- 12,698,779 -- 12,698,779 Thailand....................... 2,273,285 -- -- 2,273,285 Turkey......................... -- 1,037,862 -- 1,037,862 United Kingdom................. -- 29,837,037 -- 29,837,037 United States.................. -- 66,196 -- 66,196 Preferred Stocks Brazil......................... 1,303,313 -- -- 1,303,313 Chile.......................... -- 30,737 -- 30,737 Colombia....................... 129,859 -- -- 129,859 Germany........................ -- 487,381 -- 487,381 South Korea.................... 27,468 -- -- 27,468
100 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Rights/Warrants Australia...................... -- $ 3,794 -- $ 3,794 Hong Kong...................... -- 231 -- 231 India.......................... -- 8,078 -- 8,078 Spain.......................... -- 1,620 -- 1,620 Sweden......................... -- 13,288 -- 13,288 United Kingdom................. -- 48,844 -- 48,844 Securities Lending Collateral... -- 7,145,456 -- 7,145,456 ----------- ------------ -- ------------ TOTAL........................... $31,894,520 $254,582,353 -- $286,476,873 =========== ============ == ============
See accompanying Notes to Financial Statements. 101 WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (93.2%) AUSTRALIA -- (4.6%) Australia & New Zealand Banking Group, Ltd......................... 136,042 $ 2,872,582 0.2% BHP Billiton, Ltd................... 219,729 3,838,848 0.3% Commonwealth Bank of Australia...... 42,958 2,391,510 0.2% National Australia Bank, Ltd........ 167,814 3,562,260 0.2% Westpac Banking Corp................ 198,957 4,600,868 0.3% Other Securities.................... 62,753,461 3.6% ------------ ---- TOTAL AUSTRALIA.......................... 80,019,529 4.8% ------------ ---- AUSTRIA -- (0.4%) Other Securities.................... 7,680,103 0.5% ------------ ---- BELGIUM -- (1.1%) Anheuser-Busch InBev SA............. 39,170 4,495,533 0.3% Other Securities.................... 14,059,749 0.8% ------------ ---- TOTAL BELGIUM............................ 18,555,282 1.1% ------------ ---- BRAZIL -- (1.5%) Other Securities.................... 26,540,217 1.6% ------------ ---- CANADA -- (6.1%) Bank of Montreal.................... 43,272 2,752,099 0.2% Bank of Nova Scotia (The)........... 50,621 2,721,385 0.2% Canadian Natural Resources, Ltd..... 74,149 2,351,265 0.2% Royal Bank of Canada................ 72,182 4,509,931 0.3% Toronto-Dominion Bank (The)......... 54,161 2,457,826 0.2% Other Securities.................... 92,344,997 5.4% ------------ ---- TOTAL CANADA............................. 107,137,503 6.5% ------------ ---- CHILE -- (0.3%) Other Securities.................... 4,757,960 0.3% ------------ ---- CHINA -- (5.2%) China Construction Bank Corp. Class H............................ 6,570,000 4,797,721 0.3% Industrial & Commercial Bank of China, Ltd. Class H................ 4,897,000 2,939,372 0.2% Tencent Holdings, Ltd............... 91,900 2,435,563 0.2% Other Securities.................... 79,872,000 4.7% ------------ ---- TOTAL CHINA.............................. 90,044,656 5.4% ------------ ---- COLOMBIA -- (0.1%) Other Securities.................... 1,515,620 0.1% ------------ ---- CZECH REPUBLIC -- (0.0%) Other Securities.................... 405,216 0.0% ------------ ---- DENMARK -- (1.3%) Other Securities.................... 22,550,888 1.4% ------------ ---- EGYPT -- (0.0%) Other Securities.................... 139,538 0.0% ------------ ---- FINLAND -- (1.2%) UPM-Kymmene Oyj..................... 130,315 3,031,323 0.2% Other Securities.................... 18,204,516 1.1% ------------ ---- TOTAL FINLAND............................ 21,235,839 1.3% ------------ ----
102 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- FRANCE -- (5.0%) BNP Paribas SA................................ 50,207 $ 2,911,165 0.2% Cie Generale des Etablissements Michelin...... 28,430 3,079,197 0.2% Orange SA..................................... 153,965 2,422,432 0.2% Sanofi........................................ 39,753 3,093,530 0.2% Total SA...................................... 185,779 8,899,725 0.6% Other Securities.............................. 67,700,511 3.9% ------------ ----- TOTAL FRANCE....................................... 88,106,560 5.3% ------------ ----- GERMANY -- (4.8%) Allianz SE.................................... 15,044 2,348,432 0.2% BASF SE....................................... 63,703 5,623,571 0.4% Bayerische Motoren Werke AG................... 37,367 3,260,101 0.2% Daimler AG.................................... 84,976 6,062,355 0.4% Deutsche Telekom AG........................... 206,421 3,367,804 0.2% E.ON SE....................................... 360,877 2,644,815 0.2% Other Securities.............................. 59,721,059 3.4% ------------ ----- TOTAL GERMANY...................................... 83,028,137 5.0% ------------ ----- GREECE -- (0.0%) Other Securities.............................. 432,683 0.0% ------------ ----- HONG KONG -- (2.1%) AIA Group, Ltd................................ 557,400 3,506,604 0.2% Other Securities.............................. 33,937,074 2.1% ------------ ----- TOTAL HONG KONG.................................... 37,443,678 2.3% ------------ ----- HUNGARY -- (0.1%) Other Securities.............................. 1,321,333 0.1% ------------ ----- INDIA -- (2.6%) Other Securities.............................. 46,087,975 2.8% ------------ ----- INDONESIA -- (0.7%) Other Securities.............................. 11,630,052 0.7% ------------ ----- IRELAND -- (0.4%) Other Securities.............................. 6,869,216 0.4% ------------ ----- ISRAEL -- (0.5%) Other Securities.............................. 7,991,959 0.5% ------------ ----- ITALY -- (1.7%) Eni SpA....................................... 205,577 2,983,386 0.2% Other Securities.............................. 26,311,110 1.6% ------------ ----- TOTAL ITALY........................................ 29,294,496 1.8% ------------ ----- JAPAN -- (17.7%) Hitachi, Ltd.................................. 498,000 2,654,784 0.2% Honda Motor Co., Ltd.......................... 104,700 3,132,792 0.2% Nissan Motor Co., Ltd......................... 257,500 2,619,414 0.2% Toyota Motor Corp............................. 156,288 9,065,753 0.6% Other Securities.............................. 291,593,321 17.5% ------------ ----- TOTAL JAPAN........................................ 309,066,064 18.7% ------------ -----
103 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (0.7%) Other Securities..................... $11,274,046 0.7% ----------- ---- MEXICO -- (0.9%) Other Securities..................... 16,495,098 1.0% ----------- ---- NETHERLANDS -- (1.9%) Koninklijke Ahold Delhaize NV........ 155,008 3,536,098 0.2% Koninklijke DSM NV................... 40,578 2,608,131 0.2% Other Securities..................... 26,922,912 1.6% ----------- ---- TOTAL NETHERLANDS......................... 33,067,141 2.0% ----------- ---- NEW ZEALAND -- (0.4%) Other Securities..................... 7,022,283 0.4% ----------- ---- NORWAY -- (0.6%) Other Securities..................... 10,675,154 0.6% ----------- ---- PERU -- (0.0%) Other Securities..................... 352,679 0.0% ----------- ---- PHILIPPINES -- (0.3%) Other Securities..................... 5,911,104 0.4% ----------- ---- POLAND -- (0.3%) Other Securities..................... 5,277,124 0.3% ----------- ---- PORTUGAL -- (0.2%) Other Securities..................... 3,621,321 0.2% ----------- ---- RUSSIA -- (0.3%) Other Securities..................... 4,682,726 0.3% ----------- ---- SINGAPORE -- (0.8%) Other Securities..................... 13,524,076 0.8% ----------- ---- SOUTH AFRICA -- (1.8%) Other Securities..................... 31,676,545 1.9% ----------- ---- SOUTH KOREA -- (4.1%) Samsung Electronics Co., Ltd......... 7,245 10,362,727 0.7% Other Securities..................... 61,042,613 3.6% ----------- ---- TOTAL SOUTH KOREA......................... 71,405,340 4.3% ----------- ---- SPAIN -- (1.8%) Banco Bilbao Vizcaya Argentaria SA... 419,111 3,017,052 0.2% Banco Santander SA................... 715,205 3,504,525 0.2% Other Securities..................... 24,651,683 1.5% ----------- ---- TOTAL SPAIN............................... 31,173,260 1.9% ----------- ---- SWEDEN -- (1.9%) Other Securities..................... 33,786,883 2.0% ----------- ---- SWITZERLAND -- (4.5%) ABB, Ltd............................. 127,841 2,637,413 0.2% Nestle SA............................ 188,507 13,669,372 0.8% Novartis AG.......................... 47,933 3,401,689 0.2% Roche Holding AG..................... 11,852 2,722,186 0.2%
104 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (Continued) Syngenta AG............................. 8,330 $ 3,333,382 0.2% Other Securities........................ 53,010,824 3.2% -------------- ----- TOTAL SWITZERLAND........................... 78,774,866 4.8% -------------- ----- TAIWAN -- (3.6%) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR..................... 123,087 3,828,006 0.3% Other Securities........................ 58,897,843 3.5% -------------- ----- TOTAL TAIWAN................................ 62,725,849 3.8% -------------- ----- THAILAND -- (0.7%) Other Securities........................ 11,481,135 0.7% -------------- ----- TURKEY -- (0.3%) Other Securities........................ 5,328,110 0.3% -------------- ----- UNITED KINGDOM -- (10.7%) BP P.L.C. Sponsored ADR................. 275,906 9,808,458 0.6% # HSBC Holdings P.L.C. Sponsored ADR...... 146,019 5,494,695 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A................................ 112,390 5,598,146 0.4% Royal Dutch Shell P.L.C. Sponsored ADR, Class B................................ 91,039 4,762,250 0.3% SSE P.L.C............................... 129,263 2,513,266 0.2% Vodafone Group P.L.C.................... 1,177,738 3,234,451 0.2% Other Securities........................ 156,096,346 9.3% -------------- ----- TOTAL UNITED KINGDOM........................ 187,507,612 11.3% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 593,241 0.0% -------------- ----- TOTAL COMMON STOCKS......................... 1,628,210,097 98.3% -------------- ----- PREFERRED STOCKS -- (1.0%) BRAZIL -- (0.7%) Other Securities........................ 11,035,263 0.7% -------------- ----- CHILE -- (0.0%) Other Securities........................ 173,093 0.0% -------------- ----- COLOMBIA -- (0.0%) Other Securities........................ 246,622 0.0% -------------- ----- GERMANY -- (0.3%) Volkswagen AG........................... 17,044 2,349,951 0.2% Other Securities........................ 3,111,594 0.2% -------------- ----- TOTAL GERMANY............................... 5,461,545 0.4% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities........................ 61,114 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 1,830 0.0% -------------- ----- TOTAL PREFERRED STOCKS...................... 16,979,467 1.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 48,457 0.0% -------------- -----
105 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- BRAZIL -- (0.0%) Other Securities................ $ 80 0.0% -------------- ------ CHINA -- (0.0%) Other Securities................ 263 0.0% -------------- ------ INDIA -- (0.0%) Other Securities................ 14,019 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 48,645 0.0% -------------- ------ SWEDEN -- (0.0%) Other Securities................ 22,703 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 110,403 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................. 244,570 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES............ 1,645,434,134 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (5.8%) (S)@ DFA Short Term Investment Fund.. 8,774,063 101,533,454 6.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,755,514,830).............. $1,746,967,588 105.5% ============== ======
Summary of the Portfolio's investments as of October 31, 2016, 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...................... $ 891,056 $ 79,128,473 -- $ 80,019,529 Austria........................ -- 7,680,103 -- 7,680,103 Belgium........................ 4,851,820 13,703,462 -- 18,555,282 Brazil......................... 26,540,217 -- -- 26,540,217 Canada......................... 107,135,128 2,375 -- 107,137,503 Chile.......................... 1,106,857 3,651,103 -- 4,757,960 China.......................... 6,089,017 83,955,639 -- 90,044,656 Colombia....................... 1,515,620 -- -- 1,515,620 Czech Republic................. -- 405,216 -- 405,216 Denmark........................ 189,926 22,360,962 -- 22,550,888 Egypt.......................... -- 139,538 -- 139,538 Finland........................ 163,491 21,072,348 -- 21,235,839 France......................... 1,670,790 86,435,770 -- 88,106,560 Germany........................ 2,997,165 80,030,972 -- 83,028,137 Greece......................... -- 432,683 -- 432,683 Hong Kong...................... 137,953 37,305,725 -- 37,443,678 Hungary........................ -- 1,321,333 -- 1,321,333 India.......................... 941,362 45,146,613 -- 46,087,975 Indonesia...................... 203,564 11,426,488 -- 11,630,052 Ireland........................ 1,807,573 5,061,643 -- 6,869,216 Israel......................... 2,183,220 5,808,739 -- 7,991,959
106 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Italy.......................... $ 150,542 $ 29,143,954 -- $ 29,294,496 Japan.......................... 3,248,558 305,817,506 -- 309,066,064 Malaysia....................... -- 11,274,046 -- 11,274,046 Mexico......................... 16,495,098 -- -- 16,495,098 Netherlands.................... 3,265,362 29,801,779 -- 33,067,141 New Zealand.................... 9,966 7,012,317 -- 7,022,283 Norway......................... 262,785 10,412,369 -- 10,675,154 Peru........................... 352,679 -- -- 352,679 Philippines.................... 28,620 5,882,484 -- 5,911,104 Poland......................... -- 5,277,124 -- 5,277,124 Portugal....................... -- 3,621,321 -- 3,621,321 Russia......................... 390,926 4,291,800 -- 4,682,726 Singapore...................... -- 13,524,076 -- 13,524,076 South Africa................... 3,779,428 27,897,117 -- 31,676,545 South Korea.................... 1,111,922 70,293,418 -- 71,405,340 Spain.......................... 760,670 30,412,590 -- 31,173,260 Sweden......................... 45,801 33,741,082 -- 33,786,883 Switzerland.................... 3,055,601 75,719,265 -- 78,774,866 Taiwan......................... 4,081,719 58,644,130 -- 62,725,849 Thailand....................... 11,481,135 -- -- 11,481,135 Turkey......................... 19,248 5,308,862 -- 5,328,110 United Kingdom................. 45,963,618 141,543,994 -- 187,507,612 United States.................. 465,821 127,420 -- 593,241 Preferred Stocks Brazil......................... 11,035,263 -- -- 11,035,263 Chile.......................... -- 173,093 -- 173,093 Colombia....................... 246,622 -- -- 246,622 Germany........................ -- 5,461,545 -- 5,461,545 South Korea.................... 61,114 -- -- 61,114 United Kingdom................. -- 1,830 -- 1,830 Rights/Warrants Australia...................... -- 48,457 -- 48,457 Brazil......................... -- 80 -- 80 China.......................... -- 263 -- 263 India.......................... -- 14,019 -- 14,019 Spain.......................... -- 48,645 -- 48,645 Sweden......................... -- 22,703 -- 22,703 United Kingdom................. -- 110,403 -- 110,403 Securities Lending Collateral... -- 101,533,454 -- 101,533,454 ------------ -------------- -- -------------- TOTAL........................... $264,737,257 $1,482,230,331 -- $1,746,967,588 ============ ============== == ==============
See accompanying Notes to Financial Statements. 107 WORLD CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
SHARES VALUE+ ---------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc................................ 10,503,349 $189,060,275 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc................................ 11,886,670 137,647,634 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc................................ 2,358,062 43,388,342 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $367,362,816)............................................. 370,096,251 ------------ TEMPORARY CASH INVESTMENTS -- (0.0%) State Street Institutional U.S. Government Money Market Fund, 0.250% (Cost $135,220).................................................... 135,220 135,220 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $367,498,036)............................................. $370,231,471 ============
Summary of the Fund's investments as of October 31, 2016, 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. $370,096,251 -- -- $370,096,251 Temporary Cash Investments...... 135,220 -- -- 135,220 ------------ -- -- ------------ TOTAL........................... $370,231,471 -- -- $370,231,471 ============ == == ============
See accompanying Notes to Financial Statements. 108 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
SHARES VALUE+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 7,247,010 $124,576,109 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 8,721,975 101,000,470 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 2,750,059 50,601,077 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $262,973,959)................................. 276,177,656 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $262,973,959)................................. $276,177,656 ============
Summary of the Portfolio's investments as of October 31, 2016, 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. $276,177,656 -- -- $276,177,656 Futures Contracts**............. (348,246) -- -- (348,246) Forward Currency Contracts**.... -- $648,545 -- 648,545 ------------ -------- -- ------------ TOTAL........................... $275,829,410 $648,545 -- $276,477,955 ============ ======== == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 109 SCHEDULES OF INVESTMENTS OCTOBER 31, 2016 EMERGING MARKETS PORTFOLIO
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company.................................. $4,914,328,310 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $3,933,956,774).................................. $4,914,328,310 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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.............................. $5,462,433,773 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,273,564,309)........................................ $5,462,433,773 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, 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....... $16,486,353,176 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $17,575,579,787)....................................... $16,486,353,176 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 110 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.5%) BRAZIL -- (6.7%) AMBEV SA ADR................................. 12,546,714 $ 74,025,613 0.4% BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros....................... 13,167,642 77,553,781 0.4% * Petroleo Brasileiro SA Sponsored ADR......... 3,804,709 44,400,954 0.2% Ultrapar Participacoes SA.................... 2,067,950 46,859,281 0.3% Other Securities............................. 1,072,346,099 5.7% ---------------- ----- TOTAL BRAZIL..................................... 1,315,185,728 7.0% ---------------- ----- CHILE -- (1.4%) Other Securities............................. 275,769,136 1.5% ---------------- ----- CHINA -- (14.1%) * Alibaba Group Holding, Ltd. Sponsored ADR.... 496,150 50,453,493 0.3% Bank of China, Ltd. Class H.................. 150,583,702 67,479,412 0.4% China Construction Bank Corp. Class H........ 236,178,302 172,468,432 0.9% China Mobile, Ltd............................ 3,748,000 42,938,557 0.2% China Mobile, Ltd. Sponsored ADR............. 1,846,091 106,021,006 0.6% CNOOC, Ltd................................... 34,505,000 43,416,745 0.2% Industrial & Commercial Bank of China, Ltd. Class H..................................... 172,209,725 103,367,047 0.6% Ping An Insurance Group Co. of China, Ltd. Class H..................................... 12,889,500 67,844,082 0.4% Tencent Holdings, Ltd........................ 10,436,500 276,591,471 1.5% Other Securities............................. 1,819,775,830 9.6% ---------------- ----- TOTAL CHINA...................................... 2,750,356,075 14.7% ---------------- ----- COLOMBIA -- (0.4%) Other Securities............................. 67,342,330 0.4% ---------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities............................. 30,382,918 0.2% ---------------- ----- EGYPT -- (0.1%) Other Securities............................. 17,471,189 0.1% ---------------- ----- GREECE -- (0.3%) Other Securities............................. 49,673,177 0.3% ---------------- ----- HONG KONG -- (0.0%) Other Securities............................. 2,330,709 0.0% ---------------- ----- HUNGARY -- (0.3%) Other Securities............................. 62,864,262 0.3% ---------------- ----- INDIA -- (12.6%) HDFC Bank, Ltd............................... 2,994,559 56,121,149 0.3% Housing Development Finance Corp., Ltd....... 2,148,830 44,361,378 0.3% Infosys, Ltd................................. 2,997,055 44,946,786 0.3% # Infosys, Ltd. Sponsored ADR.................. 3,708,004 56,584,141 0.3% ITC, Ltd..................................... 12,536,994 45,357,157 0.3% Reliance Industries, Ltd..................... 3,320,225 52,171,656 0.3% Tata Consultancy Services, Ltd............... 1,537,993 55,052,747 0.3% Other Securities............................. 2,112,215,323 11.1% ---------------- ----- TOTAL INDIA...................................... 2,466,810,337 13.2% ---------------- -----
111 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- INDONESIA -- (3.2%) Astra International Tbk PT.......................... 70,413,000 $ 44,424,093 0.3% Bank Central Asia Tbk PT............................ 41,064,300 48,823,200 0.3% Bank Rakyat Indonesia Persero Tbk PT................ 50,598,500 47,247,330 0.3% Other Securities.................................... 487,905,040 2.5% ---------------- ----- TOTAL INDONESIA......................................... 628,399,663 3.4% ---------------- ----- MALAYSIA -- (3.5%) Other Securities.................................... 687,558,992 3.7% ---------------- ----- MEXICO -- (4.2%) # America Movil S.A.B. de C.V. Series L ADR........... 3,134,148 41,182,704 0.2% * Cemex S.A.B. de C.V. Sponsored ADR.................. 6,971,669 60,514,088 0.3% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 627,285 60,012,356 0.3% # Grupo Financiero Banorte S.A.B. de C.V. Class O..... 8,068,930 47,599,899 0.3% # Grupo Mexico S.A.B. de C.V. Series B................ 19,578,566 48,063,354 0.3% Grupo Televisa S.A.B. Sponsored ADR................. 1,922,391 47,156,251 0.3% Other Securities.................................... 521,520,285 2.7% ---------------- ----- TOTAL MEXICO............................................ 826,048,937 4.4% ---------------- ----- PERU -- (0.1%) Other Securities.................................... 25,378,230 0.1% ---------------- ----- PHILIPPINES -- (1.5%) Other Securities.................................... 291,108,976 1.6% ---------------- ----- POLAND -- (1.5%) Other Securities.................................... 285,379,966 1.5% ---------------- ----- RUSSIA -- (1.3%) Other Securities.................................... 252,847,002 1.3% ---------------- ----- SOUTH AFRICA -- (7.7%) * AngloGold Ashanti, Ltd. Sponsored ADR............... 4,151,296 57,038,807 0.3% FirstRand, Ltd...................................... 17,937,935 64,321,236 0.4% MTN Group, Ltd...................................... 9,901,001 85,518,271 0.5% Naspers, Ltd. Class N............................... 568,071 95,140,661 0.5% Sanlam, Ltd......................................... 9,204,888 44,585,717 0.2% Standard Bank Group, Ltd............................ 6,015,257 63,853,654 0.3% # Steinhoff International Holdings NV................. 9,034,034 48,735,616 0.3% Other Securities.................................... 1,038,433,994 5.5% ---------------- ----- TOTAL SOUTH AFRICA...................................... 1,497,627,956 8.0% ---------------- ----- SOUTH KOREA -- (13.6%) Hyundai Motor Co.................................... 364,834 44,542,372 0.3% NAVER Corp.......................................... 62,169 46,512,689 0.3% Samsung Electronics Co., Ltd........................ 379,401 542,667,873 2.9% SK Hynix, Inc....................................... 2,440,058 87,272,625 0.5% Other Securities.................................... 1,926,609,968 10.1% ---------------- ----- TOTAL SOUTH KOREA....................................... 2,647,605,527 14.1% ---------------- ----- TAIWAN -- (14.1%) # Hon Hai Precision Industry Co., Ltd................. 55,950,504 151,131,357 0.8% Taiwan Semiconductor Manufacturing Co., Ltd......... 41,147,652 246,941,518 1.3%
112 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (Continued) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR............................... 5,726,641 $ 178,098,535 1.0% Other Securities............................. 2,177,762,272 11.6% ---------------- ----- TOTAL TAIWAN..................................... 2,753,933,682 14.7% ---------------- ----- THAILAND -- (3.1%) PTT PCL...................................... 5,479,380 54,171,455 0.3% Other Securities............................. 554,594,571 2.9% ---------------- ----- TOTAL THAILAND................................... 608,766,026 3.2% ---------------- ----- TURKEY -- (1.6%) Other Securities............................. 315,650,023 1.7% ---------------- ----- TOTAL COMMON STOCKS.............................. 17,858,490,841 95.4% ---------------- ----- PREFERRED STOCKS -- (3.2%) BRAZIL -- (3.1%) Banco Bradesco SA............................ 4,819,172 50,486,564 0.3% Banco Bradesco SA ADR........................ 4,068,175 42,349,700 0.2% Itau Unibanco Holding SA..................... 10,663,754 128,285,762 0.7% Itau Unibanco Holding SA ADR................. 6,510,406 77,669,143 0.4% * Petroleo Brasileiro SA....................... 9,738,720 53,971,791 0.3% * Petroleo Brasileiro SA Sponsored ADR......... 4,323,435 47,817,191 0.3% Other Securities............................. 201,052,509 1.0% ---------------- ----- TOTAL BRAZIL..................................... 601,632,660 3.2% ---------------- ----- CHILE -- (0.0%) Other Securities............................. 3,532,418 0.0% ---------------- ----- COLOMBIA -- (0.1%) Other Securities............................. 16,088,406 0.1% ---------------- ----- SOUTH KOREA -- (0.0%) Other Securities............................. 762,788 0.0% ---------------- ----- TOTAL PREFERRED STOCKS........................... 622,016,272 3.3% ---------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................. 3,518 0.0% ---------------- ----- CHINA -- (0.0%) Other Securities............................. 2,893 0.0% ---------------- ----- INDIA -- (0.0%) Other Securities............................. 681,471 0.0% ---------------- ----- KOREA -- (0.0%) Other Securities............................. 91,836 0.0% ---------------- ----- SOUTH KOREA -- (0.0%) Other Securities............................. 1,028,102 0.0% ---------------- ----- TAIWAN -- (0.0%) Other Securities............................. 2,899 0.0% ---------------- ----- THAILAND -- (0.0%) Other Securities............................. 502 0.0% ---------------- ----- TOTAL RIGHTS/WARRANTS............................ 1,811,221 0.0% ---------------- ----- TOTAL INVESTMENT SECURITIES...................... 18,482,318,334 ----------------
113 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- SECURITIES LENDING COLLATERAL -- (5.3%) (S)@ DFA Short Term Investment Fund.. 89,883,156 $ 1,040,127,884 5.6% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $18,654,071,551)............. $ 19,522,446,218 104.3% ================ ======
Summary of the Portfolio's investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Common Stocks Brazil......................... $1,315,185,728 -- -- $ 1,315,185,728 Chile.......................... 92,720,557 $ 183,048,579 -- 275,769,136 China.......................... 296,032,195 2,454,323,880 -- 2,750,356,075 Colombia....................... 67,342,330 -- -- 67,342,330 Czech Republic................. -- 30,382,918 -- 30,382,918 Egypt.......................... 873,114 16,598,075 -- 17,471,189 Greece......................... -- 49,673,177 -- 49,673,177 Hong Kong...................... -- 2,330,709 -- 2,330,709 Hungary........................ 297,975 62,566,287 -- 62,864,262 India.......................... 118,055,293 2,348,755,044 -- 2,466,810,337 Indonesia...................... 29,984,610 598,415,053 -- 628,399,663 Malaysia....................... -- 687,558,992 -- 687,558,992 Mexico......................... 826,048,937 -- -- 826,048,937 Peru........................... 25,378,230 -- -- 25,378,230 Philippines.................... 5,316,547 285,792,429 -- 291,108,976 Poland......................... -- 285,379,966 -- 285,379,966 Russia......................... 13,016,138 239,830,864 -- 252,847,002 South Africa................... 145,078,248 1,352,549,708 -- 1,497,627,956 South Korea.................... 83,894,614 2,563,710,913 -- 2,647,605,527 Taiwan......................... 205,016,334 2,548,917,348 -- 2,753,933,682 Thailand....................... 608,588,877 177,149 -- 608,766,026 Turkey......................... 2,338,047 313,311,976 -- 315,650,023 Preferred Stocks Brazil......................... 601,632,660 -- -- 601,632,660 Chile.......................... -- 3,532,418 -- 3,532,418 Colombia....................... 16,088,406 -- -- 16,088,406 South Korea.................... 762,788 -- -- 762,788 Rights/Warrants Brazil......................... -- 3,518 -- 3,518 China.......................... -- 2,893 -- 2,893 India.......................... -- 681,471 -- 681,471 Korea.......................... -- 91,836 -- 91,836 South Korea.................... -- 1,028,102 -- 1,028,102 Taiwan......................... -- 2,899 -- 2,899 Thailand....................... -- 502 -- 502 Securities Lending Collateral... -- 1,040,127,884 -- 1,040,127,884 Futures Contracts**............. (3,446,602) -- -- (3,446,602) -------------- --------------- -- --------------- TOTAL........................... $4,450,205,026 $15,068,794,590 -- $19,518,999,616 ============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S. LARGE U.S. LARGE CAP COMPANY EQUITY U.S. LARGE CAP U.S. TARGETED PORTFOLIO PORTFOLIO* VALUE PORTFOLIO VALUE PORTFOLIO* ------------- -------------- --------------- ---------------- ASSETS: Investments in Affiliated Investment Company at Value............. -- -- $ 17,646,269 -- Investments at Value (including $0, $53,986, $0 and $1,565,476 of securities on loan, respectively)............................. $ 234,208 $ 848,164 -- $ 7,975,043 Temporary Cash Investments at Value & Cost........................ -- 3,254 -- 87,593 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $46,030, $0 and $1,240,328)............... -- 46,037 -- 1,240,541 Segregated Cash for Futures Contracts............................. -- -- -- 3,420 Cash.............................................................. 8,411 -- -- -- Receivables: Investment Securities/Affiliated Investment Company Sold........ -- 180 -- 61,483 Dividends, Interest and Tax Reclaims............................ 1,060 1,012 -- 2,380 Securities Lending Income....................................... -- 18 -- 432 Fund Shares Sold................................................ 110 539 38,325 5,191 Prepaid Expenses and Other Assets................................. 16 22 114 58 ------------ ------------ -------------- ------------ Total Assets................................................. 243,805 899,226 17,684,708 9,376,141 ------------ ------------ -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned................................ -- 46,029 -- 1,240,317 Investment Securities/Affiliated Investment Company Purchased...................................................... 4,829 1,147 -- 57,171 Fund Shares Redeemed............................................ 72 562 8,422 7,221 Due to Advisor.................................................. 40 109 2,260 2,439 Futures Margin Variation........................................ 427 -- -- 141 Accrued Expenses and Other Liabilities............................ 24 56 773 563 ------------ ------------ -------------- ------------ Total Liabilities............................................ 5,392 47,903 11,455 1,307,852 ------------ ------------ -------------- ------------ NET ASSETS........................................................ $ 238,413 $ 851,323 $ 17,673,253 $ 8,068,289 ============ ============ ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $35,661 and shares outstanding of 0; 0; 0 and 1,677,570, respectively..................................................... N/A N/A N/A $ 21.26 ============ ============ ============== ============ NUMBER OF SHARES AUTHORIZED....................................... N/A N/A N/A 100,000,000 ============ ============ ============== ============ Class R2 Shares -- based on net assets of $0; $0; $0 and $147,945 and shares outstanding of 0; 0; 0 and 6,990,693, respectively..................................................... N/A N/A N/A $ 21.16 ============ ============ ============== ============ NUMBER OF SHARES AUTHORIZED....................................... N/A N/A N/A 100,000,000 ============ ============ ============== ============ Institutional Class Shares -- based on net assets of $238,413; $851,323; $17,673,253 and $7,884,683 and shares outstanding of 19,513,163; 65,183,149; 541,624,567 and 370,883,194, respectively........................................ $ 12.22 $ 13.06 $ 32.63 $ 21.26 ============ ============ ============== ============ NUMBER OF SHARES AUTHORIZED....................................... 300,000,000 100,000,000 2,000,000,000 700,000,000 ============ ============ ============== ============ Investments in Affiliated Investment Company at Cost.............. $ -- $ -- $ 13,161,852 $ -- ------------ ------------ -------------- ------------ Investments at Cost............................................... $ 234,200 $ 793,916 $ -- $ 7,084,402 ============ ============ ============== ============ NET ASSETS CONSIST OF: Paid-In Capital................................................... $ 231,408 $ 806,457 $ 12,720,635 $ 6,878,063 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................... 201 1,887 18,983 1,417 Accumulated Net Realized Gain (Loss).............................. 6,558 (11,276) 449,218 299,994 Net Unrealized Appreciation (Depreciation)........................ 246 54,255 4,484,417 888,815 ------------ ------------ -------------- ------------ NET ASSETS........................................................ $ 238,413 $ 851,323 $ 17,673,253 $ 8,068,289 ============ ============ ============== ============
---------- * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE U.S. VECTOR U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY VALUE PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO* ---------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $1,943,046, $1,995,032, $2,369,893 and $656,011 of securities on loan, respectively).............................. $ 12,291,970 $ 14,795,874 $ 16,664,191 $ 3,787,413 Temporary Cash Investments at Value & Cost........... 283,404 164,854 183,777 37,304 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,801,739, $1,416,026, $1,864,887 and $509,259)................ 1,802,024 1,416,231 1,865,190 509,342 Segregated Cash for Futures Contracts................ 12,321 5,040 5,670 1,305 Receivables: Investment Securities Sold......................... 86,220 2,721 11,313 821 Dividends and Interest............................. 3,198 14,707 16,403 2,747 Securities Lending Income.......................... 507 637 832 224 Fund Shares Sold................................... 5,780 9,283 9,566 1,859 Prepaid Expenses and Other Assets.................... 116 172 115 26 -------------- -------------- -------------- -------------- Total Assets.................................... 14,485,540 16,409,519 18,757,057 4,341,041 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 1,801,676 1,415,949 1,864,857 509,255 Investment Securities Purchased.................... 51,203 21,930 31,705 2,159 Fund Shares Redeemed............................... 12,581 8,277 5,348 5,688 Due to Advisor..................................... 5,485 2,168 2,882 988 Futures Margin Variation........................... 507 207 233 54 Accrued Expenses and Other Liabilities............... 903 829 986 250 -------------- -------------- -------------- -------------- Total Liabilities............................... 1,872,355 1,449,360 1,906,011 518,394 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 12,613,185 $ 14,960,159 $ 16,851,046 $ 3,822,647 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,613,185; $14,960,159; $16,851,046 and $3,822,647 and shares outstanding of 385,110,575; 831,236,058; 980,473,669 and 239,934,633, respectively........................... $ 32.75 $ 18.00 $ 17.19 $ 15.93 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 10,085,942 $ 11,326,017 $ 12,434,154 $ 2,892,649 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 9,878,016 $ 11,386,149 $ 12,472,449 $ 2,824,977 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. (1,771) 33,644 26,714 150 Accumulated Net Realized Gain (Loss)................. 534,573 73,528 125,173 103,508 Net Unrealized Appreciation (Depreciation)........... 2,202,367 3,466,838 4,226,710 894,012 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 12,613,185 $ 14,960,159 $ 16,851,046 $ 3,822,647 ============== ============== ============== ==============
---------- * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (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 $2,734,250, $866,990, $601,613 and $199,224 of securities on loan, respectively).............................................. $ 12,824,777 $ 5,046,074 $ 7,193,577 $ 3,473,508 Temporary Cash Investments at Value & Cost.................. 159,360 42,876 67,517 -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $2,565,207, $804,677, $461,489 and $207,749)..................................... 2,565,605 804,805 461,557 207,774 Segregated Cash for Futures Contracts....................... 5,903 2,709 2,412 1,473 Foreign Currencies at Value................................. -- -- -- 10,328 Cash........................................................ -- -- -- 27,839 Receivables: Investment Securities Sold................................ 14,794 52,190 154 19,362 Dividends, Interest and Tax Reclaims...................... 3,059 1,582 5,834 11,545 Securities Lending Income................................. 1,155 358 90 253 Fund Shares Sold.......................................... 10,547 2,483 4,054 1,824 Futures Margin Variation.................................. 79 3 -- -- Unrealized Gain on Foreign Currency Contracts............... -- -- -- 2 Prepaid Expenses and Other Assets........................... 89 38 65 22 -------------- -------------- ------------ ------------ Total Assets........................................... 15,585,368 5,953,118 7,735,260 3,753,930 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 2,565,111 804,670 461,482 207,738 Investment Securities Purchased........................... 27,611 13,328 8,118 15,610 Fund Shares Redeemed...................................... 10,670 4,200 3,938 1,760 Due to Advisor............................................ 3,878 2,222 983 750 Futures Margin Variation.................................. -- -- 99 19 Unrealized Loss on Foreign Currency Contracts............... -- -- -- 10 Accrued Expenses and Other Liabilities...................... 899 375 460 268 -------------- -------------- ------------ ------------ Total Liabilities...................................... 2,608,169 824,795 475,080 226,155 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 12,977,199 $ 5,128,323 $ 7,260,180 $ 3,527,775 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,977,199; $5,128,323; $7,260,180 and $3,527,775 and shares outstanding of 430,635,066; 275,979,542; 211,528,474 and 180,746,924, respectively.................. $ 30.14 $ 18.58 $ 34.32 $ 19.52 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 10,736,611 $ 3,760,525 $ 5,088,981 $ 3,240,449 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 10,325 ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 10,544,580 $ 3,590,798 $ 5,130,102 $ 3,512,948 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 2,738 1,818 39,022 11,729 Accumulated Net Realized Gain (Loss)........................ 345,607 251,692 (12,090) (228,787) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- (332) Net Unrealized Appreciation (Depreciation).................. 2,084,274 1,284,015 2,103,146 232,217 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 12,977,199 $ 5,128,323 $ 7,260,180 $ 3,527,775 ============== ============== ============ ============
---------- * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL ASIA PACIFIC INTERNATIONAL SMALL JAPANESE SMALL SMALL CORE EQUITY COMPANY COMPANY COMPANY PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- -------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value................................................... -- $ 10,294,008 $ 509,655 $ 251,675 Investments at Value (including $1,202,449, $0, $0 and $0 of securities on loan, respectively)................. $ 16,737,241 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,236,430, $0, $0 and $0)..................................................... 1,236,638 -- -- -- Segregated Cash for Futures Contracts.................... 6,030 3,866 -- -- Foreign Currencies at Value.............................. 23,403 -- -- -- Cash..................................................... 158,681 97,178 -- -- Receivables: Investment Securities Sold............................. 489 -- -- -- Dividends, Interest and Tax Reclaims................... 49,672 -- -- -- Securities Lending Income.............................. 2,314 -- -- -- Fund Shares Sold....................................... 21,215 2,600 -- 17 Prepaid Expenses and Other Assets........................ 158 110 8 8 -------------- -------------- ------------ ------------ Total Assets........................................ 18,235,841 10,397,762 509,663 251,700 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................... 1,236,407 -- -- -- Investment Securities Purchased........................ 1,463 -- -- -- Fund Shares Redeemed................................... 8,573 6,350 67 25 Due to Advisor......................................... 5,034 3,567 170 87 Futures Margin Variation............................... 248 2 -- -- Accrued Expenses and Other Liabilities................... 1,105 482 13 13 -------------- -------------- ------------ ------------ Total Liabilities................................... 1,252,830 10,401 250 125 -------------- -------------- ------------ ------------ NET ASSETS............................................... $ 16,983,011 $ 10,387,361 $ 509,413 $ 251,575 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $16,983,011; $10,387,361; $509,413 and $251,575 and shares outstanding of 1,466,221,305; 584,367,957; 22,135,681 and 11,829,539, respectively............................................ $ 11.58 $ 17.78 $ 23.01 $ 21.27 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED.............................. 2,000,000,000 1,500,000,000 100,000,000 100,000,000 ============== ============== ============ ============ Investments in Affiliated Investment Companies at Cost.................................................... $ -- $ 9,548,011 $ 438,859 $ 260,212 -------------- -------------- ------------ ------------ Investments at Cost...................................... $ 16,261,978 $ -- $ -- $ -- ============== ============== ============ ============ Foreign Currencies at Cost............................... $ 23,405 $ -- $ -- $ -- ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 16,830,111 $ 9,407,620 $ 470,614 $ 281,710 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 49,229 (18,870) 2,402 511 Accumulated Net Realized Gain (Loss)..................... (367,321) 256,462 (34,243) (22,109) Net Unrealized Foreign Exchange Gain (Loss).............. (1,529) (1,059) (156) -- Net Unrealized Appreciation (Depreciation)............... 472,521 743,208 70,796 (8,537) -------------- -------------- ------------ ------------ NET ASSETS............................................... $ 16,983,011 $ 10,387,361 $ 509,413 $ 251,575 ============== ============== ============ ============
---------- * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 118 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL DFA KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE INTERNATIONAL COMPANY COMPANY SECURITIES SECURITIES SMALL CAP PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO VALUE PORTFOLIO* ------------- ------------ -------------- -------------- ---------------- ASSETS: Investments in Affiliated Investment Companies at Value............................................. $ 32,369 $ 292,249 -- $ 3,297,633 -- Investments at Value (including $0, $0, $153,418, $33,099 and $894,648 of securities on loan, respectively)..................................... -- -- $ 4,110,144 1,593,183 $ 12,810,566 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $157,915, $34,022 and $947,349)................... -- -- 157,926 34,028 947,513 Segregated Cash for Futures Contracts.............. -- -- 1,238 -- 5,653 Foreign Currencies at Value........................ -- -- 18,761 120 51,381 Cash............................................... -- -- 39,036 10,382 95,845 Receivables: Investment Securities/Affiliated Investment Company Sold.................................... -- -- 577 -- 16,986 Dividends, Interest and Tax Reclaims............. -- -- 14,191 1,322 43,106 Securities Lending Income........................ -- -- 128 10 1,924 Fund Shares Sold................................. 22 8 2,545 5,285 14,151 Unrealized Gain on Foreign Currency Contracts...... -- -- -- -- 8 Prepaid Expenses and Other Assets.................. 18 11 21 65 77 ------------ ------------ -------------- -------------- -------------- Total Assets.................................. 32,409 292,268 4,344,567 4,942,028 13,987,210 ------------ ------------ -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................. -- -- 157,910 34,018 947,321 Investment Securities/Affiliated Investment Company Purchased............................... -- -- 2,811 5,093 14,693 Fund Shares Redeemed............................. 72 32 1,000 13,564 7,184 Due to Advisor................................... 10 108 891 162 7,191 Futures Margin Variation......................... -- -- 51 -- 174 Unrealized Loss on Foreign Currency Contracts...... -- -- 1 -- -- Accrued Expenses and Other Liabilities............. 4 11 280 236 918 ------------ ------------ -------------- -------------- -------------- Total Liabilities............................. 86 151 162,944 53,073 977,481 ------------ ------------ -------------- -------------- -------------- NET ASSETS......................................... $ 32,323 $ 292,117 $ 4,181,623 $ 4,888,955 $ 13,009,729 ============ ============ ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $32,323; $292,117; $4,181,623; $4,888,955 and $13,009,729 and shares outstanding of 1,187,810; 13,601,917; 799,639,322; 450,869,182 and 673,643,118, respectively......... $ 27.21 $ 21.48 $ 5.23 $ 10.84 $ 19.31 ============ ============ ============== ============== ============== NUMBER OF SHARES AUTHORIZED........................ 100,000,000 100,000,000 1,200,000,000 1,500,000,000 2,300,000,000 ============ ============ ============== ============== ============== Investments in Affiliated Investment Companies at Cost.............................................. $ 30,008 $ 254,355 $ -- $ 2,659,558 $ -- ------------ ------------ -------------- -------------- -------------- Investments at Cost................................ $ -- $ -- $ 3,978,565 $ 1,534,743 $ 11,737,020 ============ ============ ============== ============== ============== Foreign Currencies at Cost......................... $ -- $ -- $ 18,681 $ 117 $ 51,989 ============ ============ ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital.................................... $ 28,283 $ 264,520 $ 4,440,849 $ 4,154,717 $ 11,585,752 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............... 199 227 (148,335) 61,223 (39,951) Accumulated Net Realized Gain (Loss)............... 1,478 (10,637) (241,893) (23,508) 395,817 Net Unrealized Foreign Exchange Gain (Loss)........ 2 113 (364) -- (1,533) Net Unrealized Appreciation (Depreciation)......... 2,361 37,894 131,366 696,523 1,069,644 ------------ ------------ -------------- -------------- -------------- NET ASSETS......................................... $ 32,323 $ 292,117 $ 4,181,623 $ 4,888,955 $ 13,009,729 ============ ============ ============== ============== ==============
---------- * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (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................................................... -- $ 188,212 -- -- Investments at Value (including $138,147, $0, $7,915, $105,597 and $0 of securities on loan, respectively)........................................... $ 1,847,916 -- $ 279,331 $ 1,645,434 Temporary Cash Investments at Value & Cost............... -- -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $144,230, $0, $7,144, $101,516 and $0)........................................ 144,254 -- 7,145 101,533 Foreign Currencies at Value.............................. 4,420 -- 1,028 2,874 Cash..................................................... 284 43 18 3,306 Receivables: Investment Securities Sold............................. 851 -- 661 61 Dividends, Interest and Tax Reclaims................... 5,604 -- 661 3,976 Securities Lending Income.............................. 273 -- 22 239 Fund Shares Sold....................................... 1,028 -- 308 1,741 From Advisor........................................... -- -- -- -- Unrealized Gain on Foreign Currency Contracts............ -- -- 1 -- Prepaid Expenses and Other Assets........................ 31 12 22 18 ------------ ------------ ------------ ------------ Total Assets........................................ 2,004,661 188,267 289,197 1,759,182 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................... 144,226 -- 7,144 101,515 Investment Securities Purchased........................ 1,285 -- 259 80 Fund Shares Redeemed................................... 1,815 52 383 545 Due to Advisor......................................... 711 54 141 393 Unrealized Loss on Foreign Currency Contracts............ 2 -- 1 -- Accrued Expenses and Other Liabilities................... 148 7 57 204 ------------ ------------ ------------ ------------ Total Liabilities................................... 148,187 113 7,985 102,737 ------------ ------------ ------------ ------------ NET ASSETS............................................... $ 1,856,474 $ 188,154 $ 281,212 $ 1,656,445 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $1,856,474; $188,154; $281,212; $1,656,445 and $370,229 and shares outstanding of 172,237,676; 18,255,169; 23,363,536; 166,766,789 and 28,171,065, respectively................................ $ 10.78 $ 10.31 $ 12.04 $ 9.93 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED.............................. 500,000,000 100,000,000 100,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost.................................................... $ -- $ 188,081 $ -- $ -- ------------ ------------ ------------ ------------ Investments at Cost...................................... $ 1,755,367 $ -- $ 265,503 $ 1,653,999 ============ ============ ============ ============ Foreign Currencies at Cost............................... $ 4,427 $ -- $ 1,031 $ 2,878 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 1,756,001 $ 190,641 $ 274,788 $ 1,673,173 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 4,967 737 882 4,174 Accumulated Net Realized Gain (Loss)..................... 3,124 (3,306) (8,262) (12,234) Net Unrealized Foreign Exchange Gain (Loss).............. (184) (48) (22) (116) Net Unrealized Appreciation (Depreciation)............... 92,566 130 13,826 (8,552) ------------ ------------ ------------ ------------ NET ASSETS............................................... $ 1,856,474 $ 188,154 $ 281,212 $ 1,656,445 ============ ============ ============ ============
WORLD CORE EQUITY PORTFOLIO ------------ ASSETS: Investments in Affiliated Investment Companies at Value................................................... $ 370,096 Investments at Value (including $138,147, $0, $7,915, $105,597 and $0 of securities on loan, respectively)........................................... -- Temporary Cash Investments at Value & Cost............... 135 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $144,230, $0, $7,144, $101,516 and $0)........................................ -- Foreign Currencies at Value.............................. -- Cash..................................................... -- Receivables: Investment Securities Sold............................. -- Dividends, Interest and Tax Reclaims................... -- Securities Lending Income.............................. -- Fund Shares Sold....................................... 2 From Advisor........................................... 8 Unrealized Gain on Foreign Currency Contracts............ -- Prepaid Expenses and Other Assets........................ 15 ------------ Total Assets........................................ 370,256 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................... -- Investment Securities Purchased........................ -- Fund Shares Redeemed................................... 6 Due to Advisor......................................... -- Unrealized Loss on Foreign Currency Contracts............ -- Accrued Expenses and Other Liabilities................... 21 ------------ Total Liabilities................................... 27 ------------ NET ASSETS............................................... $ 370,229 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $1,856,474; $188,154; $281,212; $1,656,445 and $370,229 and shares outstanding of 172,237,676; 18,255,169; 23,363,536; 166,766,789 and 28,171,065, respectively................................ $ 13.14 ============ NUMBER OF SHARES AUTHORIZED.............................. 100,000,000 ============ Investments in Affiliated Investment Companies at Cost.................................................... $ 367,363 ------------ Investments at Cost...................................... $ -- ============ Foreign Currencies at Cost............................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 369,759 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 205 Accumulated Net Realized Gain (Loss)..................... (2,468) Net Unrealized Foreign Exchange Gain (Loss).............. -- Net Unrealized Appreciation (Depreciation)............... 2,733 ------------ NET ASSETS............................................... $ 370,229 ============
---------- *See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SELECTIVELY HEDGED GLOBAL EMERGING EMERGING EMERGING EQUITY MARKETS MARKETS SMALL MARKETS VALUE PORTFOLIO PORTFOLIO CAP PORTFOLIO PORTFOLIO ------------- ------------ ------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value..... $ 276,178 $ 4,914,328 $ 5,462,434 $ 16,486,353 Investments at Value (including $0, $0, $0, $0 and $1,574,094 of securities on loan, respectively)............ -- -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $0, $0 and $1,039,952).... -- -- -- -- Segregated Cash for Futures Contracts....................... 572 -- -- -- Foreign Currencies at Value................................. -- -- -- -- Cash........................................................ 12,553 -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold..................................................... -- -- -- -- Dividends, Interest and Tax Reclaims...................... -- -- -- -- Securities Lending Income................................. -- -- -- -- Fund Shares Sold.......................................... 40 5,121 2,266 5,442 Unrealized Gain on Forward Currency Contracts............... 847 -- -- -- Unrealized Gain on Foreign Currency Contracts............... -- -- -- -- Prepaid Expenses and Other Assets........................... 13 32 42 103 ------------ ------------ ------------ -------------- Total Assets............................................ 290,203 4,919,481 5,464,742 16,491,898 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.......................... -- -- -- -- Investment Securities/Affiliated Investment Companies Purchased................................................ -- -- -- -- Fund Shares Redeemed...................................... 66 2,214 2,976 83,446 Due to Advisor............................................ -- 1,667 2,098 5,568 Futures Margin Variation.................................. 23 -- -- -- Unrealized Loss on Forward Currency Contracts............... 198 -- -- -- Unrealized Loss on Foreign Currency Contracts............... -- -- -- -- Accrued Expenses and Other Liabilities...................... 12 200 159 640 ------------ ------------ ------------ -------------- Total Liabilities....................................... 299 4,081 5,233 89,654 ------------ ------------ ------------ -------------- NET ASSETS.................................................. $ 289,904 $ 4,915,400 $ 5,459,509 $ 16,402,244 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $97,923 and $0 and shares outstanding of 0; 0; 0; 3,963,250 and 0, respectively.............................. N/A N/A N/A $ 24.71 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED................................. N/A N/A N/A 100,000,000 ============ ============ ============ ============== Institutional Class Shares -- based on net assets of $289,904; $4,915,400; $5,459,509; $16,304,321 and $18,712,966 and shares outstanding of 21,214,902; 203,789,810; 267,753,160; 656,277,888 and 1,017,087,290, respectively................................ $ 13.67 $ 24.12 $ 20.39 $ 24.84 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED................................. 100,000,000 500,000,000 500,000,000 1,500,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost...... $ 262,974 $ 3,933,957 $ 5,273,564 $ 17,575,580 ------------ ------------ ------------ -------------- Investments at Cost......................................... $ -- $ -- $ -- $ -- ============ ============ ============ ============== Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ -- ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 270,820 $ 4,153,898 $ 5,139,325 $ 18,602,540 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 4,245 3,519 12,479 (49,300) Accumulated Net Realized Gain (Loss)........................ 1,334 (222,448) 118,721 (1,061,981) Net Unrealized Foreign Exchange Gain (Loss)................. 649 60 114 212 Net Unrealized Appreciation (Depreciation).................. 12,856 980,371 188,870 (1,089,227) ------------ ------------ ------------ -------------- NET ASSETS.................................................. $ 289,904 $ 4,915,400 $ 5,459,509 $ 16,402,244 ============ ============ ============ ==============
EMERGING MARKETS CORE EQUITY PORTFOLIO* -------------- ASSETS: Investments in Affiliated Investment Companies at Value..... -- Investments at Value (including $0, $0, $0, $0 and $1,574,094 of securities on loan, respectively)............ $ 18,482,318 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $0, $0 and $1,039,952).... 1,040,128 Segregated Cash for Futures Contracts....................... 6,871 Foreign Currencies at Value................................. 98,558 Cash........................................................ 139,308 Receivables: Investment Securities/Affiliated Investment Companies Sold..................................................... 634 Dividends, Interest and Tax Reclaims...................... 12,373 Securities Lending Income................................. 5,094 Fund Shares Sold.......................................... 15,651 Unrealized Gain on Forward Currency Contracts............... -- Unrealized Gain on Foreign Currency Contracts............... 1 Prepaid Expenses and Other Assets........................... 85 -------------- Total Assets............................................ 19,801,021 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,039,932 Investment Securities/Affiliated Investment Companies Purchased................................................ 28,037 Fund Shares Redeemed...................................... 9,734 Due to Advisor............................................ 8,700 Futures Margin Variation.................................. 80 Unrealized Loss on Forward Currency Contracts............... -- Unrealized Loss on Foreign Currency Contracts............... 1 Accrued Expenses and Other Liabilities...................... 1,571 -------------- Total Liabilities....................................... 1,088,055 -------------- NET ASSETS.................................................. $ 18,712,966 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $97,923 and $0 and shares outstanding of 0; 0; 0; 3,963,250 and 0, respectively.............................. N/A ============== NUMBER OF SHARES AUTHORIZED................................. N/A ============== Institutional Class Shares -- based on net assets of $289,904; $4,915,400; $5,459,509; $16,304,321 and $18,712,966 and shares outstanding of 21,214,902; 203,789,810; 267,753,160; 656,277,888 and 1,017,087,290, respectively................................ $ 18.40 ============== NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 ============== Investments in Affiliated Investment Companies at Cost...... $ -- -------------- Investments at Cost......................................... $ 17,614,120 ============== Foreign Currencies at Cost.................................. $ 98,578 ============== NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 18,639,428 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 11,774 Accumulated Net Realized Gain (Loss)........................ (803,309) Net Unrealized Foreign Exchange Gain (Loss)................. 166 Net Unrealized Appreciation (Depreciation).................. 864,907 -------------- NET ASSETS.................................................. $ 18,712,966 ==============
---------- * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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 (Net of Foreign Taxes Withheld of $0, $0, $17 and $0, respectively)........................................................ -- -- $404,068 -- Income from Securities Lending........................................ -- -- 2,879 -- Expenses Allocated from Affiliated Investment Company................. -- -- (18,139) -- ------ ------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company............................................................ -- -- 388,808 -- ------ ------- -------- -------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $63, respectively)......................................................... -- $16,204 -- $114,601 Interest............................................................... $2,157 -- -- -- Income from Securities Lending......................................... -- 178 -- 6,652 ------ ------- -------- -------- Total Investment Income............................................. 2,157 16,382 -- 121,253 ------ ------- -------- -------- FUND EXPENSES Investment Management Fees............................................. 418 1,135 40,630 26,301 Accounting & Transfer Agent Fees....................................... 15 45 95 420 S&P 500(R) Fees........................................................ 8 -- -- -- Custodian Fees......................................................... 5 -- -- 74 Shareholder Servicing Fees -- Class R1 Shares....................................................... -- -- -- 35 Class R2 Shares....................................................... -- -- -- 365 Filing Fees............................................................ 26 61 444 259 Shareholders' Reports.................................................. 7 17 416 322 Directors'/Trustees' Fees & Expenses................................... 1 5 112 52 Professional Fees...................................................... 5 16 33 149 Other.................................................................. 8 28 94 232 ------ ------- -------- -------- Total Expenses...................................................... 493 1,307 41,824 28,209 ------ ------- -------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- 28 (16,252) -- Fees Paid Indirectly (Note C).......................................... (6) -- -- -- ------ ------- -------- -------- Net Expenses........................................................... 487 1,335 25,572 28,209 ------ ------- -------- -------- NET INVESTMENT INCOME (LOSS)........................................... 1,670 15,047 363,236 93,044 ------ ------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**.......................................... (59) (9,470) 447,750 310,791 Futures............................................................... 7,848 -- 17,635 6,695 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 118 22,964 (11,625) (32,158) Futures............................................................... (557) -- (3,292) (2,039) ------ ------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 7,350 13,494 450,468 283,289 ------ ------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $9,020 $28,541 $813,704 $376,333 ====== ======= ======== ========
---------- * 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. 122 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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 $80, $49, $60 and $19, respectively)...................................................... $176,347 $278,853 $316,205 $ 68,324 Income from Securities Lending...................................... 8,445 8,606 11,265 3,297 -------- -------- -------- -------- Total Investment Income.......................................... 185,792 287,459 327,470 71,621 -------- -------- -------- -------- EXPENSES Investment Management Fees.......................................... 60,645 23,598 31,418 10,982 Accounting & Transfer Agent Fees.................................... 669 765 865 205 Custodian Fees...................................................... 120 117 135 25 Filing Fees......................................................... 340 490 504 113 Shareholders' Reports............................................... 344 240 285 114 Directors'/Trustees' Fees & Expenses................................ 84 95 108 25 Professional Fees................................................... 243 278 316 75 Other............................................................... 378 432 488 121 -------- -------- -------- -------- Total Expenses................................................... 62,823 26,015 34,119 11,660 -------- -------- -------- -------- NET INVESTMENT INCOME (LOSS)........................................ 122,969 261,444 293,351 59,961 -------- -------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**...................................... 533,632 71,932 110,911 103,375 Futures........................................................... 42,945 14,545 16,424 3,911 Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................. (45,822) 193,308 180,375 (37,035) Futures........................................................... (3,946) (3,224) (3,630) (835) -------- -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 526,809 276,561 304,080 69,416 -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $649,778 $538,005 $597,431 $129,377 ======== ======== ======== ========
---------- **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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 $39, $9, $0 and $8,961, respectively)....................................... $161,627 $ 63,399 $233,312 $ 101,033 Income from Securities Lending............................... 16,878 5,807 784 3,010 -------- -------- -------- --------- Total Investment Income................................... 178,505 69,206 234,096 104,043 -------- -------- -------- --------- EXPENSES Investment Management Fees................................... 40,791 24,790 11,950 8,053 Accounting & Transfer Agent Fees............................. 642 276 388 189 Custodian Fees............................................... 97 36 68 316 Filing Fees.................................................. 445 107 173 127 Shareholders' Reports........................................ 311 135 246 136 Directors'/Trustees' Fees & Expenses......................... 79 35 48 22 Professional Fees............................................ 229 102 142 113 Other........................................................ 354 163 199 141 -------- -------- -------- --------- Total Expenses............................................ 42,948 25,644 13,214 9,097 -------- -------- -------- --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................... -- -- (561) -- Fees Paid Indirectly (Note C)................................ -- -- -- (110) -------- -------- -------- --------- Net Expenses................................................. 42,948 25,644 12,653 8,987 -------- -------- -------- --------- NET INVESTMENT INCOME (LOSS)................................. 135,557 43,562 221,443 95,056 -------- -------- -------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**............................... 362,082 265,995 90,717 40,972 Futures.................................................... 18,220 4,507 6,786 2,587 Foreign Currency Transactions.............................. -- -- -- (670) Forward Currency Contracts................................. -- -- -- (1) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 11,454 (93,832) 133,266 (163,381) Futures.................................................... (4,290) (1,662) (1,518) (870) Translation of Foreign Currency Denominated Amounts........ -- -- -- (284) -------- -------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 387,466 175,008 229,251 (121,647) -------- -------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $523,023 $218,570 $450,694 $ (26,591) ======== ======== ======== =========
---------- **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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, $20,552, $939 and $212, respectively)................................................. -- $262,595 $ 8,477 $ 8,411 Income from Securities Lending....................................... -- 27,016 930 818 Expenses Allocated from Affiliated Investment Companies.............. -- (12,006) (570) (291) -------- -------- ------- ------- Total Net Investment Income Received from Affiliated Investment Companies.......................................................... -- 277,605 8,837 8,938 -------- -------- ------- ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $40,187, $0, $0 and $0, respectively)......................................................... $463,144 -- -- -- Income from Securities Lending......................................... 26,239 -- -- -- -------- -------- ------- ------- Total Investment Income............................................. 489,383 -- -- -- -------- -------- ------- ------- FUND EXPENSES Investment Management Fees............................................. 53,516 38,540 2,232 1,120 Accounting & Transfer Agent Fees....................................... 851 58 5 4 Custodian Fees......................................................... 1,623 6 -- -- Filing Fees............................................................ 749 279 19 21 Shareholders' Reports.................................................. 400 280 7 5 Directors'/Trustees' Fees & Expenses................................... 104 66 3 2 Professional Fees...................................................... 414 66 1 -- Other.................................................................. 620 77 3 3 -------- -------- ------- ------- Total Expenses...................................................... 58,277 39,372 2,270 1,155 -------- -------- ------- ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- -- (446) (224) Fees Paid Indirectly (Note C).......................................... (585) -- -- -- -------- -------- ------- ------- Net Expenses........................................................... 57,692 39,372 1,824 931 -------- -------- ------- ------- NET INVESTMENT INCOME (LOSS)........................................... 431,691 238,233 7,013 8,007 -------- -------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**......................................... (84,212) 261,664 20,065 (4,191) Futures.............................................................. 19,275 17,796 -- -- Foreign Currency Transactions........................................ (72) 673 326 49 Forward Currency Contracts........................................... (3) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... (7,083) 13,423 33,546 30,333 Futures.............................................................. (2,948) (2,771) -- -- Translation of Foreign Currency Denominated Amounts.................. (1,251) (814) (100) 4 -------- -------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (76,294) 289,971 53,837 26,195 -------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $355,397 $528,204 $60,850 $34,202 ======== ======== ======= =======
---------- * 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. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS)
UNITED DFA DFA KINGDOM CONTINENTAL INTERNATIONAL DFA GLOBAL INTERNATIONAL SMALL SMALL REAL ESTATE REAL ESTATE SMALL CAP COMPANY COMPANY SECURITIES SECURITIES VALUE PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO ---------- ----------- ------------- ----------- ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $1, $1,000, $0, $1 and $0, respectively)....... $ 1,468 $ 6,890 -- $ 42,420 -- Income from Securities Lending.................. 31 1,089 -- -- -- Expenses Allocated from Affiliated Investment Company........................................ (40) (392) -- -- -- Income Distributions Received from Affiliated Investment Companies............................ -- -- -- 71,889 -- ------- ------- --------- -------- --------- Total Net Investment Income Received from Affiliated Investment Company................ 1,459 7,587 -- 114,309 -- ------- ------- --------- -------- --------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $17,637, $0 and $29,147, respectively)...... -- -- $ 151,831 -- $ 353,979 Interest.......................................... -- -- -- 44 -- Income from Securities Lending.................... -- -- 1,972 192 24,293 ------- ------- --------- -------- --------- Total Fund Investment Income................... -- -- 153,803 236 378,272 ------- ------- --------- -------- --------- FUND EXPENSES Investment Management Fees........................ 168 1,521 9,646 9,072 80,458 Accounting & Transfer Agent Fees.................. 4 4 225 96 692 Custodian Fees.................................... -- -- 404 25 1,740 Filing Fees....................................... 21 26 137 203 257 Shareholders' Reports............................. 3 8 121 220 381 Directors'/Trustees' Fees & Expenses.............. -- 2 26 30 86 Professional Fees................................. 1 1 107 37 353 Other............................................. -- 4 126 51 526 ------- ------- --------- -------- --------- Total Expenses................................. 197 1,566 10,792 9,734 84,493 ------- ------- --------- -------- --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................ (40) (304) -- (6,179) -- Fees Paid Indirectly (Note C)..................... -- -- (119) -- (296) ------- ------- --------- -------- --------- Net Expenses...................................... 157 1,262 10,673 3,555 84,197 ------- ------- --------- -------- --------- NET INVESTMENT INCOME (LOSS)...................... 1,302 6,325 143,130 110,990 294,075 ------- ------- --------- -------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**.................... 2,090 6,536 (1,596) 14,561 414,975 Futures......................................... -- 50 4,432 757 29,217 Foreign Currency Transactions................... (25) (31) 540 7 7,305 Forward Currency Contracts...................... -- -- 48 -- 27 In-Kind Redemptions............................. -- -- -- -- 29,398 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...... (8,433) 5,988 (118,705) 61,152 (242,603) Futures......................................... -- 2 (304) -- (3,458) Translation of Foreign Currency Denominated Amounts........................................ (2) (3) (367) -- (1,796) ------- ------- --------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS)........... (6,370) 12,542 (115,952) 76,477 233,065 ------- ------- --------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................... $(5,068) $18,867 $ 27,178 $187,467 $ 527,140 ======= ======= ========= ======== =========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gains tax withheld of $0, $0, $92, $0 and $0, respectively. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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, $492, $0, $0 and $0, respectively).............................. -- $ 5,381 -- -- -- Income from Securities Lending............................. -- 201 -- -- -- Expenses Allocated from Affiliated Investment Companies................................................. -- (304) -- -- -- Income Distributions Received from Affiliated Investment Companies.................................................. -- 588 -- -- $ 6,062 ------- ------- ------- ------- ------- Total Net Investment Income Received from Affiliated Investment Companies.................................... -- 5,866 -- -- 6,062 ------- ------- ------- ------- ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $4,468, $0, $597, $3,996 and $0, respectively)......................... $51,558 -- $ 6,847 $42,011 1 Income from Securities Lending.............................. 3,343 -- 266 2,478 -- ------- ------- ------- ------- ------- Total Investment Income.................................. 54,901 -- 7,113 44,489 1 ------- ------- ------- ------- ------- FUND EXPENSES Investment Management Fees.................................. 7,682 794 1,404 5,663 834 Accounting & Transfer Agent Fees............................ 107 4 26 94 4 Custodian Fees.............................................. 242 4 308 602 1 Filing Fees................................................. 114 25 60 123 61 Shareholders' Reports....................................... 78 4 7 68 4 Directors'/Trustees' Fees & Expenses........................ 12 1 2 9 2 Professional Fees........................................... 46 4 19 56 2 Other....................................................... 88 2 27 73 -- ------- ------- ------- ------- ------- Total Expenses........................................... 8,369 838 1,853 6,688 908 ------- ------- ------- ------- ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................................... -- (385) -- (34) (794) Fees Paid Indirectly (Note C)............................... (19) 1 (4) (26) -- ------- ------- ------- ------- ------- Net Expenses................................................ 8,350 454 1,849 6,628 114 ------- ------- ------- ------- ------- NET INVESTMENT INCOME (LOSS)................................ 46,551 5,412 5,264 37,861 5,949 ------- ------- ------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies....................................... -- 256 -- -- 1,313 Net Realized Gain (Loss) on: Investment Securities Sold**............................... 4,157 (2,948) 6,843 (2,134) (2,896) Futures.................................................... 182 112 -- (629) -- Foreign Currency Transactions.............................. 127 85 124 189 -- Forward Currency Contracts................................. (44) -- 8 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 16,206 7,285 5,177 47,901 -- Affiliated Investment Companies Shares..................... -- 148 -- -- 9,340 Futures.................................................... -- (19) -- -- -- Translation of Foreign Currency Denominated Amounts................................................... (165) (11) (20) (103) -- ------- ------- ------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 20,463 4,908 12,132 45,224 7,757 ------- ------- ------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $67,014 $10,320 $17,396 $83,085 $13,706 ======= ======= ======= ======= =======
---------- * A portion of 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, $1, $0 and $0, respectively. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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, $14,897, $12,705, $54,004 and $0, respectively).............. -- $ 109,056 $117,674 $ 396,366 Interest.................................... -- 56 46 24 Income from Securities Lending.............. -- 6,581 38,125 30,263 Expenses Allocated from Affiliated Investment Companies....................... -- (6,819) (13,037) (23,422) Income Distributions Received from Affiliated Investment Companies............. $ 5,430 -- -- -- ------- --------- -------- ---------- Total Net Investment Income Received from Affiliated Investment Companies..... 5,430 108,874 142,808 403,231 ------- --------- -------- ---------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $51,428, respectively)............................... 37 -- -- -- Income from Securities Lending................ -- -- -- -- ------- --------- -------- ---------- Total Fund Investment Income............... 37 -- -- -- ------- --------- -------- ---------- FUND EXPENSES Investment Management Fees.................... 799 22,217 32,167 74,178 Accounting & Transfer Agent Fees.............. 5 29 31 87 Custodian Fees................................ 1 -- -- -- Shareholder Servicing Fees -- Class R2 Shares...................................... -- -- -- 196 Filing Fees................................... 32 151 104 229 Shareholders' Reports......................... 7 171 119 280 Directors'/Trustees' Fees & Expenses.......... 2 30 34 102 Professional Fees............................. 4 10 16 31 Other......................................... 2 28 32 89 ------- --------- -------- ---------- Total Expenses............................. 852 22,636 32,503 75,192 ------- --------- -------- ---------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)......................... (791) (4,443) (9,898) -- Institutional Class Shares.................. -- -- -- (14,757) Class R2 Shares............................. -- -- -- (78) Fees Paid Indirectly (Note C)................. -- -- -- -- ------- --------- -------- ---------- Net Expenses.................................. 63 18,193 22,605 60,357 ------- --------- -------- ---------- NET INVESTMENT INCOME (LOSS).................. 5,406 90,681 120,203 342,874 ------- --------- -------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies............. 2,164 -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold**................ (989) (105,635) 141,742 (77,435) Futures..................................... 1,760 5,655 4,016 11,373 Foreign Currency Transactions............... -- 955 338 3,728 Forward Currency Contracts.................. 371 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... -- 506,131 394,050 1,954,176 Affiliated Investment Companies Shares...... 6,150 -- -- -- Futures..................................... (1,100) (263) 286 (391) Translation of Foreign Currency Denominated Amounts........................ -- 204 579 46 Forward Currency Contracts.................. 541 -- -- -- ------- --------- -------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)....... 8,897 407,047 541,011 1,891,497 ------- --------- -------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $14,303 $ 497,728 $661,214 $2,234,371 ======= ========= ======== ==========
EMERGING MARKETS CORE EQUITY PORTFOLIO ------------ INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $14,897, $12,705, $54,004 and $0, respectively).............. -- Interest.................................... -- Income from Securities Lending.............. -- Expenses Allocated from Affiliated Investment Companies....................... -- Income Distributions Received 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 $51,428, respectively)............................... $ 396,631 Income from Securities Lending................ 52,227 ---------- Total Fund Investment Income............... 448,858 ---------- FUND EXPENSES Investment Management Fees.................... 88,014 Accounting & Transfer Agent Fees.............. 887 Custodian Fees................................ 6,581 Shareholder Servicing Fees -- Class R2 Shares...................................... -- Filing Fees................................... 620 Shareholders' Reports......................... 503 Directors'/Trustees' Fees & Expenses.......... 107 Professional Fees............................. 640 Other......................................... 612 ---------- Total Expenses............................. 97,964 ---------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)......................... -- Institutional Class Shares.................. -- Class R2 Shares............................. -- Fees Paid Indirectly (Note C)................. (556) ---------- Net Expenses.................................. 97,408 ---------- NET INVESTMENT INCOME (LOSS).................. 351,450 ---------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies............. -- Net Realized Gain (Loss) on: Investment Securities Sold**................ (342,991) Futures..................................... 30,116 Foreign Currency Transactions............... (539) Forward Currency Contracts.................. -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 2,038,618 Affiliated Investment Companies Shares...... -- Futures..................................... (3,447) Translation of Foreign Currency Denominated Amounts........................ 726 Forward Currency Contracts.................. -- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)....... 1,722,483 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $2,073,933 ==========
---------- * 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, $68, $144 and $53, respectively. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY U.S. LARGE CAP VALUE COMPANY PORTFOLIO PORTFOLIO PORTFOLIO ------------------ -------------------- ------------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2016 2015 2016 2015 -------- -------- --------- --------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 1,670 $ 1,130 $ 15,047 $ 9,255 $ 363,236 $ 317,704 Net Realized Gain (Loss) on: Investment Securities Sold*................ (59) 4,580 (9,470) (1,560) 447,750 681,400 Futures.................................... 7,848 15,372 -- (12) 17,635 (35) Foreign Currency Transactions.............. -- 629 -- -- -- -- In-Kind Redemptions........................ -- -- -- 10,024 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 118 (4,379) 22,964 (4,105) (11,625) (815,432) Futures.................................... (557) (6,271) -- -- (3,292) 4 Translation of Foreign Currency Denominated Amounts....................... -- (191) -- -- -- -- -------- -------- --------- --------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 9,020 10,870 28,541 13,602 813,704 183,641 -------- -------- --------- --------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................. (1,417) (799) (14,431) (8,112) (357,227) (302,945) Net Short-Term Gains: Institutional Class Shares................. (3,529) (10,591) -- (285) -- -- Net Long-Term Gains: Institutional Class Shares................. (9,801) (16,610) -- (266) (643,970) (86,223) -------- -------- --------- --------- ----------- ----------- Total Distributions....................... (14,747) (28,000) (14,431) (8,663) (1,001,197) (389,168) -------- -------- --------- --------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................ 73,655 39,673 301,960 595,263 4,078,939 3,716,590 Shares Issued in Lieu of Cash Distributions............................... 13,002 24,405 14,259 8,492 935,970 359,045 Shares Redeemed.............................. (46,158) (60,026) (178,150) (184,505) (2,962,098) (3,209,154) -------- -------- --------- --------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 40,499 4,052 138,069 419,250 2,052,811 866,481 -------- -------- --------- --------- ----------- ----------- Total Increase (Decrease) in Net Assets................................... 34,772 (13,078) 152,179 424,189 1,865,318 660,954 NET ASSETS Beginning of Period.......................... 203,641 216,719 699,144 274,955 15,807,935 15,146,981 -------- -------- --------- --------- ----------- ----------- End of Period................................ $238,413 $203,641 $ 851,323 $ 699,144 $17,673,253 $15,807,935 ======== ======== ========= ========= =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................ 6,113 3,122 24,003 46,215 131,035 110,785 Shares Issued in Lieu of Cash Distributions............................... 1,111 2,085 1,116 675 29,906 10,996 Shares Redeemed.............................. (3,945) (4,848) (14,319) (14,242) (94,466) (95,477) -------- -------- --------- --------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 3,279 359 10,800 32,648 66,475 26,304 ======== ======== ========= ========= =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)....................................... $ 201 $ 48 $ 1,887 $ 1,341 $ 18,983 $ 29,922
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO 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, 2016 2015 2016 2015 2016 2015 ----------- ----------- ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................. $ 93,044 $ 81,463 $ 122,969 $ 140,359 $ 261,444 $ 209,655 Net Realized Gain (Loss) on: Investment Securities Sold*.................. 310,791 315,026 533,632 522,294 71,932 164,919 Futures...................................... 6,695 (296) 42,945 (2,510) 14,545 -- In-Kind Redemptions.......................... -- -- -- 12,630 -- 48,790 Change in Unrealized Appreciation (Depreciation) of: Investment Securities........................ (32,158) (527,329) (45,822) (1,025,518) 193,308 (56,468) Futures...................................... (2,039) -- (3,946) -- (3,224) -- ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 376,333 (131,136) 649,778 (352,745) 538,005 366,896 ----------- ----------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares.............................. (462) (374) -- -- -- -- Class R2 Shares.............................. (1,837) (1,058) -- -- -- -- Institutional Class Shares................... (92,387) (74,793) (122,993) (130,190) (253,050) (200,298) Net Short-Term Gains: Class R1 Shares.............................. (54) (49) -- -- -- -- Class R2 Shares.............................. (202) (144) -- -- -- -- Institutional Class Shares................... (9,668) (9,156) -- -- -- -- Net Long-Term Gains: Class R1 Shares.............................. (1,571) (1,235) -- -- -- -- Class R2 Shares.............................. (5,836) (3,653) -- -- -- -- Institutional Class Shares................... (279,118) (233,022) (487,348) (427,115) (160,152) (49,469) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions........................ (391,135) (323,484) (610,341) (557,305) (413,202) (249,767) ----------- ----------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................. 1,989,566 2,861,668 2,855,521 2,562,626 3,836,889 4,137,187 Shares Issued in Lieu of Cash Distributions... 363,680 306,474 547,459 501,839 394,137 236,854 Shares Redeemed............................... (1,433,622) (1,140,962) (2,509,494) (1,986,459) (2,671,444) (1,996,226) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions........................ 919,624 2,027,180 893,486 1,078,006 1,559,582 2,377,815 ----------- ----------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets.... 904,822 1,572,560 932,923 167,956 1,684,385 2,494,944 NET ASSETS Beginning of Year............................. 7,163,467 5,590,907 11,680,262 11,512,306 13,275,774 10,780,830 ----------- ----------- ----------- ----------- ----------- ----------- End of Year................................... $ 8,068,289 $ 7,163,467 $12,613,185 $11,680,262 $14,960,159 $13,275,774 =========== =========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................. 99,453 127,780 94,286 73,971 221,794 230,659 Shares Issued in Lieu of Cash Distributions... 18,127 14,559 17,740 15,227 22,712 13,516 Shares Redeemed............................... (70,370) (51,364) (79,957) (57,511) (154,875) (111,260) ----------- ----------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 47,210 90,975 32,069 31,688 89,631 132,915 =========== =========== =========== =========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................ $ 1,417 $ 8,044 $ (1,771) $ 6,188 $ 33,644 $ 21,625
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 PORTFOLIO U.S. VECTOR 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, 2016 2015 2016 2015 2016 2015 ----------- ----------- ---------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........ $ 293,351 $ 239,037 $ 59,961 $ 54,509 $ 135,557 $ 112,326 Net Realized Gain (Loss) on: Investment Securities Sold*....... 110,911 305,920 103,375 127,309 362,082 532,485 Futures........................... 16,424 1,793 3,911 (811) 18,220 -- In-Kind Redemptions............... -- -- -- -- -- 28,254 Change in Unrealized Appreciation (Depreciation) of: Investment Securities............. 180,375 (307,072) (37,035) (193,154) 11,454 (457,527) Futures........................... (3,630) -- (835) -- (4,290) -- ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 597,431 239,678 129,377 (12,147) 523,023 215,538 ----------- ----------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares........ (281,321) (228,075) (59,624) (51,799) (133,998) (105,110) Net Short-Term Gains: Institutional Class Shares........ -- -- -- -- (1,951) -- Net Long-Term Gains: Institutional Class Shares........ (296,061) (89,857) (119,588) (109,045) (503,176) (268,312) ----------- ----------- ---------- ---------- ----------- ----------- Total Distributions.............. (577,382) (317,932) (179,212) (160,844) (639,125) (373,422) ----------- ----------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued....................... 3,614,827 4,082,819 802,042 848,464 3,878,897 2,815,856 Shares Issued in Lieu of Cash Distributions...................... 569,820 313,194 177,958 159,804 601,644 351,264 Shares Redeemed..................... (2,554,214) (2,036,371) (759,047) (685,067) (2,003,782) (1,640,410) ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.................... 1,630,433 2,359,642 220,953 323,201 2,476,759 1,526,710 ----------- ----------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets...................... 1,650,482 2,281,388 171,118 150,210 2,360,657 1,368,826 NET ASSETS Beginning of Year................... 15,200,564 12,919,176 3,651,529 3,501,319 10,616,542 9,247,716 ----------- ----------- ---------- ---------- ----------- ----------- End of Year......................... $16,851,046 $15,200,564 $3,822,647 $3,651,529 $12,977,199 $10,616,542 =========== =========== ========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued....................... 220,326 234,298 53,015 51,015 133,904 90,041 Shares Issued in Lieu of Cash Distributions...................... 34,541 18,413 11,617 10,033 20,883 11,800 Shares Redeemed..................... (155,064) (116,908) (49,773) (41,495) (68,437) (52,277) ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed........................ 99,803 135,803 14,859 19,553 86,350 49,563 =========== =========== ========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............ $ 26,714 $ 25,434 $ 150 $ 4,454 $ 2,738 $ 7,767
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 131 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA REAL ESTATE SECURITIES LARGE CAP INTERNATIONAL U.S. MICRO CAP PORTFOLIO PORTFOLIO PORTFOLIO ---------------------- ------------------------ ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2016 2015 2016 2015 ---------- ---------- ----------- ----------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 43,562 $ 41,868 $ 221,443 $ 187,615 $ 95,056 $ 86,418 Net Realized Gain (Loss) on: Investment Securities Sold*................ 265,995 283,555 90,717 119,527 40,972 (50,887) Futures.................................... 4,507 (2,258) 6,786 -- 2,587 769 Foreign Currency Transactions.............. -- -- -- -- (670) (528) Forward Currency Contracts................. -- -- -- -- (1) -- In-Kind Redemptions........................ -- 12,861 -- 258,319 -- 33,199 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. (93,832) (281,159) 133,266 (219,248) (163,381) (155,643) Futures.................................... (1,662) -- (1,518) -- (870) -- Translation of Foreign Currency Denominated Amounts....................... -- -- -- -- (284) 142 ---------- ---------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 218,570 54,867 450,694 346,213 (26,591) (86,530) ---------- ---------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................. (43,417) (39,933) (199,996) (220,092) (92,122) (85,101) Net Long-Term Gains: Institutional Class Shares................. (267,818) (278,652) -- -- -- -- ---------- ---------- ----------- ----------- ---------- ---------- Total Distributions....................... (311,235) (318,585) (199,996) (220,092) (92,122) (85,101) ---------- ---------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................ 728,237 657,708 1,324,786 1,268,079 1,137,696 1,019,845 Shares Issued in Lieu of Cash Distributions............................... 288,388 296,069 180,508 216,090 81,307 76,483 Shares Redeemed.............................. (802,728) (711,995) (1,049,004) (1,664,857) (722,849) (902,210) ---------- ---------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 213,897 241,782 456,290 (180,688) 496,154 194,118 ---------- ---------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 121,232 (21,936) 706,988 (54,567) 377,441 22,487 NET ASSETS Beginning of Year............................ 5,007,091 5,029,027 6,553,192 6,607,759 3,150,334 3,127,847 ---------- ---------- ----------- ----------- ---------- ---------- End of Year.................................. $5,128,323 $5,007,091 $ 7,260,180 $ 6,553,192 $3,527,775 $3,150,334 ========== ========== =========== =========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................ 41,740 33,975 38,318 38,538 59,417 48,288 Shares Issued in Lieu of Cash Distributions............................... 16,256 16,153 5,269 6,758 4,282 3,639 Shares Redeemed.............................. (45,482) (36,869) (30,405) (51,930) (37,696) (42,081) ---------- ---------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 12,514 13,259 13,182 (6,634) 26,003 9,846 ========== ========== =========== =========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................ $ 1,818 $ 2,845 $ 39,022 $ (120) $ 11,729 $ 8,542
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
INTERNATIONAL CORE EQUITY INTERNATIONAL SMALL JAPANESE SMALL COMPANY PORTFOLIO COMPANY 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, 2016 2015 2016 2015 2016 2015 ----------- ----------- ----------- ----------- -------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................ $ 431,691 $ 354,330 $ 238,233 $ 208,124 $ 7,013 $ 6,024 Net Realized Gain (Loss) on: Investment Securities Sold*............... (84,212) 4,776 261,664 376,613 20,065 12,888 Futures................................... 19,275 -- 17,796 (4,583) -- -- Foreign Currency Transactions............. (72) (2,904) 673 (2,876) 326 (355) Forward Currency Contracts................ (3) -- -- -- -- -- In-Kind Redemptions....................... -- 163,544 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. (7,083) (679,030) 13,423 (293,604) 33,546 20,984 Futures................................... (2,948) -- (2,771) (22) -- -- Translation of Foreign Currency Denominated Amounts...................... (1,251) 330 (814) 344 (100) 68 ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations.............................. 355,397 (158,954) 528,204 283,996 60,850 39,609 ----------- ----------- ----------- ----------- -------- --------- Distributions From: Net Investment Income: Institutional Class Shares................ (387,589) (367,607) (283,791) (208,535) (6,534) (7,758) Net Short-Term Gains: Institutional Class Shares................ -- -- -- (27,069) -- -- Net Long-Term Gains: Institutional Class Shares................ -- -- (207,859) (250,320) -- -- ----------- ----------- ----------- ----------- -------- --------- Total Distributions...................... (387,589) (367,607) (491,650) (485,924) (6,534) (7,758) ----------- ----------- ----------- ----------- -------- --------- Capital Share Transactions (1): Shares Issued............................... 5,576,571 5,383,645 2,126,348 1,961,417 50,775 20,159 Shares Issued in Lieu of Cash Distributions.............................. 367,352 349,000 473,837 472,853 6,058 7,251 Shares Redeemed............................. (3,349,288) (3,080,058) (1,572,870) (1,753,367) (65,733) (103,454) ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) from Capital Share Transactions...................... 2,594,635 2,652,587 1,027,315 680,903 (8,900) (76,044) ----------- ----------- ----------- ----------- -------- --------- Total Increase (Decrease) in Net Assets.................................. 2,562,443 2,126,026 1,063,869 478,975 45,416 (44,193) NET ASSETS Beginning of Year........................... 14,420,568 12,294,542 9,323,492 8,844,517 463,997 508,190 ----------- ----------- ----------- ----------- -------- --------- End of Year................................. $16,983,011 $14,420,568 $10,387,361 $ 9,323,492 $509,413 $ 463,997 =========== =========== =========== =========== ======== ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued............................... 500,176 449,331 124,163 110,551 2,413 1,017 Shares Issued in Lieu of Cash Distributions.............................. 33,144 29,177 27,874 28,178 298 406 Shares Redeemed............................. (300,515) (256,979) (92,160) (99,058) (3,255) (5,278) ----------- ----------- ----------- ----------- -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed..................... 232,805 221,528 59,877 39,671 (544) (3,855) =========== =========== =========== =========== ======== ========= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................... $ 49,229 $ 17,301 $ (18,870) $ 34,648 $ 2,402 $ 1,497
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ASIA PACIFIC SMALL COMPANY UNITED KINGDOM SMALL CONTINENTAL SMALL COMPANY PORTFOLIO COMPANY 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, 2016 2015 2016 2015 2016 2015 -------- --------- -------- -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 8,007 $ 9,355 $ 1,302 $ 1,058 $ 6,325 $ 4,880 Net Realized Gain (Loss) on: Investment Securities Sold*................ (4,191) (2,042) 2,090 2,661 6,536 7,314 Futures.................................... -- -- -- -- 50 (267) Foreign Currency Transactions.............. 49 (202) (25) 3 (31) (64) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 30,333 (43,082) (8,433) (569) 5,988 7,186 Futures.................................... -- -- -- -- 2 3 Translation of Foreign Currency Denominated Amounts....................... 4 (3) (2) 1 (3) (4) -------- --------- -------- ------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 34,202 (35,974) (5,068) 3,154 18,867 19,048 -------- --------- -------- ------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares................. (7,760) (16,487) (1,389) (1,011) (6,377) (4,771) Net Short-Term Gains: Institutional Class Shares................. -- -- -- (57) -- -- Net Long-Term Gains: Institutional Class Shares................. -- -- (1,632) (2,151) -- -- -------- --------- -------- ------- -------- -------- Total Distributions....................... (7,760) (16,487) (3,021) (3,219) (6,377) (4,771) -------- --------- -------- ------- -------- -------- Capital Share Transactions (1): Shares Issued................................ 30,200 13,081 12,964 4,028 68,569 112,313 Shares Issued in Lieu of Cash Distributions.. 6,990 15,524 2,476 2,521 4,981 4,167 Shares Redeemed.............................. (12,327) (139,991) (10,665) (5,897) (71,947) (21,694) -------- --------- -------- ------- -------- -------- Net Increase (Decrease) from Capital Share Transactions....................... 24,863 (111,386) 4,775 652 1,603 94,786 -------- --------- -------- ------- -------- -------- Total Increase (Decrease) in Net Assets................................... 51,305 (163,847) (3,314) 587 14,093 109,063 NET ASSETS Beginning of Year............................ 200,270 364,117 35,637 35,050 278,024 168,961 -------- --------- -------- ------- -------- -------- End of Year.................................. $251,575 $ 200,270 $ 32,323 $35,637 $292,117 $278,024 ======== ========= ======== ======= ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................ 1,570 643 473 117 3,363 5,532 Shares Issued in Lieu of Cash Distributions.. 387 792 78 78 249 199 Shares Redeemed.............................. (637) (6,841) (367) (167) (3,414) (1,061) -------- --------- -------- ------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 1,320 (5,406) 184 28 198 4,670 ======== ========= ======== ======= ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)....................................... $ 511 $ 83 $ 199 $ 207 $ 227 $ 248
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 134 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, 2016 2015 2016 2015 2016 2015 ---------- ---------- ---------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......... $ 143,130 $ 119,980 $ 110,990 $ 154,237 $ 294,075 $ 239,388 Net Realized Gain (Loss) on: Investment Securities Sold*......... (1,596) (17,379) 14,561 (188) 414,975 203,049 Affiliated Investment Companies Shares Sold........................ -- -- -- (1,351) -- -- Futures............................. 4,432 -- 757 -- 29,217 (5,555) Foreign Currency Transactions....................... 540 (1,791) 7 -- 7,305 (4,926) Forward Currency Contracts.......... 48 -- -- -- 27 -- In-Kind Redemptions................. -- -- -- -- 29,398 193,547 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... (118,705) (116,739) 61,152 (43,036) (242,603) (244,703) Affiliated Investment Companies Shares............................. -- -- -- (78,977) -- -- Futures............................. (304) -- -- -- (3,458) -- Translation of Foreign Currency Denominated Amounts................ (367) 284 -- -- (1,796) 1,015 ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........................ 27,178 (15,645) 187,467 117,133 527,140 381,815 ---------- ---------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares.......... (60,576) (182,724) (97,767) (124,281) (381,199) (224,376) Net Long-Term Gains: Institutional Class Shares.......... -- -- -- -- (182,540) (207,080) ---------- ---------- ---------- ---------- ----------- ----------- Total Distributions................ (60,576) (182,724) (97,767) (124,281) (563,739) (431,456) ---------- ---------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................... 1,062,437 886,775 1,524,272 1,347,820 2,066,905 2,629,814 Shares Issued in Lieu of Cash Distributions........................ 60,055 181,249 93,708 121,908 508,968 392,052 Shares Redeemed....................... (447,563) (417,939) (878,641) (708,136) (2,107,120) (2,079,421) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................... 674,929 650,085 739,339 761,592 468,753 942,445 ---------- ---------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets........................ 641,531 451,716 829,039 754,444 432,154 892,804 NET ASSETS Beginning of Year..................... 3,540,092 3,088,376 4,059,916 3,305,472 12,577,575 11,684,771 ---------- ---------- ---------- ---------- ----------- ----------- End of Year........................... $4,181,623 $3,540,092 $4,888,955 $4,059,916 $13,009,729 $12,577,575 ========== ========== ========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................... 201,532 166,717 139,784 127,842 113,522 135,446 Shares Issued in Lieu of Cash Distributions........................ 12,306 34,991 9,151 11,884 28,063 21,362 Shares Redeemed....................... (85,422) (79,211) (81,345) (67,340) (115,085) (107,415) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.......................... 128,416 122,497 67,590 72,386 26,500 49,393 ========== ========== ========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME).............. $ (148,335) $ (221,598) $ 61,223 $ 50,527 $ (39,951) $ 44,763
---------- * Net of foreign capital gain taxes withheld of $92, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 135 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
INTERNATIONAL VECTOR EQUITY WORLD EX U.S. VALUE WORLD EX U.S. TARGETED PORTFOLIO PORTFOLIO VALUE PORTFOLIO -------------------------- ------------------ -------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2016 2015 2016 2015 ---------- ---------- -------- -------- --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........................... $ 46,551 $ 37,987 $ 5,412 $ 3,484 $ 5,264 $ 3,960 Capital Gain Distributions Received from Affiliated Investment Companies.................................. -- -- 256 169 -- 1,932 Net Realized Gain (Loss) on: Investment Securities Sold*.......................... 4,157 5,992 (2,948) -- 6,843 (356) Affiliated Investment Companies Shares Sold.......... -- -- -- 1,061 -- (13,958) Futures.............................................. 182 -- 112 -- -- (347) Foreign Currency Transactions........................ 127 (490) 85 (65) 124 (169) Forward Currency Contracts........................... (44) -- -- -- 8 -- In-Kind Redemptions.................................. -- 10,623 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........... 16,206 (79,483) 7,285 (16,458) 5,177 8,649 Affiliated Investment Companies Shares............... -- -- 148 -- -- (6,911) Futures.............................................. -- -- (19) -- -- -- Translation of Foreign Currency Denominated Amounts............................................. (165) 54 (11) 7 (20) (2) ---------- ---------- -------- -------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... 67,014 (25,317) 10,320 (11,802) 17,396 (7,202) ---------- ---------- -------- -------- --------- --------- Distributions From: Net Investment Income: Institutional Class Shares........................... (43,651) (36,861) (5,358) (3,283) (4,374) (3,896) Net Short-Term Gains: Institutional Class Shares........................... -- (1,236) -- -- -- -- Net Long-Term Gains: Institutional Class Shares........................... (5,716) (10,949) -- -- -- (408) ---------- ---------- -------- -------- --------- --------- Total Distributions................................. (49,367) (49,046) (5,358) (3,283) (4,374) (4,304) ---------- ---------- -------- -------- --------- --------- Capital Share Transactions (1): Shares Issued.......................................... 688,513 757,055 47,689 65,656 164,346 204,717 Shares Issued in Lieu of Cash Distributions............ 48,918 48,618 5,353 3,281 4,371 4,301 Shares Redeemed........................................ (493,518) (441,949) (25,151) (12,502) (128,258) (120,877) ---------- ---------- -------- -------- --------- --------- Net Increase (Decrease) from Capital Share Transactions....................................... 243,913 363,724 27,891 56,435 40,459 88,141 ---------- ---------- -------- -------- --------- --------- Total Increase (Decrease) in Net Assets............. 261,560 289,361 32,853 41,350 53,481 76,635 NET ASSETS Beginning of Period.................................... 1,594,914 1,305,553 155,301 113,951 227,731 151,096 ---------- ---------- -------- -------- --------- --------- End of Period.......................................... $1,856,474 $1,594,914 $188,154 $155,301 $ 281,212 $ 227,731 ========== ========== ======== ======== ========= ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued.......................................... 68,056 68,272 5,184 6,010 15,218 17,665 Shares Issued in Lieu of Cash Distributions............ 4,797 4,463 562 303 392 377 Shares Redeemed........................................ (48,877) (40,404) (2,605) (1,167) (12,154) (10,646) ---------- ---------- -------- -------- --------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 23,976 32,331 3,141 5,146 3,456 7,396 ========== ========== ======== ======== ========= ========= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)..................... $ 4,967 $ 3,889 $ 737 $ 517 $ 882 $ 10
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0, respectively. See accompanying Notes to Financial Statements. 136 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY SELECTIVELY HEDGED GLOBAL PORTFOLIO WORLD CORE EQUITY 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, 2016 2015 2016 2015 2016 2015 ---------- ---------- -------- -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............. $ 37,861 $ 19,993 $ 5,949 $ 2,788 $ 5,406 $ 3,745 Capital Gain Distributions Received from Affiliated Investment Companies.......... -- -- 1,313 171 2,164 469 Net Realized Gain (Loss) on: Investment Securities Sold*.............. (2,134) 534 (2,896) -- (989) -- Affiliated Investment Companies Shares Sold............................. -- (9,894) -- (905) -- (251) Futures.................................. (629) 171 -- -- 1,760 (402) Foreign Currency Transactions............ 189 (238) -- -- -- 3,159 Forward Currency Contracts............... -- -- -- -- 371 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................ 47,901 (56,453) -- -- -- -- Affiliated Investment Companies Shares.................................. -- 2,100 9,340 (4,000) 6,150 (9,320) Futures.................................. -- -- -- -- (1,100) 701 Translation of Foreign Currency Denominated Amounts..................... (103) (13) -- -- -- (530) Forward Currency Contracts............... -- -- -- -- 541 -- ---------- ---------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 83,085 (43,800) 13,706 (1,946) 14,303 (2,429) ---------- ---------- -------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares............... (36,005) (15,824) (5,800) (2,667) (6,333) (4,603) Net Short-Term Gains: Institutional Class Shares............... -- -- -- (12) (115) (365) Net Long-Term Gains: Institutional Class Shares............... -- -- (132) (232) (620) (1,915) ---------- ---------- -------- -------- -------- -------- Total Distributions..................... (36,005) (15,824) (5,932) (2,911) (7,068) (6,883) ---------- ---------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued............................. 729,178 946,814 189,580 143,661 77,521 130,229 Shares Issued in Lieu of Cash Distributions............................ 34,930 15,654 5,702 2,860 7,066 6,883 Shares Redeemed........................... (325,571) (138,664) (35,482) (14,716) (47,024) (29,970) ---------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions..................... 438,537 823,804 159,800 131,805 37,563 107,142 ---------- ---------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets................................. 485,617 764,180 167,574 126,948 44,798 97,830 NET ASSETS Beginning of Period....................... 1,170,828 406,648 202,655 75,707 245,106 147,276 ---------- ---------- -------- -------- -------- -------- End of Period............................. $1,656,445 $1,170,828 $370,229 $202,655 $289,904 $245,106 ========== ========== ======== ======== ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................. 78,713 92,639 14,944 10,926 6,131 9,466 Shares Issued in Lieu of Cash Distributions............................ 3,690 1,533 451 220 552 532 Shares Redeemed........................... (34,710) (13,850) (2,883) (1,167) (3,623) (2,213) ---------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed............. 47,693 80,322 12,512 9,979 3,060 7,785 ========== ========== ======== ======== ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)......................... $ 4,174 $ 3,451 $ 205 $ 121 $ 4,245 $ 5,058
EMERGING MARKETS PORTFOLIO ------------------------ YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2016 2015 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............. $ 90,681 $ 82,136 Capital Gain Distributions Received from Affiliated Investment Companies.......... -- -- Net Realized Gain (Loss) on: Investment Securities Sold*.............. (105,635) (98,317) Affiliated Investment Companies Shares Sold............................. -- -- Futures.................................. 5,655 2,417 Foreign Currency Transactions............ 955 (2,155) Forward Currency Contracts............... -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................ 506,131 (669,787) Affiliated Investment Companies Shares.................................. -- -- Futures.................................. (263) 4 Translation of Foreign Currency Denominated Amounts..................... 204 (93) Forward Currency Contracts............... -- -- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 497,728 (685,795) ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares............... (89,527) (73,891) Net Short-Term Gains: Institutional Class Shares............... -- -- Net Long-Term Gains: Institutional Class Shares............... -- -- ----------- ----------- Total Distributions..................... (89,527) (73,891) ----------- ----------- Capital Share Transactions (1): Shares Issued............................. 1,428,054 2,348,904 Shares Issued in Lieu of Cash Distributions............................ 83,981 68,708 Shares Redeemed........................... (1,326,366) (1,410,094) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions..................... 185,669 1,007,518 ----------- ----------- Total Increase (Decrease) in Net Assets................................. 593,870 247,832 NET ASSETS Beginning of Period....................... 4,321,530 4,073,698 ----------- ----------- End of Period............................. $ 4,915,400 $ 4,321,530 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................. 67,596 98,569 Shares Issued in Lieu of Cash Distributions............................ 3,805 3,055 Shares Redeemed........................... (62,542) (59,625) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............. 8,859 41,999 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)......................... $ 3,519 $ 5,762
---------- 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. 137 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, 2016 2015 2016 2015 2016 2015 ---------- ---------- ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................... $ 120,203 $ 109,144 $ 342,874 $ 362,517 $ 351,450 $ 324,860 Net Realized Gain (Loss) on: Investment Securities Sold*.................... 141,742 46,152 (77,435) (409,296) (342,991) (327,586) Futures........................................ 4,016 -- 11,373 -- 30,116 -- Foreign Currency Transactions.................. 338 (4,493) 3,728 (7,810) (539) (8,472) In-Kind Redemptions............................ -- -- -- -- -- 29,647 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................................... 394,050 (681,504) 1,954,176 (3,279,764) 2,038,618 (2,517,402) Futures........................................ 286 -- (391) -- (3,447) -- Translation of Foreign Currency Denominated Amounts....................................... 579 (237) 46 107 726 (300) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 661,214 (530,938) 2,234,371 (3,334,246) 2,073,933 (2,499,253) ---------- ---------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares................................ -- -- (2,365) (1,822) -- -- Institutional Class Shares..................... (124,387) (99,603) (436,707) (349,391) (349,434) (304,141) Net Short-Term Gains: Institutional Class Shares..................... -- (3,364) -- -- -- -- Net Long-Term Gains: Institutional Class Shares..................... (36,697) (88,636) -- -- -- -- ---------- ---------- ----------- ----------- ----------- ----------- Total Distributions........................... (161,084) (191,603) (439,072) (351,213) (349,434) (304,141) ---------- ---------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................... 913,984 1,309,981 2,821,337 3,635,785 6,091,963 6,175,578 Shares Issued in Lieu of Cash Distributions..... 151,141 180,085 416,149 332,144 328,562 282,610 Shares Redeemed................................. (950,920) (782,954) (3,539,505) (4,119,848) (4,288,936) (4,525,463) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions................................. 114,205 707,112 (302,019) (151,919) 2,131,589 1,932,725 ---------- ---------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets....... 614,335 (15,429) 1,493,280 (3,837,378) 3,856,088 (870,669) NET ASSETS Beginning of Year............................... 4,845,174 4,860,603 14,908,964 18,746,342 14,856,878 15,727,547 ---------- ---------- ----------- ----------- ----------- ----------- End of Year..................................... $5,459,509 $4,845,174 $16,402,244 $14,908,964 $18,712,966 $14,856,878 ========== ========== =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................... 49,652 65,569 133,176 147,429 379,414 339,318 Shares Issued in Lieu of Cash Distributions..... 8,492 9,583 19,311 14,339 19,496 16,465 Shares Redeemed................................. (52,089) (40,423) (163,363) (164,669) (265,600) (255,411) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.......................... 6,055 34,729 (10,876) (2,901) 133,310 100,372 ========== ========== =========== =========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME).......................................... $ 12,479 $ 14,068 $ (49,300) $ 24,502 $ 11,774 $ 17,752
---------- * Net of foreign capital gain taxes withheld of $68, $0, $144, $0, $53 and $0, respectively. See accompanying Notes to Financial Statements. 138 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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.... $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....... 0.10 0.07 0.07 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)............ 0.45 0.53 1.94 2.42 1.20 -------- -------- -------- -------- -------- Total from Investment Operations..... 0.55 0.60 2.01 2.49 1.27 ------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................. (0.08) (0.05) (0.06) (0.08) (0.13) Net Realized Gains..................... (0.79) (1.66) -- -- -- -------- -------- -------- -------- -------- Total Distributions.................. (0.87) (1.71) (0.06) (0.08) (0.13) ------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 ======================================= ======== ======== ======== ======== ======== Total Return............................ 4.75% 5.25% 17.18% 26.99% 15.84% ------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $238,413 $203,641 $216,719 $212,840 $190,011 Ratio of Expenses to Average Net Assets. 0.23% 0.24% 0.23% 0.24% 0.25% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)....................... 0.24% 0.24% 0.23% 0.24% 0.25% Ratio of Net Investment Income to Average Net Assets..................... 0.80% 0.53% 0.55% 0.63% 0.80% Portfolio Turnover Rate................. 119% 223% 202% 139% 76% -------------------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO --------------------------------------- PERIOD YEAR YEAR YEAR JUNE 25, ENDED ENDED ENDED 2013(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 --------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.... $ 12.86 $ 12.65 $ 11.07 $ 10.00 -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....... 0.25 0.23 0.21 0.06 Net Gains (Losses) on Securities (Realized and Unrealized)............ 0.19 0.21 1.57 1.04 -------- -------- -------- -------- Total from Investment Operations..... 0.44 0.44 1.78 1.10 --------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................. (0.24) (0.21) (0.20) (0.03) Net Realized Gains..................... -- (0.02) -- -- -------- -------- -------- -------- Total Distributions.................. (0.24) (0.23) (0.20) (0.03) --------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 13.06 $ 12.86 $ 12.65 $ 11.07 ======================================= ======== ======== ======== ========== Total Return............................ 3.51% 3.49% 16.19% 11.01%(D) --------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $851,323 $699,144 $274,955 $135,407 Ratio of Expenses to Average Net Assets. 0.18% 0.19% 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)....................... 0.17% 0.19% 0.20% 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets..................... 1.99% 1.77% 1.75% 1.58%(C)(E) Portfolio Turnover Rate................. 12% 12% 1% 0%(D) ---------------------------------------------------------------------------------------
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U.S. LARGE CAP VALUE PORTFOLIO --------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period................................ $ 33.27 $ 33.75 $ 29.72 $ 22.34 ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................... 0.70 0.69 0.56 0.47 Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.71 (0.32) 4.02 7.38 ----------- ----------- ----------- ----------- Total from Investment Operations................................. 1.41 0.37 4.58 7.85 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................................. (0.70) (0.66) (0.55) (0.47) Net Realized Gains................................................. (1.35) (0.19) -- -- ----------- ----------- ----------- ----------- Total Distributions.............................................. (2.05) (0.85) (0.55) (0.47) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...................................... $ 32.63 $ 33.27 $ 33.75 $ 29.72 =================================================================== =========== =========== =========== =========== Total Return........................................................ 4.58% 1.16% 15.49% 35.52% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................... $17,673,253 $15,807,935 $15,146,981 $11,963,072 Ratio of Expenses to Average Net Assets (B)......................... 0.27% 0.27% 0.27% 0.27% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....................................................... 0.37% 0.30% 0.27% 0.27% Ratio of Net Investment Income to Average Net Assets................ 2.24% 2.04% 1.75% 1.82% -------------------------------------------------------------------------------------------------------------------------
----------- YEAR ENDED OCT. 31, 2012 -------------------------------------------------------------------------------- Net Asset Value, Beginning of Period................................ $ 19.29 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................................... 0.41 Net Gains (Losses) on Securities (Realized and Unrealized)......... 3.04 ---------- Total from Investment Operations................................. 3.45 -------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................................. (0.40) Net Realized Gains................................................. -- ---------- Total Distributions.............................................. (0.40) -------------------------------------------------------------------------------- Net Asset Value, End of Period...................................... $ 22.34 =================================================================== ========== Total Return........................................................ 18.14% -------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............................... $8,334,585 Ratio of Expenses to Average Net Assets (B)......................... 0.27% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....................................................... 0.27% Ratio of Net Investment Income to Average Net Assets................ 1.99% --------------------------------------------------------------------------------
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)
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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year......................................... $ 21.58 $ 23.19 $ 22.63 $17.28 $ 15.32 ------- ------- ------- ------ ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).......................................... 0.24 0.26 0.18 0.27 0.15 Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.60 (0.61) 1.86 6.28 2.06 ------- ------- ------- ------ ------- Total from Investment Operations........................................ 0.84 (0.35) 2.04 6.55 2.21 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income..................................................... (0.27) (0.25) (0.16) (0.22) (0.13) Net Realized Gains........................................................ (0.89) (1.01) (1.32) (0.98) (0.12) ------- ------- ------- ------ ------- Total Distributions..................................................... (1.16) (1.26) (1.48) (1.20) (0.25) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year............................................... $ 21.26 $ 21.58 $ 23.19 $22.63 $ 17.28 ========================================================================== ======== ======== ======== ======== ======== Total Return............................................................... 4.21% (1.33)% 9.47% 40.39% 14.67% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................................ $35,661 $40,159 $16,971 $9,470 $49,423 Ratio of Expenses to Average Net Assets.................................... 0.47% 0.47% 0.47% 0.47% 0.48% Ratio of Net Investment Income to Average Net Assets....................... 1.16% 1.15% 0.79% 1.42% 0.93% Portfolio Turnover Rate.................................................... 28% 15% 10% 16% 20% -------------------------------------------------------------------------------------------------------------------------
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)
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, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................ $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31 -------- -------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.20 0.23 0.15 0.19 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.60 (0.61) 1.84 6.31 2.05 -------- -------- ------- ------- ------- Total from Investment Operations............... 0.80 (0.38) 1.99 6.50 2.18 -------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.26) (0.22) (0.12) (0.21) (0.11) Net Realized Gains............................... (0.89) (1.01) (1.32) (0.98) (0.12) -------- -------- ------- ------- ------- Total Distributions............................ (1.15) (1.23) (1.44) (1.19) (0.23) -------------------------------------------------------------------------------------------------- Net Asset Value, End of Year...................... $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26 ================================================= ======== ======== ======== ======== ======== Total Return...................................... 4.04% (1.49)% 9.30% 40.10% 14.46% -------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............... $147,945 $135,412 $82,977 $23,305 $12,754 Ratio of Expenses to Average Net Assets........... 0.62% 0.63% 0.62% 0.62% 0.63% Ratio of Net Investment Income to Average Net Assets........................................... 1.00% 1.02% 0.64% 0.95% 0.78% Portfolio Turnover Rate........................... 28% 15% 10% 16% 20% --------------------------------------------------------------------------------------------------
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)
U.S. TARGETED 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................ $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.25 0.29 0.21 0.24 0.17 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.60 (0.61) 1.85 6.31 2.06 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 0.85 (0.32) 2.06 6.55 2.23 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.26) (0.27) (0.18) (0.25) (0.15) Net Realized Gains............................... (0.89) (1.01) (1.32) (0.98) (0.12) ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (1.15) (1.28) (1.50) (1.23) (0.27) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year...................... $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28 ================================================= ========== ========== ========== ========== ========== Total Return...................................... 4.29% (1.20)% 9.58% 40.40% 14.78% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............... $7,884,683 $6,987,896 $5,490,959 $4,180,974 $2,989,632 Ratio of Expenses to Average Net Assets........... 0.37% 0.37% 0.37% 0.37% 0.38% Ratio of Net Investment Income to Average Net Assets........................................... 1.24% 1.28% 0.90% 1.25% 1.03% Portfolio Turnover Rate........................... 28% 15% 10% 16% 20% ---------------------------------------------------------------------------------------------------------------
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U.S. SMALL CAP VALUE PORTFOLIO -------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................ $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50 ----------- ----------- ----------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.32 0.41 0.23 0.39 0.20 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 1.06 (1.44) 2.93 9.41 3.38 ----------- ----------- ----------- ---------- ---------- Total from Investment Operations............... 1.38 (1.03) 3.16 9.80 3.58 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................ (0.33) (0.38) (0.22) (0.37) (0.18) Net Realized Gains............................... (1.38) (1.33) (1.60) (1.52) (0.33) ----------- ----------- ----------- ---------- ---------- Total Distributions............................ (1.71) (1.71) (1.82) (1.89) (0.51) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year...................... $ 32.75 $ 33.08 $ 35.82 $ 34.48 $ 26.57 ================================================= =========== =========== =========== ========== ========== Total Return...................................... 4.49% (2.83)% 9.49% 39.35% 15.60% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)............... $12,613,185 $11,680,262 $11,512,306 $9,526,981 $7,088,470 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........................................... 1.01% 1.18% 0.66% 1.28% 0.78% Portfolio Turnover Rate........................... 19% 17% 9% 14% 15% ------------------------------------------------------------------------------------------------------------------
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U.S. CORE EQUITY 1 PORTFOLIO ------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78 ----------- ----------- ----------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.33 0.31 0.27 0.25 0.21 Net Gains (Losses) on Securities (Realized and Unrealized). 0.30 0.26 2.02 3.62 1.32 ----------- ----------- ----------- ---------- ---------- Total from Investment Operations......................... 0.63 0.57 2.29 3.87 1.53 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) (0.30) (0.25) (0.24) (0.20) Net Realized Gains......................................... (0.21) (0.08) (0.07) -- -- ----------- ----------- ----------- ---------- ---------- Total Distributions...................................... (0.53) (0.38) (0.32) (0.24) (0.20) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11 =========================================================== =========== =========== =========== ========== ========== Total Return................................................ 3.68% 3.26% 14.72% 32.32% 14.29% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $14,960,159 $13,275,774 $10,780,830 $7,566,179 $4,876,973 Ratio of Expenses to Average Net Assets..................... 0.19% 0.19% 0.19% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets........ 1.88% 1.71% 1.61% 1.79% 1.79% Portfolio Turnover Rate..................................... 4% 4% 5% 1% 3% ----------------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO ------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61 ----------- ----------- ----------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 0.30 0.26 0.24 0.20 Net Gains (Losses) on Securities (Realized and Unrealized). 0.25 0.02 1.86 3.73 1.36 ----------- ----------- ----------- ---------- ---------- Total from Investment Operations......................... 0.56 0.32 2.12 3.97 1.56 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.30) (0.28) (0.24) (0.24) (0.18) Net Realized Gains......................................... (0.33) (0.12) (0.16) (0.10) -- ----------- ----------- ----------- ---------- ---------- Total Distributions...................................... (0.63) (0.40) (0.40) (0.34) (0.18) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99 =========================================================== =========== =========== =========== ========== ========== Total Return................................................ 3.47% 1.92% 13.78% 33.66% 14.81% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $16,851,046 $15,200,564 $12,919,176 $9,989,564 $6,923,984 Ratio of Expenses to Average Net Assets..................... 0.22% 0.22% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets........ 1.87% 1.68% 1.55% 1.74% 1.74% Portfolio Turnover Rate..................................... 4% 5% 6% 3% 5% ---------------------------------------------------------------------------------------------------------------------------
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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, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................. 0.25 0.25 0.21 0.20 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)................. 0.24 (0.30) 1.62 4.03 1.32 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 0.49 (0.05) 1.83 4.23 1.48 -------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.25) (0.24) (0.19) (0.20) (0.15) Net Realized Gains............ (0.53) (0.53) (0.22) (0.02) -- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.78) (0.77) (0.41) (0.22) (0.15) -------------------------------------------------------------------------------------------- Net Asset Value, End of Year... $ 15.93 $ 16.22 $ 17.04 $ 15.62 $ 11.61 ============================= ========== ========== ========== ========== ========== Total Return................... 3.28% (0.18)% 11.91% 36.80% 14.55% -------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $3,822,647 $3,651,529 $3,501,319 $2,893,842 $2,009,177 Ratio of Expenses to Average Net Assets.................... 0.32% 0.32% 0.32% 0.32% 0.32% Ratio of Net Investment Income to Average Net Assets.. 1.64% 1.50% 1.26% 1.50% 1.45% Portfolio Turnover Rate........ 10% 10% 10% 3% 9% --------------------------------------------------------------------------------------------
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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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).............................................. 0.34 0.35 0.26 0.35 0.25 Net Gains (Losses) on Securities (Realized and Unrealized). 0.77 0.33 2.27 8.13 2.53 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations......................... 1.11 0.68 2.53 8.48 2.78 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.35) (0.33) (0.24) (0.36) (0.22) Net Realized Gains......................................... (1.46) (0.89) (0.94) (1.20) -- ----------- ----------- ---------- ---------- ---------- Total Distributions...................................... (1.81) (1.22) (1.18) (1.56) (0.22) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11 =========================================================== =========== =========== ========== ========== ========== Total Return................................................ 3.89% 2.34% 8.67% 39.03% 13.61% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $12,977,199 $10,616,542 $9,247,716 $7,446,827 $4,563,345 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........ 1.16% 1.10% 0.86% 1.33% 1.14% Portfolio Turnover Rate..................................... 10% 11% 9% 10% 16% ---------------------------------------------------------------------------------------------------------------------------
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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year.......................... $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).............................................. 0.16 0.16 0.14 0.19 0.14 Net Gains (Losses) on Securities (Realized and Unrealized). 0.60 0.02 1.35 5.57 1.59 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 0.76 0.18 1.49 5.76 1.73 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.16) (0.16) (0.13) (0.20) (0.13) Net Realized Gains......................................... (1.02) (1.12) (0.90) (0.76) -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (1.18) (1.28) (1.03) (0.96) (0.13) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................ $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 4.32% 1.11% 7.88% 41.34% 13.13% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)......................... $5,128,323 $5,007,091 $5,029,027 $4,695,831 $3,437,958 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........ 0.88% 0.82% 0.69% 1.16% 0.99% Portfolio Turnover Rate..................................... 15% 14% 12% 11% 15% ------------------------------------------------------------------------------------------------------------------------
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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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).............................................. 1.09 0.90 0.72 0.67 0.57 Net Gains (Losses) on Securities (Realized and Unrealized). 1.18 0.95 4.62 1.95 2.74 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 2.27 1.85 5.34 2.62 3.31 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.99) (1.05) (0.87) (0.68) (0.73) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.99) (1.05) (0.87) (0.68) (0.73) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 6.89% 5.89% 19.80% 10.28% 14.45% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $7,260,180 $6,553,192 $6,607,759 $4,677,418 $3,716,389 Ratio of Expenses to Average Net Assets..................... 0.18% 0.18% 0.18% 0.18% 0.22% 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% 0.19% 0.19% 0.23% Ratio of Net Investment Income to Average Net Assets........ 3.15% 2.75% 2.48% 2.42% 2.29% Portfolio Turnover Rate..................................... 3% 4% 0% 1% 0% -------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 20.36 $ 21.59 $ 22.20 $ 18.33 $ 17.91 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).............................................. 0.57 0.58 0.75 0.58 0.60 Net Gains (Losses) on Securities (Realized and Unrealized). (0.86) (1.24) (0.62) 3.90 0.40 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... (0.29) (0.66) 0.13 4.48 1.00 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.55) (0.57) (0.74) (0.61) (0.58) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.55) (0.57) (0.74) (0.61) (0.58) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ (1.30)% (3.10)% 0.47% 24.85% 5.89% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $3,527,775 $3,150,334 $3,127,847 $2,755,114 $2,055,759 Ratio of Expenses to Average Net Assets..................... 0.28% 0.29% 0.28% 0.29% 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% 0.28% 0.29% 0.30% Ratio of Net Investment Income to Average Net Assets........ 2.95% 2.71% 3.35% 2.90% 3.38% Portfolio Turnover Rate..................................... 10% 10% 4% 5% 4% --------------------------------------------------------------------------------------------------------------------------
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INTERNATIONAL CORE EQUITY PORTFOLIO --------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year.......................... $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89 ----------- ----------- ----------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.32 0.32 0.38 0.31 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)................. (0.15) (0.45) (0.43) 2.47 0.20 ----------- ----------- ----------- ---------- ---------- Total from Investment Operations................. 0.17 (0.13) (0.05) 2.78 0.51 ------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income......... (0.28) (0.33) (0.37) (0.31) (0.30) ----------- ----------- ----------- ---------- ---------- Total Distributions......... (0.28) (0.33) (0.37) (0.31) (0.30) ------------------------------------------------------------------------------------------------ Net Asset Value, End of Year... $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10 ============================= =========== =========== =========== ========== ========== Total Return................... 1.62% (1.10)% (0.55)% 27.98% 5.49% ------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)................... $16,983,011 $14,420,568 $12,294,542 $9,508,466 $6,482,738 Ratio of Expenses to Average Net Assets.................... 0.38% 0.38% 0.38% 0.39% 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% 0.38% 0.38% 0.39% 0.40% Ratio of Net Investment Income to Average Net Assets.. 2.83% 2.63% 3.01% 2.80% 3.18% Portfolio Turnover Rate........ 2% 4% 7% 3% 5% ------------------------------------------------------------------------------------------------
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INTERNATIONAL SMALL COMPANY PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.43 0.41 0.42 0.42 0.38 Net Gains (Losses) on Securities (Realized and Unrealized)................. 0.48 0.12 (0.62) 4.16 0.39 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 0.91 0.53 (0.20) 4.58 0.77 ---------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.51) (0.42) (0.42) (0.37) (0.42) Net Realized Gains............ (0.40) (0.57) (0.54) (0.09) (0.28) ----------- ---------- ---------- ---------- ---------- Total Distributions......... (0.91) (0.99) (0.96) (0.46) (0.70) ---------------------------------------------------------------------------------------------- Net Asset Value, End of Year... $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28 ============================= =========== ========== ========== ========== ========== Total Return................... 5.43% 3.30% (1.09)% 30.66% 5.63% ---------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $10,387,361 $9,323,492 $8,844,517 $8,520,717 $6,423,160 Ratio of Expenses to Average Net Assets (B)................ 0.53% 0.54% 0.53% 0.54% 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% 0.53% 0.54% 0.56% Ratio of Net Investment Income to Average Net Assets.. 2.47% 2.30% 2.15% 2.47% 2.58% ----------------------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO ------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24 -------- -------- -------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.32 0.25 0.24 0.26 0.29 Net Gains (Losses) on Securities (Realized and Unrealized)................. 2.51 1.36 0.13 4.21 (0.26) -------- -------- -------- -------- -------- Total from Investment Operations................. 2.83 1.61 0.37 4.47 0.03 --------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.28) (0.30) (0.55) (0.13) (0.28) Net Realized Gains............ -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions......... (0.28) (0.30) (0.55) (0.13) (0.28) --------------------------------------------------------------------------------- Net Asset Value, End of Year... $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99 ============================= ======== ======== ======== ======== ======== Total Return................... 14.04% 8.62% 2.00% 30.06% 0.20% --------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $509,413 $463,997 $508,190 $414,132 $293,968 Ratio of Expenses to Average Net Assets (B)................ 0.54% 0.54% 0.55% 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)..... 0.64% 0.57% 0.55% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets.. 1.57% 1.27% 1.25% 1.51% 1.88% ---------------------------------------------------------------------------------
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ASIA PACIFIC SMALL COMPANY PORTFOLIO UNITED KINGDOM SMALL COMPANY PORTFOLIO -------------------------------------------------- -------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44 -------- -------- -------- -------- -------- ------- ------- ------- ------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.71 0.75 0.83 1.01 0.87 1.18 1.06 0.95 0.88 0.69 Net Gains (Losses) on Securities (Realized and Unrealized)................. 2.24 (3.51) (1.81) 1.37 0.58 (6.55) 1.95 (0.65) 9.17 4.47 -------- -------- -------- -------- -------- ------- ------- ------- ------- ------- Total from Investment Operations................. 2.95 (2.76) (0.98) 2.38 1.45 (5.37) 3.01 0.30 10.05 5.16 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.74) (1.06) (0.96) (0.78) (1.27) (1.29) (1.05) (0.93) (0.90) (0.79) Net Realized Gains............ -- -- -- -- -- (1.63) (2.38) (0.41) -- -- -------- -------- -------- -------- -------- ------- ------- ------- ------- ------- Total Distributions......... (0.74) (1.06) (0.96) (0.78) (1.27) (2.92) (3.43) (1.34) (0.90) (0.79) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year... $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 ============================= ======== ======== ======== ======== ======== ======== ======== ======== ======== ======== Total Return................... 16.18% (12.19)% (3.84)% 10.46% 7.09% (16.20)% 9.43% 0.73% 36.81% 22.82% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $251,575 $200,270 $364,117 $331,166 $238,191 $32,323 $35,637 $35,050 $37,096 $31,316 Ratio of Expenses to Average Net Assets (B)................ 0.54% 0.55% 0.55% 0.57% 0.59% 0.59% 0.58% 0.58% 0.59% 0.60% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)..... 0.64% 0.57% 0.55% 0.57% 0.59% 0.71% 0.62% 0.62% 0.63% 0.63% Ratio of Net Investment Income to Average Net Assets.. 3.57% 3.67% 3.53% 4.26% 3.91% 3.87% 2.99% 2.50% 2.79% 2.83% ---------------------------------------------------------------------------------------------------------------------------------
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CONTINENTAL SMALL COMPANY PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66 -------- -------- -------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.43 0.43 0.42 0.37 0.39 Net Gains (Losses) on Securities (Realized and Unrealized).................. 0.72 1.38 (0.90) 5.78 (0.17) -------- -------- -------- -------- -------- Total from Investment Operations.................. 1.15 1.81 (0.48) 6.15 0.22 -------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.......... (0.41) (0.41) (0.44) (0.40) (0.37) -------- -------- -------- -------- -------- Total Distributions.......... (0.41) (0.41) (0.44) (0.40) (0.37) -------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.... $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51 ============================== ======== ======== ======== ======== ======== Total Return.................... 5.70% 9.37% (2.68)% 42.99% 1.85% -------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $292,117 $278,024 $168,961 $170,806 $106,316 Ratio of Expenses to Average Net Assets..................... 0.54%(B) 0.55%(B) 0.56%(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)............... 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B) 0.59%(B) Ratio of Net Investment Income to Average Net Assets.......... 2.08% 2.09% 1.97% 2.16% 2.78% 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.20 0.19 0.22 0.22 0.27 Net Gains (Losses) on Securities (Realized and Unrealized).................. (0.15) (0.22) 0.19 0.25 0.75 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 0.05 (0.03) 0.41 0.47 1.02 --------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.......... (0.09) (0.33) (0.26) (0.66) (0.25) ---------- ---------- ---------- ---------- ---------- Total Distributions.......... (0.09) (0.33) (0.26) (0.66) (0.25) --------------------------------------------------------------------------------------------- Net Asset Value, End of Year.... $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67 ============================== ========== ========== ========== ========== ========== Total Return.................... 1.05% (0.37)% 8.21% 9.24% 22.34% --------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $4,181,623 $3,540,092 $3,088,376 $2,158,977 $1,531,708 Ratio of Expenses to Average Net Assets..................... 0.28% 0.32% 0.38% 0.39% 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)............... 0.28% 0.32% 0.38% 0.39% 0.41% Ratio of Net Investment Income to Average Net Assets.......... 3.71% 3.64% 4.14% 4.07% 5.45% Portfolio Turnover Rate......... 1% 2% 1% 5% 3% ---------------------------------------------------------------------------------------------
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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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................. $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.27 0.44 0.31 0.49 0.29 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.23 (0.09) 1.05 0.37 1.07 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................ 0.50 0.35 1.36 0.86 1.36 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.25) (0.39) (0.32) (0.60) (0.24) Net Realized Gains............................... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............................. (0.25) (0.39) (0.32) (0.60) (0.24) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................... $ 10.84 $ 10.59 $ 10.63 $ 9.59 $ 9.33 =================================================== ========== ========== ========== ========== ========== Total Return....................................... 4.87% 3.44% 14.98% 9.74% 17.33% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................ $4,888,955 $4,059,916 $3,305,472 $2,082,707 $1,315,547 Ratio of Expenses to Average Net Assets............ 0.24%(B) 0.27%(B) 0.32%(B) 0.32%(B) 0.34%(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)......................... 0.38%(B) 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B) Ratio of Net Investment Income to Average Net Assets............................................ 2.45% 4.16% 3.21% 5.18% 3.38% Portfolio Turnover Rate............................ 2% 1% 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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................. $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85 ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.44 0.38 0.37 0.37 0.34 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.29 0.22 (0.34) 5.21 0.61 ----------- ----------- ----------- ----------- ---------- Total from Investment Operations................ 0.73 0.60 0.03 5.58 0.95 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.58) (0.37) (0.35) (0.36) (0.36) Net Realized Gains............................... (0.28) (0.34) (0.30) (0.21) (0.28) ----------- ----------- ----------- ----------- ---------- Total Distributions............................. (0.86) (0.71) (0.65) (0.57) (0.64) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year....................... $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16 =================================================== =========== =========== =========== =========== ========== Total Return....................................... 4.09% 3.31% 0.13% 37.79% 6.92% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................ $13,009,729 $12,577,575 $11,684,771 $11,148,899 $8,266,610 Ratio of Expenses to Average Net Assets............ 0.68% 0.69% 0.68% 0.69% 0.71% 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% 0.68% 0.69% 0.71% Ratio of Net Investment Income to Average Net Assets............................................ 2.38% 1.94% 1.78% 2.16% 2.30% Portfolio Turnover Rate............................ 19% 18% 8% 9% 18% -------------------------------------------------------------------------------------------------------------------
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INTERNATIONAL VECTOR EQUITY PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.28 0.28 0.32 0.26 0.27 Net Gains (Losses) on Securities (Realized and Unrealized). 0.05 (0.41) (0.43) 2.44 0.14 ---------- ---------- ---------- ---------- -------- Total from Investment Operations......................... 0.33 (0.13) (0.11) 2.70 0.41 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.27) (0.27) (0.30) (0.25) (0.27) Net Realized Gains......................................... (0.04) (0.10) (0.08) (0.03) (0.15) ---------- ---------- ---------- ---------- -------- Total Distributions...................................... (0.31) (0.37) (0.38) (0.28) (0.42) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33 =========================================================== ========== ========== ========== ========== ======== Total Return................................................ 3.21% (1.14)% (1.05)% 29.52% 4.90% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $1,856,474 $1,594,914 $1,305,553 $1,090,774 $561,399 Ratio of Expenses to Average Net Assets..................... 0.49% 0.50% 0.49% 0.51% 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% 0.50% 0.49% 0.51% 0.54% Ratio of Net Investment Income to Average Net Assets........ 2.73% 2.50% 2.64% 2.51% 2.94% Portfolio Turnover Rate..................................... 4% 8% 8% 2% 5% -------------------------------------------------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96 -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 0.30 0.42 0.29 0.29 Net Gains (Losses) on Securities (Realized and Unrealized). 0.03 (1.18) (0.50) 2.02 (0.05) -------- -------- -------- -------- ------- Total from Investment Operations......................... 0.34 (0.88) (0.08) 2.31 0.24 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.31) (0.27) (0.42) (0.32) (0.26) Net Realized Gains......................................... -- -- -- -- -- -------- -------- -------- -------- ------- Total Distributions...................................... (0.31) (0.27) (0.42) (0.32) (0.26) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 3.54% (7.77)% (0.81)% 23.61% 2.70% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $188,154 $155,301 $113,951 $117,587 $57,197 Ratio of Expenses to Average Net Assets..................... 0.53%(B) 0.53%(B) 0.57%(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) 0.75%(B) 0.76%(B) 0.76%(B) 0.84%(B) Ratio of Net Investment Income to Average Net Assets........ 3.20% 2.69% 3.54% 2.61% 2.97% Portfolio Turnover Rate..................................... N/A N/A N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------------
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WORLD EX U.S. TARGETED VALUE PORTFOLIO --------------------------------------- PERIOD YEAR YEAR YEAR NOV. 1, ENDED ENDED ENDED 2012(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 --------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.......................... $ 11.44 $ 12.08 $ 12.46 $ 10.00 -------- -------- -------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................... 0.25 0.23 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)................... 0.55 (0.58) (0.22) 2.46 -------- -------- -------- ------- Total from Investment Operations................... 0.80 (0.35) 0.01 2.66 --------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........... (0.20) (0.26) (0.24) (0.20) Net Realized Gains.............. -- (0.03) (0.15) -- -------- -------- -------- ------- Total Distributions........... (0.20) (0.29) (0.39) (0.20) --------------------------------------------------------------------------------- Net Asset Value, End of Period... $ 12.04 $ 11.44 $ 12.08 $ 12.46 =============================== ======== ======== ======== ========== Total Return..................... 7.18% (2.88)% 0.06% 26.90%(D) --------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................... $281,212 $227,731 $151,096 $96,010 Ratio of Expenses to Average Net Assets (B).................. 0.76% 0.65% 0.69% 0.79%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B).................... 0.77% 1.06% 1.17% 1.27%(C)(E) Ratio of Net Investment Income to Average Net Assets........... 2.18% 1.95% 1.84% 1.78%(C)(E) Portfolio Turnover Rate.......... 28% 1% N/A N/A ---------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO --------------------------------------------- PERIOD YEAR YEAR YEAR APRIL 9, ENDED ENDED ENDED 2013(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 -------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.......................... $ 9.83 $ 10.49 $ 10.77 $ 10.00 ---------- ---------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................... 0.26 0.26 0.28 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)................... 0.08 (0.72) (0.27) 0.77 ---------- ---------- -------- -------- Total from Investment Operations................... 0.34 (0.46) 0.01 0.95 -------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........... (0.24) (0.20) (0.28) (0.18) Net Realized Gains.............. -- -- (0.01) -- ---------- ---------- -------- -------- Total Distributions........... (0.24) (0.20) (0.29) (0.18) -------------------------------------------------------------------------------------- Net Asset Value, End of Period... $ 9.93 $ 9.83 $ 10.49 $ 10.77 =============================== ========== ========== ======== ========== Total Return..................... 3.58% (4.50)% (0.04)% 9.62%(D) -------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................... $1,656,445 $1,170,828 $406,648 $129,720 Ratio of Expenses to Average Net Assets (B).................. 0.47% 0.47% 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).................... 0.47% 0.52% 0.88% 0.97%(C)(E) Ratio of Net Investment Income to Average Net Assets........... 2.67% 2.54% 2.59% 3.12%(C)(E) Portfolio Turnover Rate.......... 1% 1% N/A N/A --------------------------------------------------------------------------------------
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WORLD CORE EQUITY PORTFOLIO ----------------------------------------------- PERIOD YEAR YEAR YEAR YEAR MARCH 7, ENDED ENDED ENDED ENDED 2012(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...... $ 12.94 $ 13.33 $ 12.71 $10.24 $10.00 -------- -------- ------- ------ ------ Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............. 0.27 0.26 0.17 0.23 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.20 (0.35) 0.87 2.47 0.19 -------- -------- ------- ------ ------ Total from Investment Operations............ 0.47 (0.09) 1.04 2.70 0.35 ---------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.... (0.26) (0.26) (0.24) (0.23) (0.11) Net Realized Gains....... (0.01) (0.04) (0.18) -- -- -------- -------- ------- ------ ------ Total Distributions.... (0.27) (0.30) (0.42) (0.23) (0.11) ---------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 13.14 $ 12.94 $ 13.33 $12.71 $10.24 ======================== ======== ======== ======== ======== ========== Total Return.............. 3.73% (0.61)% 8.36% 26.77% 3.54%(D) ---------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $370,229 $202,655 $75,707 $1,728 $ 191 Ratio of Expenses to Average Net Assets (B)... 0.35% 0.35% 0.35% 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)............. 0.64% 0.65% 0.97% 5.71% 52.27%(C)(E) Ratio of Net Investment Income to Average Net Assets................... 2.14% 1.95% 1.27% 2.01% 2.40%(C)(E) ----------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO ------------------------------------------------ PERIOD YEAR YEAR YEAR YEAR NOV. 14, ENDED ENDED ENDED ENDED 2011(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...... $ 13.50 $ 14.20 $ 13.63 $ 10.87 $ 10.00 -------- -------- -------- ------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............. 0.26 0.27 0.27 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.30 (0.34) 0.76 2.65 0.87 -------- -------- -------- ------- ------- Total from Investment Operations............ 0.56 (0.07) 1.03 2.89 1.09 ---------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.... (0.35) (0.42) (0.32) (0.10) (0.22) Net Realized Gains....... (0.04) (0.21) (0.14) (0.03) -- -------- -------- -------- ------- ------- Total Distributions.... (0.39) (0.63) (0.46) (0.13) (0.22) ---------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87 ======================== ======== ======== ======== ======== ========== Total Return.............. 4.32% (0.34)% 7.83% 26.86% 11.11%(D) ---------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $289,904 $245,106 $147,276 $91,348 $34,950 Ratio of Expenses to Average Net Assets (B)... 0.35% 0.40% 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)............. 0.64% 0.66% 0.69% 0.72% 1.00%(C)(E) Ratio of Net Investment Income to Average Net Assets................... 2.03% 1.93% 1.94% 1.93% 2.13%(C)(E) ----------------------------------------------------------------------------------
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EMERGING MARKETS PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year....................... $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................ 0.45 0.49 0.56 0.52 0.55 Net Gains (Losses) on Securities (Realized and Unrealized)........................................... 1.95 (4.54) (0.20) 1.17 0.37 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 2.40 (4.05) 0.36 1.69 0.92 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................... (0.45) (0.42) (0.53) (0.50) (0.50) Net Realized Gains...................................... -- -- (0.16) (0.28) (1.04) ---------- ---------- ---------- ---------- ---------- Total Distributions................................... (0.45) (0.42) (0.69) (0.78) (1.54) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year............................. $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06 ======================================================== ========== ========== ========== ========== ========== Total Return............................................. 11.01% (15.24)% 1.33% 6.58% 4.08% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)...................... $4,915,400 $4,321,530 $4,073,698 $3,655,740 $2,797,177 Ratio of Expenses to Average Net Assets (B).............. 0.56% 0.57% 0.56% 0.57% 0.61% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)................... 0.66% 0.60% 0.56% 0.57% 0.61% Ratio of Net Investment Income to Average Net Assets..... 2.04% 1.97% 2.11% 1.97% 2.14% -----------------------------------------------------------------------------------------------------------------------
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, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year....................... $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................ 0.45 0.43 0.43 0.40 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)........................................... 2.04 (2.53) 0.62 1.37 0.83 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 2.49 (2.10) 1.05 1.77 1.23 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................... (0.47) (0.41) (0.40) (0.39) (0.35) Net Realized Gains...................................... (0.14) (0.40) (0.33) (0.61) (0.40) ---------- ---------- ---------- ---------- ---------- Total Distributions................................... (0.61) (0.81) (0.73) (1.00) (0.75) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year............................. $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33 ======================================================== ========== ========== ========== ========== ========== Total Return............................................. 13.96% (9.88)% 5.12% 8.92% 6.71% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)...................... $5,459,509 $4,845,174 $4,860,603 $4,041,863 $2,907,673 Ratio of Expenses to Average Net Assets (B).............. 0.72% 0.73% 0.72% 0.75% 0.82% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)................... 0.92% 0.78% 0.72% 0.75% 0.82% Ratio of Net Investment Income to Average Net Assets..... 2.43% 2.16% 2.02% 1.91% 2.01% ----------------------------------------------------------------------------------------------------------------------
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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, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year..................... $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02 ------- ------- ------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.46 0.49 0.59 0.47 0.50 Net Gains (Losses) on Securities (Realized and Unrealized)......................................... 2.75 (5.61) (1.10) 1.68 (0.45) ------- ------- ------- -------- ------- Total from Investment Operations.................... 3.21 (5.12) (0.51) 2.15 0.05 -------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.68) (0.49) (0.55) (0.50) (0.47) Net Realized Gains.................................... -- -- (0.42) (0.59) (0.39) ------- ------- ------- -------- ------- Total Distributions................................. (0.68) (0.49) (0.97) (1.09) (0.86) -------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year........................... $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21 ====================================================== ======== ======== ======== ======== ======== Total Return........................................... 14.98% (18.49)% (1.75)% 7.75% 0.43% -------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $97,923 $74,076 $99,066 $106,070 $99,111 Ratio of Expenses to Average Net Assets (B)............ 0.81% 0.81% 0.80% 0.82% 0.86% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) (B)....................................... 0.91% 0.84% 0.80% 0.82% 0.86% Ratio of Net Investment Income to Average Net Assets... 2.08% 1.93% 2.09% 1.65% 1.78% --------------------------------------------------------------------------------------------------------
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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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................ $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02 ----------- ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.51 0.54 0.66 0.55 0.57 Net Gains (Losses) on Securities (Realized and Unrealized)... 2.77 (5.60) (1.10) 1.67 (0.44) ----------- ----------- ----------- ----------- ----------- Total from Investment Operations........................... 3.28 (5.06) (0.44) 2.22 0.13 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.66) (0.53) (0.61) (0.57) (0.54) Net Realized Gains........................................... -- -- (0.42) (0.59) (0.39) ----------- ----------- ----------- ----------- ----------- Total Distributions........................................ (0.66) (0.53) (1.03) (1.16) (0.93) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................................. $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22 ============================================================= =========== =========== =========== =========== =========== Total Return.................................................. 15.23% (18.27)% (1.51)% 8.01% 0.70% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................... $16,304,321 $14,834,888 $18,647,276 $19,162,837 $16,589,619 Ratio of Expenses to Average Net Assets (B)................... 0.56% 0.56% 0.55% 0.57% 0.61% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) (B)........... 0.66% 0.59% 0.55% 0.57% 0.61% Ratio of Net Investment Income to Average Net Assets.......... 2.31% 2.12% 2.35% 1.91% 2.03% ---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 159 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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................ $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73 ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.37 0.39 0.42 0.39 0.41 Net Gains (Losses) on Securities (Realized and Unrealized)... 1.59 (3.29) (0.03) 1.07 0.23 ----------- ----------- ----------- ----------- ---------- Total from Investment Operations........................... 1.96 (2.90) 0.39 1.46 0.64 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.37) (0.37) (0.40) (0.37) (0.37) ----------- ----------- ----------- ----------- ---------- Total Distributions........................................ (0.37) (0.37) (0.40) (0.37) (0.37) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................................. $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00 ============================================================= =========== =========== =========== =========== ========== Total Return.................................................. 11.87% (14.49)% 1.89% 7.75% 3.55% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................... $18,712,966 $14,856,878 $15,727,547 $13,020,962 $8,594,707 Ratio of Expenses to Average Net Assets....................... 0.61% 0.62% 0.61% 0.63% 0.68% 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% 0.62% 0.61% 0.63% 0.68% Ratio of Net Investment Income to Average Net Assets.......... 2.20% 2.06% 2.10% 1.97% 2.18% Portfolio Turnover Rate....................................... 3% 5% 2% 1% 1% -------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 160 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 ninety-five 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. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial Services-Investment Companies." 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 directly in securities. World ex U.S. Value Portfolio invests in three portfolios within the Fund, DFAITC, and DEM. World Core Equity Portfolio invests in three portfolios within the Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund.
PERCENTAGE OWNERSHIP FEEDER FUNDS MASTER FUNDS AT 10/31/16 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 84% Japanese Small Company Portfolio The Japanese Small Company Series 16% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 16% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 7% 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 92% The Japanese Small Company Series 84% The United Kingdom Small Company Series 96% The Asia Pacific Small Company Series 84% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 22% DFA International Real Estate Securities 40% Portfolio World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --* DFA International Small Cap Value Portfolio --* The DFA International Value Series 1% World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio --* Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio --*
* Amounts designated as -- are less than 1%. **DFA Global Real Estate Securities Portfolio invests in two Master Funds as indicated and securities listed on its Summary Schedule of Investments. 161 Each feeder fund (collectively, "Feeder Funds") and Fund of Funds invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Master Funds and/or directly in securities of companies in the real estate industry. Each Feeder Fund and Fund of Funds also invest in short-term temporary cash investments and futures. In addition, each international Fund of Funds may engage in forward currency contracts. The financial statements of the Feeder Funds' Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. 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 Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core 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 of the day. 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 within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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 of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio 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. 162 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 of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the 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 the 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 that 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 of the Fund. 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 Portfolios in other investment companies (such as the Master Funds) are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds', International Small Company Portfolio's and World ex U.S. Value Portfolio's investments in Series of DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. 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 (except for the Feeder Funds). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolios recognize transfers between the levels as of the end of the period. As of October 31, 2016, DFA International Real Estate Securities Portfolio had significant transfers of securities with a total value of $64,808 (in thousands), that transferred from Level 1 to Level 2 because the fair market values of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. As of October 31, 2016, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and Emerging Markets Core Equity Portfolio had significant transfers of securities with a total value of $3,921, $32,655 and $1,460,813 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. 163 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the 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 Portfolios 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 Enhanced U.S. Large Company 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, Enhanced U.S. Large Company 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 of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors' Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed-upon years. Each Director shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board (unless the Director files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 4. OTHER: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities and from the investment in affiliated investment companies that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the 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. 164 The Feeder Funds, International Small Company Portfolio and World ex U.S. Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master 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, World ex U.S. Core 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 management services to all Portfolios. For the year ended October 31, 2016, the Portfolios' investment management 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.................. 0.20% U.S. Large Cap Equity Portfolio........................ 0.15% U.S. Large Cap Value Portfolio......................... 0.25% U.S. Targeted Value Portfolio.......................... 0.35% U.S. Small Cap Value Portfolio......................... 0.50% 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............................... 0.35% U.S. Micro Cap Portfolio............................... 0.50% DFA Real Estate Securities Portfolio................... 0.17% Large Cap International Portfolio...................... 0.25% International Core Equity Portfolio.................... 0.35% International Small Company Portfolio.................. 0.40% Japanese Small Company Portfolio....................... 0.50% Asia Pacific Small Company Portfolio................... 0.50% United Kingdom Small Company Portfolio................. 0.50% Continental Small Company Portfolio.................... 0.50% DFA International Real Estate Securities Portfolio..... 0.25% DFA Global Real Estate Securities Portfolio............ 0.20% 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 Portfolio............................. 0.50% Emerging Markets Small Cap Portfolio................... 0.65% Emerging Markets Value Portfolio....................... 0.50% Emerging Markets Core Equity Portfolio................. 0.55%
165 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, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the non-Feeder Funds below, and a portion of the Fee Waiver Agreement for certain Feeder Funds below, will remain in effect through February 28, 2017, and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement for such Portfolios shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Funds, as described in the notes below, will remain in effect permanently, unless terminated by a Feeder Fund. For the year ended October 31, 2016, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than 36 months before the date of recovery.
PREVIOUSLY RECOVERY WAIVED FEES/ OF PREVIOUSLY EXPENSES WAIVED FEES/ ASSUMED EXPENSE EXPENSES SUBJECT TO FUTURE INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT ASSUMED RECOVERY -------------------------- ----------------- ------------- ----------------- U.S. Large Cap Equity Portfolio (1)....................... 0.19% $ 28 -- U.S. Large Cap Value Portfolio (2)........................ 0.25% -- -- U.S. Targeted Value Portfolio (3)......................... 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% 7 $ 1,726 International Core Equity Portfolio (1)................... 0.49% -- -- International Small Company Portfolio (4)................. 0.45% -- -- Japanese Small Company Portfolio (5)...................... 0.47% -- -- Asia Pacific Small Company Portfolio (5).................. 0.47% -- -- United Kingdom Small Company Portfolio (5)................ 0.47% 1 24 Continental Small Company Portfolio (5)................... 0.47% -- -- DFA International Real Estate Securities Portfolio (6).... 0.29% -- -- DFA Global Real Estate Securities Portfolio (7)........... 0.24% -- 19,086 International Vector Equity Portfolio (1)................. 0.60% -- -- World ex U.S. Value Portfolio (8)......................... 0.60% -- 923 World ex U.S. Targeted Value Portfolio (9)................ 0.80% -- 1,507 World ex U.S. Core Equity Portfolio (10).................. 0.47% 154 1,575 World Core Equity Portfolio (11).......................... 0.35% 9 1,348 Selectively Hedged Global Equity Portfolio (12)........... 0.40% -- 1,702 Emerging Markets Portfolio (2)............................ 0.50% -- -- Emerging Markets Small Cap Portfolio (2).................. 0.65% -- -- Emerging Markets Value Portfolio (2)...................... 0.50% -- -- Emerging Markets Core Equity Portfolio (1)................ 0.85% -- -- CLASS R1 SHARES --------------- U.S. Targeted Value Portfolio (13)........................ 0.62% -- -- CLASS R2 SHARES --------------- U.S. Targeted Value Portfolio (13)........................ 0.77% -- -- Emerging Markets Value Portfolio (14)..................... 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its management fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each 166 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 is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by a Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, to the rate listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis. (3) 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) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (4) Effective July 21, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies) ("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 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, as listed above. 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. Prior to July 21, 2015, the Advisor had contractually agreed to waive its administration fee and to assume Portfolio Expenses to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the Expense Limitation Amount listed above. At any time that the Portfolio Expenses of the Portfolio were less than the Expense Limitation Amount listed above, the Advisor retained the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement was within thirty-six months and did not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount then in effect. (5) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by each Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, to 0.50% of the average net assets of a class of a Portfolio on an annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of its management fee and to assume the other direct expenses of a class of each Portfolio (excluding expenses incurred through its investment in other investment companies managed by the Advisor) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each class of a Portfolio to the rates listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable 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, as listed above. Except, a Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Also, a Portfolio is not 167 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. Prior to July 21, 2015, the Advisor had 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 Expense Limitation Amount listed above. The Fee Waiver Agreement did not include the indirect expenses each Portfolio beared as a shareholder of its Master Fund. At any time that the direct expenses of a Portfolio were less than the Expense Limitation Amount listed above, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery was within thirty-six months and did not cause the Portfolio's direct expenses to exceed the Expense Limitation Amount then in effect. (6) Effective February 28, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the Portfolio's ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage 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 listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Prior to February 28, 2015, the Advisor had contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio Expenses of the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.65% of the Portfolio's average net assets on an annualized basis. (7) Effective February 28, 2015, the Advisor has contractually agreed to waive all or a portion of its management 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 investment of its securities lending cash collateral in The DFA Short Term Investment Fund (the "Money Market Series") and its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage 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 listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. From February 28, 2012 to February 27, 2015, the Advisor had contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio Expenses of the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.32% of the Portfolio's average net assets on an annualized basis. (8) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.47% 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 also has agreed to waive all or a portion of the management fee that remains payable by the Portfolio (i.e., the management fee remaining after the proportionate share of the Master Funds' management 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 the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("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 fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above. (9) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.58% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio 168 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 ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("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 is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (10) The Advisor has contractually agreed to waive all or a portion of its management 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 investment of its securities lending cash collateral in the Money Market Series and its investment in unaffiliated investment companies) ("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 is within thirty-six months and 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) 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 the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("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 is within thirty-six months and 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) ("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. (12) 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 the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("Portfolio Expenses") of the Portfolio to the rate listed above as a 169 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 is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (13) 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) ("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 is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (14) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, to 0.50% of the average net assets of a class of the Portfolio on an annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed (including for the period prior to July 21, 2015) to assume the direct expenses of the Class R2 shares of the Portfolio (excluding management fees and custodian 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 the average net assets of the Class R2 shares of the Portfolio (the "Annualized Expense Ratio"). At any time that the annualized expenses of the Class R2 shares of the Portfolio are less than the Annualized Expense Ratio listed above, 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 does not cause the annualized expense ratio of the Class R2 shares of the Portfolio to exceed the Annualized Expense Ratio, as listed above. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Also, 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. EARNED INCOME CREDIT: In addition, 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. The impact of such credits is generally less than one basis point of each Portfolio's net assets. During the year ended October 31, 2016, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- Enhanced U.S. Large Company Portfolio................... $ 6 Large Cap International Portfolio....................... 110 International Core Equity Portfolio..................... 585 DFA International Real Estate Securities Portfolio...... 119 DFA International Small Cap Value Portfolio............. 296 International Vector Equity Portfolio................... 19 World ex U.S. Value Portfolio........................... (1)* World ex U.S. Targeted Value Portfolio.................. 4 World ex U.S. Core Equity Portfolio..................... 26 Emerging Markets Core Equity Portfolio.................. 556
* A credit may be negative as a result of a negative cash balance with the custodian. 170 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $291 (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, 2016, the total liability for deferred compensation to Directors 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................. $ 9 U.S. Large Cap Equity Portfolio....................... 4 U.S. Large Cap Value Portfolio........................ 381 U.S. Targeted Value Portfolio......................... 121 U.S. Small Cap Value Portfolio........................ 338 U.S. Core Equity 1 Portfolio.......................... 197 U.S. Core Equity 2 Portfolio.......................... 283 U.S. Vector Equity Portfolio.......................... 82 U.S. Small Cap Portfolio.............................. 201 U.S. Micro Cap Portfolio.............................. 163 DFA Real Estate Securities Portfolio.................. 143 Large Cap International Portfolio..................... 85 International Core Equity Portfolio................... 267 International Small Company Portfolio................. 257 Japanese Small Company Portfolio...................... 10 Asia Pacific Small Company Portfolio.................. 7 United Kingdom Small Company Portfolio................ 1 Continental Small Company Portfolio................... 6 DFA International Real Estate Securities Portfolio.... 58 DFA Global Real Estate Securities Portfolio........... 50 DFA International Small Cap Value Portfolio........... 371 International Vector Equity Portfolio................. 24 World ex U.S. Value Portfolio......................... 2 World ex U.S. Targeted Value Portfolio................ 2 World ex U.S. Core Equity Portfolio................... 6 World Core Equity Portfolio........................... 1 Selectively Hedged Global Equity Portfolio............ 2 Emerging Markets Portfolio............................ 116 Emerging Markets Small Cap Portfolio.................. 96 Emerging Markets Value Portfolio...................... 490 Emerging Markets Core Equity Portfolio................ 274
E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2016, the Portfolios transactions related to investment securities, other than short-term securities (amounts in thousands):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES -------------------------- --------------------------- PURCHASES SALES PURCHASES SALES --------- -------- ---------- ---------- Enhanced U.S. Large Company Portfolio................. $124,198 $187,445 $ 155,588 $ 59,010 U.S. Large Cap Equity Portfolio....................... -- -- 230,249 87,431 U.S. Targeted Value Portfolio......................... -- -- 3,296,950 2,119,996 U.S. Small Cap Value Portfolio........................ -- -- 3,224,499 2,319,214
171
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES -------------------------- --------------------------- PURCHASES SALES PURCHASES SALES --------- ----- ---------- ---------- U.S. Core Equity 1 Portfolio.......................... -- -- $2,139,073 $ 538,773 U.S. Core Equity 2 Portfolio.......................... -- -- 2,313,580 714,155 U.S. Vector Equity Portfolio.......................... -- -- 591,925 380,583 U.S. Small Cap Portfolio.............................. -- -- 3,477,660 1,180,532 U.S. Micro Cap Portfolio.............................. -- -- 938,043 829,033 DFA Real Estate Securities Portfolio.................. -- -- 657,728 210,391 Large Cap International Portfolio..................... -- -- 742,110 331,612 International Core Equity Portfolio................... -- -- 1,481,725 305,360 DFA International Real Estate Securities Portfolio.... -- -- 654,586 24,687 DFA Global Real Estate Securities Portfolio........... -- -- 896,766 84,061 DFA International Small Cap Value Portfolio........... -- -- 2,691,336 2,324,466 International Vector Equity Portfolio................. -- -- 213,086 66,645 World ex U.S. Targeted Value Portfolio................ -- -- 109,785 67,591 World ex U.S. Core Equity Portfolio................... -- -- 457,750 19,495 Emerging Markets Core Equity Portfolio................ -- -- 2,630,228 521,897
For the year ended October 31, 2016, the Fund of Funds transactions related to Affiliated Investment Companies were as follows (amounts in thousands):
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO ----------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Real Estate Securities Portfolio............ $1,448,338 $1,678,314 $271,438 $26,141 $24,916 -- DFA Real Estate Securities Portfolio....................... 1,574,619 1,619,318 32,220 48,319 46,973 -- ---------- ---------- -------- ------- ------- ---- Total............................. $3,022,957 $3,297,632 $303,658 $74,460 $71,889 -- ========== ========== ======== ======= ======= ==== WORLD EX U.S. VALUE PORTFOLIO ----------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio....................... $ 16,637 $ 20,452 $ 6,095 $ 2,442 $ 588 $256 ---------- ---------- -------- ------- ------- ---- Total............................. $ 16,637 $ 20,452 $ 6,095 $ 2,442 $ 588 $256 ========== ========== ======== ======= ======= ====
WORLD CORE EQUITY PORTFOLIO ----------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 1 Portfolio.............. $105,442 $189,060 $ 91,959 $10,829 $2,599 $1,313 International Core Equity Portfolio....... 76,621 137,648 67,241 6,540 2,806 -- Emerging Markets Core Equity Portfolio.... 20,320 43,388 22,874 3,437 657 -- -------- -------- -------- ------- ------ ------ Total..................................... $202,383 $370,096 $182,074 $20,806 $6,062 $1,313 ======== ======== ======== ======= ====== ======
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2015 10/31/2016 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- U.S. Core Equity 2 Portfolio.............. $110,935 $124,577 $15,341 $2,287 $2,111 $2,164 International Core Equity Portfolio....... 87,007 101,000 17,605 3,707 2,409 -- Emerging Markets Core Equity Portfolio.... 36,717 50,601 10,607 1,202 910 -- -------- -------- ------- ------ ------ ------ Total..................................... $234,659 $276,178 $43,553 $7,196 $5,430 $2,164 ======== ======== ======= ====== ====== ======
172 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, 2016, 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.................. $ 535 $ (100) $ (435) U.S. Large Cap Equity Portfolio........................ 304 (70) (234) U.S. Large Cap Value Portfolio......................... 32,819 (16,948) (15,871) U.S. Targeted Value Portfolio.......................... 21,874 (4,985) (16,889) U.S. Small Cap Value Portfolio......................... 45,432 (7,935) (37,497) U.S. Core Equity 1 Portfolio........................... 8,674 3,625 (12,299) U.S. Core Equity 2 Portfolio........................... 10,013 (10,750) 737 U.S. Vector Equity Portfolio........................... 7,864 (4,641) (3,223) U.S. Small Cap Portfolio............................... 24,806 (6,588) (18,218) U.S. Micro Cap Portfolio............................... 14,933 (1,172) (13,761) DFA Real Estate Securities Portfolio................... (11,291) 17,695 (6,404) Large Cap International Portfolio...................... (18,977) 253 18,724 International Core Equity Portfolio.................... 12,878 (12,174) (704) International Small Company Portfolio.................. 22,671 (7,960) (14,711) Japanese Small Company Portfolio....................... -- 426 (426) Asia Pacific Small Company Portfolio................... (16,317) 181 16,136 United Kingdom Small Company Portfolio................. 331 79 (410) Continental Small Company Portfolio.................... -- 31 (31) DFA International Real Estate Securities Portfolio..... (2,046) (9,291) 11,337 DFA Global Real Estate Securities Portfolio............ 3,345 (2,527) (818) DFA International Small Cap Value Portfolio............ 65,378 2,410 (67,788) International Vector Equity Portfolio.................. 2,360 (1,822) (538) World ex U.S. Value Portfolio.......................... -- 166 (166) World ex U.S. Targeted Value Portfolio................. 2,561 (18) (2,543) World ex U.S. Core Equity Portfolio.................... 1,353 (1,133) (220) World Core Equity Portfolio............................ 80 (65) (15) Selectively Hedged Global Equity Portfolio............. 369 114 (483) Emerging Markets Portfolio............................. 4,360 (3,397) (963) Emerging Markets Small Cap Portfolio................... 13,361 2,519 (15,880) Emerging Markets Value Portfolio....................... 12,432 22,396 (34,828) Emerging Markets Core Equity Portfolio................. 5,090 (7,994) 2,904
173 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 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 2015.................................. $ 11,391 $ 16,610 $ 28,001 2016.................................. 4,946 9,801 14,747 U.S. Large Cap Equity Portfolio 2015.................................. 8,398 266 8,664 2016.................................. 14,431 -- 14,431 U.S. Large Cap Value Portfolio 2015.................................. 302,945 86,223 389,168 2016.................................. 357,227 643,970 1,001,197 U.S. Targeted Value Portfolio 2015.................................. 85,573 237,911 323,484 2016.................................. 104,605 286,529 391,134 U.S. Small Cap Value Portfolio 2015.................................. 130,190 427,115 557,305 2016.................................. 122,984 487,358 610,342 U.S. Core Equity 1 Portfolio 2015.................................. 200,298 49,469 249,767 2016.................................. 253,050 160,152 413,202 U.S. Core Equity 2 Portfolio 2015.................................. 228,075 89,857 317,932 2016.................................. 281,321 296,061 577,382 U.S. Vector Equity Portfolio 2015.................................. 51,799 109,045 160,844 2016.................................. 59,624 119,588 179,212 U.S. Small Cap Portfolio 2015.................................. 105,110 268,312 373,422 2016.................................. 135,940 503,185 639,125 U.S. Micro Cap Portfolio 2015.................................. 39,933 278,651 318,584 2016.................................. 43,406 267,830 311,236 DFA Real Estate Securities Portfolio 2015.................................. 220,092 -- 220,092 2016.................................. 199,996 -- 199,996 Large Cap International Portfolio 2015.................................. 85,101 -- 85,101 2016.................................. 92,122 -- 92,122 International Core Equity Portfolio 2015.................................. 367,607 -- 367,607 2016.................................. 387,589 -- 387,589 International Small Company Portfolio 2015.................................. 235,604 250,320 485,924 2016.................................. 283,791 207,859 491,650 Japanese Small Company Portfolio 2015.................................. 7,758 -- 7,758 2016.................................. 6,534 -- 6,534
174
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- Asia Pacific Small Company Portfolio 2015............................................... $ 16,487 -- $ 16,487 2016............................................... 7,760 -- 7,760 United Kingdom Small Company Portfolio 2015............................................... 1,068 $ 2,151 3,219 2016............................................... 1,389 1,632 3,021 Continental Small Company Portfolio 2015............................................... 4,771 -- 4,771 2016............................................... 6,377 -- 6,377 DFA International Real Estate Securities Portfolio 2015............................................... 182,724 -- 182,724 2016............................................... 60,576 -- 60,576 DFA Global Real Estate Securities Portfolio 2015............................................... 124,281 -- 124,281 2016............................................... 97,767 -- 97,767 DFA International Small Cap Value Portfolio 2015............................................... 224,376 207,080 431,456 2016............................................... 381,199 182,540 563,739 International Vector Equity Portfolio 2015............................................... 38,097 10,950 49,047 2016............................................... 43,651 5,716 49,367 World ex U.S. Value Portfolio 2015............................................... 3,283 -- 3,283 2016............................................... 5,358 -- 5,358 World ex U.S. Targeted Value Portfolio 2015............................................... 3,902 402 4,304 2016............................................... 4,374 -- 4,374 World ex U.S. Core Equity Portfolio 2015............................................... 15,824 -- 15,824 2016............................................... 36,005 -- 36,005 World Core Equity Portfolio 2015............................................... 2,679 232 2,911 2016............................................... 5,800 132 5,932 Selectively Hedged Global Equity Portfolio 2015............................................... 4,968 1,915 6,883 2016............................................... 6,448 620 7,068 Emerging Markets Portfolio 2015............................................... 73,891 -- 73,891 2016............................................... 89,527 -- 89,527 Emerging Markets Small Cap Portfolio 2015............................................... 102,968 88,636 191,604 2016............................................... 124,387 36,697 161,084 Emerging Markets Value Portfolio 2015............................................... 351,213 -- 351,213 2016............................................... 439,072 -- 439,072 Emerging Markets Core Equity Portfolio 2015............................................... 304,141 -- 304,141 2016............................................... 349,434 -- 349,434
175 At October 31, 2016, 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.................. $ (274) $ (261) $ (535) U.S. Large Cap Equity Portfolio........................ (258) -- (258) U.S. Large Cap Value Portfolio......................... (14,344) (18,475) (32,819) U.S. Targeted Value Portfolio.......................... (5,900) (15,974) (21,874) U.S. Small Cap Value Portfolio......................... (7,917) (37,500) (45,417) U.S. Core Equity 1 Portfolio........................... (6,342) (1,746) (8,088) U.S. Core Equity 2 Portfolio........................... (6,490) (2,811) (9,301) U.S. Vector Equity Portfolio........................... (2,769) (5,072) (7,841) U.S. Small Cap Portfolio............................... (7,237) (17,565) (24,802) U.S. Micro Cap Portfolio............................... (2,066) (12,862) (14,928) DFA Real Estate Securities Portfolio................... (2,701) (750) (3,451) Large Cap International Portfolio...................... -- -- -- International Core Equity Portfolio.................... (12,864) -- (12,864) International Small Company Portfolio.................. (11,313) (10,494) (21,808) Japanese Small Company Portfolio....................... -- -- -- Asia Pacific Small Company Portfolio................... -- -- -- United Kingdom Small Company Portfolio................. (149) (182) (331) Continental Small Company Portfolio.................... -- -- -- DFA International Real Estate Securities Portfolio..... (11,400) -- (11,400) DFA Global Real Estate Securities Portfolio............ (3,047) (364) (3,411) DFA International Small Cap Value Portfolio............ (15,840) (19,436) (35,276) International Vector Equity Portfolio.................. (2,180) (179) (2,359) World ex U.S. Value Portfolio.......................... -- -- -- World ex U.S. Targeted Value Portfolio................. (367) -- (367) World ex U.S. Core Equity Portfolio.................... (1,353) -- (1,353) World Core Equity Portfolio............................ (67) (14) (81) Selectively Hedged Global Equity Portfolio............. (268) (101) (369) Emerging Markets Portfolio............................. (4,360) -- (4,360) Emerging Markets Small Cap Portfolio................... (7,272) (6,089) (13,361) Emerging Markets Value Portfolio....................... (12,432) -- (12,432) Emerging Markets Core Equity Portfolio................. (12,170) -- (12,170)
At October 31, 2016, 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 CARRYFORWARDS (DEPRECIATION) LOSSES) -------------- ------------- ------------- -------------- ------------- Enhanced U.S. Large Company Portfolio. $ 2,930 $ 4,088 -- $ (5) $ 7,013 U.S. Large Cap Equity Portfolio....... 1,891 -- $(11,064) 54,208 45,035 U.S. Large Cap Value Portfolio........ 19,642 446,140 -- 4,487,495 4,953,277 U.S. Targeted Value Portfolio......... 17,723 282,315 -- 890,310 1,190,348 U.S. Small Cap Value Portfolio........ 16,385 533,286 -- 2,185,837 2,735,508 U.S. Core Equity 1 Portfolio.......... 33,863 71,615 -- 3,471,018 3,576,496 U.S. Core Equity 2 Portfolio.......... 27,061 122,467 -- 4,229,205 4,378,733
176
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES) -------------- ------------- ------------- -------------- ------------- U.S. Vector Equity Portfolio................ $ 562 $101,957 -- $ 895,232 $ 997,751 U.S. Small Cap Portfolio.................... 18,404 343,189 -- 2,071,208 2,432,801 U.S. Micro Cap Portfolio.................... 4,043 255,836 -- 1,277,801 1,537,680 DFA Real Estate Securities Portfolio........ 39,164 66,384 -- 2,060,852 2,166,400 Large Cap International Portfolio........... 16,290 -- $ (209,528) 208,151 14,913 International Core Equity Portfolio......... 87,644 -- (362,544) 428,070 153,170 International Small Company Portfolio....... 81,583 251,071 -- 647,525 980,179 Japanese Small Company Portfolio............ 9,316 -- (31,648) 61,150 38,818 Asia Pacific Small Company Portfolio........ 8,100 -- (21,813) (16,408) (30,121) United Kingdom Small Company Portfolio...... 433 1,684 -- 1,926 4,043 Continental Small Company Portfolio......... 705 -- (10,132) 37,037 27,610 DFA International Real Estate Securities Portfolio................................. 298,685 -- (201,001) (356,853) (259,169) DFA Global Real Estate Securities Portfolio. 63,339 13,527 -- 657,422 734,288 DFA International Small Cap Value Portfolio. 97,358 410,184 -- 916,807 1,424,349 International Vector Equity Portfolio....... 11,116 4,040 -- 85,341 100,497 World ex U.S. Value Portfolio............... 986 -- (2,709) (1,298) (3,021) World ex U.S. Targeted Value Portfolio...... 1,024 -- (8,263) 27,665 20,426 World ex U.S. Core Equity Portfolio......... 7,807 -- (12,063) (12,467) (16,723) World Core Equity Portfolio................. 273 1,231 -- (1,033) 471 Selectively Hedged Global Equity Portfolio.. 5,104 2,369 -- 11,613 19,086 Emerging Markets Portfolio.................. 23,714 -- (220,310) 958,300 761,704 Emerging Markets Small Cap Portfolio........ 65,038 117,097 -- 135,765 317,900 Emerging Markets Value Portfolio............ 72,788 -- (1,056,563) (1,226,944) (2,210,719) Emerging Markets Core Equity Portfolio...... 67,932 -- (803,339) 809,224 73,817
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, 2016, 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, ------------------------------------------- 2017 2018 2019 UNLIMITED TOTAL -------- ------- ------- --------- -------- Enhanced U.S. Large Company Portfolio. -- -- -- -- -- U.S. Large Cap Equity Portfolio....... -- -- -- $ 11,064 $ 11,064 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..... $135,392 $14,311 $12,549 47,275 209,527 International Core Equity Portfolio... 53,176 -- -- 309,368 362,544 International Small Company Portfolio. -- -- -- -- -- Japanese Small Company Portfolio...... 13,897 12,208 5,543 -- 31,648 Asia Pacific Small Company Portfolio.. 8,261 -- -- 13,552 21,813
177
EXPIRES ON OCTOBER 31, --------------------------------------------- 2017 2018 2019 UNLIMITED TOTAL ------- ------- ------- ---------- ---------- United Kingdom Small Company Portfolio............. -- -- -- -- -- Continental Small Company Portfolio................ $ 4,880 $ 5,252 -- -- $ 10,132 DFA International Real Estate Securities Portfolio. 34,576 38,689 $69,466 $ 58,270 201,001 DFA Global Real Estate Securities Portfolio........ -- -- -- -- -- DFA International Small Cap Value Portfolio........ -- -- -- -- -- International Vector Equity Portfolio.............. -- -- -- -- -- World ex U.S. Value Portfolio...................... -- -- 345 2,363 2,708 World ex U.S. Targeted Value Portfolio............. -- -- -- 8,263 8,263 World ex U.S. Core Equity Portfolio................ -- -- -- 12,063 12,063 World Core Equity Portfolio........................ -- -- -- -- -- Selectively Hedged Global Equity Portfolio......... -- -- -- -- -- Emerging Markets Portfolio......................... -- -- -- 220,310 220,310 Emerging Markets Small Cap Portfolio............... -- -- -- -- -- Emerging Markets Value Portfolio................... -- -- -- 1,056,563 1,056,563 Emerging Markets Core Equity Portfolio............. 26,444 -- -- 776,895 803,339
During the year ended October 31, 2016, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Real Estate Securities Portfolio $ 1,010 DFA Real Estate Securities Portfolio 10,635 Large Cap International Portfolio 40,352 Japanese Small Company Portfolio 19,964 Continental Small Company Portfolio 6,882 World ex U.S. Targeted Value Portfolio 6,624
At October 31, 2016, 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) ----------- ------------ ------------ -------------- Enhanced U.S. Large Company Portfolio................. $ 234,200 $ 197 $ (189) $ 8 U.S. Large Cap Equity Portfolio....................... 843,248 90,541 (36,333) 54,208 U.S. Large Cap Value Portfolio........................ 13,161,883 4,484,386 -- 4,484,386 U.S. Targeted Value Portfolio......................... 8,412,868 1,592,535 (702,225) 890,310 U.S. Small Cap Value Portfolio........................ 12,191,562 3,315,985 (1,130,148) 2,185,837 U.S. Core Equity 1 Portfolio.......................... 12,905,940 4,024,119 (553,100) 3,471,019 U.S. Core Equity 2 Portfolio.......................... 14,483,954 4,994,488 (765,283) 4,229,205 U.S. Vector Equity Portfolio.......................... 3,438,827 1,166,324 (271,092) 895,232 U.S. Small Cap Portfolio.............................. 13,478,533 2,986,935 (915,727) 2,071,208 U.S. Micro Cap Portfolio.............................. 4,615,954 1,707,552 (429,751) 1,277,801 DFA Real Estate Securities Portfolio.................. 5,697,975 2,172,707 (148,032) 2,024,675 Large Cap International Portfolio..................... 3,472,803 591,185 (382,705) 208,480 International Core Equity Portfolio................... 17,544,279 2,624,727 (2,195,128) 429,599 International Small Company Portfolio................. 9,645,400 901,692 (253,084) 648,608 Japanese Small Company Portfolio...................... 448,349 61,306 -- 61,306 Asia Pacific Small Company Portfolio.................. 268,083 -- (16,408) (16,408) United Kingdom Small Company Portfolio................ 30,445 1,924 -- 1,924 Continental Small Company Portfolio................... 255,325 36,924 -- 36,924 DFA International Real Estate Securities Portfolio.... 4,624,639 -- (356,569) (356,569) DFA Global Real Estate Securities Portfolio........... 4,267,424 705,578 (48,158) 657,420 DFA International Small Cap Value Portfolio........... 12,839,126 2,621,586 (1,702,633) 918,953
178
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- International Vector Equity Portfolio................. $ 1,906,637 $ 315,636 $ (230,103) $ 85,533 World ex U.S. Value Portfolio......................... 188,993 -- (782) (782) World ex U.S. Targeted Value Portfolio................ 272,787 37,221 (23,531) 13,690 World ex U.S. Core Equity Portfolio................... 1,759,314 159,516 (171,862) (12,346) World Core Equity Portfolio........................... 371,264 1,948 (2,980) (1,032) Selectively Hedged Global Equity Portfolio............ 264,617 11,776 (215) 11,561 Emerging Markets Portfolio............................ 3,956,360 957,968 -- 957,968 Emerging Markets Small Cap Portfolio.................. 5,326,498 135,936 -- 135,936 Emerging Markets Value Portfolio...................... 17,713,863 -- (1,227,510) (1,227,510) Emerging Markets Core Equity Portfolio................ 18,713,368 3,479,196 (2,670,118) 809,078
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' 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 YEAR ENDED ENDED OCT. 31, OCT. 31, 2016 2015 -------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- ------- ----------- ------- U.S. TARGETED VALUE PORTFOLIO Class R1 Shares Shares Issued......................... $ 10,885 541 $ 32,126 1,408 Shares Issued in Lieu of Cash Distributions........................ 2,087 104 1,658 78 Shares Redeemed....................... (16,510) (828) (7,954) (357) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares................................ $ (3,538) (183) $ 25,830 1,129 =========== ======= =========== ======= Class R2 Shares Shares Issued......................... $ 55,695 2,692 $ 91,125 4,038 Shares Issued in Lieu of Cash Distributions........................ 7,874 394 4,855 231 Shares Redeemed....................... (48,930) (2,390) (35,030) (1,563) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares................................ $ 14,639 696 $ 60,950 2,706 =========== ======= =========== ======= Institutional Class Shares Shares Issued......................... $ 1,922,986 96,220 $ 2,738,417 122,334 Shares Issued in Lieu of Cash Distributions........................ 353,719 17,629 299,961 14,250 Shares Redeemed....................... (1,368,182) (67,152) (1,098,528) (49,444) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares............ $ 908,523 46,697 $ 1,939,850 87,140 =========== ======= =========== =======
179
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2016 2015 --------------------- --------------------- AMOUNT SHARES AMOUNT SHARES ----------- -------- ----------- -------- EMERGING MARKETS VALUE PORTFOLIO Class R2 Shares Shares Issued......................... $ 26,972 1,227 $ 30,224 1,180 Shares Issued in Lieu of Cash Distributions........................ 2,365 110 1,822 79 Shares Redeemed....................... (15,075) (714) (36,071) (1,484) ----------- -------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares................................ $ 14,262 623 $ (4,025) (225) =========== ======== =========== ======== Institutional Class Shares Shares Issued......................... $ 2,794,365 131,949 $ 3,605,561 146,249 Shares Issued in Lieu of Cash Distributions........................ 413,784 19,201 330,322 14,260 Shares Redeemed....................... (3,524,430) (162,649) (4,083,777) (163,185) ----------- -------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares............ $ (316,281) (11,499) $ (147,894) (2,676) =========== ======== =========== ========
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, International Equity Portfolios and Selectively Hedged Global Equity Portfolio may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The Enhanced U.S. Large Company Portfolio may also enter into forward currency contracts to transfer balances from one currency to another currency. The Selectively Hedged Global Equity Portfolio may hedge some or all of the currency exposure of its foreign securities by entering into forward currency contracts. 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, 2016, the Selectively Hedged Global Equity Portfolio had entered into the following contracts and the 180 net unrealized foreign exchange gain (loss) is reflected in the accompanying financial statements (amounts in thousands): SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
UNREALIZED VALUE AT FOREIGN SETTLEMENT CURRENCY CONTRACT OCTOBER 31, EXCHANGE DATE AMOUNT* CURRENCY COUNTERPARTY AMOUNT 2016 GAIN (LOSS) ---------- ---------- ----------------- --------------------------- -------- ----------- ----------- 11/04/16 (8,024) Canadian Dollar Bank of America Corp. $ (6,085) $ (5,983) $102 12/01/16 (12,226) Denmark Krone Citibank, N.A. (1,787) (1,807) (20) 11/02/16 21,610 Euro Citibank, N.A. 23,649 23,722 73 11/02/16 (21,610) Euro JP Morgan (24,311) (23,723) 588 12/05/16 (21,951) Euro Citibank, N.A. (24,055) (24,130) (75) 11/30/16 (69,716) Hong Kong Dollar ANZ Securities (8,989) (8,990) (1) 12/01/16 (2,314,926) Japanese Yen Citibank, N.A. (22,115) (22,095) 20 11/22/16 (23,113) Swedish Krona Citibank, N.A. (2,625) (2,561) 64 11/29/16 (5,768) Swiss Franc State Street Bank and Trust (5,817) (5,837) (20) 11/22/16 (11,511) UK Pound Sterling State Street Bank and Trust (14,013) (14,095) (82) -------- -------- ---- $(86,148) $(85,499) $649 ======== ======== ====
* 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: The Portfolios may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolios. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. The Enhanced U.S. Large Company Portfolio may also use futures contracts and options thereon to hedge against securities prices or as part of its overall investment strategy. The Selectively Hedged Global Equity Portfolio may also use futures contracts to hedge some or all of the currency exposure of its foreign securities. 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. 181 At October 31, 2016, 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 Emini Index(R) 12/16/16 2,258 $239,359 $252 -- -------- ---- -- $239,359 $252 -- ======== ==== ==
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Targeted Value Portfolio......... S&P 500 Emini Index(R) 12/16/16 760 $80,564 $(2,039) $3,420 ------- ------- ------ $80,564 $(2,039) $3,420 ======= ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Small Cap Value Portfolio.......... S&P 500 Emini Index(R) 12/16/16 2,738 $290,242 $(3,946) $12,321 -------- ------- ------- $290,242 $(3,946) $12,321 ======== ======= =======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Core Equity 1 Portfolio........ S&P 500 Emini Index(R) 12/16/16 1,120 $118,726 $(3,224) $5,040 -------- ------- ------ $118,726 $(3,224) $5,040 ======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Core Equity 2 Portfolio........ S&P 500 Emini Index(R) 12/16/16 1,260 $133,566 $(3,630) $5,670 -------- ------- ------ $133,566 $(3,630) $5,670 ======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Vector Equity Portfolio........ S&P 500 Emini Index(R) 12/16/16 290 $30,741 $(835) $1,305 ------- ----- ------ $30,741 $(835) $1,305 ======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Small Cap Portfolio......... Russell 2000 Index(R) 12/16/16 552 $ 65,649 $(3,300) $3,028 U.S. Small Cap Portfolio......... S&P 500 Emini Index(R) 12/16/16 588 62,331 (990) 2,875 -------- ------- ------ $127,980 $(4,290) $5,903 ======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- U.S. Micro Cap Portfolio......... Russell 2000 Index(R) 12/16/16 196 $23,310 $(1,224) $1,055 U.S. Micro Cap Portfolio......... S&P 500 Emini Index(R) 12/16/16 345 36,572 (438) 1,654 ------- ------- ------ $59,882 $(1,662) $2,709 ======= ======= ======
182
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- DFA Real Estate Securities Portfolio................ S&P 500 Emini Index(R) 12/16/16 536 $56,819 $(1,518) $2,412 ------- ------- ------ $56,819 $(1,518) $2,412 ======= ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ------------------------ ---------- --------- -------- ----------- ---------- Large Cap International Portfolio............. MINI MSCI EAFE Index(R) 12/16/16 190 $15,824 $(579) $ 735 Large Cap International Portfolio............. S&P 500 Emini Index(R) 12/16/16 150 15,901 (291) 738 ------- ----- ------ $31,725 $(870) $1,473 ======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- International Core Equity Portfolio............... S&P 500 Emini Index(R) 12/16/16 1,340 $142,047 $(2,948) $6,030 -------- ------- ------ $142,047 $(2,948) $6,030 ======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ------------------- ---------- --------- -------- ----------- ---------- International Small Company Portfolio................. Russell 2000 Index(R) 12/16/16 270 $32,111 $(1,548) $1,450 International Small Company Portfolio................. S&P 500 Emini Index(R) 12/16/16 505 53,533 (1,240) 2,416 ------- ------- ------ $85,644 $(2,788) $3,866 ======= ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- DFA International Real Estate Securities Portfolio............ S&P 500 Emini Index(R) 12/16/16 275 $29,151 $(304) $1,238 ------- ----- ------ $29,151 $(304) $1,238 ======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- DFA International Small Cap Value Portfolio... Russell 2000 Index(R) 12/16/16 100 $ 11,893 $ (621) $ 513 DFA International Small Cap Value Portfolio... S&P 500 Emini Index(R) 12/16/16 1,125 119,256 (2,837) 5,140 -------- ------- ------ $131,149 $(3,458) $5,653 ======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- Selectively Hedged Global Equity Portfolio........ S&P 500 Emini Index(R) 12/16/16 127 $13,463 $(348) $572 ------- ----- ---- $13,463 $(348) $572 ======= ===== ====
183
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- Emerging Markets Core MINI MSCI Emerging Equity Portfolio.... Markets Index(R) 12/16/16 650 $ 29,364 $ (206) $1,256 Emerging Markets Core Equity Portfolio.... S&P 500 Emini Index(R) 12/16/16 1,238 131,234 (3,241) 5,615 -------- ------- ------ $160,598 $(3,447) $6,871 ======== ======= ======
The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD CURRENCY CONTRACTS FUTURES Enhanced U.S. Large Company Portfolio............... -- $206,092 U.S. Targeted Value Portfolio....................... -- 54,741 U.S. Small Cap Value Portfolio...................... -- 204,770 U.S. Core Equity 1 Portfolio........................ -- 83,185 U.S. Core Equity 2 Portfolio........................ -- 93,600 U.S. Vector Equity Portfolio........................ -- 21,552 U.S. Small Cap Portfolio............................ -- 94,517 U.S. Micro Cap Portfolio............................ -- 40,166 DFA Real Estate Securities Portfolio................ -- 42,383 Large Cap International Portfolio *................. $ 1,268 19,922 International Core Equity Portfolio *............... 695 104,335 International Small Company Portfolio............... -- 69,319 DFA International Real Estate Securities Portfolio*. 349 26,287 DFA International Small Cap Value Portfolio *....... 914 115,375 International Vector Equity Portfolio *............. 211 -- World ex U.S. Targeted Value Portfolio *............ 7 -- World ex U.S. Core Equity Portfolio *............... 174 -- Selectively Hedged Global Equity Portfolio.......... 106,282 12,902 Emerging Markets Core Equity Portfolio *............ 606 122,171
* The Portfolio had derivative activity during the period but it did not have open forward currency contract positions at October 31, 2016. Securities have been segregated as collateral for open futures contracts. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 2016: 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 Payables: Futures Margin Margin Variation Variation 184 The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands):
ASSET DERIVATIVES VALUE ------------------------------------ TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCTOBER 31, 2016 CONTRACTS CONTRACTS* ---------------- --------- ---------- Enhanced U.S. Large Company Portfolio.... $ 252 -- $ 252 Selectively Hedged Global Equity Portfolio.............................. 847 $ 847 -- LIABILITY DERIVATIVES VALUE ------------------------------------ TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCTOBER 31, 2016 CONTRACTS CONTRACTS* ---------------- --------- ---------- U.S. Targeted Value Portfolio............ $(2,039) -- $(2,039) U.S. Small Cap Value Portfolio........... (3,946) -- (3,946) U.S. Core Equity 1 Portfolio............. (3,224) -- (3,224) U.S. Core Equity 2 Portfolio............. (3,630) -- (3,630) U.S. Vector Equity Portfolio............. (835) -- (835) U.S. Small Cap Portfolio................. (4,290) -- (4,290) U.S. Micro Cap Portfolio................. (1,662) -- (1,662) DFA Real Estate Securities Portfolio..... (1,518) -- (1,518) Large Cap International Portfolio........ (870) -- (870) International Core Equity Portfolio...... (2,948) -- (2,948) International Small Company Portfolio.... (2,788) -- (2,788) DFA International Real Estate Securities Portfolio.............................. (304) -- (304) DFA International Small Cap Value Portfolio.............................. (3,458) -- (3,458) Selectively Hedged Global Equity Portfolio.............................. (546) $(198) (348) Emerging Markets Core Equity Portfolio... (3,447) -- (3,447)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported 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, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES --------------- -------------------------------------- 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, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES --------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio........ $ 7,848 -- $ 7,848 U.S. Large Cap Value Portfolio................ 17,635 -- 17,635 U.S. Targeted Value Portfolio................ 6,695 -- 6,695 U.S. Small Cap Value Portfolio................ 42,945 -- 42,945 U.S. Core Equity 1 Portfolio................ 14,545 -- 14,545
185
REALIZED GAIN (LOSS) ON DERIVATIVES --------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- U.S. Core Equity 2 Portfolio............. $16,424 -- $16,424 U.S. Vector Equity Portfolio............. 3,911 -- 3,911 U.S. Small Cap Portfolio................. 18,220 -- 18,220 U.S. Micro Cap Portfolio................. 4,507 -- 4,507 DFA Real Estate Securities Portfolio..... 6,786 -- 6,786 Large Cap International Portfolio........ 2,586 $ (1) 2,587 International Core Equity Portfolio...... 19,272 (3) 19,275 International Small Company Portfolio.... 17,796 -- 17,796 Continental Small Company Portfolio...... 50 -- 50 DFA International Real Estate Securities Portfolio.............................. 4,480 48 4,432 DFA Global Real Estate Securities Portfolio.............................. 757 -- 757 DFA International Small Cap Value Portfolio.............................. 29,244 27 29,217 International Vector Equity Portfolio.... 138 (44) 182 World ex U.S. Value Portfolio............ 112 -- 112 World ex U.S. Targeted Value Portfolio... 8 8 -- World ex U.S. Core Equity Portfolio...... (629) -- (629) Selectively Hedged Global Equity Portfolio.............................. 2,131 371 1,760 Emerging Markets Portfolio............... 5,655 -- 5,655 Emerging Markets Small Cap Portfolio..... 4,016 -- 4,016 Emerging Markets Value Portfolio......... 11,373 -- 11,373 Emerging Markets Core Equity Portfolio... 30,116 -- 30,116 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES --------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio.... $ (557) -- $ (557) U.S. Large Cap Value Portfolio........... (3,292) -- (3,292) U.S. Targeted Value Portfolio............ (2,039) -- (2,039) U.S. Small Cap Value Portfolio........... (3,946) -- (3,946) U.S. Core Equity 1 Portfolio............. (3,224) -- (3,224) U.S. Core Equity 2 Portfolio............. (3,630) -- (3,630) U.S. Vector Equity Portfolio............. (835) -- (835) U.S. Small Cap Portfolio................. (4,290) -- (4,290) U.S. Micro Cap Portfolio................. (1,662) -- (1,662) DFA Real Estate Securities Portfolio..... (1,518) -- (1,518) Large Cap International Portfolio........ (870) -- (870) International Core Equity Portfolio...... (2,948) -- (2,948) International Small Company Portfolio.... (2,771) -- (2,771) Continental Small Company Portfolio...... 2 -- 2 DFA International Real Estate Securities Portfolio.............................. (304) -- (304) DFA International Small Cap Value Portfolio.............................. (3,458) -- (3,458) World ex U.S. Value Portfolio............ (19) -- (19) Selectively Hedged Global Equity Portfolio.............................. (559) $541 (1,100) Emerging Markets Portfolio............... (263) -- (263) Emerging Markets Small Cap Portfolio..... 286 -- 286 Emerging Markets Value Portfolio......... (391) -- (391) Emerging Markets Core Equity Portfolio... (3,447) -- (3,447)
186 OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the "Statement of assets and liabilities." The following table presents 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, 2016 (Amounts in thousands):
NET NET AMOUNTS AMOUNTS OF GROSS AMOUNTS NOT OF GROSS AMOUNTS NOT ASSETS OFFSET IN THE LIABILITIES OFFSET IN THE PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS GROSS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF STATEMENTS ---------------------- RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E) ----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------ ASSETS LIABILITIES ---------------------------------------------------- ----------------------------------------------------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO Forward Currency Contracts....... $847 $847 $(95) -- $752 $198 $198 $(95) -- $103
(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 K contains information regarding securities lending amounts that are subject to netting arrangements. I. LINE OF CREDIT AND INTERFUND LENDING PROGRAM: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. 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 29, 2017. 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 effective January 8, 2016. A line of credit with similar 187 terms was in effect through January 7, 2016. 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 7, 2017. For the year ended October 31, 2016, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Large Cap Equity Portfolio........... 1.04% $ 2,324 29 $ 2 $ 8,804 U.S. Targeted Value Portfolio........... 1.05% 12,631 5 2 19,633 U.S. Vector Equity Portfolio........... 0.87% 1,177 3 -- 1,177 Large Cap International Portfolio........... 1.13% 2,459 3 -- 4,761 International Core Equity Portfolio.... 1.10% 32,535 13 13 55,150 International Small Company Portfolio... 1.00% 3,790 13 1 18,387 DFA International Small Cap Value Portfolio........... 1.04% 31,688 8 7 61,254 International Vector Equity Portfolio.... 1.12% 3,589 32 4 8,719 World ex U.S. Value Portfolio........... 1.08% 313 62 1 3,180 World ex U.S. Targeted Value Portfolio........... 1.09% 2,620 50 4 7,642 World ex U.S. Core Equity Portfolio.... 0.94% 2,673 10 1 5,264 World Core Equity Portfolio........... 1.08% 1,089 20 1 4,841 Emerging Markets Core Equity Portfolio.... 0.94% 36,977 28 26 121,214
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by Portfolios under the lines of credit as of October 31, 2016. Pursuant to an exemptive order issued by the SEC (the "Order"), the Portfolios may participate in an interfund lending program among certain Portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating Portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending Portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a Portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day's notice. The Portfolios did not utilize the interfund lending program during the year ended October 31, 2016. J. AFFILIATED TRADES: Cross trades for the year ended October 31, 2016, if any, were executed by the Portfolios pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. 188 For the year ended October 31, 2016, cross trades by the Portfolios under Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS) --------- --------- -------- -------------------- U.S. Large Cap Equity Portfolio.............. $ 27,570 $ 24,560 $ (2,752) U.S. Targeted Value Portfolio................ 198,462 258,264 33,497 U.S. Small Cap Value Portfolio............... 41,485 529,351 56,512 U.S. Core Equity 1 Portfolio................. 204,530 143,651 (15,380) U.S. Core Equity 2 Portfolio................. 254,997 140,170 1,373 U.S. Vector Equity Portfolio................. 46,739 54,146 11,343 U.S. Small Cap Portfolio..................... 327,605 83,496 20,824 U.S. Micro Cap Portfolio..................... 94,240 118,943 54,866 DFA Real Estate Securities Portfolio......... 4,311 2,083 423 Large Cap International Portfolio............ 53,749 61,512 (1,108) International Core Equity Portfolio.......... 203,108 255,730 (922) DFA Global Real Estate Securities Portfolio.. 1,678 -- -- DFA International Small Cap Value Portfolio.. 385,406 444,880 41,282 International Vector Equity Portfolio........ 20,229 22,944 (79) World ex U.S. Targeted Value Portfolio....... 6,070 10,962 545 World ex U.S. Core Equity Portfolio.......... 15,173 16,486 (232) Emerging Markets Core Equity Portfolio....... 14,853 15,515 (1,558)
K. SECURITIES LENDING: As of October 31, 2016, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):
MARKET UNINVESTED VALUE CASH -------- ---------- U.S. Large Cap Equity Portfolio......... $ 9,409 -- U.S. Targeted Value Portfolio........... 367,153 -- U.S. Small Cap Value Portfolio.......... 194,743 -- U.S. Core Equity 1 Portfolio............ 622,368 -- U.S. Core Equity 2 Portfolio............ 561,339 -- U.S. Vector Equity Portfolio............ 163,776 -- U.S. Small Cap Portfolio................ 232,046 -- U.S. Micro Cap Portfolio................ 83,144 -- DFA Real Estate Securities Portfolio.... 146,276 -- Large Cap International Portfolio....... 9,368 -- International Core Equity Portfolio..... 65,844 -- DFA International Real Estate Securities Portfolio.................. 5,917 -- DFA International Small Cap Value Portfolio............................. 20,275 $1,382 International Vector Equity Portfolio... 5,330 -- World ex U.S. Targeted Value Portfolio.. 1,907 -- World ex U.S. Core Equity Portfolio..... 14,969 110 Emerging Markets Core Equity............ 651,321 --
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 in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the 189 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 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. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS AS OF OCTOBER 31, 2016 ------------------------------------------------------------ OVERNIGHT AND BETWEEN CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL -------------- -------- ------------ -------- -------------- SECURITIES LENDING TRANSACTIONS U.S. LARGE CAP EQUITY PORTFOLIO Common Stocks, Rights/Warrants........ $ 46,037,222 -- -- -- $ 46,037,222 U.S. TARGETED VALUE PORTFOLIO Common Stocks......................... 1,240,541,205 -- -- -- 1,240,541,205 DFA REAL ESTATE SECURITIES PORTFOLIO Common Stocks......................... 461,556,560 -- -- -- 461,556,560 INTERNATIONAL CORE EQUITY PORTFOLIO Common Stocks, Rights/Warrants........ 1,236,637,558 -- -- -- 1,236,637,558 EMERGING MARKETS CORE EQUITY PORTFOLIO Common Stocks......................... 1,040,127,894 -- -- -- 1,040,127,884 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO Common Stocks......................... 34,027,679 -- -- -- 34,027,679 WORLD EX U.S. TARGETED VALUE PORTFOLIO Common Stocks......................... 7,145,456 -- -- -- 7,145,456 U.S. CORE EQUITY 1 PORTFOLIO Common Stocks, Rights/Warrants........ 1,416,230,536 -- -- -- 1,416,230,536 U.S. CORE EQUITY 2 PORTFOLIO Common Stocks, Rights/Warrants........ 1,865,189,843 -- -- -- 1,865,189,843 INTERNATIONAL VECTOR EQUITY PORTFOLIO Common Stocks......................... 144,254,351 -- -- -- 144,254,351 LARGE CAP INTERNATIONAL PORTFOLIO Common Stocks......................... 207,774,454 -- -- -- 207,774,454 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Common Stocks......................... 947,512,927 -- -- -- 947,512,927
190
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS AS OF OCTOBER 31, 2016 ------------------------------------------------------------ OVERNIGHT AND BETWEEN CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL -------------- -------- ------------ -------- -------------- DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Common Stocks........................... $ 157,926,434 -- -- -- $ 157,926,434 U.S. VECTOR EQUITY PORTFOLIO Common Stocks, Rights/Warrants.......... 509,342,336 -- -- -- 509,342,336 U.S. SMALL CAP PORTFOLIO Common Stocks, Rights/Warrants.......... 2,565,604,574 -- -- -- 2,565,604,574 U.S. SMALL CAP VALUE PORTFOLIO Common Stocks........................... 1,802,024,349 -- -- -- 1,802,024,349 U.S. MICRO CAP PORTFOLIO Common Stocks, Rights/Warrants.......... 804,805,059 -- -- -- 804,805,059 WORLD EX U.S. CORE EQUITY PORTFOLIO Common Stocks........................... 101,533,454 -- -- -- 101,533,454
L. SHAREHOLDER SERVICING FEES: The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10% and Class R2 Shares pay a shareholder servicing fee in an amount up to 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. M. 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 that 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. N. IN-KIND REDEMPTIONS: During the year ended October 31, 2016, the following Portfolio realized net gains (losses) on in-kind redemptions as follows: DFA International Small Cap Value Portfolio. 29,398
O. OTHER: At October 31, 2016, 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 ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares................................................ 4 76% U.S. Large Cap Equity Portfolio -- Institutional Class Shares. 3 94% U.S. Large Cap Value Portfolio -- Institutional Class Shares.. 3 72% U.S. Targeted Value Portfolio -- Class R1 Shares.............. 4 86% U.S. Targeted Value Portfolio -- Class R2 Shares.............. 7 80%
191
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 58% U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 58% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 6 82% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 85% U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 4 87% U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 51% U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 5 79% DFA Real Estate Securities Portfolio -- Institutional Class Shares...................................................... 4 79% Large Cap International Portfolio -- Institutional Class Shares..... 3 68% International Core Equity Portfolio................................. 4 73% International Small Company Portfolio -- Institutional Class Shares...................................................... 4 61% Japanese Small Company Portfolio -- Institutional Class Shares...... 4 86% Asia Pacific Small Company Portfolio -- Institutional Class Shares...................................................... 3 89% United Kingdom Small Company Portfolio -- Institutional Class Shares...................................................... 4 92% Continental Small Company Portfolio -- Institutional Class Shares...................................................... 4 95% DFA International Real Estate Securities Portfolio -- Institutional Class Shares...................................................... 4 88% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares...................................................... 3 72% DFA International Small Cap Value Portfolio -- Institutional Class Shares...................................................... 4 68% International Vector Equity Portfolio -- Institutional Class Shares...................................................... 4 91% World ex U.S. Value Portfolio -- Institutional Class Shares......... 5 84% World ex U.S. Targeted Value Portfolio -- Institutional Class Shares...................................................... 3 99% World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 3 81% World Core Equity Portfolio......................................... 5 90% Selectively Hedged Global Equity Portfolio -- Institutional Class Shares...................................................... 4 95% Emerging Markets Portfolio -- Institutional Class Shares............ 4 68% Emerging Markets Small Cap Portfolio -- Institutional Class Shares...................................................... 3 52% Emerging Markets Value Portfolio -- Class R2 Shares................. 2 90% Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 33% 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. 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 192 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 parties appealed the Court's dismissal order to the Second Circuit, and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the grounds that the individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for securities transactions. 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 net asset value of The U.S. Large Cap Value Series 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. P. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 193 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") as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the custodians, brokers and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 194 NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940 (UNAUDITED) As noted in the table provided below, the following Portfolios paid distributions to shareholders of record that included amounts from net investment income and return of capital. Please note that this information is being provided to satisfy certain notice requirements under the Investment Company Act of 1940 and is not being provided for tax reporting purposes. Each Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial intermediary should provide (or has provided) shareholders with similar information) for the relevant calendar year informing shareholders how to report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES ------------------------------------------------- NET NET REALIZED NET REALIZED INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL -------------- ---------- -------------- -------------- --------- Enhanced U.S. Large Company Portfolio December 16, 2015.................. 76% 0% 0% 24% U.S. Large Cap Equity Portfolio December 16, 2015.................. 91% 0% 0% 9% U.S. Large Cap Value Portfolio December 16, 2015.................. 90% 0% 0% 10% U.S. Targeted Value Portfolio December 16, 2015.................. 87% 0% 0% 13% U.S. Small Cap Value Portfolio December 16, 2015.................. 57% 0% 0% 43% March 30, 2016..................... 36% 0% 0% 64% June 29, 2016...................... 42% 0% 0% 58% U.S. Core Equity 1 Portfolio December 15, 2015.................. 87% 0% 0% 13% U.S. Core Equity 2 Portfolio December 15, 2015.................. 89% 0% 0% 11% U.S. Vector Equity Portfolio December 16, 2015.................. 88% 0% 0% 12% U.S. Small Cap Portfolio December 16, 2015.................. 81% 0% 0% 19% March 30, 2016..................... 98% 0% 0% 2% June 29, 2016...................... 97% 0% 0% 3% U.S. Micro Cap Portfolio December 16, 2015.................. 71% 0% 0% 29% March 30, 2016..................... 74% 0% 0% 26% June 29, 2016...................... 72% 0% 0% 28% Large Cap International Portfolio December 15, 2015.................. 72% 0% 0% 28% June 29, 2016...................... 97% 0% 0% 3% International Core Equity Portfolio December 15, 2015.................. 65% 0% 0% 35% June 29, 2016...................... 99% 0% 0% 1% International Small Company Portfolio December 16, 2015.................. 38% 0% 0% 62% March 30, 2016..................... 9% 0% 0% 91% June 29, 2016...................... 51% 0% 0% 49% September 29, 2016................. 22% 0% 0% 78% Japanese Small Company Portfolio December 16, 2015.................. 21% 0% 0% 79%
195
% BREAKDOWN OF DISTRIBUTION SOURCES ------------------------------------------------ NET NET REALIZED NET REALIZED INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL -------------- ---------- -------------- -------------- --------- Asia Pacific Small Company Portfolio December 16, 2015............................... 8% 0% 0% 92% United Kingdom Small Company Portfolio December 16, 2015............................... 52% 0% 0% 48% March 30, 2016.................................. 45% 0% 0% 55% June 29, 2016................................... 39% 0% 0% 61% Continental Small Company Portfolio December 16, 2015............................... 52% 0% 0% 48% March 30, 2016.................................. 78% 0% 0% 22% June 29, 2016................................... 98% 0% 0% 2% DFA International Real Estate Securities Portfolio December 15, 2015............................... 0% 0% 0% 100% DFA Global Real Estate Securities Portfolio December 16, 2015............................... 98% 0% 0% 2% DFA International Small Cap Value Portfolio December 15, 2015............................... 33% 0% 0% 67% March 30, 2016.................................. 0% 0% 0% 100% June 29, 2016................................... 37% 0% 0% 63% September 29, 2016.............................. 0% 0% 0% 100% International Vector Equity Portfolio December 15, 2015............................... 67% 0% 0% 33% June 29, 2016................................... 96% 0% 0% 4% World ex U.S. Value Portfolio December 16, 2015............................... 75% 0% 0% 25% June 29, 2016................................... 95% 0% 0% 5% World ex U.S. Targeted Value Portfolio December 16, 2015............................... 44% 0% 0% 56% June 29, 2016................................... 98% 0% 0% 2% World ex U.S. Core Equity Portfolio December 16, 2015............................... 85% 0% 0% 15% World Core Equity Portfolio March 30, 2016.................................. 99% 0% 0% 1% June 29, 2016................................... 100% 0% 0% 0%* Selectively Hedged Global Equity Portfolio December 16, 2015............................... 99% 0% 0% 1% Emerging Markets Portfolio December 16, 2015............................... 30% 0% 0% 70% March 30, 2016.................................. 0% 0% 0% 100% June 29, 2016................................... 75% 0% 0% 25% Emerging Markets Small Cap Portfolio December 16, 2015............................... 35% 0% 0% 65% March 30, 2016.................................. 0% 0% 0% 100% June 29, 2016................................... 24% 0% 0% 76% Emerging Markets Value Portfolio December 16, 2015............................... 20% 0% 0% 80% March 30, 2016.................................. 0% 0% 0% 100% June 29, 2016................................... 0% 0% 0% 100% September 29, 2016.............................. 1% 0% 0% 99%
196
% BREAKDOWN OF DISTRIBUTION SOURCES ------------------------------------------------- NET NET REALIZED NET REALIZED INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL -------------- ---------- -------------- -------------- --------- Emerging Markets Core Equity Portfolio December 15, 2015................... 34% 0% 0% 66% March 30, 2016...................... 5% 0% 0% 95% June 29, 2016....................... 79% 0% 0% 21%
* Amount is less than 1%. Each Portfolio estimates that it has distributed more than the amount of net investment income and net realized capital gains; therefore, a portion of the distributions may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder's investment in a Portfolio is returned to the shareholder. A return of capital does not necessarily reflect a Portfolio's investment performance and should not be confused with yield or income. When distributions exceed total return performance, the difference will reduce a Portfolio's net asset value per share. 197 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA COMMODITY STRATEGY PORTFOLIO VS. BLOOMBERG COMMODITY INDEX TOTAL RETURN NOVEMBER 9, 2010-OCTOBER 31, 2016 [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 9/30/2014 8,208 7,634 10/31/2014 8,178 7,573 11/30/2014 7,789 7,265 12/31/2014 7,234 6,711 1/31/2015 7,028 6,486 2/28/2015 7,203 6,654 3/31/2015 6,853 6,312 4/30/2015 7,234 6,674 5/31/2015 7,028 6,494 6/30/2015 7,141 6,606 7/31/2015 6,378 5,904 8/31/2015 6,306 5,850 9/30/2015 6,120 5,650 10/31/2015 6,120 5,625 11/30/2015 5,686 5,217 12/31/2015 5,509 5,056 1/31/2016 5,437 4,971 2/29/2016 5,364 4,890 3/31/2016 5,611 5,077 4/30/2016 6,056 5,509 5/31/2016 6,046 5,499 6/30/2016 6,334 5,726 7/31/2016 6,044 5,433 8/31/2016 5,930 5,337 Past performance is not predictive of 9/30/2016 6,124 5,505 future performance. 10/31/2016 6,104 5,478 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. ----------------------------------------------------------- Bloomberg Barclays data provided by -0.26% -9.03% -7.93% Bloomberg.
-------------------------------------------------------------------------------- 198 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (UNAUDITED) COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 During the fiscal year ended October 31, 2016, the Bloomberg Commodity Index Total Return returned -2.62%. Sectors with significant declines included energy, which returned -18.5% and livestock, which returned -21.4%. Among sectors with positive returns, precious metals led at 11.22%, followed by industrial metals at 7.75% and agriculture at 3.26%. 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, through its wholly owned subsidiary Dimensional Cayman Commodity Fund I LTD, gains exposure to commodities markets by investing in derivative instruments such as commodity swap contracts, commodity futures and other commodity-linked instruments. The Portfolio pursues commodity exposure based on sector weights of the Bloomberg Commodity Index Total Return, the Portfolio's benchmark. In pursuing the fixed income portion of the Portfolio's investment strategy, Dimensional identifies a broadly diversified universe of eligible U.S. and foreign fixed income securities with 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 term 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. The Portfolio, through the Dimensional Cayman Commodity Fund I LTD, 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 included in the benchmark, whose returns for the period ranged from -29.22% (Kansas wheat) to 42.08% (sugar). During the period, the average duration of the Portfolio's fixed income securities decreased to 1.72 years from 1.84 years. For the 12 months ended October 31, 2016, the total return was -0.26% for the Portfolio and -2.62% for the Bloomberg Commodity Index Total Return. The Portfolio's outperformance relative to the benchmark was attributable to differences in the management of commodity rolls, commodity curve positioning and investment in short-term investment grade fixed income securities during a period of falling interest rates and narrowing credit spreads. 199 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, 2016 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- DFA COMMODITY STRATEGY PORTFOLIO -------------------------------- Actual Fund Return............... $1,000.00 $1,007.80 0.33% $1.67 Hypothetical 5% Annual Return.... $1,000.00 $1,023.48 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 (366) to reflect the six-month period. 200 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2016. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DFA COMMODITY STRATEGY PORTFOLIO Corporate.................................... 46.0% Government................................... 31.1% Foreign Corporate............................ 18.9% Foreign Government........................... 3.7% Supranational................................ 0.3% ----- 100.0%
201 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
FACE AMOUNT^ VALUE+ ------- ------ (000) BONDS -- (64.7%) AUSTRALIA -- (1.9%) Australia & New Zealand Banking Group, Ltd. 1.250%, 06/13/17............................. $ 8,000 $ 8,008,768 BHP Billiton Finance USA, Ltd. 1.625%, 02/24/17............................. 5,000 5,006,750 5.400%, 03/29/17............................. 1,000 1,016,800 Commonwealth Bank of Australia 1.900%, 09/18/17............................. 2,000 2,010,460 2.300%, 09/06/19............................. 5,100 5,176,627 Macquarie Group, Ltd. ## 3.000%, 12/03/18............................. 5,000 5,107,495 Westpac Banking Corp. 2.000%, 08/14/17............................. 3,000 3,017,949 2.250%, 07/30/18............................. 3,200 3,240,125 ----------- TOTAL AUSTRALIA.................................. 32,584,974 ----------- BELGIUM -- (0.7%) Anheuser-Busch Cos., LLC 5.600%, 03/01/17............................. 5,000 5,075,900 Anheuser-Busch InBev Worldwide, Inc. 1.375%, 07/15/17............................. 6,000 6,012,060 ----------- TOTAL BELGIUM.................................... 11,087,960 ----------- CANADA -- (5.5%) Bank of Montreal 2.375%, 01/25/19............................. 15,620 15,870,795 Canadian National Railway Co. 1.450%, 12/15/16............................. 264 264,137 Ontario, Province of Canada 1.100%, 10/25/17............................. 10,000 10,004,190 1.200%, 02/14/18............................. 15,000 15,014,925 Royal Bank of Canada 1.500%, 01/16/18............................. 6,180 6,190,772 2.200%, 07/27/18............................. 1,005 1,017,629 1.800%, 07/30/18............................. 8,492 8,536,150 Thomson Reuters Corp. 1.650%, 09/29/17............................. 3,992 4,002,251 6.500%, 07/15/18............................. 1,000 1,080,871 Toronto-Dominion Bank (The) 1.400%, 04/30/18............................. 10,000 10,006,170 2.125%, 07/02/19............................. 19,850 20,134,887 ----------- TOTAL CANADA..................................... 92,122,777 ----------- DENMARK -- (0.9%) Nordea Bank AB 2.375%, 04/04/19............................. 15,000 15,236,640 ----------- FINLAND -- (0.4%) Municipality Finance P.L.C. 1.250%, 04/18/19............................. 5,000 4,988,750
FACE AMOUNT^ VALUE+ ------- ------ (000) FINLAND -- (Continued) 1.750%, 05/21/19............................. $ 1,150 $ 1,162,121 ----------- TOTAL FINLAND.................................... 6,150,871 ----------- FRANCE -- (2.2%) BNP Paribas SA 2.375%, 09/14/17............................. 6,140 6,193,971 BPCE SA 1.625%, 01/26/18............................. 1,950 1,951,997 Sanofi 1.250%, 04/10/18............................. 1,800 1,802,821 Societe Generale SA 2.750%, 10/12/17............................. 7,000 7,090,230 Total Capital Canada, Ltd. 1.450%, 01/15/18............................. 2,000 2,003,842 Total Capital International SA 1.550%, 06/28/17............................. 1,040 1,042,406 2.100%, 06/19/19............................. 16,220 16,492,739 ----------- TOTAL FRANCE..................................... 36,578,006 ----------- GERMANY -- (0.9%) Daimler Finance North America LLC ## 1.650%, 03/02/18............................. 11,290 11,313,235 Deutsche Bank AG 6.000%, 09/01/17............................. 4,300 4,409,469 ----------- TOTAL GERMANY.................................... 15,722,704 ----------- IRELAND -- (0.5%) Actavis, Inc. 1.875%, 10/01/17............................. 7,500 7,529,610 Medtronic, Inc. 1.375%, 04/01/18............................. 300 300,650 ----------- TOTAL IRELAND.................................... 7,830,260 ----------- ITALY -- (0.5%) Enel Finance International NV ## 6.250%, 09/15/17............................. 4,300 4,473,978 Intesa Sanpaolo SpA 3.875%, 01/16/18............................. 1,500 1,530,269 3.875%, 01/15/19............................. 2,570 2,644,142 ----------- TOTAL ITALY...................................... 8,648,389 ----------- JAPAN -- (2.0%) American Honda Finance Corp. 1.550%, 12/11/17............................. 6,075 6,108,327 Mizuho Bank, Ltd. ## 1.550%, 10/17/17............................. 7,700 7,700,508 Nomura Holdings, Inc. 2.750%, 03/19/19............................. 1,034 1,053,848 Sumitomo Mitsui Banking Corp. 2.450%, 01/10/19............................. 3,500 3,547,205
202 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) JAPAN -- (Continued) Toyota Motor Credit Corp. 2.000%, 10/24/18............................. $ 4,149 $ 4,202,107 1.400%, 05/20/19............................. 9,500 9,481,257 2.125%, 07/18/19............................. 1,080 1,097,753 ----------- TOTAL JAPAN...................................... 33,191,005 ----------- NETHERLANDS -- (3.3%) Bank Nederlandse Gemeenten NV 1.375%, 09/27/17............................. 10,000 10,031,290 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 1.700%, 03/19/18............................. 2,800 2,809,456 Cooperatieve Rabobank UA 2.250%, 01/14/19............................. 13,665 13,844,572 Heineken NV ## 1.400%, 10/01/17............................. 2,500 2,503,265 Koninklijke Philips NV 5.750%, 03/11/18............................. 6,725 7,117,948 Mylan, Inc. 1.350%, 11/29/16............................. 7,038 7,039,386 Shell International Finance BV 1.900%, 08/10/18............................. 4,000 4,039,828 2.000%, 11/15/18............................. 3,250 3,290,999 4.300%, 09/22/19............................. 4,875 5,234,117 ----------- TOTAL NETHERLANDS................................ 55,910,861 ----------- NORWAY -- (0.4%) Kommunalbanken A.S. 1.750%, 05/28/19............................. 5,000 5,052,320 Statoil ASA 1.950%, 11/08/18............................. 1,035 1,045,129 ----------- TOTAL NORWAY..................................... 6,097,449 ----------- SPAIN -- (0.7%) Santander Bank NA 2.000%, 01/12/18............................. 4,500 4,498,416 Telefonica Emisiones SAU 6.221%, 07/03/17............................. 2,000 2,062,740 3.192%, 04/27/18............................. 4,800 4,902,638 ----------- TOTAL SPAIN...................................... 11,463,794 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.3%) European Bank for Reconstruction & Development 0.750%, 09/01/17............................. 5,000 5,008,025 ----------- SWEDEN -- (1.9%) Kommuninvest I Sverige AB 1.625%, 02/13/17............................. 4,500 4,508,127 Svensk Exportkredit AB 1.875%, 06/17/19............................. 17,000 17,228,565 Svenska Handelsbanken AB 1.625%, 03/21/18............................. 5,000 5,012,335
FACE AMOUNT^ VALUE+ ------- ------ (000) SWEDEN -- (Continued) 2.250%, 06/17/19............................. $ 5,000 $ 5,074,325 ----------- TOTAL SWEDEN..................................... 31,823,352 ----------- SWITZERLAND -- (1.1%) Credit Suisse AG New York 1.375%, 05/26/17............................. 4,000 3,998,744 Credit Suisse New York 1.700%, 04/27/18............................. 7,595 7,590,929 UBS AG 1.800%, 03/26/18............................. 6,900 6,915,711 ----------- TOTAL SWITZERLAND................................ 18,505,384 ----------- UNITED KINGDOM -- (2.8%) AstraZeneca P.L.C. 1.750%, 11/16/18............................. 6,958 6,999,762 BP Capital Markets P.L.C. 2.248%, 11/01/16............................. 5,000 5,000,000 4.750%, 03/10/19............................. 4,110 4,411,732 British Telecommunications P.L.C. 1.250%, 02/14/17............................. 1,200 1,200,564 Diageo Capital P.L.C. 1.500%, 05/11/17............................. 3,500 3,510,083 GlaxoSmithKline Capital, Inc. 5.650%, 05/15/18............................. 1,028 1,093,565 HSBC USA, Inc. 1.625%, 01/16/18............................. 10,830 10,836,433 Lloyds Bank P.L.C. 1.750%, 03/16/18............................. 3,015 3,026,490 1.750%, 05/14/18............................. 5,000 5,021,770 Vodafone Group P.L.C. 1.625%, 03/20/17............................. 1,000 1,001,380 1.625%, 03/20/17............................. 3,951 3,956,452 1.250%, 09/26/17............................. 750 749,309 ----------- TOTAL UNITED KINGDOM............................. 46,807,540 ----------- UNITED STATES -- (38.7%) Abbott Laboratories 5.125%, 04/01/19............................. $ 2,835 3,078,365 Air Products & Chemicals, Inc. 1.200%, 10/15/17............................. 700 700,979 American Express Co. 7.000%, 03/19/18............................. 12,652 13,602,013 Anthem, Inc. 5.875%, 06/15/17............................. 3,100 3,186,893 Apple, Inc. 1.000%, 05/03/18............................. 5,000 4,993,395 1.100%, 08/02/19............................. 4,045 4,017,276 Assurant, Inc. 2.500%, 03/15/18............................. 203 205,000 AT&T, Inc. 2.400%, 03/15/17............................. 5,044 5,069,694 1.400%, 12/01/17............................. 3,400 3,395,934 2.300%, 03/11/19............................. 575 580,786 Autodesk, Inc. 1.950%, 12/15/17............................. 5,650 5,671,651
203 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Bank of America Corp. 3.875%, 03/22/17............................. $ 3,600 $ 3,638,408 2.000%, 01/11/18............................. 1,000 1,005,010 2.600%, 01/15/19............................. 4,000 4,066,436 Bank of New York Mellon Corp. (The) 2.100%, 01/15/19............................. 1,000 1,013,376 BB&T Corp. 1.450%, 01/12/18............................. 1,250 1,251,665 Becton Dickinson and Co. 1.750%, 11/08/16............................. 1,500 1,500,225 1.450%, 05/15/17............................. 2,000 2,004,334 1.800%, 12/15/17............................. 6,340 6,367,655 Berkshire Hathaway, Inc. 1.550%, 02/09/18............................. 2,500 2,511,390 2.100%, 08/14/19............................. 2,800 2,853,654 Boston Scientific Corp. 2.650%, 10/01/18............................. 1,000 1,019,315 Branch Banking & Trust Co. 1.000%, 04/03/17............................. 1,000 1,000,255 2.300%, 10/15/18............................. 2,000 2,030,622 Bristol-Myers Squibb Co. 0.875%, 08/01/17............................. 1,685 1,682,671 Capital One Bank USA NA 2.300%, 06/05/19............................. 2,742 2,770,149 Cardinal Health, Inc. 1.900%, 06/15/17............................. 5,000 5,023,380 1.700%, 03/15/18............................. 5,239 5,255,309 Caterpillar Financial Services Corp. 2.450%, 09/06/18............................. 6,000 6,109,674 7.050%, 10/01/18............................. 5,000 5,534,915 CF Industries, Inc. 6.875%, 05/01/18............................. 6,134 6,472,897 Chevron Corp. 1.345%, 11/15/17............................. 3,435 3,440,362 1.718%, 06/24/18............................. 1,425 1,434,743 Cisco Systems, Inc. 1.400%, 02/28/18............................. 14,958 15,014,332 2.125%, 03/01/19............................. 10,000 10,169,760 Citigroup, Inc. 1.350%, 03/10/17............................. 2,000 2,002,680 2.050%, 12/07/18............................. 7,281 7,321,417 2.550%, 04/08/19............................. 750 763,546 Comcast Corp. 5.700%, 05/15/18............................. 4,811 5,129,633 Comerica, Inc. 2.125%, 05/23/19............................. 4,000 4,026,600 ConocoPhillips Co. 1.050%, 12/15/17............................. 3,000 2,984,670 1.500%, 05/15/18............................. 6,500 6,505,025 Coventry Health Care, Inc. 5.950%, 03/15/17............................. 3,309 3,366,158
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) CSX Corp. 6.250%, 03/15/18............................. $ 5,731 $ 6,125,430 CVS Health Corp. 2.250%, 12/05/18............................. 7,000 7,096,523 Danaher Corp. 1.650%, 09/15/18............................. 2,000 2,013,894 Dollar General Corp. 1.875%, 04/15/18............................. 2,334 2,343,884 Duke Energy Corp. 1.625%, 08/15/17............................. 1,019 1,021,822 Eastman Chemical Co. 2.400%, 06/01/17............................. 1,500 1,510,475 eBay, Inc. 1.350%, 07/15/17............................. 8,000 8,004,520 EI du Pont de Nemours & Co. 6.000%, 07/15/18............................. 11,927 12,833,130 Enterprise Products Operating LLC 1.650%, 05/07/18............................. 5,000 4,997,900 Exxon Mobil Corp. 1.439%, 03/01/18............................. 8,200 8,229,266 1.305%, 03/06/18............................. 25,430 25,502,882 Fifth Third Bank 1.450%, 02/28/18............................. 7,000 6,997,620 Ford Motor Credit Co. LLC 1.500%, 01/17/17............................. 4,500 4,503,497 5.000%, 05/15/18............................. 1,500 1,570,187 2.551%, 10/05/18............................. 5,000 5,060,095 General Mills, Inc. 5.700%, 02/15/17............................. 5,200 5,269,425 Gilead Sciences, Inc. 1.850%, 09/04/18............................. 8,531 8,602,609 Goldman Sachs Group, Inc. (The) 5.950%, 01/18/18............................. 2,000 2,104,272 2.900%, 07/19/18............................. 1,000 1,020,280 7.500%, 02/15/19............................. 4,082 4,589,327 Harris Corp. 1.999%, 04/27/18............................. 8,500 8,543,690 Hershey Co. (The) 1.600%, 08/21/18............................. 2,300 2,315,741 Huntington Bancshares, Inc. 2.600%, 08/02/18............................. 2,600 2,636,993 Intel Corp. 1.350%, 12/15/17............................. 1,825 1,830,935 International Business Machines Corp. 1.950%, 02/12/19............................. 27,500 27,886,732 Jefferies Group LLC 5.125%, 04/13/18............................. 1,000 1,041,466 Johnson Controls, Inc. 2.600%, 12/01/16............................. 3,475 3,479,375 JPMorgan Chase & Co. 2.000%, 08/15/17............................. 7,050 7,093,752
204 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Kellogg Co. 1.875%, 11/17/16............................. $ 1,000 $ 1,000,094 1.750%, 05/17/17............................. 3,000 3,011,580 KeyBank NA 1.100%, 11/25/16............................. 1,000 1,000,059 2.350%, 03/08/19............................. 7,000 7,120,967 Kraft Heinz Foods Co. 2.250%, 06/05/17............................. 4,177 4,199,071 Kroger Co. (The) 2.300%, 01/15/19............................. 1,000 1,015,894 Laboratory Corp. of America Holdings 2.200%, 08/23/17............................. 6,000 6,039,906 Marsh & McLennan Cos., Inc. 2.300%, 04/01/17............................. 680 682,425 Mattel, Inc. 1.700%, 03/15/18............................. 7,000 7,013,531 Maxim Integrated Products, Inc. 2.500%, 11/15/18............................. 4,417 4,480,728 McDonald's Corp. 5.800%, 10/15/17............................. 900 939,330 5.350%, 03/01/18............................. 2,000 2,106,302 2.100%, 12/07/18............................. 8,000 8,098,712 McKesson Corp. 1.400%, 03/15/18............................. 6,000 5,988,180 2.284%, 03/15/19............................. 6,000 6,074,832 MetLife, Inc. 6.817%, 08/15/18............................. 2,000 2,183,862 7.717%, 02/15/19............................. 1,389 1,579,381 Monsanto Co. 1.850%, 11/15/18............................. 6,700 6,715,102 Morgan Stanley 4.750%, 03/22/17............................. 2,430 2,464,783 7.300%, 05/13/19............................. 7,000 7,915,124 NetApp, Inc. 2.000%, 12/15/17............................. 6,200 6,231,180 NiSource Finance Corp. 6.800%, 01/15/19............................. 2,000 2,215,794 Nordstrom, Inc. 6.250%, 01/15/18............................. 5,000 5,281,600 Nucor Corp. 5.750%, 12/01/17............................. 3,019 3,150,906 NYSE Euronext 2.000%, 10/05/17............................. 6,730 6,787,272 ONEOK Partners L.P. 2.000%, 10/01/17............................. 400 401,310 Oracle Corp. 1.200%, 10/15/17............................. 855 856,923 PACCAR Financial Corp. 1.750%, 08/14/18............................. 1,900 1,916,783 Pfizer, Inc. 1.500%, 06/15/18............................. 1,000 1,005,061 2.100%, 05/15/19............................. 30,877 31,407,343 Philip Morris International, Inc. 5.650%, 05/16/18............................. 6,500 6,920,680 1.875%, 01/15/19............................. 5,000 5,045,245
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Phillips 66 2.950%, 05/01/17............................. $ 5,000 $ 5,051,055 PNC Bank NA 1.500%, 02/23/18............................. 3,560 3,568,038 Provident Cos., Inc. 7.000%, 07/15/18............................. 3,298 3,587,465 Prudential Financial, Inc. 6.000%, 12/01/17............................. 518 542,767 QUALCOMM, Inc. 1.400%, 05/18/18............................. 1,000 1,001,113 Reynolds American, Inc. 2.300%, 06/12/18............................. 5,850 5,927,173 Roper Technologies, Inc. 2.050%, 10/01/18............................. 1,500 1,513,907 Scripps Networks Interactive, Inc. 2.700%, 12/15/16............................. 5,000 5,010,005 Southern Co. (The) 1.300%, 08/15/17............................. 3,000 3,001,578 2.450%, 09/01/18............................. 2,700 2,745,222 Stryker Corp. 1.300%, 04/01/18............................. 600 600,055 # 2.000%, 03/08/19............................. 8,000 8,073,600 SunTrust Banks, Inc. 2.500%, 05/01/19............................. 7,735 7,889,112 Symantec Corp. 2.750%, 06/15/17............................. 7,278 7,331,719 Target Corp. 2.300%, 06/26/19............................. 10,000 10,245,050 Thermo Fisher Scientific, Inc. 2.400%, 02/01/19............................. 3,000 3,050,106 Total System Services, Inc. 2.375%, 06/01/18............................. 6,500 6,542,309 U.S. Bancorp 2.200%, 04/25/19............................. 5,000 5,096,770 UnitedHealth Group, Inc. 1.400%, 12/15/17............................. 1,956 1,960,485 1.625%, 03/15/19............................. 3,000 3,015,039 US Bancorp 1.650%, 05/15/17............................. 1 1,002 US Bank NA 1.400%, 04/26/19............................. 10,000 9,981,630 Verizon Communications, Inc. 3.650%, 09/14/18............................. 5,000 5,187,315 Viacom, Inc. 3.500%, 04/01/17............................. 1,000 1,009,083 2.200%, 04/01/19............................. 5,000 5,023,805 Wal-Mart Stores, Inc. 1.125%, 04/11/18............................. 14,633 14,644,941 Walgreens Boots Alliance, Inc. 1.750%, 05/30/18............................. 8,000 8,037,680 Walt Disney Co. (The) 1.500%, 09/17/18 3,000 3,022,830 Wells Fargo & Co. 2.625%, 12/15/16............................. 4,000 4,008,528 1.500%, 01/16/18............................. 700 699,909
205 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Whirlpool Co. 1.350%, 03/01/17............................. $ 2,000 $ 2,001,830 1.650%, 11/01/17............................. 7,000 7,018,998 Zoetis, Inc. 1.875%, 02/01/18............................. 6,564 6,576,754 -------------- TOTAL UNITED STATES.............................. 647,814,807 -------------- TOTAL BONDS...................................... 1,082,584,798 -------------- AGENCY OBLIGATIONS -- (1.2%) Federal Home Loan Bank 2.250%, 09/08/17............................. 10,000 10,133,440 1.625%, 06/14/19............................. 10,000 10,150,170 -------------- TOTAL AGENCY OBLIGATIONS......................... 20,283,610 -------------- U.S. TREASURY OBLIGATIONS -- (28.0%) U.S. Treasury Notes 0.875%, 01/15/18............................. 39,000 39,062,478
FACE AMOUNT^ VALUE+ ------- ------ (000) U.S. TREASURY OBLIGATIONS -- (Continued) ^^++ 1.375%, 06/30/18............................. $ 193,000 $ 194,726,385 0.750%, 02/15/19............................. 38,000 37,858,982 0.875%, 06/15/19............................. 66,000 65,853,018 0.875%, 09/15/19............................. 100,000 99,660,200 1.000%, 09/30/19............................. 32,000 32,009,984 -------------- TOTAL U.S. TREASURY OBLIGATIONS.................... 469,171,047 -------------- TOTAL INVESTMENT SECURITIES........................ 1,572,039,455 -------------- SHARES ------ SECURITIES LENDING COLLATERAL -- (6.1%) (S)@ DFA Short Term Investment Fund............... 8,849,205 102,402,999 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,672,990,275)............................ $1,674,442,454 ==============
Summary of the Portfolio's investments as of October 31, 2016, 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...................... -- $ 32,584,974 -- $ 32,584,974 Belgium........................ -- 11,087,960 -- 11,087,960 Canada......................... -- 92,122,777 -- 92,122,777 Denmark........................ -- 15,236,640 -- 15,236,640 Finland........................ -- 6,150,871 -- 6,150,871 France......................... -- 36,578,006 -- 36,578,006 Germany........................ -- 15,722,704 -- 15,722,704 Ireland........................ -- 7,830,260 -- 7,830,260 Italy.......................... -- 8,648,389 -- 8,648,389 Japan.......................... -- 33,191,005 -- 33,191,005 Netherlands.................... -- 55,910,861 -- 55,910,861 Norway......................... -- 6,097,449 -- 6,097,449 Spain.......................... -- 11,463,794 -- 11,463,794 Supranational Organization Obligations.................. -- 5,008,025 -- 5,008,025 Sweden......................... -- 31,823,352 -- 31,823,352 Switzerland.................... -- 18,505,384 -- 18,505,384 United Kingdom................. -- 46,807,540 -- 46,807,540 United States.................. -- 647,814,807 -- 647,814,807 Agency Obligations.............. -- 20,283,610 -- 20,283,610 U.S. Treasury Obligations....... -- 469,171,047 -- 469,171,047 Securities Lending Collateral... -- 102,402,999 -- 102,402,999 Swap Agreements**............... -- (21,558,245) -- (21,558,245) Futures Contracts**............. $(1,115,097) -- -- (1,115,097) ----------- -------------- -- -------------- TOTAL........................... $(1,115,097) $1,652,884,209 -- $1,651,769,112 =========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 206 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments at Value (including $100,273 of securities on loan).. $ 1,572,039 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $102,401).............................. 102,403 Cash............................................................. 41,600 Segregated Cash for Swaps Contracts.............................. 340 Receivables: Interest........................................................ 8,172 Securities Lending Income....................................... 8 Fund Shares Sold................................................ 1,101 Prepaid Expenses and Other Assets................................ 34 ------------ Total Assets................................................ 1,725,697 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned................................ 102,401 Fund Shares Redeemed............................................ 1,863 Due to Advisor.................................................. 400 Futures Margin Variation........................................ 1,264 Unrealized Loss on Swap Contracts................................ 21,558 Accrued Expenses and Other Liabilities........................... 114 ------------ Total Liabilities........................................... 127,600 ------------ NET ASSETS....................................................... $ 1,598,097 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 271,878,312 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 5.88 ============ Investments at Cost.............................................. $ 1,570,589 ============ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 1,586,037 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... 32,632 Accumulated Net Realized Gain (Loss)............................. 658 Net Unrealized Appreciation (Depreciation)....................... (21,230) ------------ NET ASSETS....................................................... $ 1,598,097 ============ (1) NUMBER OF SHARES AUTHORIZED.................................. 800,000,000 ============
See accompanying Notes to Financial Statements. 207 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Interest............................................................. $ 16,899 Income from Securities Lending....................................... 59 -------- Total Investment Income.......................................... 16,958 -------- EXPENSES Investment Management Fees........................................... 4,845 Accounting & Transfer Agent Fees..................................... 77 Custodian Fees....................................................... 53 Filing Fees.......................................................... 156 Shareholders' Reports................................................ 68 Directors'/Trustees' Fees & Expenses................................. 9 Professional Fees.................................................... 38 Other................................................................ 35 -------- Total Expenses................................................... 5,281 -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D)...................................... (866) Fees Paid Indirectly (Note D)........................................ (18) -------- Net Expenses......................................................... 4,397 -------- NET INVESTMENT INCOME (LOSS)......................................... 12,561 -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**....................................... 484 Futures............................................................ 5,533 Swap Contracts..................................................... 22,428 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................... 1,678 Futures............................................................ 9 Swap Contracts..................................................... (20,194) -------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 9,938 -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ 22,499 ========
---------- **Net of foreign capital gain taxes withheld of $0. See accompanying Notes to Financial Statements. 208 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY PORTFOLIO ---------------------- YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2016 2015 ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................................... $ 12,561 $ 9,267 Net Realized Gain (Loss) on: Investment Securities Sold*.................................. 484 (8,732) Futures...................................................... 5,533 (17,337) Swap Contracts............................................... 22,428 (339,100) Foreign Currency Transactions................................ -- 5,799 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... 1,678 4,896 Futures...................................................... 9 84 Swap Contracts............................................... (20,194) 11,136 Translation of Foreign Currency Denominated Amounts.......... -- (1,816) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ 22,499 (335,803) ---------- ---------- Distributions From: Net Investment Income:......................................... Institutional Class Shares................................... (7,538) (9,071) Net Short-Term Gains:.......................................... Institutional Class Shares................................... -- (14) Net Long-Term Gains: Institutional Class Shares................................... (155) (889) ---------- ---------- Total Distributions........................................ (7,693) (9,974) ---------- ---------- Capital Share Transactions (1): Shares Issued.................................................. 1,017,341 1,078,341 Shares Issued in Lieu of Cash Distributions.................... 7,499 9,738 Shares Redeemed................................................ (648,620) (729,422) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.... 376,220 358,657 ---------- ---------- Total Increase (Decrease) in Net Assets.................... 391,026 12,880 NET ASSETS Beginning of Year.............................................. 1,207,071 1,194,191 ---------- ---------- End of Year.................................................... $1,598,097 $1,207,071 ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued.................................................. 183,938 159,948 Shares Issued in Lieu of Cash Distributions.................... 1,318 1,339 Shares Redeemed................................................ (116,801) (107,182) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.... 68,455 54,105 ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................... $ 32,632 $ (102)
---------- * Net of foreign capital gain taxes withheld of $0 and $0, respectively. See accompanying Notes to Financial Statements. 209 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............. $ 5.93 $ 8.00 $ 8.30 $ 9.40 $ 9.77 ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.05 0.05 0.06 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)................................... (0.07) (2.05) (0.31) (1.10) (0.37) ---------- ---------- ---------- -------- -------- Total from Investment Operations.............. (0.02) (2.00) (0.25) (1.04) (0.30) -------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.03) (0.06) (0.04) (0.04) (0.06) Net Realized Gains.............................. -- (0.01) (0.01) (0.02) (0.01) ---------- ---------- ---------- -------- -------- Total Distributions........................... (0.03) (0.07) (0.05) (0.06) (0.07) -------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40 ================================================ ========== ========== ========== ======== ======== Total Return..................................... (0.26)% (25.16)% (3.08)% (11.15)% (3.08)% -------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............ $1,598,097 $1,207,071 $1,194,191 $786,314 $458,079 Ratio of Expenses to Average Net Assets.......... 0.33% 0.34% 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).. 0.40% 0.40% 0.39% 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets.......................................... 0.95% 0.77% 0.65% 0.66% 0.79% Portfolio Turnover Rate.......................... 159% 124% 104% 64% 69% --------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 210 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 ninety-five operational portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio is an investment company, and accordingly, follows the accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial Services-Investment Companies." 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 that 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 of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio 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 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 211 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. 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, 2016, 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 of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors' Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed-upon years. Each Director shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board (unless the Director files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. OTHER: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for 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 212 and other investments. The Subsidiary (unlike the Portfolio) may invest without limitation in these instruments. However, the Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's assets exposed to any particular commodity, derivative or other investment will vary based on market conditions, but from time to time some exposure could be substantial. To the extent of the Portfolio's investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. 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, 2016, the Portfolio held a $322,425,722 investment in the Subsidiary, representing 20.18% 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 management services to the Portfolio. For the year ended October 31, 2016, the investment management 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 a class 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 investment of its securities lending cash collateral in the DFA Short Term Investment Fund ("the Money Market Series") and its investment in unaffiliated investment companies) ("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 is within thirty-six months and 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, 2017, 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, 2016, 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, 2016, approximately $866 (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 213 the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of the Portfolio's net assets. During the year ended October 31, 2016, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- DFA Commodity Strategy Portfolio.... $18
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $291 (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, 2016, 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.... $14
F. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2016, the Portfolio transactions related to investment securities, other than short-term securities (amounts in thousands):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES -------------------------- --------------------------- PURCHASES SALES PURCHASES SALES ---------- ---------- --------- -------- DFA Commodity Strategy Portfolio.... $1,198,026 $1,730,299 $830,856 $309,617
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, 2016, 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.... $76 $27,711 $(27,787)
214 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ------ DFA Commodity Strategy Portfolio 2015............................. $8,966 $1,009 $9,975 2016............................. 7,540 154 7,694
At October 31, 2016, 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.... $(1,657) -- $(1,657)
At October 31, 2016, 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 CARRYFORWARDS (DEPRECIATION) LOSSES) -------------- ------------- ------------- -------------- ------------- DFA Commodity Strategy Portfolio............ $11,046 -- -- $1,109 $12,155
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, 2016, the Portfolio did not have any capital loss carryforwards. At October 31, 2016, 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) ----------- ------------ ------------ -------------- DFA Commodity Strategy Portfolio................ $1,673,921 $1,374 $(852) $522
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. 215 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 acquire and sell 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. 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, the Portfolio 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), while other swaps must be transacted through a futures commission merchant ("FCM") and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap), and may be traded on swap execution facilities (exchanges). 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 216 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. Uncleared swaps are typically executed bilaterally with a swap dealer rather than traded on exchanges. Parties to uncleared swaps face greater counterparty credit risk than those engaging in cleared swaps since performance of uncleared swap obligations is the responsibility only of the swap counterparty rather than a clearinghouse, as is the case with cleared swaps. As a result, the Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default, insolvency or bankruptcy of a swap agreement counterparty beyond any collateral received. In such an event, the Portfolio will have contractual remedies pursuant to the swap agreements, but bankruptcy and insolvency laws could affect the Portfolio's rights as a creditor. The Portfolio will enter into swap agreements only with counterparties that meet certain standards of creditworthiness as determined by the Advisor's Investment Committee. To the extent that the Portfolio cannot dispose of a swap in the ordinary course of business within seven days at approximately the value at which the Portfolio has valued the swap, the Portfolio will treat the swap as illiquid and subject to its overall limit on illiquid investments of 15% of the Portfolio's net assets. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and implementing rules adopted by the Commodity Futures Trading Commission ("CFTC") currently require the clearing and exchange-trading of the most common types of credit default index swaps and interest rate swaps, and it is expected that additional categories of swaps will in the future be designated as subject to mandatory clearing and trade execution requirements. Central clearing is intended to reduce counterparty credit risk and increase liquidity, but central clearing does not eliminate these risks completely. There is also 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, or the central counterparty in a swap contract. The assets of the Portfolio may not be fully protected in the event of the bankruptcy of the FCM or central counterparty because the Portfolio might be limited to recovering only a pro rata share of all available funds and margin segregated on behalf of an FCM's customers. 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 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 217 (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 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 is 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. 218 At October 31, 2016, 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.............. 11/30/16 244 $ 11,861 $ (449) CBT Wheat Futures.................... 12/14/16 161 3,351 5 Coffee 'C' Futures................... 12/19/16 57 3,509 227 Copper Futures....................... 12/28/16 164 9,041 190 Corn Futures......................... 12/14/16 468 8,301 306 Cotton No.2 Futures.................. 12/07/16 54 1,859 2 Gasoline RBOB Futures................ 12/30/16 84 5,000 (77) Gold 100 oz Futures.................. 12/28/16 117 14,895 (393) KCB Wheat Futures.................... 12/14/16 56 1,161 (17) LME Nickel Futures................... 01/16/17 52 3,267 23 LME Nickel Futures................... 11/14/16 41 2,568 (10) LME Nickel Futures................... 01/16/17 (1) (63) 1 LME Nickel Futures................... 11/14/16 (41) (2,568) (5) LME Prime Aluminum Futures........... 01/16/17 144 6,247 252 LME Prime Aluminum Futures........... 11/14/16 111 4,812 282 LME Prime Aluminum Futures........... 01/16/17 (4) (174) (6) LME Prime Aluminum Futures........... 11/14/16 (111) (4,812) (243) LME Zinc Futures..................... 01/16/17 76 4,677 220 LME Zinc Futures..................... 11/14/16 58 3,557 278 LME Zinc Futures..................... 01/16/17 (2) (123) (3) LME Zinc Futures..................... 11/14/16 (58) (3,557) (191) Lean Hogs Futures.................... 12/14/16 95 1,822 (82) Live Cattle Futures.................. 12/30/16 73 3,017 (61) NY Harbor ULSD Futures............... 12/30/16 93 5,943 (185) Natural Gas Futures.................. 12/28/16 415 13,259 (746) Silver Futures....................... 12/28/16 68 6,051 (362) Soybean Futures...................... 01/13/17 148 7,487 264 Soybean Meal Futures................. 01/13/17 119 3,783 147 Soybean Oil Futures.................. 01/13/17 178 3,780 109 Sugar #11 Futures.................... 02/28/17 252 6,088 (50) WTI Crude Futures.................... 12/20/16 238 11,295 (541) -------- ------- $135,334 $(1,115) ======== =======
The Subsidiary's securities have been segregated as collateral for open futures contracts. At October 31, 2016, 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 CURRENCY AMOUNT* (DEPRECIATION) ------------ --------- ---------- -------- --------- -------------- Bank of America Corp.............. Index** 01/05/17 USD $(101,802) $(1,358) Bank of America Corp.............. Index** 01/05/17 USD (192,289) (2,995) Citibank, N.A..................... Index** 01/05/17 USD (137,464) (1,835) Citibank, N.A..................... Index** 01/05/17 USD (152,532) (2,376) Credit Suisse..................... Index** 12/05/16 USD (120,222) (1,873) Credit Suisse..................... Index** 12/05/16 USD (150,248) (2,006) Deutsche Bank AG, London Branch... Index** 12/05/16 USD (135,459) (1,821) Deutsche Bank AG, London Branch... Index* 12/05/16 USD (134,108) (2,091)
219
UNREALIZED COMMODITY EXPIRATION NOTIONAL APPRECIATION COUNTERPARTY EXPOSURE DATE CURRENCY AMOUNT (DEPRECIATION) ------------ --------- ---------- -------- ----------- -------------- UBS AG............................ Index* 02/03/17 USD $ (99,185) $ (1,287) UBS AG............................ Index* 02/03/17 USD (256,720) (3,916) ----------- -------- $(1,480,029) $(21,558) =========== ========
* Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total Return. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands):
SWAP FUTURES CONTRACTS ------- ---------- DFA Commodity Strategy Portfolio. $84,060 $1,277,436
The following is a summary of the location of derivatives on the Portfolio's Statement of Assets and Liabilities as of October 31, 2016: LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES --------------------------------------------------- DERIVATIVE TYPE LIABILITY DERIVATIVES --------------- ------------------------ Commodity Futures Payables: Futures Margin Contracts Variation 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, 2016 (amounts in thousands):
LIABILITY DERIVATIVES VALUE ------------------------------------- TOTAL VALUE AT COMMODITY SWAP OCTOBER 31, 2016 CONTRACTS* CONTRACTS - ---------------- ---------- --------- Dimensional Cayman Commodity Fund I, LTD................. $22,822 $1,264 $21,558
* Includes cumulative appreciation (depreciation) of futures contracts. 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, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES --------------- -------------------------------------- Commodity Futures Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Swap Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts
220 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, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES ---------------------------- COMMODITY SWAP TOTAL CONTRACTS CONTRACTS -------- --------- --------- Dimensional Cayman Commodity Fund I, LTD................. $ 27,961 $5,533 $ 22,428 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES ---------------------------- COMMODITY SWAP TOTAL CONTRACTS CONTRACTS -------- --------- --------- Dimensional Cayman Commodity Fund I, LTD................. $(20,185) $ 9 $(20,194)
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the "Statement of assets and liabilities." 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 Portfolios as of October 31, 2016 (Amounts in thousands):
NET NET AMOUNTS AMOUNTS OF GROSS AMOUNTS NOT OF GROSS AMOUNTS NOT ASSETS OFFSET IN THE LIABILITIES OFFSET IN THE PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS GROSS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF STATEMENTS --------------------- RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E) ----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------- ASSETS LIABILITIES ---------------------------------------------------- ------------------------------------------------------ DFA COMMODITY STRATEGY PORTFOLIO Swap Contracts...... -- -- -- -- -- $21,558 $21,558 -- $(340) $21,218
(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. 221 I. LINE OF CREDIT AND INTERFUND LENDING PROGRAM: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. 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 29, 2017. 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 effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. 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 7, 2017. There were no borrowings by the Portfolio under the lines of credit during the year ended October 31, 2016. Pursuant to an exemptive order issued by the SEC (the "Order"), the Portfolio may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day's notice. The Portfolio did not utilize the interfund lending program during the year ended October 31, 2016. J. SECURITIES LENDING: As of October 31, 2016, the Portfolio had a security on loan to a broker/dealer, for which the Portfolio received cash collateral. The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 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, the Portfolio 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 Portfolio will generally invest the cash collateral received for the loaned securities in the Money Market Series, an affiliated registered money market fund advised by the Advisor for 222 which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS AS OF OCTOBER 31, 2016 --------------------------------------------------------- OVERNIGHT AND BETWEEN CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL ------------- -------- ------------ -------- ------------ SECURITIES LENDING TRANSACTIONS DFA COMMODITY STRATEGY PORTFOLIO Bonds, U.S. Treasury Obligations. $102,402,999 -- -- -- $102,402,999
K. 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 that 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. L. OTHER: At October 31, 2016, 3 shareholders held 63% of the outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolio through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 223 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 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") as of October 31, 2016, 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 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 as of October 31, 2016 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 224 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, 2016 [CHART] DFA International Value MSCI World ex USA Index Portfolio - Class R2 (net dividends) ----------------------- ------------------------ 4/30/2008 $10,000 $10,000 5/31/2008 10,000 10,152 6/30/2008 9,006 9,362 7/31/2008 8,752 9,029 8/31/2008 8,381 8,680 9/30/2008 7,404 7,427 10/31/2008 5,537 5,882 11/30/2008 5,194 5,563 12/31/2008 5,594 5,856 1/31/2009 4,819 5,310 2/28/2009 4,220 4,772 3/31/2009 4,686 5,087 4/30/2009 5,539 5,743 5/31/2009 6,361 6,469 6/30/2009 6,268 6,402 7/31/2009 7,007 7,003 8/31/2009 7,404 7,339 9/30/2009 7,789 7,641 10/31/2009 7,467 7,519 11/30/2009 7,685 7,705 12/31/2009 7,769 7,828 1/31/2010 7,316 7,461 2/28/2010 7,340 7,453 3/31/2010 7,920 7,933 4/30/2010 7,781 7,815 5/31/2010 6,874 6,952 6/30/2010 6,751 6,852 7/31/2010 7,584 7,485 8/31/2010 7,209 7,261 9/30/2010 7,990 7,958 10/31/2010 8,259 8,241 11/30/2010 7,836 7,892 12/31/2010 8,567 8,528 1/31/2011 8,931 8,712 2/28/2011 9,224 9,035 3/31/2011 8,966 8,854 4/30/2011 9,443 9,336 5/31/2011 9,097 9,059 6/30/2011 8,968 8,930 7/31/2011 8,679 8,783 8/31/2011 7,744 8,040 9/30/2011 6,896 7,233 10/31/2011 7,555 7,936 11/30/2011 7,306 7,569 12/31/2011 7,106 7,487 1/31/2012 7,579 7,891 2/29/2012 7,974 8,325 3/31/2012 7,907 8,263 4/30/2012 7,622 8,123 5/31/2012 6,676 7,197 6/30/2012 7,146 7,669 7/31/2012 7,112 7,764 8/31/2012 7,407 7,986 9/30/2012 7,665 8,228 10/31/2012 7,759 8,286 11/30/2012 7,877 8,460 12/31/2012 8,263 8,716 1/31/2013 8,646 9,144 2/28/2013 8,382 9,053 3/31/2013 8,408 9,125 4/30/2013 8,817 9,541 5/31/2013 8,707 9,327 6/30/2013 8,400 8,978 7/31/2013 8,968 9,455 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 10,928 9/30/2014 9,956 10,479 10/31/2014 9,782 10,312 11/30/2014 9,787 10,439 12/31/2014 9,412 10,092 1/31/2015 9,348 10,056 2/28/2015 10,014 10,657 3/31/2015 9,801 10,479 4/30/2015 10,334 10,933 5/31/2015 10,334 10,838 6/30/2015 10,032 10,530 7/31/2015 9,934 10,697 8/31/2015 9,191 9,917 9/30/2015 8,557 9,417 10/31/2015 9,216 10,125 11/30/2015 9,091 9,964 12/31/2015 8,798 9,785 1/31/2016 8,107 9,112 2/29/2016 7,843 8,985 3/31/2016 8,438 9,594 4/30/2016 8,841 9,903 5/31/2016 8,675 9,791 6/30/2016 8,356 9,493 7/31/2016 8,727 9,960 8/31/2016 8,958 9,970 Past performance is not predictive of 9/30/2016 9,063 10,091 future performance. 10/31/2016 9,176 9,895 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 2016, all -0.43% 3.96% -1.01% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] DFA International Value MSCI World ex USA Index Portfolio-Institutional Class (net div.) ----------------------------- ----------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,327 10,298 12/31/2006 10,730 10,593 1/31/2007 10,929 10,658 2/28/2007 10,920 10,743 3/31/2007 11,270 11,018 4/30/2007 11,836 11,520 5/31/2007 12,240 11,775 6/30/2007 12,150 11,787 7/31/2007 11,811 11,624 8/31/2007 11,674 11,456 9/30/2007 12,282 12,107 10/31/2007 12,874 12,633 11/30/2007 12,092 12,139 12/31/2007 11,829 11,911 1/31/2008 10,870 10,837 2/29/2008 10,729 11,033 3/31/2008 10,858 10,876 4/30/2008 11,341 11,480 5/31/2008 11,345 11,655 6/30/2008 10,219 10,748 7/31/2008 9,930 10,366 8/31/2008 9,511 9,965 9/30/2008 8,401 8,526 10/31/2008 6,293 6,753 11/30/2008 5,907 6,386 12/31/2008 6,348 6,723 1/31/2009 5,474 6,096 2/28/2009 4,802 5,479 3/31/2009 5,323 5,840 4/30/2009 6,301 6,593 5/31/2009 7,238 7,427 6/30/2009 7,129 7,350 7/31/2009 7,973 8,040 8/31/2009 8,425 8,425 9/30/2009 8,859 8,773 10/31/2009 8,502 8,632 11/30/2009 8,750 8,845 12/31/2009 8,853 8,986 1/31/2010 8,339 8,565 2/28/2010 8,365 8,557 3/31/2010 9,032 9,107 4/30/2010 8,876 8,972 5/31/2010 7,831 7,982 6/30/2010 7,695 7,866 7/31/2010 8,655 8,593 8/31/2010 8,228 8,336 9/30/2010 9,109 9,136 10/31/2010 9,432 9,462 11/30/2010 8,950 9,061 12/31/2010 9,789 9,790 1/31/2011 10,204 10,001 2/28/2011 10,540 10,372 3/31/2011 10,249 10,164 4/30/2011 10,794 10,718 5/31/2011 10,404 10,400 6/30/2011 10,259 10,252 7/31/2011 9,927 10,083 8/31/2011 8,863 9,231 9/30/2011 7,893 8,304 10/31/2011 8,642 9,111 11/30/2011 8,363 8,690 12/31/2011 8,139 8,595 1/31/2012 8,686 9,059 2/29/2012 9,133 9,557 3/31/2012 9,062 9,487 4/30/2012 8,736 9,326 5/31/2012 7,657 8,262 6/30/2012 8,196 8,804 7/31/2012 8,162 8,913 8/31/2012 8,495 9,168 9/30/2012 8,797 9,446 10/31/2012 8,910 9,512 11/30/2012 9,046 9,712 12/31/2012 9,491 10,006 1/31/2013 9,932 10,498 2/28/2013 9,634 10,393 3/31/2013 9,663 10,476 4/30/2013 10,138 10,953 5/31/2013 10,012 10,708 6/30/2013 9,659 10,307 7/31/2013 10,319 10,855 8/31/2013 10,243 10,715 9/30/2013 11,015 11,472 10/31/2013 11,396 11,857 11/30/2013 11,437 11,930 12/31/2013 11,685 12,110 1/31/2014 11,255 11,621 2/28/2014 11,898 12,255 3/31/2014 11,812 12,200 4/30/2014 12,009 12,392 5/31/2014 12,141 12,584 6/30/2014 12,287 12,763 7/31/2014 12,013 12,536 8/31/2014 12,013 12,546 9/30/2014 11,488 12,030 10/31/2014 11,286 11,839 11/30/2014 11,292 11,985 12/31/2014 10,869 11,586 1/31/2015 10,795 11,545 2/28/2015 11,565 12,235 3/31/2015 11,318 12,030 4/30/2015 11,940 12,551 5/31/2015 11,946 12,442 6/30/2015 11,599 12,089 7/31/2015 11,486 12,280 8/31/2015 10,627 11,386 9/30/2015 9,900 10,811 10/31/2015 10,656 11,624 11/30/2015 10,518 11,439 12/31/2015 10,183 11,234 1/31/2016 9,382 10,461 2/29/2016 9,084 10,315 3/31/2016 9,769 11,015 4/30/2016 10,242 11,369 5/31/2016 10,050 11,241 6/30/2016 9,681 10,899 7/31/2016 10,117 11,435 8/31/2016 10,383 11,446 Past performance is not predictive of 9/30/2016 10,504 11,585 future performance. 10/31/2016 10,635 11,360 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 2016, all -0.20% 4.21% 0.62% rights reserved.
-------------------------------------------------------------------------------- 225 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. LARGE COMPANY PORTFOLIO VS. S&P 500 INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] U.S. Large Company Portfolio S&P 500 Index ------------------ ------------- 10/31/06 $10,000 $10,000 11/30/06 10,185 10,190 12/31/06 10,331 10,333 01/31/07 10,490 10,489 02/28/07 10,285 10,284 03/31/07 10,393 10,399 04/30/07 10,861 10,860 05/31/07 11,234 11,239 06/30/07 11,053 11,052 07/31/07 10,706 10,709 08/31/07 10,865 10,870 09/30/07 11,273 11,277 10/31/07 11,452 11,456 11/30/07 10,971 10,977 12/31/07 10,902 10,901 01/31/08 10,246 10,247 02/29/08 9,914 9,914 03/31/08 9,877 9,871 04/30/08 10,353 10,352 05/31/08 10,487 10,486 06/30/08 9,607 9,602 07/31/08 9,530 9,522 08/31/08 9,664 9,659 09/30/08 8,813 8,799 10/31/08 7,340 7,321 11/30/08 6,820 6,796 12/31/08 6,894 6,868 01/31/09 6,320 6,289 02/28/09 5,648 5,619 03/31/09 6,143 6,112 04/30/09 6,731 6,696 05/31/09 7,113 7,071 06/30/09 7,122 7,085 07/31/09 7,664 7,621 08/31/09 7,940 7,896 09/30/09 8,237 8,191 10/31/09 8,079 8,039 11/30/09 8,564 8,521 12/31/09 8,729 8,685 01/31/10 8,420 8,373 02/28/10 8,680 8,632 03/31/10 9,205 9,153 04/30/10 9,345 9,298 05/31/10 8,596 8,555 06/30/10 8,146 8,107 07/31/10 8,717 8,675 08/31/10 8,327 8,284 09/30/10 9,067 9,023 10/31/10 9,410 9,366 11/30/10 9,410 9,368 12/31/10 10,039 9,994 01/31/11 10,282 10,231 02/28/11 10,627 10,581 03/31/11 10,639 10,585 04/30/11 10,944 10,899 05/31/11 10,822 10,775 06/30/11 10,639 10,596 07/31/11 10,424 10,380 08/31/11 9,862 9,816 09/30/11 9,164 9,126 10/31/11 10,170 10,124 11/30/11 10,140 10,101 12/31/11 10,250 10,205 01/31/12 10,705 10,662 02/29/12 11,161 11,123 03/31/12 11,534 11,489 04/30/12 11,462 11,417 05/31/12 10,766 10,731 06/30/12 11,211 11,173 07/31/12 11,368 11,328 08/31/12 11,618 11,583 09/30/12 11,918 11,883 10/31/12 11,698 11,663 11/30/12 11,771 11,731 12/31/12 11,871 11,838 01/31/13 12,485 12,451 02/28/13 12,654 12,620 03/31/13 13,129 13,093 04/30/13 13,384 13,346 05/31/13 13,692 13,658 06/30/13 13,513 13,474 07/31/13 14,196 14,160 08/31/13 13,780 13,750 09/30/13 14,214 14,181 10/31/13 14,868 14,833 11/30/13 15,318 15,285 12/31/13 15,709 15,672 01/31/14 15,159 15,130 02/28/14 15,860 15,822 03/31/14 15,989 15,955 04/30/14 16,108 16,073 05/31/14 16,476 16,450 06/30/14 16,815 16,790 07/31/14 16,587 16,559 08/31/14 17,250 17,221 09/30/14 17,005 16,980 10/31/14 17,421 17,394 11/30/14 17,891 17,862 12/31/14 17,835 17,817 01/31/15 17,296 17,282 02/28/15 18,297 18,276 03/31/15 18,005 17,986 04/30/15 18,171 18,159 05/31/15 18,403 18,393 06/30/15 18,052 18,037 07/31/15 18,429 18,414 08/31/15 17,320 17,303 09/30/15 16,891 16,875 10/31/15 18,307 18,299 11/30/15 18,374 18,353 12/31/15 18,081 18,064 01/31/16 17,176 17,167 02/29/16 17,164 17,144 03/31/16 18,324 18,307 04/30/16 18,392 18,378 05/31/16 18,722 18,708 06/30/16 18,763 18,757 07/31/16 19,461 19,448 08/31/16 19,484 19,476 Past performance is not predictive of 09/30/16 19,494 19,479 future performance. 10/31/16 19,138 19,124 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 Standard 4.54% 13.48% 6.71% & Poor's Index Services Group.
-------------------------------------------------------------------------------- 226 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS (UNAUDITED) INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Performance of non-U.S. developed markets was varied for the period. Small-cap stocks had positive returns, while large-cap stocks had negative returns. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS ---------------------- MSCI World ex USA Index...................... -2.27% MSCI World ex USA Small Cap Index............ 3.96% MSCI World ex USA Value Index................ -2.07% MSCI World ex USA Growth Index............... -2.58%
During the period, the performance of the U.S. dollar was mixed when compared against currencies of other developed markets. In particular, while the U.S. dollar appreciated significantly against the British pound, it depreciated significantly against the Japanese yen. Overall, currency fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS --------------------------------------------------- ------------ ---------------------- Japan............................. -10.14% 3.19% United Kingdom.................... 13.55% -10.24% France............................ -4.31% -5.04% Switzerland....................... -8.27% -8.57% Canada............................ 11.55% 8.90% Germany........................... -2.14% -2.89% Australia......................... 5.52% 12.55% Hong Kong......................... 8.52% 8.45% Spain............................. -8.40% -9.10% Netherlands....................... 0.63% -0.20%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS ---------------------- MSCI Emerging Markets Index...................................... 9.27% MSCI Emerging Markets Small Cap Index............................ 4.78% MSCI Emerging Markets Value Index................................ 8.60% MSCI Emerging Markets Growth Index............................... 9.81%
During the period, the performance of the U.S. dollar was mixed when compared against the currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benefitted from USD-denominated returns in emerging markets. 227
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS ------------------------------------------ ------------ ---------------------- China........................ 1.62% 1.54% Korea........................ 5.56% 5.17% Taiwan....................... 14.56% 17.85% India........................ 6.28% 3.99% South Africa................. -0.92% 1.46% Brazil....................... 40.59% 70.69% Mexico....................... 8.65% -4.51% Russia....................... 17.86% 18.61% Malaysia..................... 4.44% 6.95% Indonesia.................... 26.13% 32.31%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds' relative performance. 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 directly. INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW DFA INTERNATIONAL VALUE PORTFOLIO The DFA International Value Portfolio is designed to capture the returns of developed ex U.S. large company value stocks by purchasing shares of the DFA International Value Series, a Master Fund managed by Dimensional that invests in such securities. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 500 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2016, total returns were -0.43% for the Portfolio's Class R2 shares, -0.20% for the Portfolio's Institutional Class shares, and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio's benchmark. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Master Fund invests primarily in value stocks, while the benchmark is neutral with regard to value or growth stocks. The Master Fund's emphasis on deep value stocks contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year. The Master Fund's emphasis on mid-cap stocks also contributed positively to relative performance, as those stocks outperformed for the period. U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Most U.S. equities had positive returns during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, gained approximately 4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell indices. 228
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016 ------------------------------------------------- Russell 3000(R) Index............................. 4.24% Russell Microcap(R) Index (micro-cap stocks)...... 1.54% Russell 2000(R) Index (small-cap stocks).......... 4.11% Russell 1000(R) Index (large-cap stocks).......... 4.26% Dow Jones U.S. Select REIT Index /SM/............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016 ------------------------------------------------- Russell 2000(R) Value Index (small-cap value stocks)............. 8.81% Russell 2000(R) Growth Index (small-cap growth stocks)........... -0.49% Russell 1000(R) Value Index (large-cap value stocks)............. 6.37% Russell 1000(R) Growth Index (large-cap growth stocks)........... 2.28%
---------- Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. 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, average cash exposure throughout the year was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2016, the total return was 4.54% for the Portfolio and 4.51% for the S&P 500(R) Index, the Portfolio's benchmark. The Portfolio's return, net of fees and expenses, outperformed the benchmark. The Portfolio benefited from a flexible trading approach that helps minimize the potential negative effects of trading during index reconstitution. 229 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, 2016 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- DFA INTERNATIONAL VALUE PORTFOLIO** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $1,037.80 0.68% $3.48 Institutional Class Shares......... $1,000.00 $1,038.40 0.43% $2.20 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.72 0.68% $3.46 Institutional Class Shares......... $1,000.00 $1,022.97 0.43% $2.19
230 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE COMPANY PORTFOLIO ------------------ Actual Fund Return......... $1,000.00 $1,040.60 0.08% $0.41 Hypothetical 5% Annual Return................... $1,000.00 $1,024.73 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 (366) to reflect the six-month period. **The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 231 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2016. They are 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 regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Affiliated Investment Company's holdings, which reflect the investments by category. FEEDER FUND
AFFILIATED INVESTMENT COMPANY ----------------------------- DFA International Value Portfolio... 100.0%
DOMESTIC EQUITY PORTFOLIO U.S. LARGE COMPANY PORTFOLIO Consumer Discretionary....................... 12.5% Consumer Staples............................. 10.0% Energy....................................... 7.2% Financials................................... 13.3% Health Care.................................. 14.0% Industrials.................................. 9.8% Information Technology....................... 21.6% Materials.................................... 2.8% Real Estate.................................. 2.9% Telecommunication Services................... 2.5% Utilities.................................... 3.4% ----- 100.0%
232 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2016
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company..................... $7,275,892,237 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $7,290,534,122)............................. $7,275,892,237 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 233 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (94.9%) Consumer Discretionary -- (11.8%) * Amazon.com, Inc.............................. 135,980 $107,399,724 1.7% Comcast Corp. Class A........................ 830,219 51,324,139 0.8% Home Depot, Inc. (The)....................... 426,992 52,097,294 0.8% McDonald's Corp.............................. 294,906 33,197,568 0.5% Walt Disney Co. (The)........................ 510,954 47,360,326 0.7% Other Securities............................. 499,518,173 7.9% ------------ ----- Total Consumer Discretionary..................... 790,897,224 12.4% ------------ ----- Consumer Staples -- (9.5%) Altria Group, Inc............................ 675,216 44,645,282 0.7% Coca-Cola Co. (The).......................... 1,342,386 56,917,166 0.9% CVS Health Corp.............................. 368,464 30,987,822 0.5% PepsiCo, Inc................................. 497,347 53,315,598 0.8% Philip Morris International, Inc............. 536,110 51,702,448 0.8% Procter & Gamble Co. (The)................... 922,271 80,053,123 1.2% Wal-Mart Stores, Inc......................... 523,797 36,676,266 0.6% Other Securities............................. 283,747,526 4.5% ------------ ----- Total Consumer Staples........................... 638,045,231 10.0% ------------ ----- Energy -- (6.8%) Chevron Corp................................. 651,947 68,291,448 1.1% Exxon Mobil Corp............................. 1,433,006 119,398,060 1.9% Schlumberger, Ltd............................ 480,598 37,597,182 0.6% Other Securities............................. 231,868,396 3.6% ------------ ----- Total Energy..................................... 457,155,086 7.2% ------------ ----- Financials -- (12.6%) Bank of America Corp......................... 3,526,591 58,188,752 0.9% * Berkshire Hathaway, Inc. Class B............. 656,140 94,681,002 1.5% Citigroup, Inc............................... 1,004,044 49,348,763 0.8% JPMorgan Chase & Co.......................... 1,248,235 86,452,756 1.4% Wells Fargo & Co............................. 1,569,283 72,202,711 1.1% Other Securities............................. 484,844,762 7.6% ------------ ----- Total Financials................................. 845,718,746 13.3% ------------ ----- Health Care -- (13.3%) AbbVie, Inc.................................. 562,794 31,392,649 0.5% * Allergan P.L.C............................... 136,848 28,593,021 0.4% Amgen, Inc................................... 258,620 36,506,799 0.6% Bristol-Myers Squibb Co...................... 577,630 29,407,143 0.5% * Celgene Corp................................. 268,047 27,389,042 0.4% Gilead Sciences, Inc......................... 456,050 33,578,961 0.5% Johnson & Johnson............................ 945,469 109,664,949 1.7% Medtronic P.L.C.............................. 477,572 39,170,455 0.6% Merck & Co., Inc............................. 955,605 56,113,126 0.9% Pfizer, Inc.................................. 2,096,178 66,469,804 1.0% UnitedHealth Group, Inc...................... 329,129 46,515,802 0.7% Other Securities............................. 383,047,203 6.1% ------------ ----- Total Health Care................................ 887,848,954 13.9% ------------ ----- Industrials -- (9.3%) 3M Co........................................ 208,870 34,526,211 0.5% # Boeing Co. (The)............................. 200,618 28,574,022 0.4%
234 U.S. LARGE COMPANY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (Continued) General Electric Co.............................. 3,096,837 $ 90,117,957 1.4% Honeywell International, Inc..................... 263,044 28,850,666 0.5% United Technologies Corp......................... 269,142 27,506,312 0.4% Other Securities................................. 411,071,277 6.6% -------------- ------ Total Industrials...................................... 620,646,445 9.8% -------------- ------ Information Technology -- (20.5%) * Alphabet, Inc. Class A........................... 101,893 82,523,141 1.3% * Alphabet, Inc. Class C........................... 102,119 80,116,440 1.3% Apple, Inc....................................... 1,862,147 211,428,170 3.3% Cisco Systems, Inc............................... 1,738,176 53,327,240 0.8% * Facebook, Inc. Class A........................... 802,772 105,155,104 1.6% Intel Corp....................................... 1,634,947 57,010,602 0.9% # International Business Machines Corp............. 300,593 46,198,138 0.7% Mastercard, Inc. Class A......................... 331,389 35,465,251 0.5% Microsoft Corp................................... 2,692,950 161,361,564 2.5% Oracle Corp...................................... 1,040,060 39,959,105 0.6% QUALCOMM, Inc.................................... 509,266 34,996,759 0.5% # Visa, Inc. Class A............................... 651,917 53,789,672 0.8% Other Securities................................. 412,610,036 6.8% -------------- ------ Total Information Technology........................... 1,373,941,222 21.6% -------------- ------ Materials -- (2.7%) Other Securities................................. 178,526,813 2.8% -------------- ------ Real Estate -- (2.8%) Other Securities................................. 186,922,692 2.9% -------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc........................................ 2,126,018 78,216,202 1.2% Verizon Communications, Inc...................... 1,408,695 67,758,229 1.1% Other Securities................................. 12,257,280 0.2% -------------- ------ Total Telecommunication Services....................... 158,231,711 2.5% -------------- ------ Utilities -- (3.2%) Other Securities................................. 214,383,094 3.4% -------------- ------ TOTAL COMMON STOCKS.................................... 6,352,317,218 99.8% -------------- ------ TOTAL INVESTMENT SECURITIES............................ 6,352,317,218 -------------- TEMPORARY CASH INVESTMENTS -- (0.1%) State Street Institutional U.S. Government Money Market Fund, 0.260%............................. 8,252,591 8,252,591 0.1% -------------- ------ SECURITIES LENDING COLLATERAL -- (5.0%) (S)@ DFA Short Term Investment Fund................... 29,046,136 336,121,883 5.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,664,748,340).............................. $6,696,691,692 105.2% ============== ======
235 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2016, 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............ $ 790,897,224 -- -- $ 790,897,224 Consumer Staples.................. 638,045,231 -- -- 638,045,231 Energy............................ 457,155,086 -- -- 457,155,086 Financials........................ 845,718,746 -- -- 845,718,746 Health Care....................... 887,848,954 -- -- 887,848,954 Industrials....................... 620,646,445 -- -- 620,646,445 Information Technology............ 1,373,941,222 -- -- 1,373,941,222 Materials......................... 178,526,813 -- -- 178,526,813 Real Estate....................... 186,922,692 -- -- 186,922,692 Telecommunication Services........ 158,231,711 -- -- 158,231,711 Utilities......................... 214,383,094 -- -- 214,383,094 Temporary Cash Investments......... 8,252,591 -- -- 8,252,591 Securities Lending Collateral...... -- $336,121,883 -- 336,121,883 Futures Contracts**................ (98,366) -- -- (98,366) -------------- ------------ -- -------------- TOTAL.............................. $6,360,471,443 $336,121,883 -- $6,696,593,326 ============== ============ == ==============
**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. 236 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (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....................................... $ 7,275,892 -- Investments at Value (including $0 and $480,335 of securities on loan, respectively)........ -- $ 6,352,317 Temporary Cash Investments at Value & Cost.................................................. -- 8,253 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and $336,071).................................................................................. -- 336,122 Segregated Cash for Futures Contracts....................................................... -- 563 Receivables: Investment Securities Sold................................................................ -- 708 Dividends, Interest and Tax Reclaims...................................................... -- 7,868 Securities Lending Income................................................................. -- 77 Fund Shares Sold.......................................................................... 5,743 2,068 Prepaid Expenses and Other Assets........................................................... 116 61 -------------- ------------ Total Assets........................................................................... 7,281,751 6,708,037 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................................................... -- 336,067 Investment Securities Purchased........................................................... -- 1,539 Fund Shares Redeemed...................................................................... 6,129 3,527 Due to Advisor............................................................................ 1,221 300 Futures Margin Variation.................................................................. -- 24 Accrued Expenses and Other Liabilities...................................................... 428 644 -------------- ------------ Total Liabilities...................................................................... 7,778 342,101 -------------- ------------ NET ASSETS.................................................................................. $ 7,273,973 $ 6,365,936 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $3,308 and $0 and shares outstanding of 203,393 and 0, respectively................................................................ $ 16.27 N/A ============== ============ NUMBER OF SHARES AUTHORIZED................................................................. 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $7,270,665 and $6,365,936 and shares outstanding of 445,962,268 and 381,933,822, respectively................................... $ 16.30 $ 16.67 ============== ============ NUMBER OF SHARES AUTHORIZED................................................................. 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost...................................... $ 7,290,534 $ -- -------------- ------------ Investments at Cost......................................................................... $ -- $ 3,320,424 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................................. $ 7,439,985 $ 3,454,852 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...... 40,507 19,630 Accumulated Net Realized Gain (Loss)........................................................ (191,034) (140,392) Net Unrealized Foreign Exchange Gain (Loss)................................................. (843) -- Net Unrealized Appreciation (Depreciation).................................................. (14,642) 3,031,846 -------------- ------------ NET ASSETS.................................................................................. $ 7,273,973 $ 6,365,936 ============== ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 237 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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 $20,325 and $0, respectively)............... $ 250,955 -- Income from Securities Lending.......................................................... 7,093 -- Expenses Allocated from Affiliated Investment Company................................... (14,337) -- --------- -------- Total Net Investment Income Received from Affiliated Investment Companies.............. 243,711 -- --------- -------- FUND INVESTMENT INCOME Dividends................................................................................. -- $135,427 Interest.................................................................................. -- 73 Income from Securities Lending............................................................ -- 881 --------- -------- Total Investment Income................................................................ -- 136,381 --------- -------- FUND EXPENSES Investment Management Fees................................................................ 26,205 3,643 Accounting & Transfer Agent Fees.......................................................... 41 337 S&P 500(R) Fees........................................................................... -- 102 Custodian Fees............................................................................ -- 82 Shareholder Servicing Fees -- Class R2 Shares............................................. 21 -- Filing Fees............................................................................... 246 149 Shareholders' Reports..................................................................... 242 121 Directors'/Trustees' Fees & Expenses...................................................... 46 42 Professional Fees......................................................................... 161 264 Other..................................................................................... 54 209 --------- -------- Total Expenses......................................................................... 27,016 4,949 --------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................................................................. -- (75) Institutional Class Shares.............................................................. (13,086) -- Class R2 Shares......................................................................... (17) -- --------- -------- Net Expenses.............................................................................. 13,913 4,874 --------- -------- NET INVESTMENT INCOME (LOSS).............................................................. 229,798 131,507 --------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**............................................................ (189,967) 44,973 Futures................................................................................. 4,316 (5,349) Foreign Currency Transactions........................................................... 4,081 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................................. 3,950 140,290 Futures................................................................................. (482) (356) Translation of Foreign Currency Denominated Amounts..................................... (650) -- --------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... (178,752) 179,558 --------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $ 51,046 $311,065 ========= ========
---------- * 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. 238 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, 2016 2015 2016 2015 ----------- ----------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................. $ 229,798 $ 218,094 $ 131,507 $ 116,432 Net Realized Gain (Loss) on:.................................. Investment Securities Sold*................................. (189,967) 185,379 44,973 174,452 Futures..................................................... 4,316 -- (5,349) 2,961 Foreign Currency Transactions............................... 4,081 (4,394) -- -- In-Kind Redemptions......................................... -- -- -- 70,875 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 3,950 (768,572) 140,290 (67,093) Futures..................................................... (482) -- (356) (2,353) Translation of Foreign Currency Denominated Amounts......... (650) 490 -- -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ 51,046 (369,003) 311,065 295,274 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income:........................................ Class R2 Shares............................................. (336) (293) -- -- Institutional Class Shares.................................. (224,465) (210,745) (125,202) (110,940) Net Long-Term Gains:.......................................... Institutional Class Shares.................................. -- -- (47,852) -- ----------- ----------- ----------- ----------- Total Distributions........................................ (224,801) (211,038) (173,054) (110,940) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................................. 2,442,715 1,877,719 1,529,402 1,080,396 Shares Issued in Lieu of Cash Distributions................... 218,177 204,539 150,286 95,812 Shares Redeemed............................................... (2,019,049) (1,698,746) (1,262,506) (1,218,173) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions.... 641,843 383,512 417,182 (41,965) ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets.................... 468,088 (196,529) 555,193 142,369 NET ASSETS Beginning of Year............................................. 6,805,885 7,002,414 5,810,743 5,668,374 ----------- ----------- ----------- ----------- End of Year................................................... $ 7,273,973 $ 6,805,885 $ 6,365,936 $ 5,810,743 =========== =========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................. 158,003 105,639 96,985 66,846 Shares Issued in Lieu of Cash Distributions................... 14,327 11,317 9,320 6,038 Shares Redeemed............................................... (128,304) (93,840) (78,179) (74,737) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed.................................................. 44,026 23,116 28,126 (1,853) =========== =========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)...................................... $ 40,507 $ 27,926 $ 19,630 $ 10,643
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 239 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $16.93 $ 18.48 $ 19.46 $15.72 $15.83 ------ ------- ------- ------ ------ Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.53 0.51 0.74 0.49 0.51 Net Gains (Losses) on Securities (Realized and Unrealized)................. (0.65) (1.55) (0.93) 3.77 (0.13) ------ ------- ------- ------ ------ Total from Investment Operations................. (0.12) (1.04) (0.19) 4.26 0.38 --------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.54) (0.51) (0.79) (0.52) (0.49) ------ ------- ------- ------ ------ Total Distributions......... (0.54) (0.51) (0.79) (0.52) (0.49) --------------------------------------------------------------------------------- Net Asset Value, End of Year... $16.27 $ 16.93 $ 18.48 $19.46 $15.72 ============================= ======== ======== ======== ======== ======== Total Return................... (0.43)% (5.78)% (1.21)% 27.61% 2.70% --------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $3,308 $10,404 $11,200 $5,517 $6,407 Ratio of Expenses to Average Net Assets (B)................ 0.68% 0.68% 0.68% 0.69% 0.71% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor).... 0.88% 0.73% 0.68% 0.69% 0.71% Ratio of Net Investment Income to Average Net Assets.. 3.42% 2.81% 3.79% 2.84% 3.33% ---------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 240 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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, 2016 2015 2014 2013 2012 ---------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year... $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.55 0.56 0.84 0.52 0.54 Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.63) (1.56) (0.98) 3.78 (0.12) ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.. (0.08) (1.00) (0.14) 4.30 0.42 ---------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.54) (0.55) (0.84) (0.57) (0.53) ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.54) (0.55) (0.84) (0.57) (0.53) ---------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......... $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72 =================================== ========== ========== ========== ========== ========== Total Return......................... (0.20)% (5.58)% (0.97)% 27.90% 2.98% ---------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).. $7,270,665 $6,795,481 $6,991,214 $6,522,355 $5,480,888 Ratio of Expenses to Average Net Assets (B).......................... 0.43% 0.43% 0.43% 0.43% 0.45% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........... 0.63% 0.49% 0.43% 0.43% 0.45% Ratio of Net Investment Income to Average Net Assets.................. 3.51% 3.10% 4.29% 3.00% 3.54% ----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 241 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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year... $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.35 0.33 0.29 0.27 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.38 0.47 2.07 2.71 1.25 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.. 0.73 0.80 2.36 2.98 1.47 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.34) (0.32) (0.29) (0.26) (0.22) Net Realized Gains.................. (0.14) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.48) (0.32) (0.29) (0.26) (0.22) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......... $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15 =================================== ========== ========== ========== ========== ========== Total Return......................... 4.54% 5.09% 17.17% 27.10% 15.02% ------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).. $6,365,936 $5,810,743 $5,668,374 $4,917,336 $4,037,336 Ratio of Expenses to Average Net Assets.............................. 0.08% 0.08% 0.08% 0.09% 0.10% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)......................... 0.08% 0.09% 0.08% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets.................. 2.17% 2.05% 1.95% 2.13% 2.10% Portfolio Turnover Rate.............. 9% 2% 3% 3% 4% -------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 242 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. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial Services-Investment Companies." 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, 2016, 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. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments) The Feeder Fund's investment reflects its proportionate interest in the net assets of the Series. This valuation is classified as Level 1 in the hierarchy. Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price of the day. 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 within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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 243 adopted by the Board of Directors of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio 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, 2016, 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 of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors' Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed-upon years. Each Director shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board (unless the Director files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. OTHER: The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital 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 the Portfolios are allocated using methods approved by the Board of Directors, 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 investment management services to the Portfolio. For the year ended October 31, 2016, the U.S. Large Company Portfolio's and the Feeder Fund's investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.06% and 0.40%, respectively, of average daily net assets. 244 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, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the U.S. Large Company Portfolio, and a portion of the Fee Waiver Agreement for the Feeder Fund, will remain in effect through February 28, 2017, and may only be terminated by the Fund's Board of Directors prior to that date and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Fund, as described in the notes below, will remain in effect permanently, unless terminated by the Feeder Fund. For the year ended October 31, 2016, 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 INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT ASSUMED RECOVERY -------------------------- ----------------- ------------- ----------------- DFA International Value Portfolio (1)... 0.40% -- -- U.S. Large Company Portfolio (2)........ 0.08% $90 $951 CLASS R2 SHARES --------------- DFA International Value Portfolio (1)... 0.79% -- --
(1) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the DFA International Value Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, to 0.40% of the average net assets of a class of the Portfolio on an annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed (including for the time period prior to July 21, 2015) to assume the direct expenses of Class R2 shares of the Portfolio (excluding management fees and custodian fees), to the extent necessary to limit the annualized expenses of Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above (the "Annualized Expense Ratio"). At any time that the annualized expenses of Class R2 shares of the Portfolio are less than the Annualized Expense Ratio identified above, 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 does not cause the annualized expense ratio of Class R2 shares of the Portfolio to exceed the Annualized Expense Ratio identified above. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. (2) 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) ("Portfolio Expenses") of the U.S. Large Company 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 "Annualized Expense Ratio"). At any time that the annualized Portfolio Expenses of the Portfolio are less than the Annualized Expense Ratio identified above, 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 applicable Annualized Expense Ratio identified 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 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 is within thirty-six months and did not cause the Portfolio's annualized Portfolio Expenses to exceed the Previous Expense Limitation Amount. 245 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $31 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 2016, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): DFA International Value Portfolio................. $234 U.S. Large Company Portfolio...................... 284
E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2016, U.S. Large Company Portfolio transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
PURCHASES SALES - ---------- -------- U.S. Large Company Portfolio...................... $1,011,088 $539,508
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, 2016, 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................... $(303,109) $7,584 $295,525 U.S. Large Company Portfolio.. 5,155 2,682 (7,837)
246 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- DFA International Value Portfolio 2015.............................. $211,038 -- $211,038 2016.............................. 224,802 -- 224,802 U.S. Large Company Portfolio 2015.............................. 110,940 -- 110,940 2016.............................. 125,202 $47,852 173,054
At October 31, 2016, 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.. $(3,737) $(1,254) $(4,991)
At October 31, 2016, 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 CARRYFORWARDS (DEPRECIATION) LOSSES) -------------- ------------- ------------- -------------- ------------- DFA International Value Portfolio. $48,835 -- $(176,437) $ (68,856) $ (196,458) U.S. Large Company Portfolio...... 20,036 $38,777 -- 2,855,003 2,913,816
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, 2016, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
UNLIMITED TOTAL --------- -------- DFA International Value Portfolio.................... $176,437 $176,437 U.S. Large Company Portfolio.. -- --
At October 31, 2016, 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) ----------- ------------ ------------ -------------- DFA International Value Portfolio.... $7,313,697 -- $(37,805) $ (37,805) U.S. Large Company Portfolio......... 3,844,135 $2,933,931 (81,375) 2,852,556
247 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' 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 YEAR ENDED ENDED OCT. 31, OCT. 31, 2016 2015 --------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- -------- ----------- ------- DFA INTERNATIONAL VALUE PORTFOLIO Class R2 Shares Shares Issued................................... $ 2,205 144 $ 3,876 214 Shares Issued in Lieu of Cash Distributions..... 336 22 293 16 Shares Redeemed................................. (8,814) (578) (4,082) (221) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares........ $ (6,273) (412) $ 87 9 =========== ======== =========== ======= Institutional Class Shares Shares Issued................................... $ 2,440,510 157,859 $ 1,873,843 105,425 Shares Issued in Lieu of Cash Distributions..... 217,841 14,305 204,246 11,301 Shares Redeemed................................. (2,010,235) (127,726) (1,694,664) (93,619) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares.................................... $ 648,116 44,438 $ 383,425 23,107 =========== ======== =========== =======
H. FINANCIAL INSTRUMENTS: In accordance with the Portfolio's investment objectives and policies, the Portfolios 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 purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolios. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. 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. 248 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 Needs Registrant Attribute 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, 2016, the U.S. Large Company Portfolio had the following 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 Emini Index(R) 12/16/16 139 $14,735 $(98) $563
The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands):
FUTURES ------- U.S. Large Company Portfolio. $24,212
The following is a summary of the location of derivatives on the U.S. Large Company Portfolio's Statements of Assets and Liabilities as of October 31, 2016: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES ------------------------ DERIVATIVE TYPE LIABILITY DERIVATIVES --------------- ------------------------ Equity contracts Payables: 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, 2016 (amounts in thousands):
LIABILITY DERIVATIVES VALUE - -------------------------- TOTAL VALUE AT EQUITY OCTOBER 31, 2016 CONTRACTS* - ---------------- ---------- U.S. Large Company Portfolio.. $(98) $(98)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported 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, 2016: LOCATION OF GAIN (LOSS) ON DERIVATIVES DERIVATIVE TYPE RECOGNIZED IN INCOME --------------- ------------------------ Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures 249 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, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES ------------------------ EQUITY TOTAL CONTRACTS ------- --------- U.S. Large Company Portfolio.. $(5,349) $(5,349) CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES ------------------------ EQUITY TOTAL CONTRACTS ------- --------- U.S. Large Company Portfolio.. $ (356) $ (356)
I. LINE OF CREDIT AND INTERFUND LENDING PROGRAM: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. 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 29, 2017. 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 effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. 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 7, 2017. For the year ended October 31, 2016, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Large Company Portfolio.. 1.08% $30,853 37 $35 $162,576
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that the Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under the lines of credit as of October 31, 2016. Pursuant to an exemptive order issued by the SEC (the "Order"), the U.S. Large Company Portfolio may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with 250 its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day's notice. The U.S. Large Company Portfolio did not utilize the interfund lending program during the year ended October 31, 2016. J. SECURITIES LENDING: As of October 31, 2016, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities with a market value of $153,436 (amount 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 in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 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, the 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 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. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS AS OF OCTOBER 31, 2016 --------------------------------------------------------- OVERNIGHT AND BETWEEN CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL ------------- -------- ------------ -------- ------------ SECURITIES LENDING TRANSACTIONS U.S. LARGE COMPANY PORTFOLIO Common Stocks.................. $336,121,883 -- -- -- $336,121,883
K. SHAREHOLDER SERVICING FEES: The Class R2 Shares pay a shareholder servicing fee in an amount up to 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. 251 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 that 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, 2016, the following number of shareholders held the following approximate percentages of the 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 OF NUMBER OF OUTSTANDING SHAREHOLDERS SHARES ------------ ------------- DFA International Value Portfolio-Class R2 Shares... 4 95% DFA International Value Portfolio-Institutional Class Shares...................................... 4 73% U.S. Large Company Portfolio........................ 4 76%
N. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 252 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") as of October 31, 2016, 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 as of October 31, 2016 by correspondence with the custodian, broker and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 253 NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940 (UNAUDITED) As noted in the table provided below, the following Portfolios paid distributions to shareholders of record that included amounts from net investment income and return of capital. Please note that this information is being provided to satisfy certain notice requirements under the Investment Company Act of 1940 and is not being provided for tax reporting purposes. Each Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial intermediary should provide (or has provided) shareholders with similar information) for the relevant calendar year informing shareholders how to report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES ------------------------------------------------- NET NET REALIZED NET REALIZED INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL -------------- ---------- -------------- -------------- --------- DFA International Value Portfolio December 16, 2015.............. 80% 0% 0% 20% June 29, 2016.................. 97% 0% 0% 3% U.S. Large Company Portfolio December 15, 2015.............. 86% 0% 0% 14% March 30, 2016................. 87% 0% 0% 13% June 29, 2016.................. 84% 0% 0% 16%
Each Portfolio estimates that it has distributed more than the amount of net investment income and net realized capital gains; therefore, a portion of the distributions may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder's investment in a Portfolio is returned to the shareholder. A return of capital does not necessarily reflect a Portfolio's investment performance and should not be confused with yield or income. When distributions exceed total return performance, the difference will reduce a Portfolio's net asset value per share. 254 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000 VALUE INDEX OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The U.S. Large Cap Russell 1000 Value Value Series Index -------------------- ------------------ 10/1/2006 $10,000 $10,000 11/1/2006 10,190 10,228 12/1/2006 10,395 10,458 1/1/2007 10,698 10,592 2/1/2007 10,537 10,427 3/1/2007 10,610 10,588 4/1/2007 11,062 10,979 5/1/2007 11,518 11,375 6/1/2007 11,332 11,109 7/1/2007 10,630 10,595 8/1/2007 10,427 10,714 9/1/2007 10,699 11,082 10/1/2007 10,759 11,083 11/1/2007 10,158 10,542 12/1/2007 10,124 10,440 1/1/2008 9,737 10,022 2/1/2008 9,439 9,602 3/1/2008 9,351 9,530 4/1/2008 9,940 9,994 5/1/2008 10,179 9,978 6/1/2008 9,063 9,023 7/1/2008 8,964 8,991 8/1/2008 9,138 9,144 9/1/2008 8,317 8,472 10/1/2008 6,447 7,005 11/1/2008 5,815 6,503 12/1/2008 6,004 6,593 1/1/2009 5,291 5,835 2/1/2009 4,550 5,055 3/1/2009 4,999 5,488 4/1/2009 5,808 6,076 5/1/2009 6,253 6,452 6/1/2009 6,176 6,404 7/1/2009 6,765 6,928 8/1/2009 7,224 7,290 9/1/2009 7,540 7,572 10/1/2009 7,215 7,340 11/1/2009 7,621 7,754 12/1/2009 7,832 7,891 1/1/2010 7,650 7,669 2/1/2010 7,980 7,911 3/1/2010 8,602 8,426 4/1/2010 8,875 8,645 5/1/2010 8,114 7,934 6/1/2010 7,502 7,487 7/1/2010 8,090 7,994 8/1/2010 7,602 7,652 9/1/2010 8,344 8,246 10/1/2010 8,655 8,493 11/1/2010 8,588 8,448 12/1/2010 9,425 9,115 1/1/2011 9,726 9,321 2/1/2011 10,253 9,665 3/1/2011 10,300 9,703 4/1/2011 10,563 9,962 5/1/2011 10,410 9,856 6/1/2011 10,229 9,654 7/1/2011 9,760 9,334 8/1/2011 8,937 8,752 9/1/2011 8,033 8,090 10/1/2011 9,147 9,016 11/1/2011 9,071 8,970 12/1/2011 9,143 9,151 1/1/2012 9,597 9,497 2/1/2012 10,152 9,875 3/1/2012 10,339 10,168 4/1/2012 10,128 10,064 5/1/2012 9,410 9,474 6/1/2012 9,918 9,945 7/1/2012 10,013 10,047 8/1/2012 10,410 10,266 9/1/2012 10,793 10,591 10/1/2012 10,822 10,539 11/1/2012 10,846 10,535 12/1/2012 11,176 10,753 1/1/2013 11,956 11,452 2/1/2013 12,109 11,616 3/1/2013 12,688 12,076 4/1/2013 12,822 12,259 5/1/2013 13,348 12,573 6/1/2013 13,200 12,463 7/1/2013 13,989 13,135 8/1/2013 13,578 12,637 9/1/2013 13,975 12,954 10/1/2013 14,683 13,521 11/1/2013 15,300 13,898 12/1/2013 15,706 14,250 1/1/2014 15,085 13,744 2/1/2014 15,596 14,338 3/1/2014 15,965 14,681 4/1/2014 16,070 14,820 5/1/2014 16,424 15,037 6/1/2014 16,869 15,430 7/1/2014 16,749 15,167 8/1/2014 17,280 15,725 9/1/2014 16,855 15,400 10/1/2014 16,984 15,746 11/1/2014 17,185 16,069 12/1/2014 17,314 16,167 1/1/2015 16,458 15,521 2/1/2015 17,620 16,272 3/1/2015 17,285 16,050 4/1/2015 17,635 16,200 5/1/2015 17,831 16,395 6/1/2015 17,544 16,068 7/1/2015 17,501 16,138 8/1/2015 16,438 15,177 9/1/2015 15,912 14,719 10/1/2015 17,209 15,830 11/1/2015 17,276 15,890 12/1/2015 16,735 15,548 1/1/2016 15,596 14,745 2/1/2016 15,625 14,741 3/1/2016 16,764 15,803 4/1/2016 17,218 16,135 5/1/2016 17,453 16,386 6/1/2016 17,434 16,527 7/1/2016 18,036 17,007 Past performance is not predictive of 8/1/2016 18,252 17,138 future performance. 9/1/2016 18,338 17,103 The returns shown do not reflect the 10/1/2016 18,027 16,838 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 1995-2016, all rights 4.75% 14.53% 6.07% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The DFA International MSCI World ex Value Series USA Index (net dividends) --------------------- ------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,332 10,298 12/1/2006 10,735 10,593 1/1/2007 10,938 10,658 2/1/2007 10,928 10,743 3/1/2007 11,281 11,018 4/1/2007 11,851 11,520 5/1/2007 12,256 11,775 6/1/2007 12,166 11,787 7/1/2007 11,828 11,624 8/1/2007 11,696 11,456 9/1/2007 12,306 12,107 10/1/2007 12,903 12,633 11/1/2007 12,121 12,139 12/1/2007 11,860 11,911 1/1/2008 10,900 10,837 2/1/2008 10,761 11,033 3/1/2008 10,890 10,876 4/1/2008 11,376 11,480 5/1/2008 11,382 11,655 6/1/2008 10,256 10,748 7/1/2008 9,966 10,366 8/1/2008 9,549 9,965 9/1/2008 8,434 8,526 10/1/2008 6,319 6,753 11/1/2008 5,931 6,386 12/1/2008 6,380 6,723 1/1/2009 5,499 6,096 2/1/2009 4,824 5,479 3/1/2009 5,350 5,840 4/1/2009 6,336 6,593 5/1/2009 7,277 7,427 6/1/2009 7,166 7,350 7/1/2009 8,019 8,040 8/1/2009 8,479 8,425 9/1/2009 8,911 8,773 10/1/2009 8,556 8,632 11/1/2009 8,811 8,845 12/1/2009 8,911 8,986 1/1/2010 8,396 8,565 2/1/2010 8,429 8,557 3/1/2010 9,094 9,107 4/1/2010 8,939 8,972 5/1/2010 7,892 7,982 6/1/2010 7,753 7,866 7/1/2010 8,723 8,593 8/1/2010 8,296 8,336 9/1/2010 9,188 9,136 10/1/2010 9,509 9,462 11/1/2010 9,033 9,061 12/1/2010 9,875 9,790 1/1/2011 10,295 10,001 2/1/2011 10,639 10,372 3/1/2011 10,345 10,164 4/1/2011 10,899 10,718 5/1/2011 10,506 10,400 6/1/2011 10,362 10,252 7/1/2011 10,030 10,083 8/1/2011 8,955 9,231 9/1/2011 7,975 8,304 10/1/2011 8,745 9,111 11/1/2011 8,457 8,690 12/1/2011 8,230 8,595 1/1/2012 8,784 9,059 2/1/2012 9,243 9,557 3/1/2012 9,166 9,487 4/1/2012 8,839 9,326 5/1/2012 7,748 8,262 6/1/2012 8,296 8,804 7/1/2012 8,263 8,913 8/1/2012 8,606 9,168 9/1/2012 8,911 9,446 10/1/2012 9,022 9,512 11/1/2012 9,166 9,712 12/1/2012 9,614 10,006 1/1/2013 10,068 10,498 2/1/2013 9,764 10,393 3/1/2013 9,797 10,476 4/1/2013 10,279 10,953 5/1/2013 10,157 10,708 6/1/2013 9,797 10,307 7/1/2013 10,467 10,855 8/1/2013 10,395 10,715 9/1/2013 11,176 11,472 10/1/2013 11,564 11,857 11/1/2013 11,608 11,930 12/1/2013 11,863 12,110 1/1/2014 11,431 11,621 2/1/2014 12,084 12,255 3/1/2014 11,996 12,200 4/1/2014 12,201 12,392 5/1/2014 12,339 12,584 6/1/2014 12,489 12,763 7/1/2014 12,212 12,536 8/1/2014 12,217 12,546 9/1/2014 11,680 12,030 10/1/2014 11,481 11,839 11/1/2014 11,486 11,985 12/1/2014 11,060 11,586 1/1/2015 10,988 11,545 2/1/2015 11,774 12,235 3/1/2015 11,525 12,030 4/1/2015 12,156 12,551 5/1/2015 12,162 12,442 6/1/2015 11,813 12,089 7/1/2015 11,697 12,280 8/1/2015 10,827 11,386 9/1/2015 10,091 10,811 10/1/2015 10,866 11,624 11/1/2015 10,722 11,439 12/1/2015 10,378 11,234 1/1/2016 9,570 10,461 2/1/2016 9,265 10,315 3/1/2016 9,969 11,015 4/1/2016 10,450 11,369 5/1/2016 10,257 11,241 6/1/2016 9,886 10,899 7/1/2016 10,323 11,435 8/1/2016 10,600 11,446 Past performance is not predictive of 9/1/2016 10,716 11,585 future performance. 10/1/2016 10,855 11,360 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 2016, all -0.10% 4.42% 0.82% rights reserved.
-------------------------------------------------------------------------------- 255 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The Japanese Small Company MSCI Japan Small Cap Index Series (net dividends) ---------------------- -------------------------- 10/31/2006 $10,000 $10,000 11/30/2006 9,937 9,916 12/31/2006 10,021 9,974 1/31/2007 10,231 10,167 2/28/2007 10,641 10,569 3/31/2007 10,568 10,471 4/30/2007 10,421 10,292 5/31/2007 10,210 10,047 6/30/2007 10,379 10,113 7/31/2007 10,442 10,110 8/31/2007 10,000 9,494 9/30/2007 9,989 9,437 10/31/2007 10,053 9,778 11/30/2007 9,821 9,367 12/31/2007 9,211 8,806 1/31/2008 8,948 8,374 2/29/2008 8,885 8,466 3/31/2008 9,064 8,468 4/30/2008 9,127 8,573 5/31/2008 9,464 8,838 6/30/2008 9,022 8,295 7/31/2008 8,770 8,023 8/31/2008 8,286 7,669 9/30/2008 7,750 6,920 10/31/2008 7,182 6,190 11/30/2008 7,371 6,442 12/31/2008 8,128 6,944 1/31/2009 7,571 6,580 2/28/2009 6,593 5,715 3/31/2009 6,887 5,917 4/30/2009 7,171 6,220 5/31/2009 8,055 6,981 6/30/2009 8,591 7,425 7/31/2009 8,770 7,611 8/31/2009 9,232 8,037 9/30/2009 9,138 8,005 10/31/2009 8,812 7,712 11/30/2009 8,454 7,437 12/31/2009 8,423 7,298 1/31/2010 8,538 7,455 2/28/2010 8,707 7,597 3/31/2010 9,148 7,943 4/30/2010 9,422 8,158 5/31/2010 8,633 7,592 6/30/2010 8,770 7,625 7/31/2010 8,927 7,718 8/31/2010 8,686 7,554 9/30/2010 9,064 7,863 10/31/2010 8,875 7,799 11/30/2010 9,096 7,951 12/31/2010 9,937 8,753 1/31/2011 10,168 8,857 2/28/2011 10,641 9,213 3/31/2011 9,979 8,645 4/30/2011 9,926 8,652 5/31/2011 9,758 8,524 6/30/2011 10,252 8,841 7/31/2011 10,631 9,209 8/31/2011 10,347 8,832 9/30/2011 10,294 8,840 10/31/2011 9,769 8,514 11/30/2011 9,926 8,283 12/31/2011 9,874 8,413 1/31/2012 10,505 8,758 2/29/2012 10,515 8,853 3/31/2012 10,820 9,090 4/30/2012 10,599 8,958 5/31/2012 9,716 8,214 6/30/2012 10,231 8,564 7/31/2012 9,884 8,430 8/31/2012 9,895 8,382 9/30/2012 10,032 8,614 10/31/2012 9,821 8,428 11/30/2012 9,968 8,486 12/31/2012 10,336 8,750 1/31/2013 10,662 9,077 2/28/2013 10,925 9,385 3/31/2013 11,767 10,143 4/30/2013 12,387 10,811 5/31/2013 11,377 9,954 6/30/2013 11,483 9,927 7/31/2013 11,756 10,088 8/31/2013 11,493 9,952 9/30/2013 12,797 11,085 10/31/2013 12,829 11,040 11/30/2013 12,734 10,967 12/31/2013 12,829 11,055 1/31/2014 12,702 11,023 2/28/2014 12,650 10,778 3/31/2014 12,713 10,806 4/30/2014 12,524 10,605 5/31/2014 12,850 10,953 6/30/2014 13,764 11,728 7/31/2014 13,680 11,791 8/31/2014 13,807 11,707 9/30/2014 13,386 11,315 10/31/2014 13,144 11,013 11/30/2014 12,650 10,888 12/31/2014 12,766 11,003 1/31/2015 13,081 11,372 2/28/2015 13,617 11,782 3/31/2015 13,796 12,009 4/30/2015 14,132 12,234 5/31/2015 14,280 12,378 6/30/2015 14,574 12,559 7/31/2015 14,490 12,511 8/31/2015 14,048 12,082 9/30/2015 13,617 11,648 10/31/2015 14,332 12,426 11/30/2015 14,658 12,584 12/31/2015 14,606 12,688 1/31/2016 13,880 11,881 2/29/2016 13,396 11,758 3/31/2016 14,269 12,491 4/30/2016 14,448 13,035 5/31/2016 14,816 13,038 6/30/2016 14,753 12,961 7/31/2016 15,552 13,656 Past performance is not predictive of 8/31/2016 15,184 13,172 future performance. 9/30/2016 16,109 13,883 The returns shown do not reflect the 10/31/2016 16,414 14,068 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 2016, all 14.53% 10.94% 5.08% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE ASIA PACIFIC SMALL COMPANY SERIES VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The Asia Pacific MSCI Pacific ex Japan Small Company Series Small Cap Index (net dividends) -------------------- ------------------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,558 10,608 12/31/2006 10,862 11,004 1/31/2007 11,143 11,283 2/28/2007 11,442 11,498 3/31/2007 12,041 12,092 4/30/2007 12,885 12,930 5/31/2007 13,991 13,438 6/30/2007 14,567 13,787 7/31/2007 14,797 13,784 8/31/2007 13,696 12,896 9/30/2007 15,300 14,041 10/31/2007 16,641 15,001 11/30/2007 15,544 13,796 12/31/2007 15,281 13,606 1/31/2008 13,747 11,783 2/29/2008 14,171 12,483 3/31/2008 13,484 11,695 4/30/2008 14,429 12,478 5/31/2008 15,060 12,612 6/30/2008 13,581 11,201 7/31/2008 12,783 10,686 8/31/2008 11,889 9,818 9/30/2008 9,848 7,901 10/31/2008 6,576 5,111 11/30/2008 5,945 4,553 12/31/2008 6,594 5,082 1/31/2009 5,783 4,522 2/28/2009 5,465 4,241 3/31/2009 6,313 4,849 4/30/2009 7,258 5,717 5/31/2009 9,134 7,088 6/30/2009 9,207 7,288 7/31/2009 10,539 8,340 8/31/2009 11,018 8,769 9/30/2009 11,880 9,503 10/31/2009 12,147 9,731 11/30/2009 12,714 10,011 12/31/2009 13,051 10,411 1/31/2010 12,346 9,745 2/28/2010 12,567 9,867 3/31/2010 13,604 10,680 4/30/2010 13,793 10,979 5/31/2010 11,885 9,321 6/30/2010 11,742 9,268 7/31/2010 13,046 10,211 8/31/2010 13,032 10,189 9/30/2010 15,009 11,718 10/31/2010 15,659 12,238 11/30/2010 15,452 12,075 12/31/2010 16,968 13,294 1/31/2011 16,608 12,907 2/28/2011 16,714 12,978 3/31/2011 17,069 13,376 4/30/2011 17,797 13,917 5/31/2011 17,272 13,599 6/30/2011 16,691 13,115 7/31/2011 16,968 13,308 8/31/2011 15,788 12,383 9/30/2011 12,843 10,131 10/31/2011 14,853 11,791 11/30/2011 14,456 10,987 12/31/2011 13,613 10,635 1/31/2012 15,023 11,739 2/29/2012 16,157 12,652 3/31/2012 15,926 12,256 4/30/2012 15,862 12,322 5/31/2012 13,885 10,723 6/30/2012 14,180 10,873 7/31/2012 14,392 11,230 8/31/2012 14,876 11,410 9/30/2012 15,613 12,017 10/31/2012 15,963 12,264 11/30/2012 16,194 12,385 12/31/2012 16,954 12,696 1/31/2013 17,806 13,369 2/28/2013 17,885 13,528 3/31/2013 17,963 13,562 4/30/2013 17,668 13,454 5/31/2013 16,359 12,464 6/30/2013 15,203 11,398 7/31/2013 15,954 11,854 8/31/2013 16,083 11,956 9/30/2013 17,212 12,876 10/31/2013 17,705 13,102 11/30/2013 17,092 12,549 12/31/2013 17,304 12,608 1/31/2014 16,488 12,024 2/28/2014 17,442 12,671 3/31/2014 17,700 12,905 4/30/2014 17,747 12,989 5/31/2014 17,765 13,095 6/30/2014 17,903 13,166 7/31/2014 18,281 13,453 8/31/2014 18,567 13,557 9/30/2014 16,857 12,311 10/31/2014 17,101 12,456 11/30/2014 16,429 12,061 12/31/2014 15,954 11,759 1/31/2015 15,576 11,527 2/28/2015 16,336 12,087 3/31/2015 16,111 11,869 4/30/2015 17,415 12,550 5/31/2015 17,608 12,489 6/30/2015 16,369 11,590 7/31/2015 15,571 11,067 8/31/2015 14,244 10,035 9/30/2015 14,041 9,827 10/31/2015 15,078 10,629 11/30/2015 15,032 10,541 12/31/2015 15,452 10,720 1/31/2016 14,332 9,788 2/29/2016 14,548 10,027 3/31/2016 16,286 11,185 4/30/2016 16,507 11,386 5/31/2016 16,327 11,196 6/30/2016 16,599 11,272 7/31/2016 17,747 12,106 8/31/2016 17,622 12,016 9/30/2016 18,147 12,267 Past performance is not predictive of 10/31/2016 17,594 11,751 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 2016, all 16.69% 3.45% 5.81% rights reserved.
-------------------------------------------------------------------------------- 256 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The United Kingdom MSCI UK Small Cap Small Company Series Index (net dividends) -------------------- --------------------- 10/31/06 $10,000 $10,000 11/30/06 10,628 10,648 12/31/06 11,208 11,148 1/31/07 11,287 11,122 2/28/07 11,285 11,156 3/31/07 11,817 11,618 4/30/07 12,224 12,195 5/31/07 12,388 12,273 6/30/07 11,935 11,916 7/31/07 11,873 11,849 8/31/07 11,805 11,414 9/30/07 11,398 10,767 10/31/07 12,309 11,951 11/30/07 10,886 10,568 12/31/07 10,311 10,037 1/31/08 9,618 9,230 2/29/08 9,759 9,542 3/31/08 9,723 9,422 4/30/08 9,887 9,598 5/31/08 9,915 9,643 6/30/08 9,126 8,984 7/31/08 8,806 8,625 8/31/08 8,664 8,400 9/30/08 7,326 6,855 10/31/08 5,359 4,953 11/30/08 4,980 4,494 12/31/08 4,870 4,380 1/31/09 4,751 4,356 2/28/09 4,556 4,211 3/31/09 4,754 4,455 4/30/09 5,750 5,479 5/31/09 6,338 6,058 6/30/09 6,370 6,100 7/31/09 6,921 6,662 8/31/09 7,462 7,304 9/30/09 7,680 7,473 10/31/09 7,691 7,483 11/30/09 7,668 7,406 12/31/09 7,830 7,588 1/31/10 7,753 7,553 2/28/10 7,487 7,215 3/31/10 8,115 7,851 4/30/10 8,415 8,164 5/31/10 7,465 7,183 6/30/10 7,606 7,214 7/31/10 8,633 8,082 8/31/10 8,316 7,862 9/30/10 9,205 8,728 10/31/10 9,686 9,100 11/30/10 9,211 8,721 12/31/10 10,153 9,634 1/31/11 10,300 9,727 2/28/11 10,611 9,984 3/31/11 10,416 9,811 4/30/11 11,338 10,711 5/31/11 11,271 10,575 6/30/11 10,911 10,219 7/31/11 10,840 10,191 8/31/11 9,759 9,151 9/30/11 8,775 8,186 10/31/11 9,706 9,081 11/30/11 9,411 8,728 12/31/11 9,120 8,437 1/31/12 9,926 9,293 2/29/12 10,736 10,156 3/31/12 10,971 10,189 4/30/12 11,160 10,363 5/31/12 9,904 9,079 6/30/12 10,390 9,511 7/31/12 10,566 9,684 8/31/12 11,146 10,197 9/30/12 11,720 10,741 10/31/12 11,978 10,963 11/30/12 12,054 10,967 12/31/12 12,719 11,472 1/31/13 12,946 11,774 2/28/13 13,065 11,840 3/31/13 13,455 12,159 4/30/13 13,797 12,463 5/31/13 13,928 12,631 6/30/13 13,622 12,176 7/31/13 14,776 13,190 8/31/13 14,884 13,370 9/30/13 15,891 14,374 10/31/13 16,460 14,880 11/30/13 16,836 15,230 12/31/13 17,767 15,966 1/31/14 17,349 15,627 2/28/14 18,908 17,142 3/31/14 18,328 16,524 4/30/14 18,028 16,129 5/31/14 18,014 16,160 6/30/14 17,999 16,121 7/31/14 17,442 15,666 8/31/14 17,708 15,831 9/30/14 16,698 14,902 10/31/14 16,661 14,807 11/30/14 16,534 14,812 12/31/14 16,802 15,055 1/31/15 16,426 14,645 2/28/15 17,971 16,091 3/31/15 17,040 15,351 4/30/15 18,115 16,335 5/31/15 19,029 17,085 6/30/15 18,981 17,106 7/31/15 19,021 17,228 8/31/15 18,223 16,550 9/30/15 17,674 15,940 10/31/15 18,319 16,646 11/30/15 18,291 16,511 12/31/15 18,098 16,335 1/31/16 16,667 14,749 2/29/16 16,370 14,595 3/31/16 17,351 15,624 4/30/16 17,442 15,834 5/31/16 17,725 16,290 6/30/16 15,492 13,974 7/31/16 16,330 14,778 Past performance is not predictive of 8/31/16 16,681 15,025 future performance. 9/30/16 16,703 15,153 The returns shown do not reflect the 10/31/16 15,422 14,001 deduction of taxes that a shareholder AVERAGE ANNUAL FIVE TEN would pay on fund distributions or the TOTAL RETURN ONE YEAR YEARS YEARS redemption of fund shares. ----------------------------------------------------- MSCI data copyright MSCI 2016, all -15.82% 9.70% 4.43% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The Continental Small MSCI Europe ex UK Small Company Series Cap Index (net dividends) --------------------- ------------------------- 10/31/2006 $10,000 $10,000 11/30/2006 10,696 10,700 12/31/2006 11,206 11,204 1/31/2007 11,726 11,563 2/28/2007 11,746 11,613 3/31/2007 12,433 12,230 4/30/2007 13,088 12,970 5/31/2007 13,342 13,197 6/30/2007 13,197 13,070 7/31/2007 13,126 12,975 8/31/2007 12,660 12,388 9/30/2007 12,943 12,634 10/31/2007 13,567 13,390 11/30/2007 12,566 12,432 12/31/2007 12,326 12,180 1/31/2008 11,153 10,713 2/29/2008 11,632 11,362 3/31/2008 12,002 11,593 4/30/2008 12,147 11,791 5/31/2008 12,381 11,974 6/30/2008 11,338 10,868 7/31/2008 10,738 10,251 8/31/2008 10,446 9,971 9/30/2008 8,629 7,906 10/31/2008 6,326 5,682 11/30/2008 5,833 5,211 12/31/2008 6,441 5,692 1/31/2009 5,710 5,181 2/28/2009 5,217 4,725 3/31/2009 5,596 5,090 4/30/2009 6,513 6,150 5/31/2009 7,456 7,068 6/30/2009 7,365 6,977 7/31/2009 7,951 7,604 8/31/2009 8,618 8,384 9/30/2009 9,356 9,188 10/31/2009 9,095 8,937 11/30/2009 9,371 9,121 12/31/2009 9,342 9,162 1/31/2010 9,188 9,040 2/28/2010 8,994 8,782 3/31/2010 9,663 9,494 4/30/2010 9,572 9,435 5/31/2010 8,212 7,975 6/30/2010 8,161 7,856 7/31/2010 9,137 8,797 8/31/2010 8,720 8,379 9/30/2010 9,920 9,672 10/31/2010 10,493 10,292 11/30/2010 9,679 9,513 12/31/2010 10,934 10,844 1/31/2011 11,246 11,090 2/28/2011 11,440 11,278 3/31/2011 11,826 11,658 4/30/2011 12,627 12,473 5/31/2011 12,201 11,997 6/30/2011 11,808 11,610 7/31/2011 11,142 10,905 8/31/2011 9,998 9,766 9/30/2011 8,493 8,299 10/31/2011 9,365 9,208 11/30/2011 8,747 8,488 12/31/2011 8,404 8,200 1/31/2012 9,204 9,013 2/29/2012 9,795 9,705 3/31/2012 9,813 9,626 4/30/2012 9,585 9,466 5/31/2012 8,276 8,168 6/30/2012 8,640 8,570 7/31/2012 8,553 8,540 8/31/2012 8,943 8,912 9/30/2012 9,416 9,392 10/31/2012 9,579 9,554 11/30/2012 9,708 9,700 12/31/2012 10,294 10,223 1/31/2013 11,075 11,055 2/28/2013 10,965 11,022 3/31/2013 10,720 10,738 4/30/2013 11,162 11,155 5/31/2013 11,369 11,409 6/30/2013 10,994 10,901 7/31/2013 11,953 11,892 8/31/2013 11,969 11,870 9/30/2013 13,017 12,885 10/31/2013 13,761 13,661 11/30/2013 14,011 13,904 12/31/2013 14,406 14,265 1/31/2014 14,317 14,147 2/28/2014 15,576 15,383 3/31/2014 15,657 15,396 4/30/2014 15,810 15,460 5/31/2014 15,875 15,634 6/30/2014 15,737 15,482 7/31/2014 14,818 14,569 8/31/2014 14,642 14,451 9/30/2014 13,862 13,655 10/31/2014 13,452 13,209 11/30/2014 13,775 13,596 12/31/2014 13,338 13,271 1/31/2015 13,429 13,302 2/28/2015 14,357 14,284 3/31/2015 14,288 14,139 4/30/2015 15,052 14,896 5/31/2015 15,070 14,797 6/30/2015 14,756 14,447 7/31/2015 15,171 14,983 8/31/2015 14,604 14,404 9/30/2015 14,089 13,917 10/31/2015 14,771 14,713 11/30/2015 14,747 14,674 12/31/2015 14,934 14,892 1/31/2016 13,922 13,714 2/29/2016 13,900 13,762 3/31/2016 15,086 14,996 4/30/2016 15,398 15,184 5/31/2016 15,431 15,248 6/30/2016 14,586 14,258 7/31/2016 15,552 15,183 8/31/2016 15,755 15,313 9/30/2016 16,147 15,680 Past performance is not predictive of 10/31/2016 15,672 15,097 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 2016, all 6.10% 10.85% 4.60% rights reserved.
-------------------------------------------------------------------------------- 257 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, 2016 [CHART] The MSCI Canada Small Cap Canadian Small Company Series Index (net dividends) -------------------------------- ------------------------ 4/1/2007 $10,000 $10,000 4/1/2007 10,710 10,487 5/1/2007 11,420 11,331 6/1/2007 11,370 11,306 7/1/2007 11,300 11,024 8/1/2007 10,560 10,340 9/1/2007 11,730 11,600 10/1/2007 13,000 12,852 11/1/2007 11,020 10,809 12/1/2007 11,430 11,109 1/1/2008 10,350 10,107 2/1/2008 11,160 11,071 3/1/2008 10,290 10,199 4/1/2008 10,540 10,555 5/1/2008 11,140 11,104 6/1/2008 10,620 10,725 7/1/2008 9,710 9,775 8/1/2008 9,310 9,530 9/1/2008 7,190 7,506 10/1/2008 4,800 5,011 11/1/2008 4,180 4,560 12/1/2008 4,500 4,785 1/1/2009 4,530 4,833 2/1/2009 4,120 4,454 3/1/2009 4,380 4,708 4/1/2009 5,300 5,466 5/1/2009 6,340 6,622 6/1/2009 5,950 6,220 7/1/2009 6,700 6,996 8/1/2009 6,920 7,260 9/1/2009 7,910 8,157 10/1/2009 7,760 8,211 11/1/2009 8,420 8,900 12/1/2009 8,960 9,423 1/1/2010 8,540 9,031 2/1/2010 9,050 9,632 3/1/2010 9,770 10,454 4/1/2010 10,120 10,890 5/1/2010 9,150 9,929 6/1/2010 8,730 9,464 7/1/2010 9,440 10,234 8/1/2010 9,330 10,202 9/1/2010 10,430 11,319 10/1/2010 11,110 12,004 11/1/2010 11,650 12,509 12/1/2010 12,840 13,660 1/1/2011 12,780 13,500 2/1/2011 13,660 14,392 3/1/2011 13,680 14,396 4/1/2011 13,940 14,833 5/1/2011 13,360 14,236 6/1/2011 12,620 13,510 7/1/2011 12,810 13,868 8/1/2011 11,840 13,043 9/1/2011 9,600 10,655 10/1/2011 11,140 12,174 11/1/2011 10,750 11,857 12/1/2011 10,580 11,613 1/1/2012 11,490 12,564 2/1/2012 11,930 13,014 3/1/2012 11,400 12,326 4/1/2012 11,140 12,227 5/1/2012 9,840 10,801 6/1/2012 9,860 10,768 7/1/2012 10,130 11,140 8/1/2012 10,560 11,603 9/1/2012 11,010 12,189 10/1/2012 10,860 11,971 11/1/2012 10,680 11,703 12/1/2012 10,930 11,894 1/1/2013 11,250 12,137 2/1/2013 10,700 11,549 3/1/2013 11,010 11,822 4/1/2013 10,650 11,555 5/1/2013 10,480 11,271 6/1/2013 10,050 10,576 7/1/2013 10,790 11,389 8/1/2013 10,690 11,262 9/1/2013 11,170 11,696 10/1/2013 11,480 11,959 11/1/2013 11,330 11,668 12/1/2013 11,610 11,958 1/1/2014 11,250 11,555 2/1/2014 11,970 12,358 3/1/2014 12,140 12,468 4/1/2014 12,670 12,944 5/1/2014 12,690 12,956 6/1/2014 13,650 14,057 7/1/2014 13,010 13,443 8/1/2014 13,460 13,905 9/1/2014 11,920 12,434 10/1/2014 11,040 11,601 11/1/2014 10,730 11,276 12/1/2014 10,480 10,983 1/1/2015 9,420 9,940 2/1/2015 10,000 10,500 3/1/2015 9,550 10,048 4/1/2015 10,600 11,033 5/1/2015 10,230 10,663 6/1/2015 9,810 10,298 7/1/2015 8,610 9,288 8/1/2015 8,370 8,813 9/1/2015 7,770 8,286 10/1/2015 8,280 8,732 11/1/2015 7,970 8,483 12/1/2015 7,590 7,884 1/1/2016 7,240 7,532 2/1/2016 7,850 8,157 3/1/2016 8,690 9,103 4/1/2016 9,960 10,220 5/1/2016 9,580 9,848 6/1/2016 10,050 10,263 7/1/2016 10,360 10,696 8/1/2016 10,140 10,364 9/1/2016 10,350 10,494 Past performance is not predictive of 10/1/2016 10,000 10,048 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 2016, all 20.77% -2.14% 0.00% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The MSCI Emerging Markets Index Emerging Markets Series (net dividends) ----------------------- --------------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,641 10,743 12/1/2006 11,072 11,227 1/1/2007 11,236 11,108 2/1/2007 11,065 11,043 3/1/2007 11,570 11,481 4/1/2007 12,311 12,025 5/1/2007 13,136 12,609 6/1/2007 13,353 13,200 7/1/2007 13,677 13,897 8/1/2007 13,444 13,601 9/1/2007 14,629 15,103 10/1/2007 16,236 16,788 11/1/2007 15,177 15,597 12/1/2007 15,124 15,652 1/1/2008 13,808 13,699 2/1/2008 14,248 14,710 3/1/2008 13,808 13,932 4/1/2008 14,796 15,062 5/1/2008 14,883 15,342 6/1/2008 13,357 13,811 7/1/2008 13,183 13,290 8/1/2008 12,401 12,229 9/1/2008 10,678 10,089 10/1/2008 7,866 7,328 11/1/2008 7,154 6,776 12/1/2008 7,715 7,305 1/1/2009 7,124 6,833 2/1/2009 6,663 6,447 3/1/2009 7,625 7,374 4/1/2009 8,758 8,601 5/1/2009 10,251 10,071 6/1/2009 10,164 9,935 7/1/2009 11,329 11,052 8/1/2009 11,369 11,013 9/1/2009 12,375 12,012 10/1/2009 12,118 12,027 11/1/2009 12,842 12,544 12/1/2009 13,307 13,039 1/1/2010 12,582 12,312 2/1/2010 12,735 12,355 3/1/2010 13,804 13,353 4/1/2010 13,888 13,514 5/1/2010 12,599 12,326 6/1/2010 12,619 12,235 7/1/2010 13,731 13,254 8/1/2010 13,413 12,997 9/1/2010 14,940 14,441 10/1/2010 15,394 14,860 11/1/2010 15,050 14,468 12/1/2010 16,276 15,500 1/1/2011 15,855 15,080 2/1/2011 15,745 14,939 3/1/2011 16,623 15,818 4/1/2011 17,204 16,308 5/1/2011 16,730 15,880 6/1/2011 16,533 15,636 7/1/2011 16,406 15,567 8/1/2011 15,080 14,176 9/1/2011 12,799 12,109 10/1/2011 14,402 13,713 11/1/2011 13,904 12,799 12/1/2011 13,500 12,645 1/1/2012 14,947 14,079 2/1/2012 15,758 14,922 3/1/2012 15,351 14,424 4/1/2012 15,077 14,252 5/1/2012 13,454 12,653 6/1/2012 14,122 13,142 7/1/2012 14,235 13,398 8/1/2012 14,332 13,354 9/1/2012 15,134 14,159 10/1/2012 15,057 14,073 11/1/2012 15,254 14,252 12/1/2012 16,149 14,949 1/1/2013 16,232 15,155 2/1/2013 16,045 14,965 3/1/2013 15,818 14,707 4/1/2013 15,999 14,818 5/1/2013 15,481 14,438 6/1/2013 14,509 13,518 7/1/2013 14,723 13,660 8/1/2013 14,379 13,425 9/1/2013 15,404 14,298 10/1/2013 16,109 14,993 11/1/2013 15,868 14,774 12/1/2013 15,708 14,560 1/1/2014 14,619 13,615 2/1/2014 15,150 14,066 3/1/2014 15,685 14,497 4/1/2014 15,778 14,546 5/1/2014 16,316 15,053 6/1/2014 16,770 15,453 7/1/2014 16,971 15,752 8/1/2014 17,502 16,107 9/1/2014 16,216 14,913 10/1/2014 16,389 15,089 11/1/2014 16,232 14,930 12/1/2014 15,501 14,241 1/1/2015 15,605 14,327 2/1/2015 16,082 14,770 3/1/2015 15,748 14,560 4/1/2015 16,804 15,680 5/1/2015 16,129 15,052 6/1/2015 15,741 14,661 7/1/2015 14,733 13,645 8/1/2015 13,517 12,411 9/1/2015 13,156 12,038 10/1/2015 13,955 12,896 11/1/2015 13,470 12,393 12/1/2015 13,103 12,117 1/1/2016 12,555 11,331 2/1/2016 12,478 11,312 3/1/2016 14,132 12,809 4/1/2016 14,218 12,879 5/1/2016 13,667 12,398 6/1/2016 14,389 12,894 7/1/2016 15,130 13,543 8/1/2016 15,314 13,879 Past performance is not predictive of 9/1/2016 15,518 14,058 future performance. 10/1/2016 15,551 14,091 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 2016, all 11.44% 1.55% 4.51% rights reserved.
-------------------------------------------------------------------------------- 258 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] The Emerging Markets MSCI Emerging Markets Small Cap Series Index (net dividends) -------------------- --------------------- 10/1/2006 $10,000 $10,000 11/1/2006 10,760 10,743 12/1/2006 11,257 11,227 1/1/2007 11,480 11,108 2/1/2007 11,577 11,043 3/1/2007 12,101 11,481 4/1/2007 13,028 12,025 5/1/2007 14,068 12,609 6/1/2007 14,491 13,200 7/1/2007 15,202 13,897 8/1/2007 14,575 13,601 9/1/2007 15,579 15,103 10/1/2007 16,759 16,788 11/1/2007 15,422 15,597 12/1/2007 15,602 15,652 1/1/2008 13,731 13,699 2/1/2008 14,128 14,710 3/1/2008 13,471 13,932 4/1/2008 14,291 15,062 5/1/2008 14,211 15,342 6/1/2008 12,574 13,811 7/1/2008 12,384 13,290 8/1/2008 11,637 12,229 9/1/2008 9,543 10,089 10/1/2008 6,652 7,328 11/1/2008 6,249 6,776 12/1/2008 7,136 7,305 1/1/2009 6,592 6,833 2/1/2009 6,189 6,447 3/1/2009 7,042 7,374 4/1/2009 8,469 8,601 5/1/2009 10,393 10,071 6/1/2009 10,343 9,935 7/1/2009 11,667 11,052 8/1/2009 11,807 11,013 9/1/2009 12,794 12,012 10/1/2009 12,784 12,027 11/1/2009 13,545 12,544 12/1/2009 14,291 13,039 1/1/2010 13,665 12,312 2/1/2010 13,901 12,355 3/1/2010 15,092 13,353 4/1/2010 15,342 13,514 5/1/2010 13,805 12,326 6/1/2010 14,175 12,235 7/1/2010 15,482 13,254 8/1/2010 15,559 12,997 9/1/2010 17,452 14,441 10/1/2010 18,149 14,860 11/1/2010 17,666 14,468 12/1/2010 18,683 15,500 1/1/2011 17,899 15,080 2/1/2011 17,379 14,939 3/1/2011 18,349 15,818 4/1/2011 19,320 16,308 5/1/2011 18,890 15,880 6/1/2011 18,886 15,636 7/1/2011 19,103 15,567 8/1/2011 17,296 14,176 9/1/2011 14,225 12,109 10/1/2011 15,802 13,713 11/1/2011 15,038 12,799 12/1/2011 14,638 12,645 1/1/2012 16,295 14,079 2/1/2012 17,633 14,922 3/1/2012 17,186 14,424 4/1/2012 16,776 14,252 5/1/2012 15,248 12,653 6/1/2012 15,832 13,142 7/1/2012 15,645 13,398 8/1/2012 16,055 13,354 9/1/2012 16,996 14,159 10/1/2012 16,939 14,073 11/1/2012 17,239 14,252 12/1/2012 18,306 14,949 1/1/2013 18,650 15,155 2/1/2013 18,846 14,965 3/1/2013 18,766 14,707 4/1/2013 19,150 14,818 5/1/2013 18,886 14,438 6/1/2013 17,252 13,518 7/1/2013 17,339 13,660 8/1/2013 16,622 13,425 9/1/2013 17,843 14,298 10/1/2013 18,533 14,993 11/1/2013 18,276 14,774 12/1/2013 18,133 14,560 1/1/2014 17,362 13,615 2/1/2014 18,143 14,066 3/1/2014 18,770 14,497 4/1/2014 18,926 14,546 5/1/2014 19,577 15,053 6/1/2014 20,090 15,453 7/1/2014 20,140 15,752 8/1/2014 20,767 16,107 9/1/2014 19,743 14,913 10/1/2014 19,570 15,089 11/1/2014 19,356 14,930 12/1/2014 18,766 14,241 1/1/2015 19,073 14,327 2/1/2015 19,567 14,770 3/1/2015 19,423 14,560 4/1/2015 20,810 15,680 5/1/2015 20,530 15,052 6/1/2015 19,833 14,661 7/1/2015 18,623 13,645 8/1/2015 16,806 12,411 9/1/2015 16,782 12,038 10/1/2015 17,726 12,896 11/1/2015 17,366 12,393 12/1/2015 17,209 12,117 1/1/2016 16,192 11,331 2/1/2016 16,125 11,312 3/1/2016 18,113 12,809 4/1/2016 18,580 12,879 5/1/2016 17,809 12,398 6/1/2016 18,796 12,894 7/1/2016 19,893 13,543 8/1/2016 20,023 13,879 Past performance is not predictive of 9/1/2016 20,360 14,058 future performance. 10/1/2016 20,287 14,091 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 2016, all 14.45% 5.12% 7.33% rights reserved.
-------------------------------------------------------------------------------- 259 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS (UNAUDITED) U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Most U.S. equities had positive returns during the period. The broad U.S. equity market, as measured by the Russell 3000(R) Index, gained approximately 4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016 ------------------------------------------------- Russell 3000(R) Index........................ 4.24% Russell Microcap(R) Index (micro-cap stocks). 1.54% Russell 2000(R) Index (small-cap stocks)..... 4.11% Russell 1000(R) Index (large-cap stocks)..... 4.26% Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016 ------------------------------------------------- Russell 2000(R) Value Index (small-cap value stocks)... 8.81% Russell 2000(R) Growth Index (small-cap growth stocks). -0.49% Russell 1000(R) Value Index (large-cap value stocks)... 6.37% Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
---------- Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. 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, 2016, the Series held approximately 300 securities. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 4.75% for the Series and 6.37% for the Russell 1000(R) Value Index, the Series' benchmark. 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 had a larger allocation than the benchmark to lower relative price stocks, which detracted from the Series' performance relative to the benchmark as the lowest relative price quartile underperformed. The Series' exclusion of real estate investment trusts (REITs) and utilities detracted from relative performance as REITs and utilities outperformed most other sectors during the period. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Performance of non-U.S. developed markets was varied for the period. Small-cap stocks had positive returns, while large-cap stocks had negative returns. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. 260
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS - ---------------------- MSCI World ex USA Index......... -2.27% MSCI World ex USA Small Cap Index......................... 3.96% MSCI World ex USA Value Index... -2.07% MSCI World ex USA Growth Index.. -2.58%
During the period, the performance of the U.S. dollar was mixed when compared against the currencies of other developed markets. In particular, while the U.S. dollar appreciated significantly against the British pound, it depreciated significantly against the Japanese yen. Overall, currency fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR --------------------------------------------------- ------------ --------------------- Japan............................. -10.14% 3.19% United Kingdom.................... 13.55% -10.24% France............................ -4.31% -5.04% Switzerland....................... -8.27% -8.57% Canada............................ 11.55% 8.90% Germany........................... -2.14% -2.89% Australia......................... 5.52% 12.55% Hong Kong......................... 8.52% 8.45% Spain............................. -8.40% -9.10% Netherlands....................... 0.63% -0.20%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLAR --------------------- MSCI Emerging Markets Index............. 9.27% MSCI Emerging Markets Small Cap Index... 4.78% MSCI Emerging Markets Value Index....... 8.60% MSCI Emerging Markets Growth Index...... 9.81%
During the period, the performance of the U.S. dollar was mixed when compared against the currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benefitted from USD-denominated returns in emerging markets. 261
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLAR ------------------------------------------ ------------ --------------------- China........................ 1.62% 1.54% Korea........................ 5.56% 5.17% Taiwan....................... 14.56% 17.85% India........................ 6.28% 3.99% South Africa................. -0.92% 1.46% Brazil....................... 40.59% 70.69% Mexico....................... 8.65% -4.51% Russia....................... 17.86% 18.61% Malaysia..................... 4.44% 6.95% Indonesia.................... 26.13% 32.31%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds' relative performance. INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW THE DFA INTERNATIONAL VALUE SERIES The DFA International Value Series is designed to capture the returns of developed ex U.S. large company value stocks. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 500 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were -0.10% for the Series and -2.27% for the MSCI World ex USA Index (net dividends), the Series' benchmark. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Series invests primarily in value stocks, while the benchmark is neutral with regard to value or growth stocks. The Series' emphasis on deep value stocks contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year. The Series' emphasis on mid-cap stocks also contributed positively to relative performance, as those stocks outperformed for the period. 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, 2016, the Series held approximately 1,500 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 14.53% for the Series and 13.21% for the MSCI Japan Small Cap Index (net dividends), the Series' benchmark. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the Japanese equity market rather than by the behavior of a limited number of stocks. The Series' greater allocation than the benchmark to micro-cap securities had a positive impact on its performance relative to the benchmark, as micro-caps generally outperformed other small-cap securities. The Series' outperformance was partially offset by the exclusion of real estate investment trusts (REITs), which outperformed the benchmark. 262 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, 2016, the Series held approximately 850 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, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 16.69% for the Series and 10.56% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Series' benchmark. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in Asia Pacific equity markets rather than by the behavior of a limited number of stocks. The Series' exclusion of small and micro-cap stocks with high relative price (growth) and low profitability contributed to outperformance relative to the benchmark, as that segment of the market underperformed. The Series' holdings of micro-cap securities, which were held at a higher weight than in the benchmark, outperformed, and also contributed positively to the Series' relative performance. In addition, due to differences in methodology, the Series may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion; during the period, these securities also outperformed, contributing to the Series' relative performance. THE UNITED KINGDOM SMALL COMPANY SERIES The United Kingdom Small Company Series is designed to capture the returns of small company stocks in the U.K. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 320 securities. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were -15.82% for the Series and -15.89% for the MSCI UK Small Cap Index (net dividends), the Series' benchmark. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the U.K. equity market rather than by the behavior of a limited number of stocks. The Series' overall performance was adversely affected by the British vote on June 23, 2016 to exit the European Union. The Series' investments are denominated primarily in British pounds, which depreciated approximately 16% from the aftermath of the vote through October 31, 2016. The Series generally excludes real estate investment trusts (REITs), which contributed positively to its performance relative to the benchmark, as REITs in the U.K. underperformed all other sectors during the period. This was offset by differences between the Series' and the benchmark's holdings in the consumer discretionary sector, as the benchmark's holdings in this sector outperformed those of the Series. 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, 2016, the Series held approximately 1,160 securities in 14 eligible developed European countries plus Israel. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 6.10% for the Series and 2.61% for the MSCI Europe ex UK Small Cap Index (net dividends), the Series' benchmark. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in European (excluding the U.K.) and Israeli equity markets rather than by the behavior of a limited number of stocks. The Series' holdings of microcap securities, held at a higher weight than the benchmark, outperformed and contributed to its performance relative to the benchmark. In addition, due to differences in methodology, the Series may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion. During the period, the Series' holdings of these securities outperformed and contributed positively to the Series' relative performance. The Series generally excludes real estate investment trusts (REITs), which also contributed positively to relative outperformance, as REITs underperformed the benchmark. 263 THE CANADIAN SMALL COMPANY SERIES The Canadian Small Company Series is designed to capture the returns of small company stocks in Canada. The investment strategy is process-driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 340 securities. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 20.77% for the Series and 15.06% for the MSCI Canada Small Cap Index (net dividends), the Series' benchmark. As a result of the Series' diversified investment approach, performance was determined principally by broad trends in the Canadian equity market rather than by the behavior of a limited number of stocks. The Series' greater allocation than the benchmark to small and micro-cap securities was the primary driver of outperformance, as those securities generally outperformed. The Series generally excludes real estate investment trusts (REITs), which contributed positively to relative performance, as REITs underperformed the benchmark. 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, 2016, the Series held approximately 1,000 securities across 21 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 11.44% for the Series and 9.27% for the MSCI Emerging Markets Index (net dividends), the Series' benchmark. As a result of the Series' diversified approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The relative outperformance of the Series was driven primarily by country allocation differences between the Series and the benchmark. The Series' lesser allocation to China contributed positively to its performance relative to the benchmark, as China underperformed the benchmark during the period. The Series' greater allocation to Brazil (due to caps on larger countries such as China) also had a positive impact on relative performance, as Brazil was the strongest-performing country for the year. In addition, the Series' emphasis on value stocks contributed positively to relative performance, as that segment of the market outperformed for the year. 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, 2016, the Series held approximately 3,600 securities across 17 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Series' assets. For the 12 months ended October 31, 2016, total returns were 14.45% for the Series and 9.27% for the MSCI Emerging Markets Index (net dividends), the Series' benchmark. As a result of the Series' diversified approach, performance was principally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The outperformance of the Series relative to the benchmark was driven primarily by size allocation differences between the Series and the benchmark. The Series focuses on small-cap stocks while the benchmark primarily holds large-cap and mid-cap stocks. The small- and micro-cap holdings of the Series outperformed those of the benchmark. The Series' lesser allocation to China also contributed positively to relative performance, as China underperformed the benchmark during the period. The Series' greater allocation to Brazil also had a positive impact on relative performance, as Brazil was the strongest-performing country for the year. 264 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, 2016 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES ------------------------------- Actual Fund Return................. $1,000.00 $1,047.00 0.11% $0.57 Hypothetical 5% Annual Return...... $1,000.00 $1,024.58 0.11% $0.56 THE DFA INTERNATIONAL VALUE SERIES ---------------------------------- Actual Fund Return................. $1,000.00 $1,038.70 0.22% $1.13 Hypothetical 5% Annual Return...... $1,000.00 $1,024.03 0.22% $1.12
265 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- THE JAPANESE SMALL COMPANY SERIES --------------------------------- Actual Fund Return...................... $1,000.00 $1,136.10 0.13% $0.70 Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66 THE ASIA PACIFIC SMALL COMPANY SERIES ------------------------------------- Actual Fund Return...................... $1,000.00 $1,065.90 0.13% $0.68 Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66 THE UNITED KINGDOM SMALL COMPANY SERIES --------------------------------------- Actual Fund Return...................... $1,000.00 $ 884.20 0.12% $0.57 Hypothetical 5% Annual Return........... $1,000.00 $1,024.53 0.12% $0.61 THE CONTINENTAL SMALL COMPANY SERIES ------------------------------------ Actual Fund Return...................... $1,000.00 $1,017.80 0.13% $0.66 Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66 THE CANADIAN SMALL COMPANY SERIES --------------------------------- Actual Fund Return...................... $1,000.00 $1,004.00 0.12% $0.60 Hypothetical 5% Annual Return........... $1,000.00 $1,024.53 0.12% $0.61 THE EMERGING MARKETS SERIES --------------------------- Actual Fund Return...................... $1,000.00 $1,093.70 0.15% $0.79 Hypothetical 5% Annual Return........... $1,000.00 $1,024.38 0.15% $0.76 THE EMERGING MARKETS SMALL CAP SERIES ------------------------------------- Actual Fund Return...................... $1,000.00 $1,091.90 0.26% $1.37 Hypothetical 5% Annual Return........... $1,000.00 $1,023.83 0.26% $1.32
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 266 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, 2016. They are 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 regulations 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............................. 6.6% Energy....................................... 13.7% Financials................................... 21.5% Health Care.................................. 11.0% Industrials.................................. 11.3% Information Technology....................... 14.7% Materials.................................... 3.9% Telecommunication Services................... 4.8% Utilities.................................... 0.2% ----- 100.0%
THE DFA INTERNATIONAL VALUE SERIES Consumer Discretionary....................... 12.8% Consumer Staples............................. 2.6% Energy....................................... 16.2% Financials................................... 29.7% Health Care.................................. 1.2% Industrials.................................. 10.7% Information Technology....................... 3.2% Materials.................................... 14.6% Real Estate.................................. 2.3% Telecommunication Services................... 4.3% Utilities.................................... 2.4% ----- 100.0%
THE JAPANESE SMALL COMPANY SERIES Consumer Discretionary....................... 19.4% Consumer Staples............................. 8.5% Energy....................................... 1.0% Financials................................... 9.4% Health Care.................................. 4.4% Industrials.................................. 28.6% Information Technology....................... 13.1% Materials.................................... 12.7% Real Estate.................................. 2.0% Telecommunication Services................... 0.1% Utilities.................................... 0.8% ----- 100.0%
267 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED THE ASIA PACIFIC SMALL COMPANY SERIES Consumer Discretionary....................... 25.4% Consumer Staples............................. 5.9% Energy....................................... 2.8% Financials................................... 10.1% Health Care.................................. 6.6% Industrials.................................. 16.0% Information Technology....................... 6.1% Materials.................................... 14.5% Real Estate.................................. 6.2% Telecommunication Services................... 3.1% Utilities.................................... 3.3% ----- 100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES Consumer Discretionary....................... 20.2% Consumer Staples............................. 5.6% Energy....................................... 5.2% Financials................................... 14.0% Health Care.................................. 3.9% Industrials.................................. 27.5% Information Technology....................... 10.0% Materials.................................... 8.4% Real Estate.................................. 2.5% Telecommunication Services................... 0.7% Utilities.................................... 2.0% ----- 100.0%
THE CONTINENTAL SMALL COMPANY SERIES Consumer Discretionary....................... 12.8% Consumer Staples............................. 6.1% Energy....................................... 3.0% Financials................................... 11.6% Health Care.................................. 9.2% Industrials.................................. 26.3% Information Technology....................... 9.4% Materials.................................... 10.4% Real Estate.................................. 6.0% Telecommunication Services................... 2.7% Utilities.................................... 2.5% ----- 100.0%
THE CANADIAN SMALL COMPANY SERIES Consumer Discretionary....................... 9.5% Consumer Staples............................. 4.4% Energy....................................... 23.6% Financials................................... 6.0% Health Care.................................. 1.6% Industrials.................................. 12.6% Information Technology....................... 3.9% Materials.................................... 29.1% Real Estate.................................. 2.0% Telecommunication Services................... 0.5% Utilities.................................... 6.8% ----- 100.0%
THE EMERGING MARKETS SERIES Consumer Discretionary....................... 9.9% Consumer Staples............................. 9.2% Energy....................................... 7.7% Financials................................... 24.1% Health Care.................................. 2.8% Industrials.................................. 7.2% Information Technology....................... 20.1% Materials.................................... 8.3% Real Estate.................................. 1.9% Telecommunication Services................... 5.6% Utilities.................................... 3.2% ----- 100.0%
THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary....................... 17.3% Consumer Staples............................. 8.1% Energy....................................... 1.7% Financials................................... 9.0% Health Care.................................. 6.4% Industrials.................................. 14.6% Information Technology....................... 14.8% Materials.................................... 13.7% Real Estate.................................. 7.7% Telecommunication Services................... 1.0% Utilities.................................... 5.7% ----- 100.0%
268 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (95.3%) Consumer Discretionary -- (11.7%) #* Charter Communications, Inc. Class A............... 910,208 $ 227,451,877 1.1% Comcast Corp. Class A....... 10,885,890 672,965,720 3.2% Ford Motor Co............... 14,753,200 173,202,568 0.8% General Motors Co........... 5,641,400 178,268,240 0.9% Time Warner, Inc............ 3,800,376 338,195,460 1.6% Other Securities............ 954,615,599 4.6% ---------------- ----- Total Consumer Discretionary.... 2,544,699,464 12.2% ---------------- ----- Consumer Staples -- (6.3%) CVS Health Corp............. 3,989,908 335,551,263 1.6% Mondelez International, Inc. Class A............... 3,933,821 176,785,916 0.9% # Tyson Foods, Inc. Class A... 1,957,913 138,718,136 0.7% Wal-Mart Stores, Inc........ 1,998,751 139,952,545 0.7% Other Securities............ 574,239,450 2.6% ---------------- ----- Total Consumer Staples.......... 1,365,247,310 6.5% ---------------- ----- Energy -- (13.1%) Chevron Corp................ 3,924,607 411,102,583 2.0% ConocoPhillips.............. 3,210,456 139,494,313 0.7% EOG Resources, Inc.......... 1,485,821 134,347,935 0.6% Exxon Mobil Corp............ 9,096,178 757,893,551 3.6% Occidental Petroleum Corp... 1,857,300 135,415,743 0.6% Phillips 66................. 2,096,097 170,098,272 0.8% Valero Energy Corp.......... 2,806,975 166,285,199 0.8% Other Securities............ 932,855,101 4.5% ---------------- ----- Total Energy.................... 2,847,492,697 13.6% ---------------- ----- Financials -- (20.5%) American International Group, Inc................. 2,735,967 168,809,164 0.8% Bank of America Corp........ 15,552,325 256,613,362 1.2% Bank of New York Mellon Corp. (The)................ 3,379,657 146,237,758 0.7% Capital One Financial Corp.. 2,036,842 150,807,782 0.7% Citigroup, Inc.............. 8,251,489 405,560,684 1.9% Goldman Sachs Group, Inc. (The)...................... 980,999 174,853,262 0.8% JPMorgan Chase & Co......... 11,452,239 793,182,073 3.8% Morgan Stanley.............. 3,534,479 118,652,460 0.6% PNC Financial Services Group, Inc. (The).......... 1,303,329 124,598,252 0.6% Travelers Cos., Inc. (The).. 1,119,453 121,102,426 0.6% Wells Fargo & Co............ 6,090,495 280,223,675 1.3% Other Securities............ 1,721,446,165 8.3% ---------------- ----- Total Financials................ 4,462,087,063 21.3% ---------------- ----- Health Care -- (10.5%) Aetna, Inc.................. 1,802,581 193,507,070 0.9% Anthem, Inc................. 1,445,532 176,152,529 0.9% * Express Scripts Holding Co.. 2,738,677 184,586,830 0.9% Humana, Inc................. 707,042 121,278,914 0.6% Medtronic P.L.C............. 3,541,179 290,447,502 1.4% Pfizer, Inc................. 16,340,523 518,157,984 2.5% Thermo Fisher Scientific, Inc........................ 1,023,977 150,555,338 0.7% Other Securities............ 644,260,598 3.0% ---------------- ----- Total Health Care............... 2,278,946,765 10.9% ---------------- -----
269 THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (10.8%) # Caterpillar, Inc........................................ 1,458,164 $ 121,698,367 0.6% CSX Corp................................................ 5,234,843 159,715,060 0.8% FedEx Corp.............................................. 853,987 148,867,014 0.7% General Electric Co..................................... 7,508,293 218,491,326 1.0% Norfolk Southern Corp................................... 1,569,304 145,945,272 0.7% Southwest Airlines Co................................... 3,733,160 149,513,058 0.7% Stanley Black & Decker, Inc............................. 1,095,910 124,758,394 0.6% Union Pacific Corp...................................... 2,259,039 199,202,059 1.0% Other Securities........................................ 1,077,855,471 5.1% ---------------- ------ Total Industrials............................................. 2,346,046,021 11.2% ---------------- ------ Information Technology -- (14.0%) Cisco Systems, Inc...................................... 21,342,703 654,794,128 3.1% Hewlett Packard Enterprise Co........................... 9,162,273 205,876,274 1.0% HP, Inc................................................. 9,619,949 139,393,061 0.7% Intel Corp.............................................. 20,115,235 701,418,244 3.4% # NVIDIA Corp............................................. 1,824,559 129,835,618 0.6% QUALCOMM, Inc........................................... 2,685,866 184,572,712 0.9% Other Securities........................................ 1,024,025,488 4.8% ---------------- ------ Total Information Technology.................................. 3,039,915,525 14.5% ---------------- ------ Materials -- (3.7%) Newmont Mining Corp..................................... 3,239,227 119,980,968 0.6% Other Securities........................................ 691,529,819 3.3% ---------------- ------ Total Materials............................................... 811,510,787 3.9% ---------------- ------ Real Estate -- (0.0%) Other Securities........................................ 500,715 0.0% ---------------- ------ Telecommunication Services -- (4.5%) AT&T, Inc............................................... 21,002,992 772,700,076 3.7% Other Securities........................................ 221,455,332 1.1% ---------------- ------ Total Telecommunication Services.............................. 994,155,408 4.8% ---------------- ------ Utilities -- (0.2%) Other Securities........................................ 38,848,392 0.2% ---------------- ------ TOTAL COMMON STOCKS........................................... 20,729,450,147 99.1% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities........................................ 208,566 0.0% ---------------- ------ TOTAL INVESTMENT SECURITIES................................... 20,729,658,713 ---------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%........................................... 200,994,368 200,994,368 1.0% ---------------- ------ SECURITIES LENDING COLLATERAL -- (3.8%) (S)@ DFA Short Term Investment Fund.......................... 70,916,981 820,651,306 3.9% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $16,161,108,715).................................... $ 21,751,304,387 104.0% ================ ======
270 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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......... $ 2,544,699,464 -- -- $ 2,544,699,464 Consumer Staples............... 1,365,247,310 -- -- 1,365,247,310 Energy......................... 2,847,492,697 -- -- 2,847,492,697 Financials..................... 4,462,087,063 -- -- 4,462,087,063 Health Care.................... 2,278,946,765 -- -- 2,278,946,765 Industrials.................... 2,346,046,021 -- -- 2,346,046,021 Information Technology......... 3,039,915,525 -- -- 3,039,915,525 Materials...................... 811,510,787 -- -- 811,510,787 Real Estate.................... 500,715 -- -- 500,715 Telecommunication Services..... 994,155,408 -- -- 994,155,408 Utilities...................... 38,848,392 -- -- 38,848,392 Rights/Warrants................. -- $ 208,566 -- 208,566 Temporary Cash Investments...... 200,994,368 -- -- 200,994,368 Securities Lending Collateral... -- 820,651,306 -- 820,651,306 Futures Contracts**............. (3,872,034) -- -- (3,872,034) --------------- ------------ -- --------------- TOTAL........................... $20,926,572,481 $820,859,872 -- $21,747,432,353 =============== ============ == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 271 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (95.4%) AUSTRALIA -- (6.3%) # Australia & New Zealand Banking Group, Ltd... 5,260,554 $ 111,078,744 1.1% BHP Billiton, Ltd............................ 5,929,050 103,585,415 1.1% # BHP Billiton, Ltd. Sponsored ADR............. 1,703,682 59,662,944 0.6% Newcrest Mining, Ltd......................... 3,033,954 53,122,828 0.5% Woodside Petroleum, Ltd...................... 2,846,042 60,922,340 0.6% Other Securities............................. 246,709,911 2.6% ---------------- ---- TOTAL AUSTRALIA.................................. 635,082,182 6.5% ---------------- ---- AUSTRIA -- (0.1%) Other Securities............................. 7,798,226 0.1% ---------------- ---- BELGIUM -- (1.2%) Other Securities............................. 121,053,616 1.2% ---------------- ---- CANADA -- (7.6%) Bank of Montreal............................. 1,645,325 104,642,670 1.1% Suncor Energy, Inc........................... 3,911,426 117,374,872 1.2% Other Securities............................. 542,711,216 5.6% ---------------- ---- TOTAL CANADA..................................... 764,728,758 7.9% ---------------- ---- DENMARK -- (1.7%) Vestas Wind Systems A.S...................... 680,712 54,535,811 0.6% Other Securities............................. 120,813,571 1.2% ---------------- ---- TOTAL DENMARK.................................... 175,349,382 1.8% ---------------- ---- FINLAND -- (0.7%) Other Securities............................. 75,225,974 0.8% ---------------- ---- FRANCE -- (8.9%) BNP Paribas SA............................... 1,521,254 88,207,260 0.9% Cie de Saint-Gobain.......................... 1,719,658 76,358,268 0.8% # Engie SA..................................... 4,083,126 58,885,688 0.6% # Orange SA.................................... 4,783,728 75,265,526 0.8% Renault SA................................... 759,818 66,075,160 0.7% Societe Generale SA.......................... 1,935,625 75,503,898 0.8% Total SA..................................... 4,607,253 220,709,998 2.2% Other Securities............................. 229,497,843 2.4% ---------------- ---- TOTAL FRANCE..................................... 890,503,641 9.2% ---------------- ---- GERMANY -- (7.1%) Allianz SE................................... 730,758 114,074,413 1.2% # Bayerische Motoren Werke AG.................. 972,382 84,835,907 0.9% Daimler AG................................... 2,565,266 183,011,136 1.9% E.ON SE...................................... 9,462,347 69,348,171 0.7% Other Securities............................. 258,205,262 2.6% ---------------- ---- TOTAL GERMANY.................................... 709,474,889 7.3% ---------------- ---- HONG KONG -- (2.7%) CK Hutchison Holdings, Ltd................... 5,014,984 61,925,181 0.6% Sun Hung Kai Properties, Ltd................. 2,980,920 44,389,245 0.5% Other Securities............................. 163,115,200 1.7% ---------------- ---- TOTAL HONG KONG.................................. 269,429,626 2.8% ---------------- ----
272 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- IRELAND -- (0.3%) Other Securities.................... $ 27,555,506 0.3% ---------------- ----- ISRAEL -- (0.4%) Other Securities.................... 37,197,840 0.4% ---------------- ----- ITALY -- (0.9%) Other Securities.................... 89,098,627 0.9% ---------------- ----- JAPAN -- (22.1%) Hitachi, Ltd........................ 10,841,000 57,792,205 0.6% Honda Motor Co., Ltd................ 3,689,000 110,380,798 1.1% Mitsubishi UFJ Financial Group, Inc................................ 13,919,406 71,821,469 0.7% Mizuho Financial Group, Inc......... 49,478,100 83,308,851 0.9% Nissan Motor Co., Ltd............... 6,443,700 65,548,427 0.7% Sumitomo Mitsui Financial Group, Inc................................ 2,854,200 98,959,858 1.0% Other Securities.................... 1,732,718,474 17.8% ---------------- ----- TOTAL JAPAN.............................. 2,220,530,082 22.8% ---------------- ----- NETHERLANDS -- (3.2%) ING Groep NV........................ 6,261,830 82,199,110 0.8% Koninklijke DSM NV.................. 739,169 47,509,724 0.5% Koninklijke Philips NV.............. 1,794,168 54,062,166 0.6% Other Securities.................... 133,730,760 1.4% ---------------- ----- TOTAL NETHERLANDS........................ 317,501,760 3.3% ---------------- ----- NEW ZEALAND -- (0.1%) Other Securities.................... 12,145,818 0.1% ---------------- ----- NORWAY -- (0.8%) Other Securities.................... 77,275,822 0.8% ---------------- ----- PORTUGAL -- (0.0%) Other Securities.................... 4,088,097 0.0% ---------------- ----- SINGAPORE -- (1.0%) Other Securities.................... 99,362,354 1.0% ---------------- ----- SPAIN -- (2.8%) Banco Santander SA.................. 38,416,551 188,242,084 1.9% Other Securities.................... 91,349,479 1.0% ---------------- ----- TOTAL SPAIN.............................. 279,591,563 2.9% ---------------- ----- SWEDEN -- (2.2%) Nordea Bank AB...................... 4,880,877 51,293,747 0.5% Other Securities.................... 170,725,504 1.8% ---------------- ----- TOTAL SWEDEN............................. 222,019,251 2.3% ---------------- ----- SWITZERLAND -- (7.6%) ABB, Ltd............................ 4,800,878 99,044,119 1.0% Cie Financiere Richemont SA......... 1,271,917 81,771,387 0.8% Novartis AG......................... 1,332,371 94,555,149 1.0% Swiss Re AG......................... 1,037,390 96,281,939 1.0% UBS Group AG........................ 3,448,485 48,753,503 0.5%
273 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (Continued) Zurich Insurance Group AG......................... 326,468 $ 85,455,128 0.9% Other Securities.................................. 255,861,140 2.6% ---------------- ------ TOTAL SWITZERLAND....................................... 761,722,365 7.8% ---------------- ------ UNITED KINGDOM -- (17.7%) * Anglo American P.L.C.............................. 3,284,169 45,581,653 0.5% Barclays P.L.C. Sponsored ADR..................... 4,766,662 43,948,624 0.5% BP P.L.C. Sponsored ADR........................... 10,710,966 380,774,841 3.9% * Glencore P.L.C.................................... 33,377,354 102,171,610 1.1% HSBC Holdings P.L.C............................... 21,477,669 161,751,262 1.7% # HSBC Holdings P.L.C. Sponsored ADR................ 3,019,816 113,635,676 1.2% Royal Dutch Shell P.L.C. Class A.................. 2,199,265 54,777,180 0.6% Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 3,177,301 158,261,344 1.6% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 3,794,361 198,483,024 2.0% Vodafone Group P.L.C.............................. 58,351,986 160,253,496 1.6% # Vodafone Group P.L.C. Sponsored ADR............... 4,011,201 111,671,843 1.1% Other Securities.................................. 242,436,613 2.4% ---------------- ------ TOTAL UNITED KINGDOM.................................... 1,773,747,166 18.2% ---------------- ------ UNITED STATES -- (0.0%) Other Securities.................................. 812,282 0.0% ---------------- ------ TOTAL COMMON STOCKS..................................... 9,571,294,827 98.4% ---------------- ------ PREFERRED STOCKS -- (0.9%) GERMANY -- (0.9%) Volkswagen AG..................................... 535,010 73,764,785 0.8% Other Securities.................................. 18,272,581 0.1% ---------------- ------ TOTAL GERMANY........................................... 92,037,366 0.9% ---------------- ------ TOTAL PREFERRED STOCKS.................................. 92,037,366 0.9% ---------------- ------ RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities.................................. 2,150,761 0.0% ---------------- ------ SWEDEN -- (0.0%) Other Securities.................................. 251,828 0.0% ---------------- ------ TOTAL RIGHTS/WARRANTS................................... 2,402,589 0.0% ---------------- ------ TOTAL INVESTMENT SECURITIES............................. 9,665,734,782 ---------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (3.7%) (S)@ DFA Short Term Investment Fund.................... 31,982,623 370,102,917 3.8% ---------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,045,898,931)................................ $ 10,035,837,699 103.1% ================ ======
274 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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...................... $ 63,077,009 $ 572,005,173 -- $ 635,082,182 Austria........................ -- 7,798,226 -- 7,798,226 Belgium........................ -- 121,053,616 -- 121,053,616 Canada......................... 764,728,758 -- -- 764,728,758 Denmark........................ -- 175,349,382 -- 175,349,382 Finland........................ 2,470,632 72,755,342 -- 75,225,974 France......................... 260,795 890,242,846 -- 890,503,641 Germany........................ 67,367,734 642,107,155 -- 709,474,889 Hong Kong...................... -- 269,429,626 -- 269,429,626 Ireland........................ 9,750,918 17,804,588 -- 27,555,506 Israel......................... -- 37,197,840 -- 37,197,840 Italy.......................... 17,693,989 71,404,638 -- 89,098,627 Japan.......................... 32,899,160 2,187,630,922 -- 2,220,530,082 Netherlands.................... 41,922,122 275,579,638 -- 317,501,760 New Zealand.................... -- 12,145,818 -- 12,145,818 Norway......................... 10,177,330 67,098,492 -- 77,275,822 Portugal....................... -- 4,088,097 -- 4,088,097 Singapore...................... -- 99,362,354 -- 99,362,354 Spain.......................... 3,796,801 275,794,762 -- 279,591,563 Sweden......................... 4,064,405 217,954,846 -- 222,019,251 Switzerland.................... 27,724,389 733,997,976 -- 761,722,365 United Kingdom................. 1,033,348,012 740,399,154 -- 1,773,747,166 United States.................. -- 812,282 -- 812,282 Preferred Stocks Germany........................ -- 92,037,366 -- 92,037,366 Rights/Warrants Spain.......................... -- 2,150,761 -- 2,150,761 Sweden......................... -- 251,828 -- 251,828 Securities Lending Collateral... -- 370,102,917 -- 370,102,917 Futures Contracts**............. (851,802) -- -- (851,802) -------------- -------------- -- --------------- TOTAL........................... $2,078,430,252 $7,956,555,645 -- $10,034,985,897 ============== ============== == ===============
**Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 275 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.7%) Consumer Discretionary -- (17.8%) Aoyama Trading Co., Ltd................. 304,000 $ 10,709,561 0.4% Shimachu Co., Ltd....................... 297,200 7,974,727 0.3% Toyo Tire & Rubber Co., Ltd............. 623,700 9,673,815 0.3% Other Securities........................ 575,455,539 18.3% ------------ ----- Total Consumer Discretionary................ 603,813,642 19.3% ------------ ----- Consumer Staples -- (7.7%) Ain Holdings, Inc....................... 124,600 8,409,946 0.3% Morinaga Milk Industry Co., Ltd......... 1,164,000 9,375,501 0.3% Takara Holdings, Inc.................... 980,300 9,284,173 0.3% Other Securities........................ 235,670,534 7.5% ------------ ----- Total Consumer Staples...................... 262,740,154 8.4% ------------ ----- Energy -- (1.0%) Other Securities........................ 32,552,672 1.0% ------------ ----- Financials -- (8.7%) 77 Bank, Ltd. (The)..................... 1,749,760 7,904,201 0.3% Daishi Bank, Ltd. (The)................. 2,071,000 8,905,139 0.3% North Pacific Bank, Ltd................. 2,303,600 8,591,023 0.3% Other Securities........................ 268,141,185 8.5% ------------ ----- Total Financials............................ 293,541,548 9.4% ------------ ----- Health Care -- (4.1%) Nipro Corp.............................. 702,100 8,670,187 0.3% Rohto Pharmaceutical Co., Ltd........... 546,700 9,592,173 0.3% Ship Healthcare Holdings, Inc........... 279,700 8,181,874 0.3% Tsumura & Co............................ 359,800 10,225,153 0.3% Other Securities........................ 101,447,537 3.2% ------------ ----- Total Health Care........................... 138,116,924 4.4% ------------ ----- Industrials -- (26.2%) Aica Kogyo Co., Ltd..................... 314,300 8,968,870 0.3% # Chiyoda Corp............................ 993,000 8,661,260 0.3% Daifuku Co., Ltd........................ 444,100 8,024,354 0.3% Fujikura, Ltd........................... 1,935,000 11,369,097 0.4% Furukawa Electric Co., Ltd.............. 462,800 13,615,795 0.4% Glory, Ltd.............................. 268,900 8,889,500 0.3% GS Yuasa Corp........................... 2,130,000 9,197,857 0.3% Japan Steel Works, Ltd. (The)........... 398,400 8,557,307 0.3% Nishimatsu Construction Co., Ltd........ 1,794,000 8,378,134 0.3% Nisshinbo Holdings, Inc................. 870,500 8,666,919 0.3% # NTN Corp................................ 2,488,000 9,417,732 0.3% # OSG Corp................................ 452,700 9,641,884 0.3% Penta-Ocean Construction Co., Ltd....... 1,724,600 10,277,125 0.3% Pilot Corp.............................. 188,800 8,441,250 0.3% Sankyu, Inc............................. 1,540,000 9,068,678 0.3% Sanwa Holdings Corp..................... 1,232,600 12,275,880 0.4% Ushio, Inc.............................. 655,900 7,912,689 0.3% Other Securities........................ 726,289,505 22.9% ------------ ----- Total Industrials........................... 887,653,836 28.3% ------------ -----
276 THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Information Technology -- (12.0%) Citizen Watch Co., Ltd........ 1,437,500 $ 8,078,459 0.3% Horiba, Ltd................... 212,650 10,168,702 0.3% Ibiden Co., Ltd............... 620,978 9,014,732 0.3% TIS, Inc...................... 505,101 11,429,663 0.4% # Topcon Corp................... 595,400 8,886,823 0.3% Ulvac, Inc.................... 252,600 7,975,585 0.3% Other Securities.............. 350,942,720 11.1% -------------- ------ Total Information Technology........ 406,496,684 13.0% -------------- ------ Materials -- (11.6%) ADEKA Corp.................... 544,000 8,223,372 0.3% Denka Co., Ltd................ 1,949,000 8,841,805 0.3% Dowa Holdings Co., Ltd........ 1,464,000 10,872,844 0.4% FP Corp....................... 148,000 7,971,867 0.3% Mitsui Mining & Smelting Co., Ltd.......................... 3,627,000 8,080,917 0.3% NOF Corp...................... 870,000 9,456,776 0.3% Rengo Co., Ltd................ 1,261,000 7,908,112 0.3% Showa Denko KK................ 845,099 11,166,525 0.4% Sumitomo Osaka Cement Co., Ltd.......................... 2,493,000 10,325,300 0.3% #* Tokuyama Corp................. 2,159,000 9,231,383 0.3% Toyobo Co., Ltd............... 5,688,000 9,310,397 0.3% Ube Industries, Ltd........... 6,661,000 13,745,559 0.4% Other Securities.............. 278,920,108 8.7% -------------- ------ Total Materials..................... 394,054,965 12.6% -------------- ------ Real Estate -- (1.8%) Leopalace21 Corp.............. 1,960,700 12,748,059 0.4% Other Securities.............. 50,288,777 1.6% -------------- ------ Total Real Estate................... 63,036,836 2.0% -------------- ------ Telecommunication Services -- (0.1%) Other Securities.............. 2,374,986 0.1% -------------- ------ Utilities -- (0.7%) Hokkaido Electric Power Co., Inc.......................... 1,082,100 8,229,493 0.3% Other Securities.............. 15,378,862 0.4% -------------- ------ Total Utilities..................... 23,608,355 0.7% -------------- ------ TOTAL COMMON STOCKS................. 3,107,990,602 99.2% -------------- ------ TOTAL INVESTMENT SECURITIES......... 3,107,990,602 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (8.3%) (S)@ DFA Short Term Investment Fund 24,279,430 280,961,564 9.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,964,543,542)............. $3,388,952,166 108.2% ============== ======
277 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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......... $ 796,842 $ 603,016,800 -- $ 603,813,642 Consumer Staples............... -- 262,740,154 -- 262,740,154 Energy......................... -- 32,552,672 -- 32,552,672 Financials..................... 4,973,609 288,567,939 -- 293,541,548 Health Care.................... -- 138,116,924 -- 138,116,924 Industrials.................... -- 887,653,836 -- 887,653,836 Information Technology......... -- 406,496,684 -- 406,496,684 Materials...................... -- 394,054,965 -- 394,054,965 Real Estate.................... -- 63,036,836 -- 63,036,836 Telecommunication Services..... -- 2,374,986 -- 2,374,986 Utilities...................... -- 23,608,355 -- 23,608,355 Securities Lending Collateral... -- 280,961,564 -- 280,961,564 ---------- -------------- -- -------------- TOTAL........................... $5,770,451 $3,383,181,715 -- $3,388,952,166 ========== ============== == ==============
See accompanying Notes to Financial Statements. 278 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (85.5%) AUSTRALIA -- (44.3%) Adelaide Brighton, Ltd.................. 3,668,074 $ 14,902,982 1.0% # Alumina, Ltd............................ 9,800,265 11,778,711 0.8% Ansell, Ltd............................. 563,728 9,287,434 0.6% # Bendigo & Adelaide Bank, Ltd............ 1,000,124 8,445,910 0.5% BlueScope Steel, Ltd.................... 2,354,984 13,971,247 0.9% Boral, Ltd.............................. 2,174,013 10,386,960 0.7% carsales.com, Ltd....................... 1,702,940 13,782,286 0.9% Cleanaway Waste Management, Ltd......... 10,357,050 9,119,140 0.6% CSR, Ltd................................ 3,350,138 9,302,355 0.6% # Downer EDI, Ltd......................... 2,910,872 12,865,733 0.8% DuluxGroup, Ltd......................... 3,101,823 15,169,738 1.0% Evolution Mining, Ltd................... 4,976,497 8,775,916 0.6% Fairfax Media, Ltd...................... 15,303,894 9,586,076 0.6% # InvoCare, Ltd........................... 905,619 8,985,727 0.6% # IOOF Holdings, Ltd...................... 1,900,338 11,830,056 0.8% # IRESS, Ltd.............................. 1,123,183 9,672,022 0.6% JB Hi-Fi, Ltd........................... 962,791 20,754,808 1.3% Mineral Resources, Ltd.................. 1,168,088 10,276,124 0.7% # nib holdings, Ltd....................... 2,713,689 9,937,859 0.6% # Northern Star Resources, Ltd............ 4,806,957 15,547,800 1.0% Nufarm, Ltd............................. 1,280,776 8,597,852 0.6% Orora, Ltd.............................. 3,956,731 8,718,958 0.6% OZ Minerals, Ltd........................ 2,198,276 11,231,748 0.7% # Perpetual, Ltd.......................... 356,426 12,238,862 0.8% Primary Health Care, Ltd................ 3,292,878 9,598,026 0.6% # Sims Metal Management, Ltd.............. 1,382,214 10,514,951 0.7% Sirtex Medical, Ltd..................... 413,240 8,746,855 0.6% Spark Infrastructure Group.............. 11,913,246 20,084,154 1.3% Star Entertainment Grp, Ltd. (The)...... 4,207,608 15,921,346 1.0% # Super Retail Group, Ltd................. 1,280,749 9,521,373 0.6% # Tabcorp Holdings, Ltd................... 3,586,818 13,177,917 0.9% # Vocus Communications, Ltd............... 4,260,609 18,472,126 1.2% #* Whitehaven Coal, Ltd.................... 4,143,411 9,528,724 0.6% Other Securities........................ 409,368,233 26.0% ------------ ----- TOTAL AUSTRALIA............................. 800,100,009 51.4% ------------ ----- CHINA -- (0.2%) Other Securities........................ 3,344,793 0.2% ------------ ----- HONG KONG -- (23.1%) Cafe de Coral Holdings, Ltd............. 2,330,000 8,226,629 0.5% Dah Sing Financial Holdings, Ltd........ 1,408,144 9,551,504 0.6% #* Esprit Holdings, Ltd.................... 14,507,050 11,964,200 0.8% # Guotai Junan International Holdings, Ltd.................................... 22,013,797 8,406,293 0.6% Hopewell Holdings, Ltd.................. 3,184,000 11,148,424 0.7% Luk Fook Holdings International, Ltd.... 3,142,000 9,213,353 0.6% Man Wah Holdings, Ltd................... 13,578,800 9,012,166 0.6% # Vitasoy International Holdings, Ltd..... 5,277,000 11,020,785 0.7% VTech Holdings, Ltd..................... 700,400 8,591,259 0.6% # Xinyi Glass Holdings, Ltd............... 17,658,000 15,182,993 1.0% Other Securities........................ 315,322,094 20.2% ------------ ----- TOTAL HONG KONG............................. 417,639,700 26.9% ------------ -----
279 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- NEW ZEALAND -- (7.4%) Fisher & Paykel Healthcare Corp., Ltd............................... 2,455,045 $ 15,543,967 1.0% # Ryman Healthcare, Ltd.............. 1,772,699 11,251,074 0.7% SKYCITY Entertainment Group, Ltd... 5,162,402 14,391,898 0.9% Other Securities................... 93,352,887 6.1% -------------- ------ TOTAL NEW ZEALAND........................ 134,539,826 8.7% -------------- ------ SINGAPORE -- (10.5%) #* Noble Group, Ltd................... 75,184,800 8,939,601 0.6% SATS, Ltd.......................... 2,695,900 9,378,680 0.6% # Singapore Post, Ltd................ 10,132,100 11,641,927 0.8% Venture Corp., Ltd................. 1,994,100 13,622,092 0.9% Other Securities................... 145,991,424 9.3% -------------- ------ TOTAL SINGAPORE.......................... 189,573,724 12.2% -------------- ------ UNITED STATES -- (0.0%) Other Securities................... 54,219 0.0% -------------- ------ TOTAL COMMON STOCKS...................... 1,545,252,271 99.4% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities................... 96,131 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities................... 1,362 0.0% -------------- ------ SINGAPORE -- (0.0%) Other Securities................... 35,970 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................... 133,463 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES.............. 1,545,385,734 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (14.5%) (S)@ DFA Short Term Investment Fund..... 22,627,303 261,843,149 16.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,857,750,342).................. $1,807,228,883 116.2% ============== ======
280 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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...................... -- $ 800,100,009 -- $ 800,100,009 China.......................... -- 3,344,793 -- 3,344,793 Hong Kong...................... $ 941,157 416,698,543 -- 417,639,700 New Zealand.................... 412,321 134,127,505 -- 134,539,826 Singapore...................... 315,107 189,258,617 -- 189,573,724 United States.................. 54,219 -- -- 54,219 Rights/Warrants Australia...................... -- 96,131 -- 96,131 Hong Kong...................... -- 1,362 -- 1,362 Singapore...................... -- 35,970 -- 35,970 Securities Lending Collateral... -- 261,843,149 -- 261,843,149 ---------- -------------- -- -------------- TOTAL........................... $1,722,804 $1,805,506,079 -- $1,807,228,883 ========== ============== == ==============
See accompanying Notes to Financial Statements. 281 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (96.6%) Consumer Discretionary -- (19.6%) Bellway P.L.C...................... 637,459 $ 18,446,930 1.1% Daily Mail & General Trust P.L.C. Class A........................... 1,271,481 11,670,462 0.7% Greene King P.L.C.................. 1,786,209 15,978,447 1.0% GVC Holdings P.L.C................. 1,240,374 10,567,421 0.6% Inchcape P.L.C..................... 2,190,976 17,419,824 1.0% Informa P.L.C...................... 1,305,509 10,740,551 0.6% UBM P.L.C.......................... 1,950,843 17,128,208 1.0% WH Smith P.L.C..................... 680,498 12,248,606 0.7% William Hill P.L.C................. 4,105,574 14,851,757 0.9% Other Securities................... 208,464,577 12.4% ------------ ----- Total Consumer Discretionary........... 337,516,783 20.0% ------------ ----- Consumer Staples -- (5.4%) Booker Group P.L.C................. 7,989,596 17,523,270 1.0% Tate & Lyle P.L.C.................. 2,319,044 22,116,631 1.3% Other Securities................... 54,160,367 3.3% ------------ ----- Total Consumer Staples................. 93,800,268 5.6% ------------ ----- Energy -- (5.0%) Amec Foster Wheeler P.L.C.......... 2,037,469 11,116,254 0.7% John Wood Group P.L.C.............. 1,887,172 17,737,852 1.0% Petrofac, Ltd...................... 1,141,776 11,244,821 0.7% #* Tullow Oil P.L.C................... 5,000,074 16,143,884 0.9% Other Securities................... 30,000,063 1.8% ------------ ----- Total Energy........................... 86,242,874 5.1% ------------ ----- Financials -- (13.5%) Beazley P.L.C...................... 2,740,810 12,203,670 0.7% Close Brothers Group P.L.C......... 785,896 12,753,035 0.8% Henderson Group P.L.C.............. 5,628,395 15,924,719 0.9% Hiscox, Ltd........................ 1,493,459 18,648,536 1.1% ICAP P.L.C......................... 2,697,973 15,997,519 1.0% IG Group Holdings P.L.C............ 1,792,534 18,101,357 1.1% Jupiter Fund Management P.L.C...... 2,162,762 11,403,328 0.7% Man Group P.L.C.................... 7,936,721 12,099,824 0.7% Phoenix Group Holdings............. 1,208,721 10,797,905 0.6% Other Securities................... 105,371,972 6.3% ------------ ----- Total Financials....................... 233,301,865 13.9% ------------ ----- Health Care -- (3.8%) * BTG P.L.C.......................... 1,870,654 15,053,103 0.9% Indivior P.L.C..................... 3,662,912 14,068,115 0.9% Other Securities................... 36,308,225 2.1% ------------ ----- Total Health Care...................... 65,429,443 3.9% ------------ ----- Industrials -- (26.6%) Aggreko P.L.C...................... 1,332,278 13,026,413 0.8% Balfour Beatty P.L.C............... 3,549,781 11,769,319 0.7% BBA Aviation P.L.C................. 5,623,297 17,781,017 1.0% Cobham P.L.C....................... 8,502,869 14,835,365 0.9% G4S P.L.C.......................... 4,118,797 11,063,582 0.7% Hays P.L.C......................... 6,566,676 10,967,970 0.6%
282 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Howden Joinery Group P.L.C......... 3,165,528 $ 14,495,414 0.9% IMI P.L.C.......................... 1,282,137 15,573,467 0.9% Meggitt P.L.C...................... 3,040,190 16,173,674 1.0% Melrose Industries P.L.C........... 10,887,020 22,467,470 1.3% Rentokil Initial P.L.C............. 8,861,710 24,718,157 1.5% Spirax-Sarco Engineering P.L.C..... 355,118 19,146,216 1.1% Weir Group P.L.C. (The)............ 1,070,092 22,228,790 1.3% Other Securities................... 243,821,126 14.5% -------------- ------ Total Industrials........................ 458,067,980 27.2% -------------- ------ Information Technology -- (9.6%) Electrocomponents P.L.C............ 2,396,207 10,916,359 0.7% Halma P.L.C........................ 1,951,180 24,978,831 1.5% # Micro Focus International P.L.C.... 539,522 14,127,662 0.8% * Paysafe Group P.L.C................ 2,265,858 11,976,435 0.7% Playtech P.L.C..................... 1,111,348 12,606,141 0.8% Rightmove P.L.C.................... 477,301 21,787,416 1.3% Spectris P.L.C..................... 613,329 15,356,848 0.9% Other Securities................... 54,527,225 3.2% -------------- ------ Total Information Technology............. 166,276,917 9.9% -------------- ------ Materials -- (8.1%) Centamin P.L.C..................... 6,065,603 11,748,394 0.7% DS Smith P.L.C..................... 4,938,232 24,079,775 1.4% RPC Group P.L.C.................... 1,638,321 18,998,878 1.1% Other Securities................... 84,422,273 5.1% -------------- ------ Total Materials.......................... 139,249,320 8.3% -------------- ------ Real Estate -- (2.4%) Other Securities................... 42,003,507 2.5% -------------- ------ Telecommunication Services -- (0.6%) Other Securities................... 11,042,463 0.6% -------------- ------ Utilities -- (2.0%) Pennon Group P.L.C................. 1,994,817 20,358,554 1.2% Other Securities................... 13,528,264 0.8% -------------- ------ Total Utilities.......................... 33,886,818 2.0% -------------- ------ TOTAL COMMON STOCKS...................... 1,666,818,238 99.0% -------------- ------ PREFERRED STOCKS -- (0.0%) Other Securities................... 28,411 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.1%) Other Securities................... 2,265,507 0.1% -------------- ------ TOTAL INVESTMENT SECURITIES.............. 1,669,112,156 -------------- VALUE+ - ------ - SECURITIES LENDING COLLATERAL -- (3.3%) (S)@ DFA Short Term Investment Fund..... 4,889,717 56,583,806 3.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,690,364,152).................. $1,725,695,962 102.5% ============== ======
283 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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............ -- $ 337,516,783 -- $ 337,516,783 Consumer Staples.................. -- 93,800,268 -- 93,800,268 Energy............................ -- 86,242,874 -- 86,242,874 Financials........................ -- 233,301,865 -- 233,301,865 Health Care....................... -- 65,429,443 -- 65,429,443 Industrials....................... -- 458,067,980 -- 458,067,980 Information Technology............ -- 166,276,917 -- 166,276,917 Materials......................... -- 139,249,320 -- 139,249,320 Real Estate....................... -- 42,003,507 -- 42,003,507 Telecommunication Services........ -- 11,042,463 -- 11,042,463 Utilities......................... -- 33,886,818 -- 33,886,818 Preferred Stocks................... -- 28,411 -- 28,411 Rights/Warrants.................... -- 2,265,507 -- 2,265,507 Securities Lending Collateral...... -- 56,583,806 -- 56,583,806 -- -------------- -- -------------- TOTAL.............................. -- $1,725,695,962 -- $1,725,695,962 == ============== == ==============
See accompanying Notes to Financial Statements. 284 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.4%) AUSTRIA -- (3.1%) ANDRITZ AG.................... 310,627 $ 16,241,244 0.4% Other Securities.............. 122,038,613 2.9% ------------ ----- TOTAL AUSTRIA..................... 138,279,857 3.3% ------------ ----- BELGIUM -- (4.3%) Ackermans & van Haaren NV..... 134,383 18,652,359 0.5% Umicore SA.................... 412,343 25,063,062 0.6% Other Securities.............. 147,950,280 3.5% ------------ ----- TOTAL BELGIUM..................... 191,665,701 4.6% ------------ ----- DENMARK -- (4.5%) GN Store Nord A.S............. 826,732 16,756,414 0.4% Jyske Bank A.S................ 345,747 15,676,272 0.4% * TDC A.S....................... 4,148,072 22,870,392 0.6% Other Securities.............. 148,738,122 3.5% ------------ ----- TOTAL DENMARK..................... 204,041,200 4.9% ------------ ----- FINLAND -- (6.5%) Amer Sports Oyj............... 641,324 17,449,969 0.4% Elisa Oyj..................... 734,075 24,731,862 0.6% Huhtamaki Oyj................. 467,536 18,868,806 0.5% Kesko Oyj Class B............. 345,206 17,153,261 0.4% Nokian Renkaat Oyj............ 623,433 20,910,928 0.5% Orion Oyj Class B............. 436,647 18,585,395 0.5% #* Outokumpu Oyj................. 3,022,031 21,068,282 0.5% Other Securities.............. 153,616,179 3.6% ------------ ----- TOTAL FINLAND..................... 292,384,682 7.0% ------------ ----- FRANCE -- (12.5%) Arkema SA..................... 298,145 28,270,807 0.7% Edenred....................... 946,779 21,911,853 0.5% Eurofins Scientific SE........ 38,653 17,565,704 0.4% Lagardere SCA................. 619,304 15,771,620 0.4% Rexel SA...................... 1,596,995 22,149,109 0.5% Rubis SCA..................... 203,675 18,573,358 0.5% SEB SA........................ 120,657 17,757,736 0.4% # STMicroelectronics NV......... 2,136,887 20,281,219 0.5% Teleperformance............... 336,308 35,533,493 0.9% * Ubisoft Entertainment SA...... 521,852 17,756,325 0.4% Other Securities.............. 344,488,930 8.3% ------------ ----- TOTAL FRANCE...................... 560,060,154 13.5% ------------ ----- GERMANY -- (15.4%) * Dialog Semiconductor P.L.C.... 382,079 15,026,045 0.4% Freenet AG.................... 652,809 18,715,461 0.5% Gerresheimer AG............... 198,146 14,946,146 0.4% # K+S AG........................ 990,931 20,066,101 0.5% KION Group AG................. 258,832 15,638,698 0.4% * KUKA AG....................... 135,482 15,374,609 0.4% Lanxess AG.................... 484,758 31,084,953 0.8% LEG Immobilien AG............. 306,750 25,874,994 0.6%
285 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) MTU Aero Engines AG.......................... 249,839 $ 26,089,184 0.6% Osram Licht AG............................... 343,036 19,483,339 0.5% * QIAGEN NV.................................... 744,663 18,212,580 0.4% Rheinmetall AG............................... 223,411 15,508,712 0.4% Stada Arzneimittel AG........................ 306,492 15,370,132 0.4% Other Securities............................. 439,286,005 10.4% -------------- ----- TOTAL GERMANY.................................... 690,676,959 16.7% -------------- ----- IRELAND -- (1.2%) Other Securities............................. 53,214,050 1.3% -------------- ----- ISRAEL -- (1.8%) Other Securities............................. 82,999,079 2.0% -------------- ----- ITALY -- (8.6%) Prysmian SpA................................. 1,026,230 25,519,884 0.6% Other Securities............................. 358,680,759 8.7% -------------- ----- TOTAL ITALY...................................... 384,200,643 9.3% -------------- ----- NETHERLANDS -- (4.7%) Aalberts Industries NV....................... 600,156 18,953,870 0.5% Delta Lloyd NV............................... 2,709,093 16,366,532 0.4% # Gemalto NV................................... 304,031 16,518,507 0.4% Other Securities............................. 158,514,893 3.8% -------------- ----- TOTAL NETHERLANDS................................ 210,353,802 5.1% -------------- ----- NORWAY -- (2.6%) Other Securities............................. 118,249,011 2.9% -------------- ----- PORTUGAL -- (0.9%) Other Securities............................. 41,152,687 1.0% -------------- ----- SPAIN -- (5.4%) Distribuidora Internacional de Alimentacion SA.......................................... 2,929,226 15,645,268 0.4% Gamesa Corp. Tecnologica SA.................. 1,203,576 27,788,671 0.7% Other Securities............................. 199,203,293 4.7% -------------- ----- TOTAL SPAIN...................................... 242,637,232 5.8% -------------- ----- SWEDEN -- (7.8%) Other Securities............................. 348,471,161 8.4% -------------- ----- SWITZERLAND -- (12.1%) Baloise Holding AG........................... 193,722 23,833,522 0.6% Flughafen Zuerich AG......................... 104,871 19,277,802 0.5% Georg Fischer AG............................. 22,511 19,958,153 0.5% Helvetia Holding AG.......................... 36,269 18,869,464 0.5% # Logitech International SA.................... 650,486 15,732,970 0.4% PSP Swiss Property AG........................ 201,709 18,048,619 0.4% Straumann Holding AG......................... 45,962 17,244,502 0.4% Temenos Group AG............................. 318,043 20,539,697 0.5% Other Securities............................. 386,994,688 9.2% -------------- ----- TOTAL SWITZERLAND................................ 540,499,417 13.0% -------------- ----- TOTAL COMMON STOCKS.............................. 4,098,885,635 98.8% -------------- ----- PREFERRED STOCKS -- (0.8%) GERMANY -- (0.8%) Other Securities............................. 34,254,167 0.9% -------------- ----- TOTAL PREFERRED STOCKS........................... 34,254,167 0.9% -------------- -----
286 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities............... $ 55,356 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................ 55,356 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES.......... 4,133,195,158 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (7.8%) (S)@ DFA Short Term Investment Fund. 30,261,802 350,189,570 8.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,879,139,342)............ $4,483,384,728 108.1% ============== ======
Summary of the Series' investments as of October 31, 2016, 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........................ -- $ 138,279,857 -- $ 138,279,857 Belgium........................ -- 191,665,701 -- 191,665,701 Denmark........................ -- 204,041,200 -- 204,041,200 Finland........................ -- 292,384,682 -- 292,384,682 France......................... -- 560,060,154 -- 560,060,154 Germany........................ $1,885,545 688,791,414 -- 690,676,959 Ireland........................ -- 53,214,050 -- 53,214,050 Israel......................... -- 82,999,079 -- 82,999,079 Italy.......................... -- 384,200,643 -- 384,200,643 Netherlands.................... -- 210,353,802 -- 210,353,802 Norway......................... -- 118,249,011 -- 118,249,011 Portugal....................... -- 41,152,687 -- 41,152,687 Spain.......................... -- 242,637,232 -- 242,637,232 Sweden......................... 124,117 348,347,044 -- 348,471,161 Switzerland.................... -- 540,499,417 -- 540,499,417 Preferred Stocks Germany........................ -- 34,254,167 -- 34,254,167 Rights/Warrants Spain.......................... -- 55,356 -- 55,356 Securities Lending Collateral... -- 350,189,570 -- 350,189,570 ---------- -------------- -- -------------- TOTAL........................... $2,009,662 $4,481,375,066 -- $4,483,384,728 ========== ============== == ==============
See accompanying Notes to Financial Statements. 287 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (81.3%) Consumer Discretionary -- (7.7%) Cineplex, Inc.......................... 318,474 $ 12,109,278 1.3% # Corus Entertainment, Inc. Class B...... 740,938 6,115,100 0.7% # Enercare, Inc.......................... 509,859 7,366,784 0.8% #* IMAX Corp.............................. 259,917 7,862,489 0.9% Linamar Corp........................... 144,412 5,873,164 0.6% Other Securities....................... 49,050,359 5.2% ------------ ----- Total Consumer Discretionary............... 88,377,174 9.5% ------------ ----- Consumer Staples -- (3.6%) Cott Corp.............................. 600,036 7,868,958 0.9% Premium Brands Holdings Corp........... 132,462 6,410,280 0.7% Other Securities....................... 26,731,797 2.8% ------------ ----- Total Consumer Staples..................... 41,011,035 4.4% ------------ ----- Energy -- (19.2%) * Advantage Oil & Gas, Ltd............... 1,100,531 7,425,487 0.8% # Enbridge Income Fund Holdings, Inc..... 251,755 6,389,130 0.7% # Gibson Energy, Inc..................... 702,339 8,812,619 0.9% # Mullen Group, Ltd...................... 536,825 7,440,227 0.8% * Parex Resources, Inc................... 765,891 8,810,630 0.9% # Parkland Fuel Corp..................... 474,825 11,090,932 1.2% # Precision Drilling Corp................ 1,736,481 7,741,860 0.8% * Raging River Exploration, Inc.......... 1,087,151 8,713,095 0.9% ShawCor, Ltd........................... 319,981 8,003,700 0.9% # Veresen, Inc........................... 1,597,192 14,467,966 1.6% # Whitecap Resources, Inc................ 1,466,035 11,716,913 1.3% Other Securities....................... 119,454,762 12.8% ------------ ----- Total Energy............................... 220,067,321 23.6% ------------ ----- Financials -- (4.8%) # Canadian Western Bank.................. 441,032 8,368,198 0.9% # Home Capital Group, Inc................ 325,263 6,438,330 0.7% Laurentian Bank of Canada.............. 196,746 7,271,080 0.8% TMX Group, Ltd......................... 191,063 8,815,991 0.9% Other Securities....................... 24,707,351 2.7% ------------ ----- Total Financials........................... 55,600,950 6.0% ------------ ----- Health Care -- (1.3%) Other Securities....................... 14,491,248 1.5% ------------ ----- Industrials -- (10.3%) MacDonald Dettwiler & Associates, Ltd.. 172,507 9,873,527 1.1% New Flyer Industries, Inc.............. 254,471 7,114,488 0.8% Russel Metals, Inc..................... 362,155 5,764,564 0.6% # Stantec, Inc........................... 410,229 9,126,395 1.0% Toromont Industries, Ltd............... 390,325 11,465,597 1.2% TransForce, Inc........................ 474,880 10,773,577 1.2% Westshore Terminals Investment Corp.... 318,149 6,136,222 0.7% Other Securities....................... 57,383,009 6.0% ------------ ----- Total Industrials.......................... 117,637,379 12.6% ------------ ----- Information Technology -- (3.1%) Other Securities....................... 35,787,691 3.8% ------------ -----
288 THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Materials -- (23.7%) Alamos Gold, Inc. Class A.......... 1,545,462 $ 12,121,272 1.3% * B2Gold Corp........................ 5,268,073 15,239,039 1.6% * Endeavour Mining Corp.............. 316,838 6,188,881 0.7% * Fortuna Silver Mines, Inc.......... 876,406 5,991,682 0.6% HudBay Minerals, Inc............... 1,398,004 5,888,856 0.6% * IAMGOLD Corp....................... 2,443,241 9,781,707 1.1% * Lundin Mining Corp................. 2,567,823 10,050,750 1.1% # Methanex Corp...................... 267,966 9,739,314 1.0% * New Gold, Inc...................... 2,668,183 10,523,140 1.1% OceanaGold Corp.................... 3,061,665 9,358,702 1.0% Pan American Silver Corp........... 990,673 15,820,633 1.7% * SEMAFO, Inc........................ 1,661,946 6,517,435 0.7% #* Silver Standard Resources, Inc..... 760,590 8,347,040 0.9% # Stella-Jones, Inc.................. 204,600 7,260,837 0.8% West Fraser Timber Co., Ltd........ 213,500 7,309,267 0.8% Other Securities................... 131,140,488 14.1% -------------- ------ Total Materials.......................... 271,279,043 29.1% -------------- ------ Real Estate -- (1.6%) FirstService Corp.................. 160,533 6,504,860 0.7% Other Securities................... 12,104,751 1.3% -------------- ------ Total Real Estate........................ 18,609,611 2.0% -------------- ------ Telecommunication Services -- (0.4%) Other Securities................... 4,507,968 0.5% -------------- ------ Utilities -- (5.6%) Algonquin Power & Utilities Corp... 1,173,558 10,368,048 1.1% Capital Power Corp................. 523,509 8,059,689 0.9% # Northland Power, Inc............... 536,896 9,606,728 1.0% Superior Plus Corp................. 702,443 6,253,015 0.7% TransAlta Corp..................... 1,446,740 6,374,587 0.7% Other Securities................... 23,050,047 2.4% -------------- ------ Total Utilities.......................... 63,712,114 6.8% -------------- ------ TOTAL COMMON STOCKS...................... 931,081,534 99.8% -------------- ------ TOTAL INVESTMENT SECURITIES.............. 931,081,534 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (18.7%) (S)@ DFA Short Term Investment Fund..... 18,505,165 214,141,764 22.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,376,781,398).................. $1,145,223,298 122.7% ============== ======
289 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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......... $ 88,194,376 $ 182,798 -- $ 88,377,174 Consumer Staples............... 41,011,035 -- -- 41,011,035 Energy......................... 220,008,340 58,981 -- 220,067,321 Financials..................... 55,600,950 -- -- 55,600,950 Health Care.................... 14,491,248 -- -- 14,491,248 Industrials.................... 117,637,379 -- -- 117,637,379 Information Technology......... 35,787,691 -- -- 35,787,691 Materials...................... 271,278,805 238 -- 271,279,043 Real Estate.................... 18,609,611 -- -- 18,609,611 Telecommunication Services..... 4,507,968 -- -- 4,507,968 Utilities...................... 63,712,114 -- -- 63,712,114 Securities Lending Collateral... -- 214,141,764 -- 214,141,764 ------------ ------------ -- -------------- TOTAL $930,839,517 $214,383,781 -- $1,145,223,298 ============ ============ == ==============
See accompanying Notes to Financial Statements. 290 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (94.0%) BRAZIL -- (5.8%) AMBEV SA ADR............................................ 5,984,451 $ 35,308,261 0.7% Cielo SA................................................ 1,506,864 15,295,240 0.3% Other Securities........................................ 242,707,051 4.9% ------------ ----- TOTAL BRAZIL................................................. 293,310,552 5.9% ------------ ----- CHILE -- (1.4%) Other Securities........................................ 73,612,527 1.5% ------------ ----- CHINA -- (14.8%) Bank of China, Ltd. Class H............................. 63,274,181 28,354,360 0.6% China Construction Bank Corp. Class H................... 69,895,590 51,041,026 1.0% China Mobile, Ltd. Sponsored ADR........................ 918,178 52,730,963 1.1% CNOOC, Ltd. Sponsored ADR............................... 127,716 16,025,804 0.3% Industrial & Commercial Bank of China, Ltd. Class H..... 71,229,185 42,754,557 0.9% Ping An Insurance Group Co. of China, Ltd. Class H...... 4,622,500 24,330,600 0.5% Tencent Holdings, Ltd................................... 4,351,400 115,322,199 2.3% Other Securities........................................ 424,183,224 8.4% ------------ ----- TOTAL CHINA.................................................. 754,742,733 15.1% ------------ ----- COLOMBIA -- (0.5%) Other Securities........................................ 23,941,405 0.5% ------------ ----- CZECH REPUBLIC -- (0.2%) Other Securities........................................ 9,825,802 0.2% ------------ ----- EGYPT -- (0.2%) Other Securities........................................ 8,164,964 0.2% ------------ ----- GREECE -- (0.2%) Other Securities........................................ 12,197,777 0.2% ------------ ----- HUNGARY -- (0.4%) Other Securities........................................ 19,420,220 0.4% ------------ ----- INDIA -- (12.2%) HDFC Bank, Ltd.......................................... 1,441,144 27,008,537 0.5% Housing Development Finance Corp., Ltd.................. 1,095,932 22,624,895 0.5% Infosys, Ltd............................................ 1,886,232 28,287,791 0.6% ITC, Ltd................................................ 4,896,443 17,714,670 0.4% Reliance Industries, Ltd................................ 1,625,226 25,537,646 0.5% Tata Consultancy Services, Ltd.......................... 720,066 25,774,900 0.5% Tata Motors, Ltd........................................ 1,952,358 15,521,888 0.3% Other Securities........................................ 457,000,473 9.1% ------------ ----- TOTAL INDIA.................................................. 619,470,800 12.4% ------------ ----- INDONESIA -- (3.2%) Astra International Tbk PT.............................. 23,646,410 14,918,699 0.3% Bank Central Asia Tbk PT................................ 15,447,700 18,366,468 0.4% Other Securities........................................ 131,751,393 2.6% ------------ ----- TOTAL INDONESIA.............................................. 165,036,560 3.3% ------------ -----
291 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (3.5%) Public Bank Bhd........................................ 3,537,614 $ 16,744,498 0.3% Tenaga Nasional Bhd.................................... 4,375,250 14,949,608 0.3% Other Securities....................................... 149,025,914 3.0% ------------ ----- TOTAL MALAYSIA............................................. 180,720,020 3.6% ------------ ----- MEXICO -- (5.0%) America Movil S.A.B. de C.V. Series L.................. 46,329,297 30,688,471 0.6% # Fomento Economico Mexicano S.A.B. de C.V............... 1,793,669 17,198,383 0.3% # Grupo Financiero Banorte S.A.B. de C.V. Class O........ 4,609,848 27,194,225 0.6% # Grupo Televisa S.A.B. Series CPO....................... 3,356,577 16,490,754 0.3% Wal-Mart de Mexico S.A.B. de C.V....................... 7,054,235 14,921,344 0.3% Other Securities....................................... 148,796,657 3.0% ------------ ----- TOTAL MEXICO............................................... 255,289,834 5.1% ------------ ----- PERU -- (0.3%) Other Securities....................................... 14,446,744 0.3% ------------ ----- PHILIPPINES -- (1.7%) Other Securities....................................... 87,260,101 1.7% ------------ ----- POLAND -- (1.4%) Other Securities....................................... 73,590,632 1.5% ------------ ----- RUSSIA -- (1.8%) Gazprom PJSC Sponsored ADR............................. 4,944,295 21,319,197 0.4% Sberbank of Russia PJSC Sponsored ADR.................. 1,818,206 17,220,575 0.4% Other Securities....................................... 53,848,767 1.0% ------------ ----- TOTAL RUSSIA............................................... 92,388,539 1.8% ------------ ----- SOUTH AFRICA -- (7.9%) * AngloGold Ashanti, Ltd. Sponsored ADR.................. 1,637,102 22,493,782 0.5% FirstRand, Ltd......................................... 4,730,180 16,961,318 0.3% MTN Group, Ltd......................................... 2,516,919 21,739,475 0.4% Naspers, Ltd. Class N.................................. 370,571 62,063,317 1.2% Sasol, Ltd. Sponsored ADR.............................. 778,314 21,411,418 0.4% Standard Bank Group, Ltd............................... 2,023,352 21,478,453 0.4% Steinhoff International Holdings NV.................... 3,453,813 18,632,175 0.4% Other Securities....................................... 219,673,686 4.5% ------------ ----- TOTAL SOUTH AFRICA......................................... 404,453,624 8.1% ------------ ----- SOUTH KOREA -- (14.3%) Hyundai Motor Co....................................... 175,874 21,472,355 0.4% KB Financial Group, Inc................................ 441,762 16,352,604 0.3% NAVER Corp............................................. 33,801 25,288,736 0.5% Samsung Electronics Co., Ltd........................... 97,289 139,155,193 2.8% Samsung Electronics Co., Ltd. GDR...................... 52,509 36,940,669 0.7% SK Hynix, Inc.......................................... 705,494 25,233,135 0.5% Other Securities....................................... 462,680,857 9.3% ------------ ----- TOTAL SOUTH KOREA.......................................... 727,123,549 14.5% ------------ ----- TAIWAN -- (15.0%) # Hon Hai Precision Industry Co., Ltd.................... 17,267,653 46,642,722 0.9% Largan Precision Co., Ltd.............................. 133,860 15,792,148 0.3% Taiwan Semiconductor Manufacturing Co., Ltd............ 25,188,808 151,166,887 3.0%
292 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (Continued) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR..................... 1,672,158 $ 52,004,114 1.1% Other Securities........................ 499,242,347 10.0% -------------- ------ TOTAL TAIWAN.................................. 764,848,218 15.3% -------------- ------ THAILAND -- (2.7%) PTT PCL................................. 1,634,600 16,160,343 0.3% Other Securities........................ 121,889,382 2.5% -------------- ------ TOTAL THAILAND................................ 138,049,725 2.8% -------------- ------ TURKEY -- (1.5%) Other Securities........................ 74,744,642 1.5% -------------- ------ TOTAL COMMON STOCKS........................... 4,792,638,968 95.9% -------------- ------ PREFERRED STOCKS -- (3.2%) BRAZIL -- (3.1%) Banco Bradesco SA....................... 2,388,514 25,022,528 0.5% Itau Unibanco Holding SA................ 4,317,027 51,934,159 1.0% * Petroleo Brasileiro SA.................. 2,825,761 15,660,311 0.3% * Petroleo Brasileiro SA Sponsored ADR.... 1,440,006 15,926,466 0.3% Vale SA................................. 2,522,202 16,301,074 0.3% Other Securities........................ 29,792,502 0.7% -------------- ------ TOTAL BRAZIL.................................. 154,637,040 3.1% -------------- ------ CHILE -- (0.0%) Other Securities........................ 461,858 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities........................ 5,642,477 0.1% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities........................ 309,189 0.0% -------------- ------ TOTAL PREFERRED STOCKS........................ 161,050,564 3.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SOUTH KOREA -- (0.0%) Other Securities........................ 415,149 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 415,149 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES................... 4,954,104,681 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (2.8%) (S)@ DFA Short Term Investment Fund.......... 12,413,368 143,647,490 2.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,047,616,277)....................... $5,097,752,171 102.0% ============== ======
293 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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......................... $ 293,310,552 -- -- $ 293,310,552 Chile.......................... 36,556,767 $ 37,055,760 -- 73,612,527 China.......................... 123,639,714 631,103,019 -- 754,742,733 Colombia....................... 23,941,405 -- -- 23,941,405 Czech Republic................. -- 9,825,802 -- 9,825,802 Egypt.......................... 656,731 7,508,233 -- 8,164,964 Greece......................... -- 12,197,777 -- 12,197,777 Hungary........................ -- 19,420,220 -- 19,420,220 India.......................... 32,757,639 586,713,161 -- 619,470,800 Indonesia...................... 6,392,992 158,643,568 -- 165,036,560 Malaysia....................... -- 180,720,020 -- 180,720,020 Mexico......................... 255,289,834 -- -- 255,289,834 Peru........................... 14,446,744 -- -- 14,446,744 Philippines.................... 1,591,367 85,668,734 -- 87,260,101 Poland......................... -- 73,590,632 -- 73,590,632 Russia......................... 880,891 91,507,648 -- 92,388,539 South Africa................... 55,870,231 348,583,393 -- 404,453,624 South Korea.................... 24,723,258 702,400,291 -- 727,123,549 Taiwan......................... 61,828,890 703,019,328 -- 764,848,218 Thailand....................... 138,049,725 -- -- 138,049,725 Turkey......................... 592,181 74,152,461 -- 74,744,642 Preferred Stocks Brazil......................... 154,637,040 -- -- 154,637,040 Chile.......................... -- 461,858 -- 461,858 Colombia....................... 5,642,477 -- -- 5,642,477 South Korea.................... 309,189 -- -- 309,189 Rights/Warrants South Korea.................... -- 415,149 -- 415,149 Securities Lending Collateral... -- 143,647,490 -- 143,647,490 Futures Contracts**............. (265,685) -- -- (265,685) -------------- -------------- -- -------------- TOTAL........................... $1,230,851,942 $3,866,634,544 -- $5,097,486,486 ============== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 294 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (87.8%) BRAZIL -- (8.3%) * BR Malls Participacoes SA.......... 6,998,232 $ 28,019,237 0.5% CETIP SA - Mercados Organizados.... 945,300 13,288,099 0.3% * Cia Siderurgica Nacional SA........ 5,779,408 19,445,752 0.4% Duratex SA......................... 3,935,733 10,628,452 0.2% EDP - Energias do Brasil SA........ 3,450,314 16,592,205 0.3% Equatorial Energia SA.............. 2,273,758 40,560,082 0.7% Estacio Participacoes SA........... 3,477,890 20,167,840 0.4% Fleury SA.......................... 899,506 11,906,055 0.2% Localiza Rent a Car SA............. 1,649,975 20,485,122 0.4% MRV Engenharia e Participacoes SA.. 3,532,380 13,678,013 0.3% Multiplan Empreendimentos Imobiliarios SA................... 592,100 11,899,503 0.2% Odontoprev SA...................... 2,908,696 10,934,947 0.2% Qualicorp SA....................... 2,415,505 15,543,381 0.3% * Rumo Logistica Operadora Multimodal SA..................... 6,787,474 15,182,508 0.3% Sao Martinho SA.................... 661,862 13,181,255 0.3% Sul America SA..................... 2,810,065 16,964,268 0.3% Totvs SA........................... 1,287,326 11,679,501 0.2% Transmissora Alianca de Energia Eletrica SA....................... 1,918,518 12,471,569 0.2% Other Securities................... 202,885,715 3.5% ------------ ----- TOTAL BRAZIL........................... 505,513,504 9.2% ------------ ----- CHILE -- (1.6%) Engie Energia Chile SA............. 5,731,371 10,171,435 0.2% Parque Arauco SA................... 7,641,107 18,948,786 0.4% Vina Concha y Toro SA.............. 5,623,245 9,803,867 0.2% Other Securities................... 60,347,589 1.0% ------------ ----- TOTAL CHILE............................ 99,271,677 1.8% ------------ ----- CHINA -- (12.5%) # GCL-Poly Energy Holdings, Ltd...... 80,160,000 10,804,244 0.2% # GOME Electrical Appliances Holding, Ltd...................... 84,442,000 10,640,930 0.2% Kingboard Chemical Holdings, Ltd... 4,301,921 12,716,703 0.2% Minth Group, Ltd................... 2,797,000 9,902,300 0.2% Shenzhen International Holdings, Ltd............................... 7,240,222 11,180,429 0.2% # Sunac China Holdings, Ltd.......... 14,681,000 10,019,548 0.2% Other Securities................... 698,392,014 12.6% ------------ ----- TOTAL CHINA............................ 763,656,168 13.8% ------------ ----- COLOMBIA -- (0.2%) Other Securities................... 10,672,364 0.2% ------------ ----- GREECE -- (0.3%) Other Securities................... 18,832,908 0.3% ------------ ----- HONG KONG -- (0.1%) Other Securities................... 3,501,421 0.1% ------------ ----- HUNGARY -- (0.1%) Other Securities................... 3,410,822 0.1% ------------ ----- INDIA -- (13.6%) Arvind, Ltd........................ 1,766,630 11,011,026 0.2% Berger Paints India, Ltd........... 2,563,663 9,940,850 0.2%
295 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- INDIA -- (Continued) Federal Bank, Ltd.................. 8,408,191 $ 10,356,427 0.2% TVS Motor Co., Ltd................. 2,133,665 13,107,680 0.2% Other Securities................... 787,839,019 14.3% -------------- ----- TOTAL INDIA............................ 832,255,002 15.1% -------------- ----- INDONESIA -- (3.3%) Other Securities................... 201,825,238 3.6% -------------- ----- MALAYSIA -- (3.9%) Other Securities................... 237,523,653 4.3% -------------- ----- MEXICO -- (3.1%) # Alsea S.A.B. de C.V................ 6,071,804 22,654,019 0.4% # Banregio Grupo Financiero S.A.B. de C.V............................ 2,236,173 14,657,398 0.3% Gentera S.A.B. de C.V.............. 7,327,998 14,453,614 0.3% # Grupo Aeroportuario del Centro Norte S.A.B. de C.V............... 2,202,376 12,852,340 0.2% #* Industrias CH S.A.B. de C.V. Series B.......................... 2,280,755 10,775,695 0.2% Other Securities................... 115,570,171 2.1% -------------- ----- TOTAL MEXICO........................... 190,963,237 3.5% -------------- ----- PHILIPPINES -- (1.6%) Other Securities................... 97,508,208 1.8% -------------- ----- POLAND -- (1.8%) Other Securities................... 108,866,211 2.0% -------------- ----- SOUTH AFRICA -- (7.0%) AVI, Ltd........................... 3,346,741 23,508,782 0.4% Barloworld, Ltd.................... 2,216,736 14,318,310 0.3% # Clicks Group, Ltd.................. 2,666,173 24,871,462 0.5% EOH Holdings, Ltd.................. 1,098,252 13,028,837 0.2% Foschini Group, Ltd. (The)......... 1,564,234 16,079,708 0.3% Imperial Holdings, Ltd............. 840,996 10,622,362 0.2% JSE, Ltd........................... 892,197 10,394,209 0.2% * Northam Platinum, Ltd.............. 3,640,843 13,265,319 0.2% # Pick n Pay Stores, Ltd............. 2,069,376 10,139,102 0.2% * Sappi, Ltd......................... 4,082,585 22,716,560 0.4% SPAR Group, Ltd. (The)............. 1,141,280 16,180,895 0.3% * Super Group, Ltd................... 3,398,200 10,029,578 0.2% Other Securities................... 243,434,810 4.4% -------------- ----- TOTAL SOUTH AFRICA..................... 428,589,934 7.8% -------------- ----- SOUTH KOREA -- (11.8%) Other Securities................... 725,273,437 13.1% -------------- ----- TAIWAN -- (13.4%) Other Securities................... 818,271,016 14.8% -------------- ----- THAILAND -- (3.4%) Other Securities................... 209,076,777 3.8% -------------- ----- TURKEY -- (1.8%) Other Securities................... 111,238,430 2.0% -------------- ----- TOTAL COMMON STOCKS.................... 5,366,250,007 97.3% -------------- -----
296 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- PREFERRED STOCKS -- (1.6%) BRAZIL -- (1.5%) Cia Energetica de Minas Gerais..... 3,890,229 $ 11,882,748 0.2% Cia Paranaense de Energia.......... 857,600 9,819,950 0.2% Other Securities................... 72,927,385 1.3% -------------- ------ TOTAL BRAZIL............................. 94,630,083 1.7% -------------- ------ CHILE -- (0.1%) Other Securities................... 3,498,995 0.1% -------------- ------ COLOMBIA -- (0.0%) Other Securities................... 2,105,056 0.0% -------------- ------ TOTAL PREFERRED STOCKS................... 100,234,134 1.8% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities................... 107,121 0.0% -------------- ------ BRAZIL -- (0.0%) Other Securities................... 4,731 0.0% -------------- ------ CHINA -- (0.0%) Other Securities................... 4,888 0.0% -------------- ------ INDIA -- (0.0%) Other Securities................... 498,840 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities................... 9,793 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities................... 1,020 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities................... 2,151 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................... 628,544 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES.............. 5,467,112,685 -------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (10.6%) (S)@ DFA Short Term Investment Fund..... 56,051,755 648,630,910 11.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,926,075,685).................. $6,115,743,595 110.9% ============== ======
297 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of October 31, 2016, 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......................... $ 505,513,504 -- -- $ 505,513,504 Chile.......................... 1,048,175 $ 98,223,502 -- 99,271,677 China.......................... 1,165,199 762,490,969 -- 763,656,168 Colombia....................... 10,672,364 -- -- 10,672,364 Greece......................... -- 18,832,908 -- 18,832,908 Hong Kong...................... -- 3,501,421 -- 3,501,421 Hungary........................ -- 3,410,822 -- 3,410,822 India.......................... 2,752,926 829,502,076 -- 832,255,002 Indonesia...................... 2,884,712 198,940,526 -- 201,825,238 Malaysia....................... 43,667 237,479,986 -- 237,523,653 Mexico......................... 190,963,237 -- -- 190,963,237 Philippines.................... -- 97,508,208 -- 97,508,208 Poland......................... -- 108,866,211 -- 108,866,211 South Africa................... 9,109,799 419,480,135 -- 428,589,934 South Korea.................... 1,107,997 724,165,440 -- 725,273,437 Taiwan......................... 1,012,253 817,258,763 -- 818,271,016 Thailand....................... 208,832,059 244,718 -- 209,076,777 Turkey......................... -- 111,238,430 -- 111,238,430 Preferred Stocks Brazil......................... 94,630,083 -- -- 94,630,083 Chile.......................... -- 3,498,995 -- 3,498,995 Colombia....................... 2,105,056 -- -- 2,105,056 Rights/Warrants Australia...................... -- 107,121 -- 107,121 Brazil......................... -- 4,731 -- 4,731 China.......................... -- 4,888 -- 4,888 India.......................... -- 498,840 -- 498,840 South Korea.................... -- 9,793 -- 9,793 Taiwan......................... -- 1,020 -- 1,020 Thailand....................... -- 2,151 -- 2,151 Securities Lending Collateral... -- 648,630,910 -- 648,630,910 Futures Contracts**............. 288,905 -- -- 288,905 -------------- -------------- -- -------------- TOTAL........................... $1,032,129,936 $5,083,902,564 -- $6,116,032,500 ============== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 298 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (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 $1,407,685, $362,128, $271,364 and $262,488 of securities on loan, respectively).................................................... $20,729,659 $ 9,665,735 $3,107,991 $1,545,386 Temporary Cash Investments at Value & Cost........................ 200,994 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $820,520, $370,043, $280,916 and $261,799)........................................................ 820,651 370,103 280,962 261,843 Segregated Cash for Futures Contracts............................. 6,012 1,176 -- -- Foreign Currencies at Value....................................... -- 9,101 2,507 2,689 Cash.............................................................. -- 17,431 1,795 392 Receivables: Investment Securities Sold...................................... 56,993 -- 4,478 6,989 Dividends, Interest and Tax Reclaims............................ 22,805 38,076 19,244 1,409 Securities Lending Income....................................... 228 158 684 420 Futures Margin Variation........................................ -- 13 -- -- ----------- ----------- ---------- ---------- Total Assets................................................. 21,837,342 10,101,793 3,417,661 1,819,128 ----------- ----------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned................................ 820,496 370,018 280,889 261,796 Investment Securities Purchased................................. 97,218 -- 3,734 1,368 Due to Advisor.................................................. 1,787 1,649 261 134 Futures Margin Variation........................................ 247 -- -- -- Accrued Expenses and Other Liabilities............................ 1,026 586 183 94 ----------- ----------- ---------- ---------- Total Liabilities............................................ 920,774 372,253 285,067 263,392 ----------- ----------- ---------- ---------- NET ASSETS........................................................ $20,916,568 $ 9,729,540 $3,132,594 $1,555,736 =========== =========== ========== ========== Investments at Cost............................................... $15,139,595 $ 9,675,856 $2,683,628 $1,595,952 =========== =========== ========== ========== Foreign Currencies at Cost........................................ $ -- $ 9,131 $ 2,500 $ 2,692 =========== =========== ========== ==========
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 299 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (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 $53,170, $327,025, $202,280, $212,759 and $954,168 of securities on loan, respectively).............................. $1,669,112 $4,133,195 $ 931,082 $4,954,105 $5,467,113 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $56,574, $350,137, $214,106, $143,624 and $648,523).............................. 56,584 350,190 214,142 143,647 648,631 Segregated Cash for Futures Contracts....... -- -- -- 1,298 940 Foreign Currencies at Value................. 5,978 1,645 279 38,502 19,897 Cash........................................ 2,698 5,855 4,248 2,268 17,857 Receivables: Investment Securities Sold................ 936 2,988 55 1,559 3,346 Dividends, Interest and Tax Reclaims...... 4,896 5,730 705 2,882 4,074 Securities Lending Income................. 93 1,051 375 526 3,868 Futures Margin Variation.................. -- -- -- 149 108 Unrealized Gain on Foreign Currency Contracts.................................. -- -- 1 -- -- ---------- ---------- ---------- ---------- ---------- Total Assets........................... 1,740,297 4,500,654 1,150,887 5,144,936 6,165,834 ---------- ---------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 56,573 350,129 214,100 143,617 648,523 Investment Securities Purchased........... -- 1,969 3,384 2,758 332 Due to Advisor............................ 148 359 81 424 942 Unrealized Loss on Foreign Currency Contracts.................................. -- -- 5 -- -- Accrued Expenses and Other Liabilities...... 111 272 53 406 390 ---------- ---------- ---------- ---------- ---------- Total Liabilities...................... 56,832 352,729 217,623 147,205 650,187 ---------- ---------- ---------- ---------- ---------- NET ASSETS.................................. $1,683,465 $4,147,925 $ 933,264 $4,997,731 $5,515,647 ========== ========== ========== ========== ========== Investments at Cost......................... $1,633,790 $3,529,003 $1,162,676 $3,903,992 $5,277,553 ========== ========== ========== ========== ========== Foreign Currencies at Cost.................. $ 5,962 $ 1,647 $ 279 $ 38,157 $ 20,038 ========== ========== ========== ========== ==========
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 300 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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 $20, $27,352, $5,758 and $1,317, respectively).......................... $482,647 $ 341,886 $ 52,010 $ 52,135 Income from Securities Lending............................. 3,444 9,676 5,693 5,042 -------- --------- -------- -------- Total Investment Income................................. 486,091 351,562 57,703 57,177 -------- --------- -------- -------- EXPENSES Investment Management Fees................................. 19,402 17,844 2,725 1,385 Accounting & Transfer Agent Fees........................... 954 449 138 78 Custodian Fees............................................. 190 771 441 250 Shareholders' Reports...................................... 81 38 11 5 Directors'/Trustees' Fees & Expenses....................... 134 62 19 9 Professional Fees.......................................... 361 265 54 27 Other...................................................... 531 339 104 54 -------- --------- -------- -------- Total Expenses.......................................... 21,653 19,768 3,492 1,808 -------- --------- -------- -------- Fees Paid Indirectly (Note C).............................. -- (212) (15) (10) -------- --------- -------- -------- Net Expenses............................................... 21,653 19,556 3,477 1,798 -------- --------- -------- -------- NET INVESTMENT INCOME (LOSS)............................... 464,438 332,006 54,226 55,379 -------- --------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold**............................. 567,193 (261,808) 122,152 (8,246) Futures.................................................. 21,037 5,988 -- -- Foreign Currency Transactions............................ -- 5,590 2,170 309 Forward Currency Contracts............................... -- 8 (36) (18) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... (57,128) (32,753) 214,787 168,801 Futures.................................................. (3,872) (852) -- -- Translation of Foreign Currency Denominated Amounts...... -- (908) (688) 22 -------- --------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS).................... 527,230 (284,735) 338,385 160,868 -------- --------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $991,668 $ 47,271 $392,611 $216,247 ======== ========= ======== ========
---------- **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 301 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (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 $50, $12,963, $2,757, $15,156 and $12,828, respectively)............................... $ 79,890 $ 89,305 $ 16,189 $ 110,969 $118,814 Interest..................................... -- -- -- 55 47 Income from Securities Lending............... 1,716 14,119 3,503 6,697 38,494 --------- -------- -------- --------- -------- Total Investment Income................... 81,606 103,424 19,692 117,721 157,355 --------- -------- -------- --------- -------- EXPENSES Investment Management Fees................... 1,820 3,945 747 4,522 9,995 Accounting & Transfer Agent Fees............. 94 204 37 232 256 Custodian Fees............................... 106 610 56 1,780 2,557 Shareholders' Reports........................ 8 14 3 18 22 Directors'/Trustees' Fees & Expenses......... 13 27 5 31 34 Professional Fees............................ 39 183 13 254 171 Other........................................ 76 165 22 172 198 --------- -------- -------- --------- -------- Total Expenses............................ 2,156 5,148 883 7,009 13,233 --------- -------- -------- --------- -------- Fees Paid Indirectly (Note C)................ (15) (36) (13) (69) (69) --------- -------- -------- --------- -------- Net Expenses................................. 2,141 5,112 870 6,940 13,164 --------- -------- -------- --------- -------- NET INVESTMENT INCOME (LOSS)................. 79,465 98,312 18,822 110,781 144,191 --------- -------- -------- --------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold*................ 71,244 122,507 (24,152) (106,229) 140,851 Futures.................................... -- 687 -- 5,752 4,055 Foreign Currency Transactions.............. (1,277) (394) 229 975 457 Forward Currency Contracts................. -- (5) -- (4) (116) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. (469,059) 27,064 135,836 512,891 400,224 Futures.................................... -- 19 -- (266) 289 Translation of Foreign Currency Denominated Amounts....................... (215) (32) (6) 207 586 --------- -------- -------- --------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)...... (399,307) 149,846 111,907 413,326 546,346 --------- -------- -------- --------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $(319,842) $248,158 $130,729 $ 524,107 $690,537 ========= ======== ======== ========= ========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $68, respectively. See accompanying Notes to Financial Statements. 302 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, 2016 2015 2016 2015 2016 2015 ----------- ----------- ---------- ----------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......... $ 464,438 $ 413,724 $ 332,006 $ 313,826 $ 54,226 $ 43,264 Net Realized Gain (Loss) on: Investment Securities Sold*........ 567,193 858,150 (261,808) 244,684 122,152 69,828 Futures............................ 21,037 (43) 5,988 -- -- -- Foreign Currency Transactions...................... -- -- 5,590 (5,879) 2,170 (1,869) Forward Currency Contracts......... -- -- 8 -- (36) -- In-Kind Redemptions................ -- -- -- -- -- 27,130 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. (57,128) (1,018,426) (32,753) (1,034,230) 214,787 85,013 Futures............................ (3,872) -- (852) -- -- -- Translation of Foreign Currency Denominated Amounts............... -- -- (908) 654 (688) 382 ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... 991,668 253,405 47,271 (480,945) 392,611 223,748 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions........................ 1,812,211 1,769,181 1,394,282 1,070,207 224,138 102,092 Withdrawals.......................... (981,368) (1,305,211) (939,918) (705,023) (115,843) (199,561) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest......... 830,843 463,970 454,364 365,184 108,295 (97,469) ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets....................... 1,822,511 717,375 501,635 (115,761) 500,906 126,279 NET ASSETS Beginning of Year.................... 19,094,057 18,376,682 9,227,905 9,343,666 2,631,688 2,505,409 ----------- ----------- ---------- ----------- ---------- ---------- End of Year.......................... $20,916,568 $19,094,057 $9,729,540 $ 9,227,905 $3,132,594 $2,631,688 =========== =========== ========== =========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 303 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, 2016 2015 2016 2015 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)............ $ 55,379 $ 54,891 $ 79,465 $ 71,555 $ 98,312 $ 82,887 Net Realized Gain (Loss) on: Investment Securities Sold*........... (8,246) (15,143) 71,244 82,685 122,507 115,635 Futures............................... -- -- -- -- 687 (4,875) Foreign Currency Transactions......... 309 (913) (1,277) 144 (394) (1,002) Forward Currency Contracts............ (18) -- -- -- (5) -- In-Kind Redemptions................... -- 18,027 -- 42,293 -- 58,734 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 168,801 (224,570) (469,059) (104) 27,064 55,052 Futures............................... -- -- -- -- 19 (19) Translation of Foreign Currency Denominated Amounts.................. 22 (13) (215) 86 (32) (57) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 216,247 (167,721) (319,842) 196,659 248,158 306,355 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 137,711 119,899 112,811 12,907 441,553 454,912 Withdrawals............................. (26,496) (177,690) (193,617) (121,351) (195,529) (259,801) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 111,215 (57,791) (80,806) (108,444) 246,024 195,111 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 327,462 (225,512) (400,648) 88,215 494,182 501,466 NET ASSETS Beginning of Year....................... 1,228,274 1,453,786 2,084,113 1,995,898 3,653,743 3,152,277 ---------- ---------- ---------- ---------- ---------- ---------- End of Year............................. $1,555,736 $1,228,274 $1,683,465 $2,084,113 $4,147,925 $3,653,743 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 304 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, 2016 2015 2016 2015 2016 2015 -------- --------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)............ $ 18,822 $ 19,902 $ 110,781 $ 101,691 $ 144,191 $ 134,189 Net Realized Gain (Loss) on: Investment Securities Sold*........... (24,152) (9,138) (106,229) (99,010) 140,851 49,962 Futures............................... -- -- 5,752 2,478 4,055 -- Foreign Currency Transactions......... 229 149 975 (2,204) 457 (4,548) Forward Currency Contracts............ -- -- (4) -- (116) -- In-Kind Redemptions................... -- 8,042 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 135,836 (228,267) 512,891 (686,412) 400,224 (693,734) Futures............................... -- -- (266) -- 289 -- Translation of Foreign Currency Denominated Amounts.................. (6) 11 207 (95) 586 (241) -------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 130,729 (209,301) 524,107 (683,552) 690,537 (514,372) -------- --------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 187,903 20,480 471,019 1,463,845 448,086 792,529 Withdrawals............................. (8,500) (37,476) (400,950) (562,189) (521,283) (301,288) -------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 179,403 (16,996) 70,069 901,656 (73,197) 491,241 -------- --------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 310,132 (226,297) 594,176 218,104 617,340 (23,131) NET ASSETS Beginning of Year....................... 623,132 849,429 4,403,555 4,185,451 4,898,307 4,921,438 -------- --------- ---------- ---------- ---------- ---------- End of Year............................. $933,264 $ 623,132 $4,997,731 $4,403,555 $5,515,647 $4,898,307 ======== ========= ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $68 and $0, respectively. See accompanying Notes to Financial Statements. 305 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------- Total Return............. 4.75% 1.32% 15.67% 35.68% 18.31% --------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............. $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152 Ratio of Expenses to Average Net Assets...... 0.11% 0.11% 0.11% 0.11% 0.12% Ratio of Net Investment Income to Average Net Assets.................. 2.39% 2.20% 1.90% 1.98% 2.15% Portfolio Turnover Rate.. 15% 16% 15% 15% 10% --------------------------------------------------------------------------------------------- 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------- Total Return............. (0.10)% (5.35)% (0.72)% 28.18% 3.17% --------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............. $ 9,729,540 $ 9,227,905 $ 9,343,666 $ 8,792,130 $ 7,238,249 Ratio of Expenses to Average Net Assets...... 0.22% 0.22% 0.22% 0.22% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.22% 0.22% 0.22% 0.22% 0.24% Ratio of Net Investment Income to Average Net Assets.................. 3.72% 3.31% 4.50% 3.20% 3.75% Portfolio Turnover Rate.. 17% 21% 17% 15% 14% ---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 306 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, 2016 2015 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 14.53% 9.04% 2.46% 30.62% 0.54% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,132,594 $2,631,688 $2,505,409 $2,281,624 $1,686,731 Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.13% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.13% 0.13% 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets......... 1.99% 1.69% 1.71% 1.87% 2.17% Portfolio Turnover Rate...................................... 10% 6% 9% 16% 7% -------------------------------------------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 16.69% (11.83)% (3.46)% 10.97% 7.48% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,555,736 $1,228,274 $1,453,786 $1,265,498 $1,003,860 Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.13% 0.15% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.13% 0.13% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets......... 4.00% 4.17% 3.96% 4.64% 4.26% Portfolio Turnover Rate...................................... 10% 7% 7% 9% 18% ---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 307 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, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. (15.82)% 9.95% 1.22% 37.42% 23.41% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,683,465 $2,084,113 $1,995,898 $1,988,287 $1,464,838 Ratio of Expenses to Average Net Assets...................... 0.12% 0.11% 0.11% 0.12% 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.12% 0.11% 0.11% 0.12% 0.13% Ratio of Net Investment Income to Average Net Assets......... 4.36% 3.44% 2.98% 3.29% 3.37% Portfolio Turnover Rate...................................... 15% 10% 8% 17% 6% --------------------------------------------------------------------------------------------------------------------------
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, 2016 2015 2014 2013 2012 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 6.10% 9.81% (2.25)% 43.67% 2.29% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,147,925 $3,653,743 $3,152,277 $3,217,766 $2,245,179 Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.13% 0.14% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.13% 0.13% 0.13% 0.14% 0.16% Ratio of Net Investment Income to Average Net Assets......... 2.49% 2.44% 2.40% 2.67% 3.15% Portfolio Turnover Rate...................................... 9% 14% 13% 13% 9% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 308 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, 2016 2015 2014 2013 2012 ----------------------------------------------------------------------------------------- Total Return.............. 20.77% (25.00)% (3.83)% 5.71% (2.51)% ----------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).............. $ 933,264 $ 623,132 $ 849,429 $ 741,204 $ 689,086 Ratio of Expenses to Average Net Assets....... 0.12% 0.12% 0.12% 0.13% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).............. 0.12% 0.12% 0.12% 0.13% 0.15% Ratio of Net Investment Income to Average Net Assets................... 2.52% 2.73% 2.42% 2.99% 2.29% Portfolio Turnover Rate... 8% 18% 5% 14% 22% ----------------------------------------------------------------------------------------- THE EMERGING MARKETS SERIES ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2016 2015 2014 2013 2012 ----------------------------------------------------------------------------------------- Total Return.............. 11.44% (14.86)% 1.74% 6.99% 4.55% ----------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).............. $4,997,731 $4,403,555 $4,185,451 $3,766,160 $2,913,307 Ratio of Expenses to Average Net Assets....... 0.15% 0.16% 0.15% 0.16% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).............. 0.15% 0.16% 0.15% 0.16% 0.20% Ratio of Net Investment Income to Average Net Assets................... 2.45% 2.39% 2.51% 2.38% 2.55% Portfolio Turnover Rate... 5% 9% 5% 4% 5% -----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 309 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------- Total Return.................... 14.45% (9.42)% 5.60% 9.41% 7.19% --------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................... $5,515,647 $4,898,307 $4,921,438 $4,091,523 $2,953,350 Ratio of Expenses to Average Net Assets..................... 0.26% 0.26% 0.26% 0.29% 0.36% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............... 0.26% 0.27% 0.26% 0.29% 0.36% Ratio of Net Investment Income to Average Net Assets.......... 2.89% 2.62% 2.48% 2.37% 2.48% Portfolio Turnover Rate......... 18% 18% 9% 11% 13% ---------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 310 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. The Series are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
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 of the day. 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 within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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. 311 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 Trustees of the Trust. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Series 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 Trustees of the International Equity Portfolios has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the 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. 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. A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedules of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Series recognize transfers between the levels as of the end of the period. As of October 31, 2016, The Emerging Markets Series and Emerging Markets Small Cap Series had significant transfers of securities with a total value of $334,768 and $554,874 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. 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. 312 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 Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees' Fees & Expenses. Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed-upon years. Each Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Trustee's deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of Trustees of the Trust; and (ii) five years following the effective date of the Trustee's first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. OTHER: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for 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 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. 313 C. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Series. For the year ended October 31, 2016, the Series' investment management 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. The impact of such credits is generally less than one basis point of each Series' net assets. During the year ended October 31, 2016, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY - ---------- The DFA International Value Series................ $212 The Japanese Small Company Series................. 15 The Asia Pacific Small Company Series............. 10 The United Kingdom Small Company Series........... 15 The Continental Small Company Series.............. 36 The Canadian Small Company Series................. 13 The Emerging Markets Series....................... 69 The Emerging Markets Small Cap Series............. 69
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Trust; however, such Officers and Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the year ended October 31, 2016, 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, 2016, the total liability for deferred compensation to 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............................. $478 The DFA International Value Series.......................... 321 The Japanese Small Company Series........................... 75 The Asia Pacific Small Company Series....................... 39 The United Kingdom Small Company Series..................... 50 The Continental Small Company Series........................ 95 The Canadian Small Company Series........................... 23 The Emerging Markets Series................................. 122 The Emerging Markets Small Cap Series....................... 97
314 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2016, the Series transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
PURCHASES SALES ---------- ---------- The U.S. Large Cap Value Series........... $4,375,099 $2,884,283 The DFA International Value Series........ 2,247,033 1,472,195 The Japanese Small Company Series......... 435,288 279,916 The Asia Pacific Small Company Series..... 305,915 130,653 The United Kingdom Small Company Series... 317,512 275,930 The Continental Small Company Series...... 698,769 338,855 The Canadian Small Company Series......... 264,983 63,519 The Emerging Markets Series............... 408,207 255,204 The Emerging Markets Small Cap Series..... 921,870 872,555
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, 2016, 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........... $16,161,109 $6,178,300 $ (588,105) $5,590,195 The DFA International Value Series........ 10,045,899 1,179,180 (1,189,241) (10,061) The Japanese Small Company Series......... 2,964,544 692,022 (267,614) 424,408 The Asia Pacific Small Company Series..... 1,857,750 330,139 (380,660) (50,521) The United Kingdom Small Company Series... 1,690,364 319,739 (284,407) 35,332 The Continental Small Company Series...... 3,879,139 1,155,725 (551,479) 604,246 The Canadian Small Company Series......... 1,376,781 117,905 (349,463) (231,558) The Emerging Markets Series............... 4,047,616 1,441,316 (391,180) 1,050,136 The Emerging Markets Small Cap Series..... 5,926,076 1,151,901 (962,233) 189,668
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 Series' tax positions and has concluded that no additional provision for income tax is required in any Series' financial statements. The Series 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 Series' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 315 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 purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Series. The Series, however, do not intend to sell futures contracts to establish short positions in individual securities. 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, 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. At October 31, 2016, the following Series had outstanding futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- --------- -------- ----------- ---------- The U.S. Large Cap Value Series................. S&P 500 Emini Index(R) 12/16/16 1,336 $141,623 $(3,872) $6,012 -------- ------- ------ $141,623 $(3,872) $6,012 ======== ======= ======
UNREALIZED EXPIRATION NUMBER OF CONTRACT GAIN CASH DESCRIPTION DATE CONTRACTS VALUE (LOSS) COLLATERAL ------------------------ ---------- --------- -------- ---------- ---------- The DFA International Value Series........ MINI MSCI EAFE Index(R) 12/16/16 280 $23,320 $(852) $1,176 ------- ----- ------ $23,320 $(852) $1,176 ======= ===== ======
316
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL --------------------------- ---------- --------- -------- ----------- ---------- The Emerging Markets MINI MSCI Emerging Markets Series............. Index(R) 12/16/16 649 $29,319 $(266) $1,298 ------- ----- ------ $29,319 $(266) $1,298 ======= ===== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL --------------------------- ---------- --------- -------- ----------- ---------- The Emerging Markets MINI MSCI Emerging Markets Small Cap Series... Index(R) 12/16/16 470 $21,232 $289 $940 ------- ---- ---- $21,232 $289 $940 ======= ==== ====
3. FORWARD CURRENCY CONTRACTS: The International Equity Portfolios may acquire and sell 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 Series' currency exposure with respect to a foreign market will be based primarily on the Series' existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Series 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 Series 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, 2016, the International Equity Portfolios had no outstanding forward currency contracts. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD CURRENCY CONTRACTS FUTURES --------- -------- The U.S. Large Cap Value Series........ -- $108,242 The DFA International Value Series*.... $402 58,270 The Asia Pacific Small Company Series*. 341 -- The Canadian Small Company Series*..... 114 -- The Emerging Markets Series*........... 141 22,025 The Emerging Markets Small Cap Series.. -- 21,122
* The Series had derivative activity during the period but it did not have open forward currency contract positions at October 31, 2016. The following is a summary of the location of derivatives on the Series' Statements of Assets and Liabilities as of October 31, 2016: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES --------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- ------------------------ ------------------------ Equity contracts Receivables: Futures Payables: Futures Margin Margin Variation Variation 317 The following is a summary of the Series' derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands):
ASSET DERIVATIVES VALUE -------------------------- TOTAL VALUE AT EQUITY OCTOBER 31, 2016 CONTRACTS* ---------------- ---------- The Emerging Markets Small Cap Series............. 289 289 LIABILITY DERIVATIVES VALUE -------------------------- TOTAL VALUE AT EQUITY OCTOBER 31, 2016 CONTRACTS* ---------------- ---------- The U.S. Large Cap Value Series................... (3,872) (3,872) The DFA International Value Series................ (852) (852) The Emerging Markets Series....................... (266) (266)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statements of Assets and Liabilities. 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, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES --------------- -------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Equity contracts Net Realized Gain 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 Series' derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES --------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- The U.S. Large Cap Value Series......... $21,037 -- $21,037 The DFA International Value Series...... 5,996 $ 8 5,988 The Japanese Small Company Series....... (36) (36) -- The Asia Pacific Small Company Series... (18) (18) -- The Continental Small Company Series.... 682 (5) 687 The Emerging Markets Series............. 5,748 (4) 5,752 The Emerging Markets Small Cap Series... 3,939 (116) 4,055 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES --------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- The U.S. Large Cap Value Series......... $(3,872) -- $(3,872) The DFA International Value Series...... (852) -- (852) The Continental Small Company Series.... 19 -- 19 The Emerging Markets Series............. (266) -- (266) The Emerging Markets Small Cap Series... 289 -- 289
318 H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM: The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. 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 29, 2017. 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 effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. 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 7, 2017. For the year ended October 31, 2016, 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........... 0.87% $53,510 3 $ 4 $56,418 The DFA International Value Series........ 0.96% 6,426 14 2 40,666 The Japanese Small Company Series......... 1.06% 4,697 23 3 35,507 The Asia Pacific Small Company Series..... 1.07% 120 11 -- 188 The United Kingdom Small Company Series... 1.02% 3,099 17 1 18,012 The Continental Small Company Series...... 1.10% 8,539 14 4 33,487 The Canadian Small Company Series......... 1.12% 1,826 1 -- 1,826 The Emerging Markets Series............... 1.06% 11,513 33 11 27,055 The Emerging Markets Small Cap Series..... 1.04% 16,966 30 16 92,715
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, 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, 2016. Pursuant to an exemptive order issued by the SEC (the "Order''), the Series may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. lnterfund loans have a maximum duration of seven days and may be called on one business day's notice. The Series did not utilize the interfund lending program during the year ended October 31, 2016. 319 I. AFFILIATED TRADES: Cross trades for the year ended October 31, 2016, if any, were executed by the Series pursuant to procedures adopted by the Board of Trustees of the Trust to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. For the year ended October 31, 2016, cross trades by the Series under Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS) --------- --------- -------- -------------------- The U.S. Large Cap Value Series......... $259,866 $167,106 $ 13,371 The DFA International Value Series...... 100,986 137,382 (50,541) The Japanese Small Company Series....... 42,370 46,367 3,752 The Asia Pacific Small Company Series... 29,585 29,869 (873) The Continental Small Company Series.... 36,654 49,457 1,095 The Canadian Small Company Series....... 29,808 29,863 1,183 The Emerging Markets Series............. 4,946 5,107 (252) The Emerging Markets Small Cap Series... 4,788 6,157 876
J. SECURITIES LENDING: As of October 31, 2016, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities as follows (amounts in thousands):
MARKET OVERINVESTED VALUE CASH -------- ------------ The U.S. Large Cap Value Series................... $631,247 -- The DFA International Value Series................ 21,237 -- The Japanese Small Company Series................. 8,397 -- The Asia Pacific Small Company Series............. 22,601 -- The Continental Small Company Series.............. 4,118 -- The Canadian Small Company Series................. -- $(529) The Emerging Markets Series....................... 88,488 -- The Emerging Markets Small Cap Series............. 382,300 --
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 in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series' collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. 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 320 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. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS AS OF OCTOBER 31, 2016 --------------------------------------------------------- OVERNIGHT AND BETWEEN CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL ------------- -------- ------------ -------- ------------ SECURITIES LENDING TRANSACTIONS THE U.S. LARGE CAP VALUE SERIES Common Stocks, Rights/Warrants.... $820,651,306 -- -- -- $820,651,306 THE DFA INTERNATIONAL VALUE SERIES Common Stocks..................... $370,102,917 -- -- -- $370,102,917 THE JAPANESE SMALL COMPANY SERIES Common Stocks..................... $280,961,564 -- -- -- $280,961,564 THE ASIA PACIFIC SMALL COMPANY SERIES Common Stocks..................... $261,843,149 -- -- -- $261,843,149 THE UNITED KINGDOM SMALL COMPANY SERIES Common Stocks..................... $ 56,583,806 -- -- -- $ 56,583,806 THE CONTINENTAL SMALL COMPANY SERIES Common Stocks, Rights/Warrants.... $350,189,570 -- -- -- $350,189,570 THE CANADIAN SMALL COMPANY SERIES Common Stocks..................... $214,141,764 -- -- -- $214,141,764 THE EMERGING MARKETS SERIES Common Stocks..................... $143,647,490 -- -- -- $143,647,490 THE EMERGING MARKETS SMALL CAP SERIES Common Stocks..................... $648,630,910 -- -- -- $648,630,910
K. 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 that 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. L. OTHER: The Series and the Trust are subject to claims and suits that arise from time to time in the ordinary course of business. 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 321 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 parties appealed the Court's dismissal order to the Second Circuit, and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the grounds that the individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for securities transactions. 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. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Series through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 322 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") as of October 31, 2016, 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 as of October 31, 2016 by correspondence with the custodians, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 323 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DIMENSIONAL EMERGING MARKETS VALUE FUND VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2006-OCTOBER 31, 2016 [CHART] Dimensional Emerging MSCI Emerging Markets Markets Value Fund Index (net dividends) -------------------- -------------------- 10/31/06 $10,000 $10,000 11/30/06 10,734 10,743 12/31/06 11,114 11,227 01/31/07 11,289 11,108 02/28/07 11,356 11,043 03/31/07 11,951 11,481 04/30/07 12,908 12,025 05/31/07 13,893 12,609 06/30/07 14,292 13,200 07/31/07 14,974 13,897 08/31/07 14,496 13,601 09/30/07 15,804 15,103 10/31/07 17,545 16,788 11/30/07 16,271 15,597 12/31/07 16,251 15,652 01/31/08 14,640 13,699 02/29/08 15,228 14,710 03/31/08 14,720 13,932 04/30/08 15,859 15,062 05/31/08 16,002 15,342 06/30/08 14,145 13,811 07/31/08 13,872 13,290 08/31/08 12,690 12,229 09/30/08 10,502 10,089 10/31/08 7,244 7,328 11/30/08 6,697 6,776 12/31/08 7,524 7,305 01/31/09 6,847 6,833 02/28/09 6,266 6,447 03/31/09 7,353 7,374 04/30/09 8,800 8,601 05/31/09 10,786 10,071 06/30/09 10,654 9,935 07/31/09 12,089 11,052 08/31/09 12,184 11,013 09/30/09 13,312 12,012 10/31/09 12,999 12,027 11/30/09 13,833 12,544 12/31/09 14,524 13,039 01/31/10 13,702 12,312 02/28/10 13,813 12,355 03/31/10 15,031 13,353 04/30/10 15,133 13,514 05/31/10 13,554 12,326 06/30/10 13,640 12,235 07/31/10 14,908 13,254 08/31/10 14,641 12,997 09/30/10 16,405 14,441 10/31/10 16,971 14,860 11/30/10 16,428 14,468 12/31/10 17,799 15,500 01/31/11 17,244 15,080 02/28/11 16,965 14,939 03/31/11 17,944 15,818 04/30/11 18,590 16,308 05/31/11 17,887 15,880 06/30/11 17,523 15,636 07/31/11 17,384 15,567 08/31/11 15,625 14,176 09/30/11 12,826 12,109 10/31/11 14,516 13,713 11/30/11 13,785 12,799 12/31/11 13,295 12,645 01/31/12 15,145 14,079 02/29/12 16,069 14,922 03/31/12 15,384 14,424 04/30/12 14,889 14,252 05/31/12 13,244 12,653 06/30/12 13,847 13,142 07/31/12 13,765 13,398 08/31/12 13,961 13,354 09/30/12 14,863 14,159 10/31/12 14,675 14,073 11/30/12 14,843 14,252 12/31/12 15,930 14,949 01/31/13 16,192 15,155 02/28/13 15,927 14,965 03/31/13 15,796 14,707 04/30/13 15,938 14,818 05/31/13 15,489 14,438 06/30/13 14,189 13,518 07/31/13 14,470 13,660 08/31/13 14,169 13,425 09/30/13 15,219 14,298 10/31/13 15,913 14,993 11/30/13 15,537 14,774 12/31/13 15,386 14,560 01/31/14 14,317 13,615 02/28/14 14,638 14,066 03/31/14 15,295 14,497 04/30/14 15,401 14,546 05/31/14 16,032 15,053 06/30/14 16,456 15,453 07/31/14 16,772 15,752 08/31/14 17,150 16,107 09/30/14 15,753 14,913 10/31/14 15,739 15,089 11/30/14 15,483 14,930 12/31/14 14,769 14,241 01/31/15 14,652 14,327 02/28/15 15,179 14,770 03/31/15 14,758 14,560 04/30/15 16,226 15,680 05/31/15 15,509 15,052 06/30/15 15,022 14,661 07/31/15 13,824 13,645 08/31/15 12,573 12,411 09/30/15 12,157 12,038 10/31/15 12,914 12,896 11/30/15 12,416 12,393 12/31/15 12,046 12,117 01/31/16 11,375 11,331 02/29/16 11,446 11,312 03/31/16 13,139 12,809 04/30/16 13,494 12,879 05/31/16 12,624 12,398 06/30/16 13,318 12,894 07/31/16 14,160 13,543 Past performance is not predictive of 08/31/16 14,425 13,879 future performance. 09/30/16 14,632 14,058 The returns shown do not reflect the 10/31/16 14,954 14,091 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 2016, all 15.80% 0.60% 4.11% rights reserved.
-------------------------------------------------------------------------------- 324 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED) INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016 Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- RETURN IN U.S. DOLLARS ---------------------- MSCI Emerging Markets Index........... 9.27% MSCI Emerging Markets Small Cap Index. 4.78% MSCI Emerging Markets Value Index..... 8.60% MSCI Emerging Markets Growth Index.... 9.81%
During the period, the performance of the U.S. dollar was mixed when compared against the currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benefitted from USD-denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2016 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS ------------------------------------------ ------------ ---------------------- China........................ 1.62% 1.54% Korea........................ 5.56% 5.17% Taiwan....................... 14.56% 17.85% India........................ 6.28% 3.99% South Africa................. -0.92% 1.46% Brazil....................... 40.59% 70.69% Mexico....................... 8.65% -4.51% Russia....................... 17.86% 18.61% Malaysia..................... 4.44% 6.95% Indonesia.................... 26.13% 32.31%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds' relative performance. 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 price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Fund's assets. 325 For the 12 months ended October 31, 2016, total returns were 15.80% for the Fund and 9.27% for the MSCI Emerging Markets Index (net dividends), the Fund's benchmark. As a result of the Fund's diversified investment approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The Fund invests primarily in low relative price (value) stocks, while the benchmark is neutral with regard to value or growth stocks. The Fund's emphasis on the lowest relative price (deep value) stocks contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year, especially among small-caps. In addition, differences in country allocations contributed positively to the Fund's relative performance. The Fund held a lesser allocation to China, which underperformed, and a larger allocation to Brazil, which outperformed, in each case contributing positively to relative performance. 326 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, 2016 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/16 10/31/16 RATIO* PERIOD* --------- --------- ---------- -------- DIMENSIONAL EMERGING MARKETS VALUE FUND --------------------------------------- Actual Fund Return...................... $1,000.00 $1,108.20 0.16% $0.85 Hypothetical 5% Annual Return........... $1,000.00 $1,024.33 0.16% $0.81
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 327 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 28, 2016. They are 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 regulations 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....................... 9.5% Consumer Staples............................. 4.2% Energy....................................... 16.8% Financials................................... 29.6% Health Care.................................. 0.5% Industrials.................................. 9.2% Information Technology....................... 8.0% Materials.................................... 15.2% Real Estate.................................. 3.2% Telecommunication Services................... 2.0% Utilities.................................... 1.8% ----- 100.0%
328 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2016
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.2%) BRAZIL -- (6.2%) Banco do Brasil SA................. 11,814,302 $ 108,408,805 0.7% BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros............. 13,256,844 78,079,156 0.5% Kroton Educacional SA.............. 13,035,605 64,932,995 0.4% * Petroleo Brasileiro SA............. 12,763,637 74,534,522 0.5% * Petroleo Brasileiro SA Sponsored ADR............................... 22,735,012 265,317,590 1.6% # Vale SA Sponsored ADR.............. 16,396,265 113,462,154 0.7% Other Securities................... 357,181,075 2.0% -------------- ----- TOTAL BRAZIL........................... 1,061,916,297 6.4% -------------- ----- CHILE -- (1.5%) Other Securities................... 256,066,436 1.5% -------------- ----- CHINA -- (14.1%) Agricultural Bank of China, Ltd. Class H........................... 188,329,000 79,224,525 0.5% Bank of China, Ltd. Class H........ 535,573,817 240,000,782 1.5% China Construction Bank Corp. Class H........................... 692,941,101 506,017,971 3.1% China Petroleum & Chemical Corp. ADR............................... 1,158,578 83,904,204 0.5% # China Unicom Hong Kong, Ltd. ADR... 7,246,321 84,926,882 0.5% CNOOC, Ltd......................... 117,592,000 147,962,957 0.9% Industrial & Commercial Bank of China, Ltd. Class H............... 372,912,996 223,837,040 1.4% Other Securities................... 1,040,193,122 6.1% -------------- ----- TOTAL CHINA............................ 2,406,067,483 14.5% -------------- ----- COLOMBIA -- (0.2%) Other Securities................... 34,189,337 0.2% -------------- ----- CZECH REPUBLIC -- (0.2%) Other Securities................... 42,272,990 0.3% -------------- ----- GREECE -- (0.0%) Other Securities................... 7,063,890 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities................... 679,848 0.0% -------------- ----- HUNGARY -- (0.6%) OTP Bank P.L.C..................... 2,918,488 81,788,121 0.5% Other Securities................... 18,500,396 0.1% -------------- ----- TOTAL HUNGARY.......................... 100,288,517 0.6% -------------- ----- INDIA -- (13.1%) Axis Bank, Ltd..................... 10,438,329 76,215,999 0.5% ICICI Bank, Ltd. Sponsored ADR..... 16,081,202 133,313,164 0.8% Reliance Industries, Ltd........... 19,870,744 312,234,750 1.9% Tata Motors, Ltd................... 15,010,621 119,339,370 0.7% Other Securities................... 1,597,583,381 9.5% -------------- ----- TOTAL INDIA............................ 2,238,686,664 13.4% -------------- ----- INDONESIA -- (3.1%) Bank Mandiri Persero Tbk PT........ 95,456,931 84,083,115 0.5% Other Securities................... 446,507,146 2.7% -------------- ----- TOTAL INDONESIA........................ 530,590,261 3.2% -------------- -----
329 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (3.4%) Other Securities...................... $ 577,744,389 3.5% -------------- ----- MEXICO -- (5.1%) * Cemex S.A.B. de C.V. Sponsored ADR.... 13,493,350 117,122,279 0.7% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................... 1,633,336 156,261,255 0.9% # Grupo Financiero Banorte S.A.B. de C.V. Class O......................... 21,258,812 125,409,107 0.8% Grupo Mexico S.A.B. de C.V. Series B.. 36,736,533 90,184,389 0.6% Other Securities...................... 385,259,751 2.3% -------------- ----- TOTAL MEXICO.............................. 874,236,781 5.3% -------------- ----- PHILIPPINES -- (1.1%) Other Securities...................... 191,803,333 1.2% -------------- ----- POLAND -- (1.5%) # Polski Koncern Naftowy Orlen SA....... 3,609,126 71,505,205 0.4% Other Securities...................... 191,714,537 1.2% -------------- ----- TOTAL POLAND.............................. 263,219,742 1.6% -------------- ----- RUSSIA -- (2.2%) Gazprom PJSC Sponsored ADR............ 61,401,592 264,756,173 1.5% Lukoil PJSC Sponsored ADR............. 1,526,223 74,239,014 0.4% Other Securities...................... 29,810,325 0.3% -------------- ----- TOTAL RUSSIA.............................. 368,805,512 2.2% -------------- ----- SOUTH AFRICA -- (7.1%) Barclays Africa Group, Ltd............ 5,579,767 64,750,119 0.4% MTN Group, Ltd........................ 10,762,518 92,959,482 0.6% Sasol, Ltd............................ 3,802,484 105,005,545 0.6% Standard Bank Group, Ltd.............. 16,569,484 175,889,757 1.1% Steinhoff International Holdings NV... 24,951,223 134,603,568 0.8% Other Securities...................... 632,956,606 3.7% -------------- ----- TOTAL SOUTH AFRICA........................ 1,206,165,077 7.2% -------------- ----- SOUTH KOREA -- (14.1%) Hana Financial Group, Inc............. 3,086,346 88,276,195 0.5% Hyundai Motor Co...................... 1,517,445 185,263,981 1.1% KB Financial Group, Inc. ADR.......... 3,020,559 111,700,272 0.7% Kia Motors Corp....................... 2,442,082 86,715,201 0.5% # LG Electronics, Inc................... 1,692,217 70,543,997 0.4% POSCO................................. 533,590 111,025,370 0.7% POSCO Sponsored ADR................... 1,449,591 75,306,252 0.5% Shinhan Financial Group Co., Ltd...... 3,520,728 134,682,551 0.8% SK Innovation Co., Ltd................ 752,489 99,053,339 0.6% Other Securities...................... 1,442,859,087 8.6% -------------- ----- TOTAL SOUTH KOREA......................... 2,405,426,245 14.4% -------------- ----- TAIWAN -- (14.0%) # First Financial Holding Co., Ltd...... 144,043,234 75,453,806 0.5% # Fubon Financial Holding Co., Ltd...... 92,306,471 130,605,137 0.8% Mega Financial Holding Co., Ltd....... 129,885,796 88,800,916 0.6% # Pegatron Corp......................... 24,483,998 65,929,943 0.4% # United Microelectronics Corp.......... 216,382,681 80,538,501 0.5% Other Securities...................... 1,956,054,996 11.6% -------------- ----- TOTAL TAIWAN.............................. 2,397,383,299 14.4% -------------- -----
330 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- THAILAND -- (3.3%) PTT PCL............................ 21,629,500 $ 213,838,331 1.3% Other Securities................... 349,702,709 2.1% --------------- ------ TOTAL THAILAND........................... 563,541,040 3.4% --------------- ------ TURKEY -- (1.4%) Other Securities................... 240,781,051 1.4% --------------- ------ TOTAL COMMON STOCKS...................... 15,766,928,192 94.7% --------------- ------ PREFERRED STOCKS -- (4.3%) BRAZIL -- (4.2%) * Petroleo Brasileiro SA............. 28,867,973 159,985,728 1.0% #* Petroleo Brasileiro SA Sponsored ADR............................... 22,867,709 252,916,862 1.5% Vale SA............................ 23,147,649 149,604,010 0.9% # Vale SA Sponsored ADR.............. 10,365,717 66,755,217 0.4% Other Securities................... 90,363,373 0.5% --------------- ------ TOTAL BRAZIL............................. 719,625,190 4.3% --------------- ------ COLOMBIA -- (0.1%) Other Securities................... 14,779,867 0.1% --------------- ------ SOUTH KOREA -- (0.0%) Other Securities................... 1,768,449 0.0% --------------- ------ TOTAL PREFERRED STOCKS................... 736,173,506 4.4% --------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities................... 35,001 0.0% --------------- ------ INDIA -- (0.0%) Other Securities................... 850,210 0.0% --------------- ------ SOUTH KOREA -- (0.0%) Other Securities................... 1,582,912 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................... 2,468,123 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES.............. 16,505,569,821 --------------- VALUE+ ------ SECURITIES LENDING COLLATERAL -- (3.5%) (S)@ DFA Short Term Investment Fund..... 51,188,093 592,348,611 3.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $18,135,039,268)................. $17,097,918,432 102.7% =============== ======
Summary of the Fund's investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Common Stocks Brazil......................... $1,061,916,297 -- -- $ 1,061,916,297 Chile.......................... 68,522,696 $ 187,543,740 -- 256,066,436 China.......................... 222,507,491 2,183,559,992 -- 2,406,067,483 Colombia....................... 34,189,337 -- -- 34,189,337
331 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Czech Republic................. -- $ 42,272,990 -- $ 42,272,990 Greece......................... -- 7,063,890 -- 7,063,890 Hong Kong...................... -- 679,848 -- 679,848 Hungary........................ -- 100,288,517 -- 100,288,517 India.......................... $ 166,309,441 2,072,377,223 -- 2,238,686,664 Indonesia...................... 5,419,169 525,171,092 -- 530,590,261 Malaysia....................... 13,467 577,730,922 -- 577,744,389 Mexico......................... 874,236,781 -- -- 874,236,781 Philippines.................... -- 191,803,333 -- 191,803,333 Poland......................... -- 263,219,742 -- 263,219,742 Russia......................... 10,015,478 358,790,034 -- 368,805,512 South Africa................... 137,638,609 1,068,526,468 -- 1,206,165,077 South Korea.................... 293,776,615 2,111,649,630 -- 2,405,426,245 Taiwan......................... 35,243,272 2,362,140,027 -- 2,397,383,299 Thailand....................... 563,411,706 129,334 -- 563,541,040 Turkey......................... -- 240,781,051 -- 240,781,051 Preferred Stocks Brazil......................... 719,625,190 -- -- 719,625,190 Colombia....................... 14,779,867 -- -- 14,779,867 South Korea.................... 1,768,449 -- -- 1,768,449 Rights/Warrants Australia...................... -- 35,001 -- 35,001 India.......................... -- 850,210 -- 850,210 South Korea.................... -- 1,582,912 -- 1,582,912 Securities Lending Collateral... -- 592,348,611 -- 592,348,611 Futures Contracts**............. (394,528) -- -- (394,528) -------------- --------------- -- --------------- TOTAL........................... $4,208,979,337 $12,888,544,567 -- $17,097,523,904 ============== =============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) 332 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS) ASSETS: Investments at Value (including $905,952 of securities on loan)*.... $16,505,570 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $592,251)....................................... 592,349 Segregated Cash for Futures Contracts............................... 4,653 Foreign Currencies at Value......................................... 123,200 Cash................................................................ 2,187 Receivables: Investment Securities Sold......................................... 21,989 Dividends, Interest and Tax Reclaims............................... 1,885 Securities Lending Income.......................................... 2,395 Futures Margin Variation........................................... 57 ----------- Total Assets................................................... 17,254,285 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned................................... 592,234 Due to Advisor..................................................... 1,406 Line of Credit..................................................... 11,747 Accrued Expenses and Other Liabilities.............................. 1,391 ----------- Total Liabilities.............................................. 606,778 ----------- NET ASSETS.......................................................... $16,647,507 =========== Investments at Cost................................................. $17,542,788 =========== Foreign Currencies at Cost.......................................... $ 123,360 ===========
---------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 333 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $54,517............. $ 400,123 Interest........................................................ 24 Income from Securities Lending.................................. 30,547 ---------- Total Investment Income..................................... 430,694 ---------- EXPENSES Investment Management Fees...................................... 14,975 Accounting & Transfer Agent Fees................................ 818 Custodian Fees.................................................. 6,604 Shareholders' Reports........................................... 63 Directors'/Trustees' Fees & Expenses............................ 103 Professional Fees............................................... 590 Other........................................................... 687 ---------- Total Expenses.............................................. 23,840 ---------- Fees Paid Indirectly (Note C)................................... (198) ---------- Net Expenses.................................................... 23,642 ---------- NET INVESTMENT INCOME (LOSS).................................... 407,052 ---------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold*................................... (88,448) Futures....................................................... 11,480 Foreign Currency Transactions................................. 3,671 Forward Currency Contracts.................................... 93 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................... 1,983,912 Futures....................................................... (395) Translation of Foreign Currency Denominated Amounts........... 48 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 1,910,361 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $2,317,413 ==========
---------- * Net of foreign capital gain taxes withheld of $145. See accompanying Notes to Financial Statements. 334 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING MARKETS VALUE FUND ------------------------ YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2016 2015 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................................... $ 407,052 $ 437,571 Net Realized Gain (Loss) on: Investment Securities Sold*......................................... (88,448) (413,376) Futures............................................................. 11,480 -- Foreign Currency Transactions....................................... 3,764 (7,896) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... 1,983,912 (3,319,869) Futures............................................................. (395) -- Translation of Foreign Currency Denominated Amounts................. 48 108 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.... 2,317,413 (3,303,462) ----------- ----------- Transactions in Interest: Contributions......................................................... 1,192,055 1,713,486 Withdrawals........................................................... (1,950,019) (2,249,483) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.............. (757,964) (535,997) ----------- ----------- Total Increase (Decrease) in Net Assets............................ 1,559,449 (3,839,459) NET ASSETS Beginning of Year..................................................... 15,088,058 18,927,517 ----------- ----------- End of Year........................................................... $16,647,507 $15,088,058 =========== ===========
---------- * Net of foreign capital gain taxes withheld of $145 and $0, respectively. See accompanying Notes to Financial Statements. 335 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, 2016 2015 2014 2013 2012 --------------------------------------------------------------------------------------------------------------------------- Total Return............................................ 15.80% (17.95)% (1.09)% 8.43% 1.10% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)..................... $16,647,507 $15,088,058 $18,927,517 $19,427,286 $16,884,322 Ratio of Expenses to Average Net Assets................. 0.16% 0.15% 0.15% 0.16% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.16% 0.15% 0.15% 0.16% 0.20% Ratio of Net Investment Income to Average Net Assets.... 2.72% 2.54% 2.76% 2.32% 2.43% Portfolio Turnover Rate................................. 12% 14% 12% 6% 8% ---------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 336 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: Dimensional Emerging Markets Value Fund (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940. The Fund meets the definition as an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial Services-Investment Companies." The Fund consists of one 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 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 of the day. 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 within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management 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 Trustees of the Fund. 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 Dimensional Fund Advisors LP) occur before the net asset value of the Fund is calculated. When fair value pricing is used, the prices of securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The Fund will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 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 337 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 Trustees of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Fund's investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of October 31, 2016, the Fund had significant transfers of securities with a total value of $995,531 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. 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 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 Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees' Fees & Expenses. At October 31, 2016, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $508 (in thousands). Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed-upon years. Each Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Trustee's deferred compensation until a date specified by such Trustee in the Notice, which date may not be 338 sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of Trustees of the Fund; and (ii) five years following the effective date of the Trustee's first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. OTHER: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for 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 management services to the Fund. For the year ended October 31, 2016, the Fund's investment management 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, 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. The impact of such credits is generally less than one basis point of the Fund's net assets. During the year ended October 31, 2016, expenses reduced were $198 (amount in thousands). FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Fund; however, such Officers and Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $16 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. 339 D. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2016, the Fund transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
PURCHASES SALES ---------- ---------- Dimensional Emerging Markets Value Fund... $1,868,316 $1,845,183
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, 2016, 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... $18,135,039 $2,483,785 $(3,520,905) $(1,037,120)
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 Fund. 2. FUTURES CONTRACTS: The Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Fund. The Fund, however, does not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Fund deposits 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. 340 Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the 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 Fund could lose more than the initial margin requirements. Entering into stock index futures subjects the Fund to equity price risk from those futures contracts. Counterparty 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, 2016, the Fund had the following outstanding futures contracts (dollar amounts in thousands):
UNREALIZED EXPIRATION NUMBER OF CONTRACT GAIN CASH DESCRIPTION DATE CONTRACTS VALUE (LOSS) COLLATERAL ------------------- ---------- --------- -------- ---------- ---------- Dimensional Emerging Markets MINI MSCI Emerging Value Fund... Markets Index(R) 12/16/16 650 $29,364 $(395) $4,653 ------- ----- ------ $29,364 $(395) $4,653 ======= ===== ======
Securities have been segregated as collateral for open futures contracts. 3. FORWARD CURRENCY CONTRACTS: The Fund may acquire and sell 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 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 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. At October 31, 2016, the Fund had no outstanding forward currency contracts. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016:
FORWARD CURRENCY CONTRACTS FUTURES --------- ------- Dimensional Emerging Markets Value Fund *. $682 $50,910
* The Fund had derivative activity during the period but it did not have open forward positions at October 31, 2016. The following is a summary of the location of derivatives on the Fund's Statements of Assets and Liabilities as of October 31, 2016: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES ------------------------ DERIVATIVE TYPE ASSET DERIVATIVES --------------- ------------------------ Equity contracts Receivables: Futures Margin Variation 341 The following is a summary of the Fund's derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands):
LIABILITY DERIVATIVES VALUE -------------------------- TOTAL VALUE AT EQUITY OCTOBER 31, 2016 CONTRACTS* ---------------- ---------- Dimensional Emerging Markets Value Fund............................. $(395) $(395)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location on the Fund's Statements of Operations of realized and change in unrealized gains and losses from the Fund's derivative instrument holdings through the year ended October 31, 2016: DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES --------------- -------------------------------------- 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 Fund's derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES ---------------------------------------- FORWARD EQUITY CURRENCY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Dimensional Emerging Markets Value Fund. $11,573 $11,480 $93 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES ----------------------------- EQUITY TOTAL CONTRACTS ------- --------- Dimensional Emerging Markets Value Fund. $ (395) $ (395)
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. 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 29, 2017. 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 effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. 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 7, 2017. 342 For the year ended October 31, 2016, 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............................. 1.01% $25,340 51 $39 $152,831
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that the Fund's available line of credit was utilized. At October 31, 2016, the Fund had loans outstanding in the amount of $11,747 (in thousands). Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day's notice. The Fund did not utilize the interfund lending program during the year ended October 31, 2016. H. AFFILIATED TRADES: Cross trades for the year ended October 31, 2016, if any, were executed by the Portfolio pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors/ trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. For the year ended October 31, 2016, cross trades by the Portfolio under Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS) --------- --------- ------ -------------------- Dimensional Emerging Markets Value Fund. 6,642 11,567 1,955
I. SECURITIES LENDING: As of October 31, 2016, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities with a market value of $421,691 (amounts 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 in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 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 343 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. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS AS OF OCTOBER 31, 2016 --------------------------------------------------------- OVERNIGHT AND BETWEEN CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL ------------- -------- ------------ -------- ------------ SECURITIES LENDING TRANSACTIONS DIMENSIONAL EMERGING MARKETS VALUE FUND Common Stocks, Preferred Stocks........ $592,348,611 -- -- -- $592,348,611
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 that 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. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Fund through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 344 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees 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") as of October 31, 2016, 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 as of October 31, 2016 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 345 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 composed 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, 2016. Each Board's Nominating Committee is composed of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2016. Each Board's Strategy Committee consists of both interested and disinterested Trustees/Directors. The Strategy Committee is composed 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 three Strategy Committee meetings held during the fiscal year ended October 31, 2016. 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 http://us.dimensional.com. 346
NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------------ DISINTERESTED TRUSTEES/DIRECTORS ------------------------------------------------------------------------------------------------------------------------------ George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The Director of DFAIDG and investment companies University of Chicago Booth School of Business. DIG. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 ------------------------------------------------------------------------------------------------------------------------------ John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Director of DFAIDG and DIG DIG-Since 1993 investment companies Distinguished Service Professor of Economics, Trustee of DFAITC and DEM DFAITC-Since 1992 University of Chicago Booth School of Business The University of Chicago DEM-Since 1993 (since 1965). Member and Chair, Competitive Booth School of Business Markets Advisory Council, Chicago Mercantile 5807 S. Woodlawn Avenue Exchange (futures trading exchange) (since Chicago, IL 60637 2004). Trustee, Harbor Fund (registered 1939 investment company) (29 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Insurance Company (1997-2010). ------------------------------------------------------------------------------------------------------------------------------ Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001). P.O. Box 208200 Consultant to Morningstar Inc. (since 2006). New Haven, CT 06520-8200 Formerly, Director, BIRR Portfolio Analysis, Inc. 1943 (sofware Products) (1990-2010). ------------------------------------------------------------------------------------------------------------------------------ Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker Trustee of DFAITC and DEM DFAITC-Since 2010 Professor of Human Resources Management and Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business, School of Business Stanford University (since 1995). Cornerstone 434 Galvez Mall Research (expert testimony and economic and Stanford, CA 94305 financial analysis) (since 2009). Formerly, 1948 Chairman of the President George W. Bush's Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005) ------------------------------------------------------------------------------------------------------------------------------ Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group Director of DFAIDG and DIG DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of Trustee of DFAITC and DEM DFAITC-Since 1992 Finance Emeritus, Graduate School of Business, c/o Dimensional Fund DEM-Since 1993 Stanford University (since 1981). Chairman, Advisers, LP Ruapay Inc. (since 2013). Formerly, Chairman, 6300 Bee Cave Road Platinum Grove Asset Management, L.P. (hedge Building 1 fund) (formerly, Oak Hill Platinum Partners) Austin, TX 78746 (1999-2009). Formerly, Director, American 1941 Centruy Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). ------------------------------------------------------------------------------------------------------------------------------ Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service Director of DFAIDG and DIG DIG-Since 2000 investment companies Professor of Accounting, University of Chicago Trustee of DFAITC and DEM DFAITC-Since 2000 Booth School of Business (since 1980). Director, The University of Chicago DEM-Since 2000 HNI Corporation (formerly known as HON Booth School of Business Industries Inc.) (office furniture) (since 2000). 5807 S. Woodlawn Avenue Director, Ryder System Inc. (transportation, Chicago, IL 60637 logistics and supply-chain management) (since 1953 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, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD -------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* -------------------------------------------------------------------------------------------------------------------------------- David G. Booth DFAIDG-Since 1981 122 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 122 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 the 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. 348 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.
TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------- 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, 1974 Vice President, Business Development at Capson Physicians Insurance Company (2010-2012). ----------------------------------------------------------------------------------------------------------------- Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1977 Regional Director for Dimensional Fund Advisors LP (January 2011-January 2016). ----------------------------------------------------------------------------------------------------------------- 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 1955 and Managing Director of Dimensional Fund Advisors Ltd (since September 2013). Director of Dimensional Funds plc and Dimensional Funds II plc (since November 2013). ----------------------------------------------------------------------------------------------------------------- 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, Director 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). ----------------------------------------------------------------------------------------------------------------- Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, 1973 Regional Director (January 2010-January 2014) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------------- David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1966 DC Relationship Manager for Dimensional Fund Advisors LP (October 2010-January 2016). ----------------------------------------------------------------------------------------------------------------- Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1972 Regional Director (January 2012-January 2015) for Dimensional Fund Advisors LP; Principal for Chamberlain Financial Group (October 2010- December 2011). -----------------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------- Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1971 Regional Director (June 2011-January 2015) for Dimensional Fund Advisors LP; Sales Executive for Vanguard (2004-June 2011). ----------------------------------------------------------------------------------------------------------- James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. 1956 ----------------------------------------------------------------------------------------------------------- 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. Vice President of Dimensional Fund Advisors Canada ULC (since April 2016). 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. Director 1972 and Vice President of Dimensional Japan Ltd (since February 2016). President and Director of Dimensional Fund Advisors Canada ULC (since February 2016), Vice President of DFA Australia Limited (since April 2008) and Director (since Oct 2016). Director of Dimensional Advisors Ltd, Dimensional Fund Advisors Pte. Ltd., and Dimensional Hong Kong Limited, (since April 2016), Vice President of Dimensional Fund Advisors Pte Ltd. (since June 2016), Head of Global Institutional Services for Dimensional Fund Advisors LP (since January 2014). Formerly, Vice President of Dimensional Fund Advisors Canada ULC (December 2010-February 2016); 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. ----------------------------------------------------------------------------------------------------------- Matthew 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). ----------------------------------------------------------------------------------------------------------- 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 ----------------------------------------------------------------------------------------------------------- John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1982 Senior Associate, Research (January 2015- January 2016); Associate, Research (January 2014-January 2015); Analyst, Research (July 2010-January 2014) for Dimensional Fund Advisors LP. -----------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------- Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance 1965 Global Chief Officer of all the DFA Entities, DFA Australia Compliance Officer Limited and Dimensional Fund Advisors Ltd. Chief Compliance Officer and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC, Chief Compliance Officer of Dimensional Fund Advisors Pte. Ltd. Formerly, Vice President and Global Chief Compliance Officer for Dimensional SmartNest (US) LLC (October 2010-2014). ------------------------------------------------------------------------------------------------------------------- John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1980 Manager, Research Systems (November 2012- January 2016) for Dimensional Fund Advisors LP; Assistant Vice President, Oaktree Capital Management (April 2011-October 2012. ------------------------------------------------------------------------------------------------------------------- John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1980 Regional Director (July 2013-January 2015) for Dimensional Fund Advisors LP; Relationship Manager for Blackrock, Inc. (July 2011-July 2013);Vice President for Towers Watson (formerly, WellsCanning) (June 2009-July 2011). ------------------------------------------------------------------------------------------------------------------- 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 1957 Australia 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. ------------------------------------------------------------------------------------------------------------------- Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly, 1976 Regional Director (May 2011-January 2015) for Dimensional Fund Advisors LP; Vice President, Portfolio Specialist (January 2007-May 2011) for Morgan Stanley Investment Management. ------------------------------------------------------------------------------------------------------------------- Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, 1971 Senior Associate, Research (November 2012- January 2015) for Dimensional Fund Advisors LP; Senior Consultant, NERA Economic Consulting, New York (May 2010-November 2012). ------------------------------------------------------------------------------------------------------------------- Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data 1972 Officer for Dimensional Fund Advisors LP (since January 2016). ------------------------------------------------------------------------------------------------------------------- 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). ------------------------------------------------------------------------------------------------------------------- L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly, 1959 Regional Director (May 2008-January 2015) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------------- 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). -------------------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------------- 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) of Dimensional Fund Advisors LP. Vice President of Dimensional Fund Advisors Canada ULC (since April 2016). Formerly, Portfolio Manager of 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). -------------------------------------------------------------------------------------------------------------------- Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1959 Senior Associate (May 2011-January 2015) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------------- Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities. 1970 -------------------------------------------------------------------------------------------------------------------- Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1970 Vice President for Dimensional SmartNest (US) LLC (January 2012-November 2014); Senior Vice President for Morningstar (July 2004-July 2011). -------------------------------------------------------------------------------------------------------------------- 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 1975 Trader 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). -------------------------------------------------------------------------------------------------------------------- Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities. 1967 -------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities. 1967 -------------------------------------------------------------------------------------------------------------------- Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and 1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief Treasurer Financial Officer, interim Treasurer and Vice President of Dimensional Advisors Ltd., Dimensional Hong Kong Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd, DFA Australia Ltd. Formerly, interim Chief Financial Officer and interim Treasurer (April 2016-September 2016), and Controller (August 2015-September 2016) of all the DFA Entities); Vice President of T. Rowe Price Group, Inc. and Director of Investment Treasury and Treasurer of the T. Rowe Price Funds (March 2008-July 2015). --------------------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------- 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). -------------------------------------------------------------------------------------------------------------- Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1971 Senior Compliance Officer (November 2010- January 2015) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------- Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio 1977 Manager for Dimensional Fund Advisors LP (January 2013-Present). Formerly, Investment Associate for Dimensional Fund Advisors LP (January 2010-January 2013). -------------------------------------------------------------------------------------------------------------- Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1983 Regional Director for Dimensional Fund Advisors LP (April 2006-January 2016). -------------------------------------------------------------------------------------------------------------- Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1977 Manager, IT Service Management (October 2014- January 2016); Manager, Managed DC Systems (October 2005-October 2014) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------- 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) 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). -------------------------------------------------------------------------------------------------------------- Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1975 Senior Manager, Investment Operations (January 2014-January 2015) and Investment Operations Manager (May 2008-January 2014) for Dimensional Fund Advisors LP. -------------------------------------------------------------------------------------------------------------- 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 Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM, 1954 Dimensional Holdings Inc., Dimensional Fund Advisors LP and Dimensional Japan Ltd. Chief Operating Officer and Director of Dimensional Japan Ltd. Formerly, Vice President of DFA Securities LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Advisors Ltd (until February 2015); Chief Operating Officer of Dimensional Holdings Inc., DFA Securities LLC, Dimensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. (until February 2015); Director, Vice President, and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC (until February 2015); Director of DFA Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Advisors Ltd. (until February 2015); and Director and Vice President of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd. (until February 2015). --------------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------- 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). ----------------------------------------------------------------------------------------------------------- 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). ----------------------------------------------------------------------------------------------------------- Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior 1975 Portfolio Manager for Dimensional Fund Advisors LP (January 2015-Present). Formerly, Portfolio Manager (January 2013-January 2015) and Investment Associate (October 2011-January 2013) for Dimensional Fund Advisors LP; Investment Banking Associate at Morgan Stanley (August 2010-September 2011). ----------------------------------------------------------------------------------------------------------- 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). ----------------------------------------------------------------------------------------------------------- Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1971 Manager, RFP, Institutional (January 2015- January 2016); Senior Associate, Institutional (April 2007-January 2015) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------- 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. 1968 ----------------------------------------------------------------------------------------------------------- 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, 1969 Vice 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) 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. 1980 ----------------------------------------------------------------------------------------------------------- Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1971 Regional Director (July 2013-January 2015) for Dimensional Fund Advisors LP; Chief Investment Officer (April 2005-April 2013) for First Citizens Bancorporation. -----------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ---------------------------------------------------------------------------------------------------------- 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). ---------------------------------------------------------------------------------------------------------- Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1971 Senior Tax Manager (February 2013-January 2015) for Dimensional Fund Advisors LP; Vice President and Tax Manager, North America (August 2006-April 2012) for Pacific Investment Management Company. ---------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities. 1969 ---------------------------------------------------------------------------------------------------------- Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1972 Senior Manager, Marketing Operations (January 2014-January 2015), Manager, Client Systems (October 2011-January 2014) and RFP Manager (April 2010-October 2011) for Dimensional Fund Advisors LP. ---------------------------------------------------------------------------------------------------------- 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). ---------------------------------------------------------------------------------------------------------- Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and 1972 Dimensional Cayman Commodity Fund I Ltd. ---------------------------------------------------------------------------------------------------------- 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. ---------------------------------------------------------------------------------------------------------- Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1965 Senior Compliance Officer (May 2012-January 2015) for Dimensional Fund Advisors LP; Chief Compliance Officer (April 2010-April 2012) for Al Frank Asset Management. ---------------------------------------------------------------------------------------------------------- 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. ---------------------------------------------------------------------------------------------------------- Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1959 Manager, Project Management Office for Dimensional Fund Advisors LP (October 2006- January 2016). ---------------------------------------------------------------------------------------------------------- Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio 1981 Manager (since September 2011) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Wells Capital Management (October 2004- September 2011). ---------------------------------------------------------------------------------------------------------- Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1974 Regional Director for Dimensional Fund Advisors LP (September 2013-January 2016); Managing Director, Client Services, Charles Schwab (December 2009-August 2013). ---------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1971 Manager, Investment Systems (2011-January 2013) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President and Vice President since Vice President and Secretary of all the DFA 1964 Secretary 1997 and Secretary Entities. Director, Vice President and Secretary of since 2000 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). -------------------------------------------------------------------------------------------------------------------- John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1977 Regional Director (June 2011-January 2015) for Dimensional Fund Advisors LP; Sales Executive for Vanguard (July 2008-May 2011). -------------------------------------------------------------------------------------------------------------------- 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 and Deputy Chief Compliance 1961 Deputy Chief Officer of all the DFA Entities. Deputy Chief Compliance Officer Compliance Officer of Dimensional Fund Advisors 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, 1974 Dimensional Cayman Commodity Fund I Ltd., and Dimensional Fund Advisors Canada ULC (since April 2016). Deputy General Counsel, Funds (since 2011). -------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Vice President and Vice President since Vice President and Co-Chief Investment Officer of 1976 Co-Chief Investment 2007 and Co-Chief all the DFA Entities, Dimensional Fund Advisors Officer Investment Officer Canada ULC, and Dimensional Japan Ltd. since 2014 Director of Dimensional Funds plc and Dimensional Fund II plc. -------------------------------------------------------------------------------------------------------------------- Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1980 Senior Compliance Officer for Dimensional Fund Advisors LP (July 2014-January 2016); Vice President Regional Head of Investment Compliance, Asia, PIMCO Asia Private Limited (July 2012-July 2014); Country Compliance Officer, Janus Capital, Singapore Private Limited (May 2011-June 2012). -------------------------------------------------------------------------------------------------------------------- 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. 1978 -------------------------------------------------------------------------------------------------------------------- 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. --------------------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------ Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior 1981 Portfolio Manager (January 2015-present). Formerly, Portfolio Manager (April 2014-January 2015) and Investment Associate for Dimensional Fund Advisors LP (July 2012-March 2014). ------------------------------------------------------------------------------------------------------------ Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior 1984 Manager, Advisor Benchmarking (since January 2015) for Dimensional Fund Advisors LP. Formerly, Manager, Advisor Benchmarking (April 2012-December 2014) for Dimensional Fund Advisors LP; Senior Manager, Research and Consulting (October 2010-April 2012) for Crain Communications Inc. ------------------------------------------------------------------------------------------------------------ Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1974 Regional Director (May 2011-January 2015) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------ Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for 1976 Dimensional Fund Advisors LP (since February 2015). Formerly, Chief Financial Officer and General Counsel for Relentless (March 2014- January 2015); Vice President of all the DFA Entities (January 2013-March 2014); Counsel for Dimensional Fund Advisors LP (January 2009- March 2014). ------------------------------------------------------------------------------------------------------------ David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA 1961 Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------ Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior 1970 Portfolio Manager for Dimensional Fund Advisors LP (since January 2015). Formerly, Portfolio Manager for Dimensional Fund Advisors LP (2006-January 2015). ------------------------------------------------------------------------------------------------------------ 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). ------------------------------------------------------------------------------------------------------------ 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). ------------------------------------------------------------------------------------------------------------ Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1979 Regional Director (March 2011-January 2015) for Dimensional Fund Advisors LP. ------------------------------------------------------------------------------------------------------------ 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. ------------------------------------------------------------------------------------------------------------ Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1968 Senior Fund Accounting Manager (July 2013- January 2015) for Dimensional Fund Advisors LP; Senior Financial Consultant and Chief Accounting Officer (July 2002-July 2013) for MFS Investment Management. ------------------------------------------------------------------------------------------------------------ L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities. 1971 ------------------------------------------------------------------------------------------------------------ Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1978 Vice President for Dimensional SmartNest (US) LLC (September 2010-November 2014). ------------------------------------------------------------------------------------------------------------ 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). ------------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------- Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1987 Manager Investment Analytics and Data (January 2014-January 2015), Senior Associate, Investment Analytics and Data (January 2013- January 2014), Associate, Investment Analytics and Data (January 2012-January 2013), and Investment Data Analyst (April 2010-January 2012) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------- Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. 1959 ----------------------------------------------------------------------------------------------------------- Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio 1980 Manager (since 2013) for Dimensional Fund Advisors LP. Formerly, Investment Associate (April 2011-January 2013) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------- Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1978 Regional Director (September 2009-January 2015) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------- Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. 1965 ----------------------------------------------------------------------------------------------------------- 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. Senior 1981 Portfolio Manager for Dimensional Fund Advisors LP (since January 2015). Formerly, Portfolio Manager (January 2012-January 2015) and 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. 1968 ----------------------------------------------------------------------------------------------------------- Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and 1956 Dimensional Fund Advisors Canada ULC. ----------------------------------------------------------------------------------------------------------- Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1976 Regional Director for Dimensional Fund Advisors LP (September 2011-January 2016); Sales Executive, Vanguard (May 2008-August 2011). ----------------------------------------------------------------------------------------------------------- Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities. 1947 ----------------------------------------------------------------------------------------------------------- Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1965 Senior Manager for Dimensional Fund Advisors LP (September 2014-January 2016); Vice President of Marketing, Forward Management/ Salient (January 2008-February 2014). ----------------------------------------------------------------------------------------------------------- Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1971 Project Manager (September 2012-December 2015) and Manager, Corporate Systems for Dimensional Fund Advisors LP (January 2011- September 2012). ----------------------------------------------------------------------------------------------------------- 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. -----------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------- James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1983 Accounting Manager for Dimensional Fund Advisors LP (November 2009-January 2016). ----------------------------------------------------------------------------------------------------------- Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, 1980 Regional Director (2010-January 2013) 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 ----------------------------------------------------------------------------------------------------------- Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1982 Research Associate (June 2011-January 2015) for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------- Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA 1966 Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. ----------------------------------------------------------------------------------------------------------- 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). ----------------------------------------------------------------------------------------------------------- Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly, 1974 Regional Director (January 2012-January 2015) for Dimensional Fund Advisors LP; Director of Marketing and Investor Relations for Treaty Oak Capital Management (July 2011-October 2011); Vice President for Rockspring Capital (October 2010-July 2011). ----------------------------------------------------------------------------------------------------------- Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1985 Regional Director (January 2014-January 2016) and Senior Associate (January 2011-December 2013).for Dimensional Fund Advisors LP. ----------------------------------------------------------------------------------------------------------- Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1968 Counsel for Dimensional Fund Advisors LP (July 2014-January 2016); Assistant General Counsel, Teacher Retirement System of Texas (October 2008-June 2014). ----------------------------------------------------------------------------------------------------------- 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 ----------------------------------------------------------------------------------------------------------- Kristina M. Williams Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1975 Client Service Supervisor for Dowling & Yahnke (July 2014-January 2016); Head of Operations for The Elements Financial Group (January 2013-June 2014); Head of Operations for Vericimetry Advisors LLC (July 2011-December 2012). ----------------------------------------------------------------------------------------------------------- Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1976 Manager, Client Systems for Dimensional Fund Advisors LP (May 2012-January 2016); Vice President, Implementations, Citigroup (August 2006-October 2011). -----------------------------------------------------------------------------------------------------------
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TERM OF OFFICE/1/ NAME AND YEAR OF AND LENGTH OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------- Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of 1981 Global Recruiting and Development (since June 2014) for Dimensional Fund Advisors LP. Formerly, Senior Manager, Recruiting (December 2012-June 2014) for Dimensional Fund Advisors LP; Co-Head of Global Recruiting (May 2009- November 2012) for Two Sigma Investments. -------------------------------------------------------------------------------------------------------- Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1981 Client Service Manager for Dimensional Fund Advisors LP (June 2005-January 2016). -------------------------------------------------------------------------------------------------------- Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 1982 Accounting Manager for Dimensional Fund Advisors LP (November 2011-January 2016); Senior Associate, PricewaterhouseCoopers LP (July 2009-November 2011). -------------------------------------------------------------------------------------------------------- Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. 1978 --------------------------------------------------------------------------------------------------------
/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. 360 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 (1) without charge, upon request, by calling collect: (512) 306-7400; (2) from the Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at http://www.sec.gov. 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. 361 NOTICE TO SHAREHOLDERS (UNAUDITED) For shareholders that do not have an October 31, 2016 tax year end, this notice is for informational purposes only. For shareholders with and October 31, 2016 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2015 to October 31, 2016, 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........................... 10% 24% 66% -- -- 100% -- US Large Cap Equity Portfolio........ 100% -- -- -- -- 100% 100% U.S. Large Cap Value Portfolio....... 36% -- 64% -- -- 100% 100% U.S. Targeted Value Portfolio........ 24% 3% 73% -- -- 100% 100% U.S. Small Cap Value Portfolio....... 20% -- 80% -- -- 100% 100% U.S. Core Equity 1 Portfolio......... 62% -- 38% -- -- 100% 100% U.S. Core Equity 2 Portfolio......... 49% -- 51% -- -- 100% 100% U.S. Vector Equity Portfolio......... 33% -- 67% -- -- 100% 100% U.S. Small Cap Portfolio............. 21% -- 79% -- -- 100% 100% U.S. Micro Cap Portfolio............. 14% -- 86% -- -- 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........................... 57% -- 43% -- -- 100% 100% Japanese Small Company Portfolio........................... 100% -- -- -- -- 100% 100% Asia Pacific Small Company Portfolio........................... 100% -- -- -- -- 100% 100% United Kingdom Small Company Portfolio........................... 46% -- 54% -- -- 100% 100% Continental Small Company Portfolio........................... 100% -- -- -- -- 100% 100% DFA International Real Estate Securities Portfolio................ 100% -- -- -- -- 100% 100% DFA Global Real Estate Securities Portfolio........................... 100% -- -- -- -- 100% 100% DFA International Small Cap Value Portfolio........................... 66% -- 34% -- -- 100% 100% International Vector Equity Portfolio........................... 89% -- 11% -- -- 100% 100% World ex U.S. Value Portfolio........ 100% -- -- -- -- 100% 100% World ex U.S. Targeted Value Portfolio**......................... 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........................... -- 12% -- -- 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% -- 6% 100% 100% 100% International Core Equity Portfolio.. 100% -- 6% 100% 100% 100% International Small Company Portfolio........................... 100% -- 6% 100% 100% 100% Japanese Small Company Portfolio........................... 100% -- 9% 100% 100% 100% Asia Pacific Small Company Portfolio........................... 100% -- 2% 100% 100% 100% United Kingdom Small Company Portfolio........................... 100% -- -- 100% 100% 100% Continental Small Company Portfolio........................... 100% -- 10% 100% 100% 100% DFA International Real Estate Securities Portfolio................ 100% -- 2% 100% 100% 100% DFA Global Real Estate Securities Portfolio........................... 100% -- -- -- 100% 100% DFA International Small Cap Value Portfolio........................... 100% -- 6% 100% 100% 100% International Vector Equity Portfolio........................... 100% -- 5% 100% 100% 100% World ex U.S. Value Portfolio........ 100% -- 5% 100% 100% 100% World ex U.S. Targeted Value Portfolio**......................... 100% -- 9% 100% 100% 100%
362
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) ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------ World ex U.S. Core Equity Portfolio**.......................... 100% -- -- -- -- 100% 100% World Core Equity Portfolio (formerly Dimensional Retirement Equity Fund II)............................. 98% -- 2% -- -- 100% 100% Selectively Hedged Global Equity Portfolio............................ 88% 2% 10% -- -- 100% 100% Emerging Markets Portfolio............ 100% -- -- -- -- 100% 100% Emerging Markets Small Cap Portfolio............................ 75% -- 25% -- -- 100% 100% Emerging Markets Value Portfolio...... 100% -- -- -- -- 100% 100% Emerging Markets Core Equity Portfolio............................ 100% -- -- -- -- 100% 100% DFA Commodity Strategy Portfolio............................ 97% 1% 2% -- -- 100% 100% Dimensional Investment Group Inc.................................. 100% -- -- -- -- 100% 100% DFA International Value Portfolio..... 72% -- 28% -- -- 100% 100% U.S. Large Company Portfolio.......... 10% 24% 66% -- -- 100% 0%
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) ------------------------------------ ---------- ----------- --------- --------- ---------- ---------- World ex U.S. Core Equity Portfolio**.......................... 100% -- 6% 100% 100% 100% World Core Equity Portfolio (formerly Dimensional Retirement Equity Fund II)............................. 100% -- 4% 54% 100% 100% Selectively Hedged Global Equity Portfolio............................ 100% -- 3% 53% 100% 100% Emerging Markets Portfolio............ 100% -- 7% 100% 100% 100% Emerging Markets Small Cap Portfolio............................ 100% -- 3% 100% 100% 100% Emerging Markets Value Portfolio...... 100% -- 7% 100% 100% 100% Emerging Markets Core Equity Portfolio............................ 100% -- 6% 100% 100% 100% DFA Commodity Strategy Portfolio............................ 100% 24% -- -- 100% 100% Dimensional Investment Group Inc.................................. 100% -- 5% 100% 100% 100% DFA International Value Portfolio..... 100% -- -- -- 100% 100% U.S. Large Company Portfolio.......... 0% 12% -- -- 100% 100%
---------- (1)Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). (2)The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actual qualified dividend income. (3)"U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. (4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income. (5)"Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (6)The percentage in this column represents the amount of "Qualifying Interest Income" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage ordinary income distributions (the total of short-term capital gain and net investment income distributions). (7)The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 363 DFA103116-001A 00185755 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, 2016: $19,576 Fiscal Year Ended October 31, 2015: $20,393 (b) Audit-Related Fees Fees for Registrant Fiscal Year Ended October 31, 2016: $1,642 Fiscal Year Ended October 31, 2015: $1,566
For fiscal years ended October 31, 2016 and October 31, 2015, Audit-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, 2016: $187,500 Fiscal Year Ended October 31, 2015: $172,000
For the fiscal years ended October 31, 2016 and October 31, 2015, 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, 2016: $4,609 Fiscal Year Ended October 31, 2015: $5,628
Tax Fees included, for the fiscal years ended October 31, 2016 and October 31, 2015, 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, 2016: $0 Fiscal Year Ended October 31, 2015: $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, 2016 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, 2016: $1,408,203 Fiscal Year Ended October 31, 2015: $1,485,185 (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, 2016
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- COMMON STOCKS -- (92.2%) BRAZIL -- (6.2%) Aliansce Shopping Centers SA(B23FNB7) 635,800 $ 3,342,332 0.0% * Aliansce Shopping Centers SA(BDCWJC9) 161,014 855,009 0.0% * B2W Cia Digital 193,900 952,491 0.0% Banco Alfa de Investimento SA 55,600 78,732 0.0% Banco Bradesco SA 152,713 1,518,040 0.0% Banco do Brasil SA 11,814,302 108,408,805 0.7% Banco Santander Brasil SA 612,818 5,049,221 0.0% # Banco Santander Brasil SA ADR 17,200 140,696 0.0% BM&FBovespa SA--Bolsa de Valores Mercadorias e Futuros 13,256,844 78,079,156 0.5% * Brasil Brokers Participacoes SA 1,311,600 739,624 0.0% BrasilAgro--Co. Brasileira de Propriedades Agricolas 80,384 260,895 0.0% BTG Pactual Group 154,433 786,681 0.0% * Cia Siderurgica Nacional SA 4,212,685 14,174,260 0.1% Cosan SA Industria e Comercio 1,053,036 14,159,243 0.1% Cyrela Brazil Realty SA Empreendimentos e Participacoes 3,585,517 12,075,284 0.1% Direcional Engenharia SA 1,814,261 3,137,444 0.0% Duratex SA 3,863,326 10,432,917 0.1% Embraer SA 838,858 4,507,022 0.0% Embraer SA ADR 404,349 8,649,025 0.1% Estacio Participacoes SA 287,131 1,665,036 0.0% Eternit SA 314,302 152,622 0.0% Even Construtora e Incorporadora SA 5,186,430 7,214,207 0.1% Ez Tec Empreendimentos e Participacoes SA 1,216,737 6,300,958 0.0% Fibria Celulose SA 1,760,576 14,086,814 0.1% Fibria Celulose SA Sponsored ADR 3,113,211 24,843,424 0.2% GAEC Educacao SA 67,900 287,171 0.0% # Gafisa SA ADR 2,278,791 3,554,914 0.0% Gerdau SA 1,919,263 4,870,310 0.0% # Gerdau SA Sponsored ADR 14,092,350 48,336,761 0.3% Guararapes Confeccoes SA 58,200 1,203,748 0.0% Helbor Empreendimentos SA(B28RS68) 1,331,389 846,717 0.0% * Helbor Empreendimentos SA(BD87RD5) 360,349 224,654 0.0% Hypermarcas SA 471,782 3,955,165 0.0% * International Meal Co. Alimentacao SA 284,000 524,048 0.0% Iochpe Maxion SA 1,312,412 6,660,738 0.1% JBS SA 13,093,875 39,831,305 0.2% * JHSF Participacoes SA 1,088,374 593,287 0.0% Kepler Weber SA 12,200 72,046 0.0% Kroton Educacional SA 13,035,605 64,932,995 0.4% * Log-in Logistica Intermodal SA 41,540 45,678 0.0% * Magnesita Refratarios SA 643,250 4,566,430 0.0% * Marisa Lojas SA 6,200 15,053 0.0% * Mills Estruturas e Servicos de Engenharia SA 627,446 980,876 0.0% MRV Engenharia e Participacoes SA 6,723,424 26,034,311 0.2% Paranapanema SA 3,320,843 1,789,427 0.0% * PDG Realty SA Empreendimentos e Participacoes 762 693 0.0% * Petroleo Brasileiro SA 12,763,637 74,534,522 0.5% * Petroleo Brasileiro SA Sponsored ADR 22,735,012 265,317,590 1.6% Porto Seguro SA 693,081 6,572,544 0.0% QGEP Participacoes SA 1,408,166 2,435,174 0.0% Rodobens Negocios Imobiliarios SA 247,016 402,407 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- -------------- ---------- BRAZIL -- (Continued) * Rumo Logistica Operadora Multimodal SA 2,036,465 $ 4,555,251 0.0% Santos Brasil Participacoes SA 1,106,000 1,046,404 0.0% Sao Carlos Empreendimentos e Participacoes SA 56,800 534,724 0.0% SLC Agricola SA 1,041,391 5,158,017 0.0% Sul America SA 1,863,922 11,252,436 0.1% * Technos SA 39,400 58,754 0.0% Tecnisa SA 2,638,200 2,041,464 0.0% TPI -- Triunfo Participacoes e Investimentos SA 445,500 495,465 0.0% * Usinas Siderurgicas de Minas Gerais SA 524,300 1,448,724 0.0% Vale SA 5,757,434 39,825,859 0.2% # Vale SA Sponsored ADR 16,396,265 113,462,154 0.7% Via Varejo SA(B7VY430) 167,924 197,279 0.0% Via Varejo SA(BGSHPP4) 572,559 1,641,264 0.0% -------------- --- TOTAL BRAZIL 1,061,916,297 6.4% -------------- --- CHILE -- (1.5%) Besalco SA 344,907 157,104 0.0% CAP SA 785,957 5,514,246 0.0% Cementos BIO BIO SA 665,307 638,060 0.0% Cencosud SA 11,043,156 36,005,129 0.2% Cencosud SA ADR 56,591 559,685 0.0% * Cia Sud Americana de Vapores SA 94,343,951 1,933,431 0.0% Cristalerias de Chile SA 264,624 2,693,687 0.0% Embotelladora Andina SA Class A ADR 2,797 62,793 0.0% * Empresa Nacional de Telecomunicaciones SA 103,786 1,113,239 0.0% Empresas CMPC SA 19,454,112 42,128,505 0.3% Empresas COPEC SA 2,818,239 28,434,746 0.2% Empresas Hites SA 1,868,082 1,435,206 0.0% * Empresas La Polar SA 3,788,140 169,034 0.0% Enersis Americas SA 11,808,224 1,992,649 0.0% Enersis Americas SA Sponsored ADR 3,867,792 33,533,757 0.2% Enersis Chile SA(BYMLZD6) 59,192,430 5,981,835 0.0% Enersis Chile SA(29278D105) 4,598,985 22,856,955 0.2% Grupo Security SA 1,183,304 415,127 0.0% Inversiones Aguas Metropolitanas SA 5,210,913 9,487,655 0.1% Itau CorpBanca 606,187,352 5,491,484 0.0% * Latam Airlines Group SA 2,156,062 20,760,433 0.1% #* Latam Airlines Group SA Sponsored ADR 1,200,157 11,509,506 0.1% Masisa SA 44,072,542 3,241,385 0.0% PAZ Corp. SA 2,201,345 1,794,057 0.0% Ripley Corp. SA 12,474,248 7,800,761 0.1% Salfacorp SA 2,945,496 2,393,668 0.0% Sigdo Koppers SA 76,067 104,798 0.0% Sociedad Matriz SAAM SA 53,163,678 4,524,332 0.0% Socovesa SA 5,821,469 1,855,033 0.0% * Tech Pack SA 626,034 335,037 0.0% Vina Concha y Toro SA 655,652 1,143,099 0.0% -------------- --- TOTAL CHILE 256,066,436 1.5% -------------- --- CHINA -- (14.1%) 361 Degrees International, Ltd. 8,736,000 3,279,739 0.0% Agile Group Holdings, Ltd. 19,562,999 10,844,390 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- CHINA -- (Continued) Agricultural Bank of China, Ltd. Class H 188,329,000 $ 79,224,525 0.5% Air China, Ltd. Class H 844,000 554,536 0.0% * Aluminum Corp. of China, Ltd. ADR 69,621 655,830 0.0% AMVIG Holdings, Ltd. 5,381,100 1,809,502 0.0% #* Angang Steel Co., Ltd. Class H 9,484,640 4,856,793 0.0% # Anhui Conch Cement Co., Ltd. Class H 862,500 2,383,878 0.0% Anhui Tianda Oil Pipe Co., Ltd. Class H 672,863 144,010 0.0% #* Anton Oilfield Services Group 2,824,000 376,737 0.0% * Anxin-China Holdings, Ltd. 6,152,000 57,272 0.0% # Asia Cement China Holdings Corp. 6,993,000 1,737,801 0.0% #* Asian Citrus Holdings, Ltd. 4,633,000 358,427 0.0% AVIC International Holdings, Ltd. Class H 3,214,000 1,810,701 0.0% Bank of China, Ltd. Class H 535,573,817 240,000,782 1.5% Bank of Chongqing Co., Ltd. Class H 257,500 206,334 0.0% Bank of Communications Co., Ltd. Class H 56,202,574 42,718,080 0.3% Baoye Group Co., Ltd. Class H 2,809,120 2,171,475 0.0% BBMG Corp. Class H 10,001,000 3,650,273 0.0% Beijing Capital International Airport Co., Ltd. Class H 2,137,599 2,237,160 0.0% Beijing Capital Land, Ltd. Class H 9,861,060 3,795,088 0.0% Beijing Enterprises Holdings, Ltd. 2,490,500 12,447,098 0.1% Beijing North Star Co., Ltd. Class H 2,614,000 878,766 0.0% # Boer Power Holdings, Ltd. 581,000 232,829 0.0% Bosideng International Holdings, Ltd. 6,554,000 590,554 0.0% BYD Electronic International Co., Ltd. 5,288,136 4,160,627 0.0% C C Land Holdings, Ltd. 17,923,286 4,760,117 0.0% Carrianna Group Holdings Co., Ltd. 3,880,391 365,455 0.0% CECEP COSTIN New Materials Group, Ltd. 132,000 10,212 0.0% Central China Real Estate, Ltd. 8,352,350 1,823,709 0.0% Century Sunshine Group Holdings, Ltd. 13,215,000 459,531 0.0% * CGN Meiya Power Holdings Co., Ltd. 888,000 128,840 0.0% Changshouhua Food Co., Ltd. 91,000 46,878 0.0% * Chigo Holding, Ltd. 35,856,000 507,630 0.0% # China Aerospace International Holdings, Ltd. 26,134,000 3,360,271 0.0% * China Agri-Industries Holdings, Ltd. 16,165,500 6,317,455 0.1% China Aoyuan Property Group, Ltd. 13,729,000 3,229,009 0.0% China BlueChemical, Ltd. Class H 8,278,878 1,600,323 0.0% China Cinda Asset Management Co., Ltd. Class H 55,738,000 20,024,025 0.1% China CITIC Bank Corp., Ltd. Class H 33,762,112 21,774,226 0.1% #* China Coal Energy Co., Ltd. Class H 26,001,000 14,719,901 0.1% China Communications Construction Co., Ltd. Class H 15,837,327 17,390,218 0.1% China Communications Services Corp., Ltd. Class H 22,865,071 13,566,926 0.1% China Construction Bank Corp. Class H 692,941,101 506,017,971 3.1% China Dongxiang Group Co., Ltd. 1,995,000 390,456 0.0% * China Dredging Environment Protection Holdings, Ltd. 1,312,000 71,675 0.0% * China Environmental Technology and Bioenergy Holdings, Ltd. 690,000 11,906 0.0% China Everbright Bank Co., Ltd. Class H 11,021,000 5,024,755 0.0% China Everbright, Ltd. 6,037,869 11,807,399 0.1% # China Evergrande Group 15,074,000 9,922,235 0.1% * China Fiber Optic Network System Group, Ltd. 3,598,000 324,748 0.0% China Financial Services Holdings, Ltd. 1,250,000 104,687 0.0% China Galaxy Securities Co., Ltd. Class H 2,526,500 2,398,609 0.0% * China Glass Holdings, Ltd. 7,524,000 871,540 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- CHINA -- (Continued) China Harmony New Energy Auto Holding, Ltd. 154,000 $ 71,165 0.0% * China High Precision Automation Group, Ltd. 429,000 12,653 0.0% China High Speed Transmission Equipment Group Co., Ltd. 8,618,000 8,910,361 0.1% # China Hongqiao Group, Ltd. 8,667,000 7,744,739 0.1% * China Huiyuan Juice Group, Ltd. 1,144,983 423,043 0.0% China International Marine Containers Group Co., Ltd. Class H 99,400 118,272 0.0% * China ITS Holdings Co., Ltd. 5,486,147 409,130 0.0% China Jinmao Holdings Group, Ltd. 43,994,580 12,130,950 0.1% * China Longevity Group Co., Ltd. 1,152,649 38,196 0.0% #* China Lumena New Materials Corp. 52,602,000 -- 0.0% # China Merchants Land, Ltd. 9,082,000 1,284,805 0.0% # China Merchants Port Holdings Co., Ltd. 6,645,333 17,180,997 0.1% #* China Metal Recycling Holdings, Ltd. 3,259,800 -- 0.0% China Minsheng Banking Corp., Ltd. Class H 8,918,500 10,147,611 0.1% #* China Modern Dairy Holdings, Ltd. 5,636,000 1,225,844 0.0% # China National Building Material Co., Ltd. Class H 33,746,000 15,399,220 0.1% # China National Materials Co., Ltd. Class H 15,468,000 3,501,113 0.0% #* China New Town Development Co., Ltd. 11,705,522 586,217 0.0% #* China Ocean Resources Co., Ltd. 1,059,646 1,396,457 0.0% * China Oil & Gas Group, Ltd. 2,300,000 174,543 0.0% # China Oilfield Services, Ltd. Class H 1,094,000 1,049,995 0.0% * China Oriental Group Co., Ltd. 26,000 729 0.0% * China Overseas Grand Oceans Group, Ltd. 3,747,000 1,375,840 0.0% China Petroleum & Chemical Corp. ADR 1,158,578 83,904,204 0.5% China Petroleum & Chemical Corp. Class H 86,403,575 62,487,102 0.4% * China Properties Group, Ltd. 5,400,000 1,318,047 0.0% # China Railway Construction Corp., Ltd. Class H 7,973,514 9,967,071 0.1% China Railway Group, Ltd. Class H 899,000 692,990 0.0% #* China Rare Earth Holdings, Ltd. 11,564,600 833,321 0.0% # China Resources Cement Holdings, Ltd. 7,204,000 2,908,972 0.0% China Resources Land, Ltd. 1,826,000 4,534,928 0.0% # China Sanjiang Fine Chemicals Co., Ltd. 796,000 223,005 0.0% China SCE Property Holdings, Ltd. 7,494,000 2,289,116 0.0% #* China Shanshui Cement Group, Ltd. 19,122,000 5,024,624 0.0% China Shenhua Energy Co., Ltd. Class H 16,208,000 33,602,776 0.2% China Shineway Pharmaceutical Group, Ltd. 43,000 44,186 0.0% # China Singyes Solar Technologies Holdings, Ltd. 4,353,200 2,073,006 0.0% # China South City Holdings, Ltd. 8,590,000 1,900,670 0.0% * China Starch Holdings, Ltd. 18,995,000 413,136 0.0% * China Taifeng Beddings Holdings, Ltd. 640,000 16,711 0.0% # China Travel International Investment Hong Kong, Ltd. 22,775,631 6,563,016 0.1% # China Unicom Hong Kong, Ltd. ADR 7,246,321 84,926,882 0.5% * China Vanadium Titano--Magnetite Mining Co., Ltd. 3,880,000 159,469 0.0% China XLX Fertiliser, Ltd. 52,000 13,853 0.0% #* China Yurun Food Group, Ltd. 6,534,000 1,041,799 0.0% # China ZhengTong Auto Services Holdings, Ltd. 9,613,500 3,079,741 0.0% # China Zhongwang Holdings, Ltd. 17,992,954 8,306,648 0.1% Chongqing Machinery & Electric Co., Ltd. Class H 12,864,000 1,521,983 0.0% Chongqing Rural Commercial Bank Co., Ltd. Class H 16,650,000 9,964,412 0.1% * Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 1,188,000 168,357 0.0% Chu Kong Shipping Enterprise Group Co., Ltd. 80,000 22,029 0.0% CIFI Holdings Group Co., Ltd. 4,408,000 1,296,726 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- CHINA -- (Continued) # CIMC Enric Holdings, Ltd. 442,000 $ 184,672 0.0% * CITIC Dameng Holdings, Ltd. 1,221,000 66,829 0.0% * CITIC Resources Holdings, Ltd. 11,446,000 1,428,360 0.0% CITIC, Ltd. 32,338,483 46,404,801 0.3% Citychamp Watch & Jewellery Group, Ltd. 7,621,108 2,099,639 0.0% Clear Media, Ltd. 243,000 237,975 0.0% CNOOC, Ltd. 117,592,000 147,962,957 0.9% CNOOC, Ltd. Sponsored ADR 270,443 33,935,188 0.2% Comba Telecom Systems Holdings, Ltd. 5,140,683 911,478 0.0% #* Comtec Solar Systems Group, Ltd. 4,588,000 215,533 0.0% Concord New Energy Group, Ltd. 15,560,000 779,050 0.0% * Coolpad Group, Ltd. 5,720,600 994,542 0.0% Cosco International Holdings, Ltd. 5,650,000 2,620,265 0.0% COSCO SHIPPING Ports, Ltd. 16,799,491 16,655,177 0.1% * Coslight Technology International Group Co., Ltd. 212,000 152,390 0.0% Country Garden Holdings Co., Ltd. 13,765,800 7,143,995 0.1% # CPMC Holdings, Ltd. 579,000 302,423 0.0% * DaChan Food Asia, Ltd. 3,195,000 299,609 0.0% Dah Chong Hong Holdings, Ltd. 3,819,000 1,597,253 0.0% * Daphne International Holdings, Ltd. 2,812,000 369,124 0.0% # Dongfang Electric Corp., Ltd. Class H 471,600 364,729 0.0% Dongfeng Motor Group Co., Ltd. Class H 15,434,000 16,086,512 0.1% * Dongyue Group, Ltd. 2,979,000 394,675 0.0% #* Dynasty Fine Wines Group, Ltd. 9,228,600 321,282 0.0% Embry Holdings, Ltd. 539,000 256,999 0.0% EVA Precision Industrial Holdings, Ltd. 2,530,000 276,766 0.0% * Evergreen International Holdings, Ltd. 1,609,000 188,576 0.0% Fantasia Holdings Group Co., Ltd. 21,565,015 2,799,132 0.0% # Fosun International, Ltd. 5,900,683 8,544,515 0.1% # Fufeng Group, Ltd. 3,863,000 1,630,023 0.0% Future Land Development Holdings, Ltd. 3,736,000 671,123 0.0% # GCL-Poly Energy Holdings, Ltd. 1,603,000 216,058 0.0% * Glorious Property Holdings, Ltd. 28,617,000 3,428,247 0.0% #* Golden Meditech Holdings, Ltd. 13,512,667 1,758,231 0.0% Goldlion Holdings, Ltd. 1,904,000 758,376 0.0% Goldpac Group, Ltd. 127,000 37,623 0.0% # GOME Electrical Appliances Holding, Ltd. 68,870,000 8,678,630 0.1% #* Greenland Hong Kong Holdings, Ltd. 2,172,575 559,082 0.0% #* Greentown China Holdings, Ltd. 7,983,091 6,508,128 0.1% Guangshen Railway Co., Ltd. Sponsored ADR 375,310 10,313,519 0.1% # Guangzhou R&F Properties Co., Ltd. Class H 12,777,514 18,007,794 0.1% #* Guodian Technology & Environment Group Corp., Ltd. Class H 4,780,000 368,871 0.0% * Hanergy Thin Film Power Group, Ltd. 14,642,000 389,253 0.0% Harbin Bank Co., Ltd. Class H 40,000 12,298 0.0% Harbin Electric Co., Ltd. Class H 6,739,474 3,266,640 0.0% * Hengdeli Holdings, Ltd. 8,124,000 879,039 0.0% * Hidili Industry International Development, Ltd. 2,422,000 45,688 0.0% # Hilong Holding, Ltd. 3,933,000 938,294 0.0% # HNA Infrastructure Co., Ltd. 1,526,000 1,706,281 0.0% * Honghua Group, Ltd. 2,791,000 283,538 0.0% Hopefluent Group Holdings, Ltd. 1,024,000 299,073 0.0% Hopson Development Holdings, Ltd. 9,944,000 8,965,332 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- CHINA -- (Continued) # Hua Han Health Industry Holdings, Ltd. 23,012,000 $ 1,572,598 0.0% Hua Hong Semiconductor, Ltd. 104,000 122,881 0.0% #* Huabao International Holdings, Ltd. 360,000 134,738 0.0% Huaneng Renewables Corp., Ltd. Class H 2,432,000 814,918 0.0% # Huishang Bank Corp., Ltd. Class H 233,000 111,896 0.0% Hydoo International Holding, Ltd. 584,000 58,418 0.0% Industrial & Commercial Bank of China, Ltd. Class H 372,912,996 223,837,040 1.4% Inspur International, Ltd. 345,343 68,555 0.0% Jiangnan Group, Ltd. 188,000 30,983 0.0% Jiangxi Copper Co., Ltd. Class H 6,748,000 7,965,888 0.1% * JinkoSolar Holding Co., Ltd. ADR 7,000 107,870 0.0% # Joy City Property, Ltd. 226,000 31,880 0.0% Ju Teng International Holdings, Ltd. 11,520,249 3,649,646 0.0% K Wah International Holdings, Ltd. 42,000 22,707 0.0% * Kai Yuan Holdings, Ltd. 41,600,000 471,326 0.0% #* Kaisa Group Holdings, Ltd. 22,755,632 858,227 0.0% Kangda International Environmental Co., Ltd. 378,000 88,843 0.0% * Kasen International Holdings, Ltd. 1,807,000 291,066 0.0% Kingboard Chemical Holdings, Ltd. 8,300,345 24,536,252 0.2% Kingboard Laminates Holdings, Ltd. 8,355,000 7,486,779 0.1% # Kunlun Energy Co., Ltd. 10,650,000 8,024,413 0.1% KWG Property Holding, Ltd. 13,451,000 7,783,119 0.1% #* Labixiaoxin Snacks Group, Ltd. 2,491,000 145,827 0.0% Lai Fung Holdings, Ltd. 52,935,525 1,142,200 0.0% Le Saunda Holdings, Ltd. 120,000 27,977 0.0% Leoch International Technology, Ltd. 190,000 23,698 0.0% #* Lianhua Supermarket Holdings Co., Ltd. Class H 310,000 125,615 0.0% Longfor Properties Co., Ltd. 953,000 1,264,898 0.0% Lonking Holdings, Ltd. 23,789,000 3,888,828 0.0% #* Maanshan Iron & Steel Co., Ltd. Class H 1,522,000 346,743 0.0% * Maoye International Holdings, Ltd. 14,691,000 1,398,946 0.0% * MIE Holdings Corp. 10,282,000 1,018,775 0.0% MIN XIN Holdings, Ltd. 708,418 761,968 0.0% * Mingfa Group International Co., Ltd. 608,000 111,126 0.0% Minmetals Land, Ltd. 15,753,205 1,985,695 0.0% #* MMG, Ltd. 10,000,000 2,629,561 0.0% MOBI Development Co., Ltd. 379,000 62,907 0.0% Nature Home Holding Co., Ltd. 154,000 21,826 0.0% New World Department Store China, Ltd. 2,734,000 405,272 0.0% Nine Dragons Paper Holdings, Ltd. 14,762,000 12,001,696 0.1% #* North Mining Shares Co., Ltd. 7,230,000 130,496 0.0% * O-Net Technologies Group, Ltd. 896,000 490,043 0.0% Overseas Chinese Town Asia Holdings, Ltd. 496,000 181,491 0.0% # Parkson Retail Group, Ltd. 10,286,500 1,019,541 0.0% Peak Sport Products Co., Ltd. 5,924,000 1,972,509 0.0% People's Insurance Co. Group of China, Ltd. (The) Class H 1,991,000 791,086 0.0% PetroChina Co., Ltd. ADR 5,117 346,574 0.0% PetroChina Co., Ltd. Class H 7,332,000 5,016,811 0.0% #* Poly Property Group Co., Ltd. 19,626,488 6,205,645 0.0% # Powerlong Real Estate Holdings, Ltd. 13,114,000 4,450,747 0.0% #* Prosperity International Holdings HK, Ltd. 17,080,000 312,470 0.0% Qingling Motors Co., Ltd. Class H 9,630,000 2,962,007 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- CHINA -- (Continued) * Qunxing Paper Holdings Co., Ltd. 5,020,071 $ 244,675 0.0% * Real Gold Mining, Ltd. 3,137,500 106,396 0.0% Real Nutriceutical Group, Ltd. 12,054,000 1,008,358 0.0% #* Renhe Commercial Holdings Co., Ltd. 42,691,000 1,105,335 0.0% #* REXLot Holdings, Ltd. 37,241,621 633,024 0.0% Samson Holding, Ltd. 7,760,452 679,848 0.0% #* Sany Heavy Equipment International Holdings Co., Ltd. 4,972,000 775,466 0.0% * Scud Group, Ltd. 3,368,000 84,683 0.0% #* Semiconductor Manufacturing International Corp. 118,627,000 14,366,646 0.1% * Semiconductor Manufacturing International Corp. ADR 1,298,326 7,841,889 0.1% Shandong Chenming Paper Holdings, Ltd. Class H 3,253,318 2,805,308 0.0% Shanghai Industrial Holdings, Ltd. 6,328,918 19,348,515 0.1% # Shanghai Industrial Urban Development Group, Ltd. 8,794,000 2,227,852 0.0% Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 562,000 163,457 0.0% Shanghai Prime Machinery Co., Ltd. Class H 7,778,000 1,651,007 0.0% Shengjing Bank Co., Ltd. Class H 23,500 23,001 0.0% Shenguan Holdings Group, Ltd. 3,092,000 250,595 0.0% # Shenzhen International Holdings, Ltd. 2,386,348 3,685,024 0.0% Shenzhen Investment, Ltd. 31,906,796 13,906,970 0.1% Shimao Property Holdings, Ltd. 18,127,035 24,179,252 0.2% * Shougang Concord International Enterprises Co., Ltd. 27,596,208 884,318 0.0% # Shougang Fushan Resources Group, Ltd. 23,042,594 4,981,889 0.0% # Shui On Land, Ltd. 33,220,803 8,215,734 0.1% * Shunfeng International Clean Energy, Ltd. 6,320,000 536,014 0.0% * Silver Grant International Industries, Ltd. 10,416,804 1,139,325 0.0% * SIM Technology Group, Ltd. 8,253,000 339,446 0.0% Sino-Ocean Land Holdings, Ltd. 31,843,602 13,225,847 0.1% # Sinofert Holdings, Ltd. 7,620,000 999,963 0.0% #* Sinolink Worldwide Holdings, Ltd. 10,652,508 1,245,349 0.0% SinoMedia Holding, Ltd. 110,000 26,629 0.0% Sinopec Engineering Group Co., Ltd. Class H 160,500 141,697 0.0% Sinopec Kantons Holdings, Ltd. 100,000 46,887 0.0% #* Sinotrans Shipping, Ltd. 10,048,416 1,628,700 0.0% Sinotruk Hong Kong, Ltd. 8,461,335 4,670,924 0.0% Skyworth Digital Holdings, Ltd. 17,055,201 11,008,641 0.1% # SOHO China, Ltd. 19,239,888 9,920,995 0.1% Springland International Holdings, Ltd. 779,000 121,531 0.0% #* SPT Energy Group, Inc. 2,484,000 228,901 0.0% * SRE Group, Ltd. 21,316,285 624,923 0.0% # Sunac China Holdings, Ltd. 641,000 437,472 0.0% TCC International Holdings, Ltd. 22,250,583 5,646,063 0.0% Tian An China Investment Co., Ltd.Tian An China Investment Co., Ltd. 6,059,000 3,231,008 0.0% Tiangong International Co., Ltd. 18,761,944 2,368,296 0.0% Tianjin Port Development Holdings, Ltd. 21,247,657 3,253,036 0.0% * Tianyi Summi Holdings, Ltd. 4,140,000 586,001 0.0% Tomson Group, Ltd. 1,604,393 531,348 0.0% Tonly Electronics Holdings, Ltd. 204,330 107,856 0.0% Top Spring International Holdings, Ltd. 108,000 32,395 0.0% TPV Technology, Ltd. 7,894,496 1,504,922 0.0% Trigiant Group, Ltd. 1,610,000 259,032 0.0% * Trony Solar Holdings Co., Ltd. 8,775,000 133,511 0.0% * Universal Health International Group Holding, Ltd. 8,985,000 404,425 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- -------------- ---------- CHINA -- (Continued) * V1 Group, Ltd. 6,864,000 $ 340,213 0.0% # Wasion Group Holdings, Ltd. 678,000 398,423 0.0% Weichai Power Co., Ltd. Class H 767,000 1,157,083 0.0% Weiqiao Textile Co. Class H 5,905,000 3,935,580 0.0% Welling Holding, Ltd. 614,000 122,441 0.0% #* West China Cement, Ltd. 22,020,000 2,240,296 0.0% * Wuzhou International Holdings, Ltd. 496,000 51,164 0.0% # Xiamen International Port Co., Ltd. Class H 9,884,000 2,121,623 0.0% #* Xinchen China Power Holdings, Ltd. 2,070,000 360,920 0.0% Xingda International Holdings, Ltd. 11,700,000 4,858,687 0.0% * Xinhua Winshare Publishing and Media Co., Ltd. Class H 4,153,000 4,232,848 0.0% * Xinjiang Xinxin Mining Industry Co., Ltd. Class H 2,692,000 293,791 0.0% * Xiwang Special Steel Co., Ltd. 1,973,000 193,254 0.0% * Yanchang Petroleum International, Ltd. 21,850,000 611,785 0.0% # Yanzhou Coal Mining Co., Ltd. Class H 5,166,000 3,825,909 0.0% # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 20,853 154,729 0.0% Yingde Gases Group Co., Ltd. 3,584,000 1,445,029 0.0% Yip's Chemical Holdings, Ltd. 800,000 324,427 0.0% * Youyuan International Holdings, Ltd. 1,456,251 336,198 0.0% * Yuanda China Holdings, Ltd. 1,702,000 44,044 0.0% Yuexiu Property Co., Ltd. 84,270,786 12,345,865 0.1% Yuzhou Properties Co., Ltd. 11,622,960 4,313,587 0.0% Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 424,600 210,767 0.0% * Zhong An Real Estate, Ltd. 7,089,800 666,830 0.0% # Zhongsheng Group Holdings, Ltd. 2,338,500 2,334,816 0.0% Zhuhai Holdings Investment Group, Ltd. 526,000 82,545 0.0% # Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H 8,815,200 3,207,990 0.0% -------------- ---- TOTAL CHINA 2,407,104,405 14.5% -------------- ---- COLOMBIA -- (0.2%) Almacenes Exito SA 835,373 4,167,447 0.0% Constructora Conconcreto SA 86,988 30,956 0.0% * Ecopetrol SA 2,498,142 1,088,396 0.0% #* Ecopetrol SA Sponsored ADR 530,625 4,611,131 0.0% Grupo Argos SA 878,802 5,699,332 0.1% Grupo de Inversiones Suramericana SA 1,307,637 16,865,272 0.1% Grupo Nutresa SA 200,776 1,681,380 0.0% Mineros SA 65,037 45,423 0.0% -------------- ---- TOTAL COLOMBIA 34,189,337 0.2% -------------- ---- CZECH REPUBLIC -- (0.2%) CEZ A.S. 1,504,050 28,368,176 0.2% Pegas Nonwovens SA 108,303 3,474,573 0.0% # Unipetrol A.S. 1,395,000 10,430,241 0.1% -------------- ---- TOTAL CZECH REPUBLIC 42,272,990 0.3% -------------- ---- GREECE -- (0.0%) * Alpha Bank AE 121,090 207,047 0.0% Bank of Greece 26,513 295,709 0.0% * Ellaktor SA 1,053,403 1,431,759 0.0% * GEK Terna Holding Real Estate Construction SA 753,532 1,744,074 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- GREECE -- (Continued) * Hellenic Petroleum SA 197,031 $ 900,923 0.0% * Intracom Holdings SA 1,511,057 540,220 0.0% * Mytilineos Holdings SA 339,724 1,938,595 0.0% * Piraeus Bank SA 33,640 5,563 0.0% ------------ --- TOTAL GREECE 7,063,890 0.0% ------------ --- HONG KONG -- (0.0%) * HKC Holdings, Ltd. 747,155 320,806 0.0% #* Munsun Capital Group, Ltd. 22,260,000 718,578 0.0% ------------ --- TOTAL HONG KONG 1,039,384 0.0% ------------ --- HUNGARY -- (0.6%) #* FHB Mortgage Bank P.L.C. 3,954 7,047 0.0% MOL Hungarian Oil & Gas P.L.C. 288,327 18,493,349 0.1% OTP Bank P.L.C. 2,918,488 81,788,121 0.5% ------------ --- TOTAL HUNGARY 100,288,517 0.6% ------------ --- INDIA -- (13.1%) Aarti Industries 80,253 910,108 0.0% Aban Offshore, Ltd. 315,580 1,257,871 0.0% ACC, Ltd. 298,266 6,783,802 0.1% Adani Enterprises, Ltd. 3,691,188 3,705,480 0.0% Adani Ports & Special Economic Zone, Ltd. 3,972,814 18,123,401 0.1% * Adani Power, Ltd. 13,046,142 5,335,113 0.1% * Adani Transmissions, Ltd. 3,440,779 2,340,433 0.0% * Aditya Birla Fashion and Retail, Ltd. 4,824,914 11,836,692 0.1% Aditya Birla Nuvo, Ltd. 973,000 20,261,119 0.1% AIA Engineering, Ltd. 7,405 142,575 0.0% Alembic, Ltd. 397,146 251,059 0.0% * Allahabad Bank 1,291,820 1,457,736 0.0% Allcargo Logistics, Ltd. 402,895 1,142,804 0.0% * Alok Industries, Ltd. 6,658,899 344,436 0.0% Ambuja Cements, Ltd. 2,003,950 7,193,229 0.1% * Amtek Auto, Ltd. 1,769,340 1,158,600 0.0% Anant Raj, Ltd. 657,518 542,728 0.0% Andhra Bank 2,694,402 2,278,953 0.0% Apar Industries, Ltd. 148,591 1,314,652 0.0% Apollo Tyres, Ltd. 6,155,083 18,579,869 0.1% * Arvind Infrastructure, Ltd. 287,816 411,389 0.0% Arvind, Ltd. 4,227,812 26,351,045 0.2% Ashoka Buildcon, Ltd. 172,269 422,363 0.0% Axis Bank, Ltd. 10,438,329 76,215,999 0.5% Bajaj Electricals, Ltd. 36,939 147,861 0.0% Bajaj Finance, Ltd. 5,159 83,453 0.0% Bajaj Finserv, Ltd. 255,140 13,070,855 0.1% Bajaj Holdings & Investment, Ltd. 412,087 13,690,373 0.1% Balkrishna Industries, Ltd. 98,774 1,581,119 0.0% Ballarpur Industries, Ltd. 4,079,808 1,023,533 0.0% Balmer Lawrie & Co., Ltd. 229,471 2,699,063 0.0% Balrampur Chini Mills, Ltd. 2,168,825 3,790,555 0.0% * Bank of Baroda 8,359,379 19,476,488 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- INDIA -- (Continued) * Bank of India 667,860 $ 1,147,708 0.0% * Bank Of Maharashtra 1,055,372 493,366 0.0% BEML, Ltd. 51,049 718,693 0.0% * BGR Energy Systems, Ltd. 169,812 297,733 0.0% Bharat Electronics, Ltd. 31,773 631,290 0.0% Bharat Heavy Electricals, Ltd. 9,682,317 20,147,538 0.1% Bharti Airtel, Ltd. 10,331,864 49,339,831 0.3% Biocon, Ltd. 820,670 11,372,674 0.1% Birla Corp., Ltd. 168,316 2,002,609 0.0% Bombay Dyeing & Manufacturing Co., Ltd. 1,308,130 1,132,003 0.0% * Bombay Rayon Fashions, Ltd. 13,306 31,065 0.0% Brigade Enterprises, Ltd. 159,869 426,522 0.0% Cairn India, Ltd. 8,315,795 28,038,164 0.2% * Canara Bank 1,065,655 5,010,922 0.0% Ceat, Ltd. 580,945 10,550,063 0.1% * Central Bank of India 20,833 28,871 0.0% Century Textiles & Industries, Ltd. 196,236 2,772,329 0.0% Chambal Fertilizers and Chemicals, Ltd. 2,690,132 2,588,020 0.0% Chennai Super Kings Cricket, Ltd. 5,080,767 32,096 0.0% Cholamandalam Investment and Finance Co., Ltd. 8,103 142,891 0.0% * Cigniti Technologies, Ltd. 2,011 12,794 0.0% Cipla, Ltd. 22,485 194,517 0.0% City Union Bank, Ltd. 1,648,262 3,691,839 0.0% Container Corp. Of India, Ltd. 70,653 1,452,555 0.0% Coromandel International, Ltd. 293,272 1,253,483 0.0% * Corp. Bank 1,646,469 1,051,604 0.0% Cox & Kings, Ltd. 1,227,057 4,171,846 0.0% * Crompton Greaves Consumer Electricals, Ltd. 1,770,464 4,903,483 0.0% * Crompton Greaves, Ltd. 1,770,464 2,035,854 0.0% Cyient, Ltd. 91,318 680,598 0.0% Dalmia Bharat, Ltd. 173,988 5,330,477 0.1% * DB Realty, Ltd. 1,101,045 793,027 0.0% * DCB Bank, Ltd. 2,799,881 5,531,544 0.1% DCM Shriram, Ltd. 432,058 1,684,877 0.0% Deepak Fertilisers & Petrochemicals Corp., Ltd. 647,021 2,138,862 0.0% Delta Corp., Ltd. 491,162 1,349,937 0.0% * DEN Networks, Ltd. 354,675 412,153 0.0% * Dena Bank 507,403 289,082 0.0% Dewan Housing Finance Corp., Ltd. 1,560,300 7,700,054 0.1% Dishman Pharmaceuticals & Chemicals, Ltd. 1,597,936 5,919,198 0.1% DLF, Ltd. 6,480,518 14,608,295 0.1% Edelweiss Financial Services, Ltd. 2,566,085 4,760,198 0.0% * EID Parry India, Ltd. 1,198,151 4,830,430 0.0% EIH, Ltd. 1,066,648 1,782,466 0.0% Electrosteel Castings, Ltd. 894,946 369,625 0.0% Engineers India, Ltd. 447,760 1,820,670 0.0% * Eros International Media, Ltd. 472,282 1,402,849 0.0% Escorts, Ltd. 971,879 5,475,162 0.1% Essel Propack, Ltd. 916,969 3,321,705 0.0% Eveready Industries India, Ltd. 131,474 512,437 0.0% Exide Industries, Ltd. 1,658,761 4,938,730 0.0% FDC, Ltd. 37,976 129,725 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- INDIA -- (Continued) Federal Bank, Ltd. 17,751,105 $ 21,864,159 0.1% Finolex Cables, Ltd. 731,301 4,932,268 0.0% Finolex Industries, Ltd. 232,500 1,618,597 0.0% * Firstsource Solutions, Ltd. 6,515,703 3,944,624 0.0% * Fortis Healthcare, Ltd. 832,604 2,255,197 0.0% Future Enterprises, Ltd. 1,592,191 409,408 0.0% * Future Retail Ltd. 1,592,191 4,031,346 0.0% GAIL India, Ltd. 4,731,431 30,569,820 0.2% Gateway Distriparks, Ltd. 142,149 532,535 0.0% Gati, Ltd. 626,607 1,339,599 0.0% Genus Power Infrastructures, Ltd. 73,968 52,110 0.0% Geometric, Ltd. 229,200 798,718 0.0% GHCL, Ltd. 242,737 1,014,323 0.0% GIC Housing Finance, Ltd. 98,306 503,249 0.0% * Global Offshore Services, Ltd. 27,934 52,323 0.0% GOCL Corp., Ltd. 76,678 413,338 0.0% Godfrey Phillips India, Ltd. 16,431 353,770 0.0% * Godrej Properties, Ltd. 30,823 168,267 0.0% Graphite India, Ltd. 725,730 858,923 0.0% Grasim Industries, Ltd. 75,710 1,097,250 0.0% Great Eastern Shipping Co., Ltd. (The) 1,083,552 6,084,147 0.1% Gujarat Alkalies & Chemicals, Ltd. 452,620 2,791,742 0.0% Gujarat Fluorochemicals, Ltd. 387,110 3,040,961 0.0% Gujarat Mineral Development Corp., Ltd. 1,393,052 2,373,832 0.0% Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 765,711 3,237,087 0.0% Gujarat State Fertilizers & Chemicals, Ltd. 2,186,080 3,187,461 0.0% Gujarat State Petronet, Ltd. 2,879,180 6,848,421 0.1% Gulf Oil Lubricants India, Ltd. 23,144 263,856 0.0% HBL Power Systems, Ltd. 74,867 50,490 0.0% * HCL Infosystems, Ltd. 462,162 369,565 0.0% HEG, Ltd. 109,436 285,448 0.0% * HeidelbergCement India, Ltd. 337,834 734,214 0.0% * Hexa Tradex, Ltd. 2,131 674 0.0% Hikal, Ltd. 88,450 294,811 0.0% * Himachal Futuristic Communications, Ltd. 9,905,901 2,287,138 0.0% Himadri Speciality Chemical, Ltd. 19,970 14,067 0.0% Himatsingka Seide, Ltd. 537,338 2,271,505 0.0% Hindalco Industries, Ltd. 17,579,040 39,443,370 0.3% Hinduja Global Solutions, Ltd. 61,592 526,060 0.0% * Hindustan Construction Co., Ltd. 4,906,646 2,671,499 0.0% Hindustan Media Ventures, Ltd. 8,334 38,182 0.0% * Housing Development & Infrastructure, Ltd. 908,887 1,123,750 0.0% HSIL, Ltd. 388,757 2,040,054 0.0% HT Media, Ltd. 521,289 721,963 0.0% Huhtamaki PPL, Ltd. 6,913 29,997 0.0% ICICI Bank, Ltd. 8,900,067 36,992,533 0.2% ICICI Bank, Ltd. Sponsored ADR 16,081,202 133,313,164 0.8% * IDBI Bank, Ltd. 1,878,469 2,070,672 0.0% Idea Cellular, Ltd. 12,291,914 14,141,990 0.1% IDFC Bank, Ltd. 4,713,084 5,628,953 0.1% * IDFC, Ltd. 6,072,777 6,301,418 0.1% IFCI, Ltd. 10,283,374 4,007,972 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- INDIA -- (Continued) IIFL Holdings, Ltd. 2,939,555 $14,470,788 0.1% IL&FS Transportation Networks, Ltd. 418,066 700,738 0.0% India Cements, Ltd. (The) 4,608,746 10,940,975 0.1% Indiabulls Housing Finance, Ltd. 2,248,436 28,541,871 0.2% * Indiabulls Real Estate, Ltd. 1,486,063 1,933,971 0.0% Indian Bank 1,292,356 4,442,521 0.0% Indian Hotels Co., Ltd. 4,746,194 8,394,836 0.1% INEOS Styrolution India, Ltd. 29,326 283,834 0.0% Ingersoll-Rand India, Ltd. 1,110 12,080 0.0% * Inox Leisure, Ltd. 60,496 226,032 0.0% * Intellect Design Arena, Ltd. 481,379 1,354,777 0.0% * Ipca Laboratories, Ltd. 11,269 104,528 0.0% * ITD Cementation India, Ltd. 72,071 160,211 0.0% J Kumar Infraprojects, Ltd. 39,222 127,276 0.0% Jain Irrigation Systems, Ltd. 6,910,817 11,081,947 0.1% * Jaiprakash Associates, Ltd. 17,658,065 2,963,980 0.0% Jammu & Kashmir Bank, Ltd. (The) 3,264,142 3,338,665 0.0% * Jaypee Infratech, Ltd. 6,993,111 969,401 0.0% JB Chemicals & Pharmaceuticals, Ltd. 615,704 3,570,817 0.0% JBF Industries, Ltd. 465,764 1,697,004 0.0% Jindal Poly Films, Ltd. 353,354 2,238,053 0.0% Jindal Saw, Ltd. 2,287,647 2,202,125 0.0% * Jindal Stainless Hisar, Ltd. 66,174 99,255 0.0% * Jindal Steel & Power, Ltd. 4,783,550 5,407,875 0.1% * JITF Infralogistics, Ltd. 197,214 121,187 0.0% JK Cement, Ltd. 262,783 3,751,219 0.0% JK Lakshmi Cement, Ltd. 470,458 3,491,120 0.0% JK Tyre & Industries, Ltd. 1,931,931 4,112,659 0.0% JM Financial, Ltd. 4,961,510 6,550,556 0.1% JSW Energy, Ltd. 9,008,274 8,874,521 0.1% * JSW Holdings, Ltd. 1,900 35,014 0.0% JSW Steel, Ltd. 2,357,151 58,369,410 0.4% Jubilant Life Sciences, Ltd. 993,088 10,235,682 0.1% Kalpataru Power Transmission, Ltd. 859,787 3,296,144 0.0% Karnataka Bank, Ltd. (The) 2,171,417 3,977,492 0.0% Karur Vysya Bank, Ltd. (The) 378,358 2,748,245 0.0% Kaveri Seed Co., Ltd. 264,990 1,721,339 0.0% KCP, Ltd. 37,400 61,692 0.0% KEC International, Ltd. 1,954,664 3,708,070 0.0% Kirloskar Brothers, Ltd. 7,852 22,131 0.0% Kirloskar Oil Engines, Ltd. 296,633 1,521,936 0.0% Kolte-Patil Developers, Ltd. 276,886 536,450 0.0% KPIT Technologies, Ltd. 1,289,902 2,768,005 0.0% KRBL, Ltd. 651,273 2,388,754 0.0% * KSK Energy Ventures, Ltd. 51,606 20,247 0.0% L&T Finance Holdings, Ltd. 3,780,436 6,091,435 0.1% Lakshmi Machine Works, Ltd. 5,065 324,504 0.0% Lakshmi Vilas Bank, Ltd. (The) 355,564 817,449 0.0% Larsen & Toubro, Ltd. 2,757,879 60,914,554 0.4% LIC Housing Finance, Ltd. 1,180,444 10,413,021 0.1% Magma Fincorp, Ltd. 38,680 68,899 0.0% Maharashtra Seamless, Ltd. 99,735 392,912 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ----------- ---------- INDIA -- (Continued) Mahindra & Mahindra Financial Services, Ltd. 933,133 $ 5,046,487 0.0% Mahindra & Mahindra, Ltd. 1,731,843 34,092,321 0.2% * Mahindra CIE Automotive, Ltd. 29,954 89,046 0.0% Mahindra Lifespace Developers, Ltd. 186,903 1,199,655 0.0% Manappuram Finance, Ltd. 2,819,664 4,337,562 0.0% McLeod Russel India, Ltd. 853,022 2,176,062 0.0% Meghmani Organics, Ltd. 113,264 82,620 0.0% Mercator, Ltd. 51,358 36,210 0.0% Merck, Ltd. 76,089 960,286 0.0% MOIL, Ltd. 35,611 175,130 0.0% Mphasis, Ltd. 497,626 3,829,201 0.0% MRF, Ltd. 13,874 9,935,106 0.1% Muthoot Finance, Ltd. 261,537 1,429,775 0.0% * Nagarjuna Fertilizers & Chemicals, Ltd 2,082,494 380,463 0.0% National Aluminium Co., Ltd. 4,964,081 4,068,202 0.0% Nava Bharat Ventures, Ltd. 164,730 347,200 0.0% Navin Fluorine International, Ltd. 1,828 70,404 0.0% NCC, Ltd. 7,411,711 10,297,603 0.1% Nectar Lifesciences, Ltd. 268,595 142,780 0.0% NIIT Technologies, Ltd. 732,935 4,507,876 0.0% * NIIT, Ltd. 325,838 419,604 0.0% Nilkamal, Ltd. 69,021 1,719,591 0.0% Oberoi Realty, Ltd. 669,033 3,608,424 0.0% OCL India, Ltd. 105,395 1,491,311 0.0% Omaxe, Ltd. 739,868 1,878,167 0.0% OnMobile Global, Ltd. 309,728 526,470 0.0% Orient Cement Ltd. 608,983 1,633,065 0.0% Oriental Bank of Commerce 975,550 1,882,946 0.0% * Parsvnath Developers, Ltd. 1,021,485 210,276 0.0% PC Jeweller, Ltd. 607,450 4,643,619 0.0% Peninsula Land, Ltd. 31,142 9,612 0.0% Persistent Systems, Ltd. 67,060 662,079 0.0% Petronet LNG, Ltd. 2,703,774 15,725,053 0.1% Piramal Enterprises, Ltd. 735,959 19,904,831 0.1% * Polaris Consulting & Services, Ltd. 66,450 160,302 0.0% Power Finance Corp., Ltd. 5,911,131 11,060,028 0.1% Praj Industries, Ltd. 1,416,225 1,782,175 0.0% Prestige Estates Projects, Ltd. 241,106 699,339 0.0% * Prime Focus, Ltd. 22,625 25,222 0.0% PTC India Financial Services, Ltd. 3,861,518 2,266,917 0.0% PTC India, Ltd. 4,592,460 5,108,929 0.0% * Punj Lloyd, Ltd. 152,764 52,206 0.0% * Punjab National Bank 2,227,625 4,846,886 0.0% Puravankara Projects, Ltd. 460,912 336,148 0.0% Radico Khaitan, Ltd. 657,505 1,392,637 0.0% Rain Industries, Ltd. 2,231,677 1,755,441 0.0% Ramco Cements, Ltd. (The) 475,255 4,513,787 0.0% Rashtriya Chemicals & Fertilizers, Ltd. 148,083 108,697 0.0% Ratnamani Metals & Tubes, Ltd. 3,941 38,307 0.0% Raymond, Ltd. 622,914 5,785,649 0.1% Redington India, Ltd. 1,821,278 2,873,925 0.0% * REI Agro, Ltd. 1,836,474 17,861 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- INDIA -- (Continued) Reliance Capital, Ltd. 2,310,385 $ 17,875,906 0.1% * Reliance Communications, Ltd. 17,610,550 12,333,514 0.1% * Reliance Defence and Engineering, Ltd. 22,287 20,046 0.0% Reliance Industries, Ltd. 19,870,744 312,234,750 1.9% Reliance Industries, Ltd. GDR 88,002 2,789,326 0.0% Reliance Power, Ltd. 9,323,446 6,554,649 0.1% * Rolta India, Ltd. 2,179,606 2,066,886 0.0% * Ruchi Soya Industries, Ltd. 2,042,966 707,677 0.0% Rural Electrification Corp., Ltd. 8,784,700 17,760,534 0.1% Sadbhav Engineering, Ltd. 3,116 13,116 0.0% Sanghvi Movers, Ltd. 45,111 187,365 0.0% Sharda Cropchem, Ltd. 26,067 169,084 0.0% Shilpi Cable Technologies, Ltd. 53,300 162,401 0.0% * Shipping Corp. of India, Ltd. 2,963,574 3,038,902 0.0% Shriram City Union Finance, Ltd. 3,265 127,287 0.0% Shriram Transport Finance Co., Ltd. 629,824 10,280,735 0.1% Simplex Infrastructures, Ltd. 49,926 243,797 0.0% Sintex Industries, Ltd. 8,262,927 11,153,484 0.1% Siyaram Silk Mills, Ltd. 663 16,212 0.0% Sobha, Ltd. 822,700 3,492,013 0.0% Sonata Software, Ltd. 197,882 465,367 0.0% South Indian Bank, Ltd. (The) 11,772,339 4,217,934 0.0% SREI Infrastructure Finance, Ltd. 1,877,767 2,084,711 0.0% SRF, Ltd. 361,562 9,865,099 0.1% State Bank of Bikaner & Jaipur 71,004 740,175 0.0% State Bank of India 16,756,726 64,579,414 0.4% State Bank of Travancore 10,356 84,910 0.0% Sterlite Technologies, Ltd. 2,710,854 4,300,352 0.0% Sun TV Network, Ltd. 136,159 1,116,473 0.0% Sunteck Realty, Ltd. 31,616 139,964 0.0% * Syndicate Bank 2,914,893 3,217,709 0.0% TAKE Solutions, Ltd. 235,200 574,898 0.0% Tamil Nadu Newsprint & Papers, Ltd. 321,025 1,800,166 0.0% Tata Chemicals, Ltd. 1,774,582 14,411,172 0.1% Tata Global Beverages, Ltd. 6,632,236 13,834,389 0.1% Tata Motors, Ltd. 15,010,621 119,339,370 0.7% Tata Motors, Ltd. Sponsored ADR 218,227 8,600,326 0.1% Tata Steel, Ltd. 6,588,045 39,947,680 0.3% TCI EXPRESS , Ltd. 23,134 99,065 0.0% Tech Mahindra, Ltd. 597,779 3,945,647 0.0% Techno Electric & Engineering Co., Ltd. 52,706 249,829 0.0% * Teledata Marine Solutions, Ltd. 267,258 -- 0.0% Tide Water Oil Co India, Ltd. 1,172 109,405 0.0% Time Technoplast, Ltd. 1,093,465 1,589,360 0.0% Transport Corp. of India, Ltd. 46,267 128,277 0.0% Tube Investments of India, Ltd. 592,499 5,754,258 0.1% * TV18 Broadcast, Ltd. 6,333,197 4,270,361 0.0% * UCO Bank 3,123,377 1,640,697 0.0% Uflex, Ltd. 515,077 2,463,461 0.0% UFO Moviez India, Ltd. 1,755 12,664 0.0% Unichem Laboratories, Ltd. 390,108 1,689,208 0.0% Union Bank of India 2,451,981 5,380,664 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- -------------- ---------- INDIA -- (Continued) * Unitech, Ltd. 25,373,120 $ 2,329,215 0.0% UPL, Ltd. 4,969,340 51,718,307 0.3% VA Tech Wabag, Ltd. 31,285 237,858 0.0% Vardhman Textiles, Ltd. 279,467 4,757,562 0.0% Vedanta, Ltd. 17,434,392 52,907,020 0.3% Vedanta, Ltd. ADR 1,688,607 20,364,605 0.1% * Videocon Industries, Ltd. 769,833 1,199,909 0.0% * Vijaya Bank 2,612,664 1,714,707 0.0% Welspun Corp., Ltd. 2,060,999 2,221,207 0.0% * Welspun Enterprises, Ltd. 940,128 899,990 0.0% Welspun India, Ltd. 1,272,270 1,113,986 0.0% Wipro, Ltd. 2,282,172 15,908,041 0.1% * Wockhardt, Ltd. 276,374 3,603,871 0.0% Yes Bank, Ltd. 1,115,997 21,127,704 0.1% Zee Media Corp., Ltd. 62,079 34,631 0.0% Zensar Technologies, Ltd. 163,279 2,266,289 0.0% * Zuari Agro Chemicals, Ltd. 23,149 83,333 0.0% -------------- ---- TOTAL INDIA 2,238,686,664 13.4% -------------- ---- INDONESIA -- (3.1%) Adaro Energy Tbk PT 310,912,800 37,745,069 0.2% Adhi Karya Persero Tbk PT 6,145,900 1,067,417 0.0% * Agung Podomoro Land Tbk PT 132,235,800 2,917,710 0.0% * Alam Sutera Realty Tbk PT 232,767,500 7,991,594 0.1% * Aneka Tambang Persero Tbk PT 155,101,577 10,644,929 0.1% Asahimas Flat Glass Tbk PT 4,986,100 2,570,496 0.0% Astra Agro Lestari Tbk PT 1,178,567 1,377,027 0.0% Astra Graphia Tbk PT 436,900 67,369 0.0% Astra International Tbk PT 1,018,000 642,264 0.0% * Bakrie and Brothers Tbk PT 500,093,250 1,916,360 0.0% * Bakrie Sumatera Plantations Tbk PT 75,465,900 289,186 0.0% * Bakrie Telecom Tbk PT 247,426,500 189,628 0.0% * Bakrieland Development Tbk PT 160,628,346 615,529 0.0% Bank Bukopin Tbk 62,920,633 3,326,606 0.0% * Bank CIMB Niaga Tbk PT 312,582 22,861 0.0% Bank Danamon Indonesia Tbk PT 35,799,554 10,587,517 0.1% Bank Mandiri Persero Tbk PT 95,456,931 84,083,115 0.5% Bank Negara Indonesia Persero Tbk PT 102,370,741 43,703,406 0.3% * Bank Pan Indonesia Tbk PT 142,356,401 8,722,162 0.1% Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 37,999,600 4,630,301 0.0% Bank Pembangunan Daerah Jawa Timur Tbk PT 1,429,700 58,600 0.0% Bank Tabungan Negara Persero Tbk PT 79,335,127 11,604,304 0.1% * Barito Pacific Tbk PT 9,517,600 1,035,818 0.0% Bekasi Fajar Industrial Estate Tbk PT 18,579,700 443,482 0.0% * Benakat Integra Tbk PT 142,047,100 544,445 0.0% * Berlian Laju Tanker Tbk PT 128,161,466 -- 0.0% BISI International Tbk PT 14,428,600 2,209,212 0.0% * Bumi Resources Tbk PT 61,952,000 1,016,043 0.0% Bumi Serpong Damai Tbk PT 70,512,400 11,699,372 0.1% Charoen Pokphand Indonesia Tbk PT 5,653,930 1,600,098 0.0% Ciputra Development Tbk PT 121,105,185 14,655,303 0.1% Ciputra Property Tbk PT 49,705,769 2,897,786 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- INDONESIA -- (Continued) Ciputra Surya Tbk PT 17,854,621 $ 4,165,988 0.0% * Clipan Finance Indonesia Tbk PT 2,995,500 57,426 0.0% * Darma Henwa Tbk PT 127,056,442 545,307 0.0% * Davomas Abadi Tbk PT 54,906,800 -- 0.0% * Delta Dunia Makmur Tbk PT 5,365,600 196,650 0.0% * Eagle High Plantations Tbk PT 114,327,000 1,671,198 0.0% Elnusa Tbk PT 60,294,100 2,088,188 0.0% * Energi Mega Persada Tbk PT 417,421,578 1,599,561 0.0% Erajaya Swasembada Tbk PT 26,702,500 1,338,785 0.0% * Eureka Prima Jakarta Tbk PT 1,297,300 9,749 0.0% * Ever Shine Textile Tbk PT 19,342,215 164,545 0.0% * Gajah Tunggal Tbk PT 37,512,600 3,586,603 0.0% * Garuda Indonesia Persero Tbk PT 42,421,081 1,222,117 0.0% Global Mediacom Tbk PT 102,878,100 6,694,635 0.1% * Great River International Tbk PT 1,788,000 -- 0.0% * Hanson International Tbk PT 9,531,000 102,153 0.0% * Harum Energy Tbk PT 17,053,100 2,596,988 0.0% Hexindo Adiperkasa Tbk PT 721,744 186,339 0.0% Holcim Indonesia Tbk PT 26,030,300 1,925,049 0.0% Indah Kiat Pulp & Paper Corp. Tbk PT 39,377,500 3,199,215 0.0% * Indika Energy Tbk PT 1,135,500 57,038 0.0% Indo Tambangraya Megah Tbk PT 4,051,000 4,446,321 0.0% * Indo-Rama Synthetics Tbk PT 41,500 2,371 0.0% Indocement Tunggal Prakarsa Tbk PT 84,100 105,891 0.0% Indofood Sukses Makmur Tbk PT 74,116,400 48,188,878 0.3% Intiland Development Tbk PT 115,113,700 5,075,992 0.0% Japfa Comfeed Indonesia Tbk PT 40,219,750 5,804,477 0.1% Jaya Real Property Tbk PT 120,718,000 8,358,346 0.1% * Kawasan Industri Jababeka Tbk PT 308,466,875 7,090,386 0.1% * Lippo Cikarang Tbk PT 2,317,200 1,074,421 0.0% Lippo Karawaci Tbk PT 320,652,349 22,180,437 0.2% * Malindo Feedmill Tbk PT 331,200 46,056 0.0% * Medco Energi Internasional Tbk PT 28,315,800 2,836,039 0.0% Metrodata Electronics Tbk PT 1,539,436 81,408 0.0% * Mitra Adiperkasa Tbk PT 491,700 207,237 0.0% Mitra Pinasthika Mustika Tbk PT 1,984,700 111,306 0.0% * MNC Investama Tbk PT 326,847,200 3,454,992 0.0% * Modernland Realty Tbk PT 85,983,400 2,412,251 0.0% * Multipolar Tbk PT 63,216,500 1,848,059 0.0% * Nirvana Development Tbk PT 1,000,000 7,515 0.0% * Nusantara Infrastructure Tbk PT 177,314,100 1,807,862 0.0% Pabrik Kertas Tjiwi Kimia Tbk PT 929,000 56,544 0.0% Pan Brothers Tbk PT 47,246,450 1,570,990 0.0% * Panin Financial Tbk PT 201,216,200 2,945,210 0.0% * Paninvest Tbk PT 30,871,000 1,655,958 0.0% Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 69,757,384 8,144,976 0.1% Ramayana Lestari Sentosa Tbk PT 49,678,500 5,214,332 0.1% Salim Ivomas Pratama Tbk PT 49,781,900 1,907,561 0.0% Sampoerna Agro PT 12,001,241 1,760,836 0.0% Selamat Sempurna Tbk PT 10,861,500 3,774,424 0.0% Semen Baturaja Persero Tbk PT 15,461,900 2,338,780 0.0% Semen Indonesia Persero Tbk PT 7,669,100 5,780,671 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- INDONESIA -- (Continued) Sentul City Tbk PT 80,474,100 $ 561,476 0.0% * Sigmagold Inti Perkasa Tbk PT 27,008,700 235,974 0.0% * Sinar Mas Agro Resources & Technology Tbk PT 7,767,600 2,684,058 0.0% Sri Rejeki Isman Tbk PT 174,745,400 3,399,509 0.0% * Surya Dumai Industries Tbk 5,145,000 -- 0.0% Surya Semesta Internusa Tbk PT 61,014,500 2,639,231 0.0% * Suryainti Permata Tbk PT 17,378,000 -- 0.0% Tambang Batubara Bukit Asam Persero Tbk PT 3,440,700 3,139,484 0.0% * Tiga Pilar Sejahtera Food Tbk 32,429,922 5,163,640 0.0% Timah Persero Tbk PT 68,019,960 4,847,459 0.0% Tiphone Mobile Indonesia Tbk PT 5,062,500 269,577 0.0% Trias Sentosa Tbk PT 336,500 6,213 0.0% * Truba Alam Manunggal Engineering PT 129,244,500 99,053 0.0% Tunas Baru Lampung Tbk PT 21,811,200 1,871,974 0.0% Tunas Ridean Tbk PT 36,956,500 3,964,116 0.0% * Ultrajaya Milk Industry & Trading Co. Tbk PT 8,014,200 2,909,969 0.0% * Unggul Indah Cahaya Tbk PT 319,635 40,960 0.0% United Tractors Tbk PT 21,427,200 35,445,545 0.2% * Vale Indonesia Tbk PT 43,664,100 9,104,996 0.1% * Visi Media Asia Tbk PT 13,777,600 268,031 0.0% * XL Axiata Tbk PT 8,101,200 1,365,926 0.0% ------------ --- TOTAL INDONESIA 530,590,261 3.2% ------------ --- ISRAEL -- (0.0%) * Liberty Properties, Ltd. 2,467 -- 0.0% ------------ --- MALAYSIA -- (3.4%) * Adventa Bhd 12,000 2,159 0.0% Affin Holdings Bhd 12,132,450 6,359,041 0.1% # AirAsia Bhd 16,927,400 11,175,752 0.1% * Alam Maritim Resources Bhd 6,855,200 423,857 0.0% Alliance Financial Group Bhd 15,784,300 15,014,846 0.1% Allianz Malaysia Bhd 28,800 69,587 0.0% AMMB Holdings Bhd 25,124,862 25,155,988 0.2% Ann Joo Resources Bhd 1,526,000 771,194 0.0% APM Automotive Holdings Bhd 721,300 581,766 0.0% Batu Kawan Bhd 2,090,450 9,124,346 0.1% Benalec Holdings Bhd 7,707,600 706,731 0.0% Berjaya Assets Bhd 355,600 67,811 0.0% Berjaya Corp. Bhd 36,553,280 2,830,313 0.0% * Berjaya Land Bhd 13,220,000 1,891,941 0.0% BIMB Holdings Bhd 2,180,207 2,287,375 0.0% Bina Darulaman Bhd 162,600 25,568 0.0% BLD Plantation Bhd 6,600 13,467 0.0% # Boustead Holdings Bhd 13,664,191 7,132,327 0.1% # Boustead Plantations Bhd 1,491,900 529,648 0.0% #* Bumi Armada Bhd 25,619,100 4,295,734 0.0% Can-One Bhd 401,400 329,816 0.0% # CB Industrial Product Holding Bhd 1,722,100 816,261 0.0% Chin Teck Plantations Bhd 309,100 578,411 0.0% # CIMB Group Holdings Bhd 20,541,412 24,607,990 0.2% Coastal Contracts Bhd 3,357,500 1,223,779 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- MALAYSIA -- (Continued) Crescendo Corp. Bhd 24,100 $ 8,677 0.0% CSC Steel Holdings Bhd 1,921,456 961,440 0.0% * Datuk Keramik Holdings Bhd 127,000 -- 0.0% * Daya Materials Bhd 13,473,900 208,613 0.0% * Dayang Enterprise Holdings Bhd 1,446,500 295,644 0.0% # DRB-Hicom Bhd 12,640,600 3,825,660 0.0% # Eastern & Oriental Bhd 11,515,680 4,309,329 0.0% * Eco World Development Group Bhd 633,900 205,342 0.0% # Evergreen Fibreboard Bhd 5,331,389 1,334,130 0.0% FAR East Holdings Bhd 403,800 755,590 0.0% # Felda Global Ventures Holdings Bhd 10,616,500 5,084,041 0.1% * Fountain View Development Bhd 2,573,200 -- 0.0% Gadang Holdings Bhd 278,600 188,374 0.0% Genting Bhd 19,517,600 36,472,262 0.2% # Genting Malaysia Bhd 32,665,900 37,072,292 0.2% Global Oriental Bhd 1,083,100 83,906 0.0% Glomac Bhd 6,429,800 1,183,977 0.0% Goldis Bhd 3,223,995 2,001,837 0.0% GuocoLand Malaysia Bhd 2,797,700 805,492 0.0% # HAP Seng Consolidated Bhd 6,146,300 11,419,125 0.1% Hap Seng Plantations Holdings Bhd 3,801,700 2,192,046 0.0% Hiap Teck Venture Bhd 1,476,900 121,240 0.0% # Hong Leong Financial Group Bhd 2,819,234 10,561,598 0.1% # Hong Leong Industries Bhd 957,400 2,276,006 0.0% Hua Yang Bhd 2,298,310 667,932 0.0% Hume Industries Bhd 198,284 150,804 0.0% I-Bhd 84,900 12,640 0.0% IJM Corp. Bhd 57,693,018 45,399,812 0.3% # Insas Bhd 6,601,200 1,147,868 0.0% IOI Properties Group Bhd 1,797,200 1,047,317 0.0% * Iris Corp. Bhd 21,834,300 857,914 0.0% #* Iskandar Waterfront City Bhd 1,685,600 365,029 0.0% * JAKS Resources Bhd 6,106,600 1,513,839 0.0% Jaya Tiasa Holdings Bhd 6,337,833 2,096,561 0.0% # JCY International Bhd 7,509,800 938,886 0.0% * K&N Kenanga Holdings Bhd 2,020,487 233,596 0.0% Keck Seng Malaysia Bhd 2,504,000 2,864,526 0.0% Kian JOO CAN Factory Bhd 4,793,180 3,210,835 0.0% * KIG Glass Industrial Bhd 260,000 -- 0.0% Kim Loong Resources Bhd 457,800 359,933 0.0% Kimlun Corp. Bhd 845,419 428,672 0.0% #* KNM Group Bhd 27,821,190 2,644,379 0.0% * Kretam Holdings Bhd 4,128,000 526,106 0.0% # KSL Holdings Bhd 9,401,651 2,486,126 0.0% Kumpulan Fima Bhd 2,167,500 929,446 0.0% Kumpulan Perangsang Selangor Bhd 2,615,900 828,261 0.0% * Kwantas Corp. Bhd 288,400 102,569 0.0% Land & General Bhd 14,944,600 1,335,705 0.0% * Landmarks Bhd 2,119,208 383,431 0.0% LBS Bina Group Bhd 3,877,500 1,608,360 0.0% * Lion Industries Corp. Bhd 597,581 59,923 0.0% Magnum Bhd 5,285,900 2,909,347 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- MALAYSIA -- (Continued) Mah Sing Group Bhd 13,863,962 $ 5,051,116 0.0% # Malayan Banking Bhd 1,160,423 2,184,871 0.0% Malayan Flour Mills Bhd 3,117,950 1,076,876 0.0% Malaysia Airports Holdings Bhd 4,595,854 7,257,356 0.1% Malaysia Building Society Bhd 2,851,100 621,551 0.0% * Malaysia Marine and Heavy Engineering Holdings Bhd 2,930,500 696,794 0.0% #* Malaysian Bulk Carriers Bhd 4,604,925 827,921 0.0% Malaysian Pacific Industries Bhd 1,158,375 2,183,470 0.0% # Malaysian Resources Corp. Bhd 15,973,700 5,136,388 0.1% Malton Bhd 4,272,900 662,524 0.0% MBM Resources Bhd 2,696,103 1,650,318 0.0% Media Prima Bhd 6,303,700 1,804,860 0.0% # Mega First Corp. Bhd 1,426,300 785,572 0.0% MISC Bhd 16,155,404 28,958,109 0.2% MK Land Holdings Bhd 6,690,200 478,856 0.0% # MKH Bhd 3,021,870 1,996,059 0.0% MMC Corp. Bhd 15,957,680 9,098,620 0.1% * MNRB Holdings Bhd 1,628,900 1,226,806 0.0% * Mudajaya Group Bhd 4,318,700 997,278 0.0% # Muhibbah Engineering M Bhd 3,969,100 2,173,496 0.0% * Mulpha International Bhd 22,576,600 1,129,325 0.0% * Naim Holdings Bhd 2,091,600 773,306 0.0% Negri Sembilan Oil Palms Bhd 62,900 64,215 0.0% Oriental Holdings Bhd 3,638,979 6,046,200 0.1% OSK Holdings Bhd 7,346,271 2,645,375 0.0% Pacific & Orient Bhd 334,330 103,591 0.0% Panasonic Manufacturing Malaysia Bhd 346,880 3,058,740 0.0% Pantech Group Holdings Bhd 3,636,758 480,748 0.0% * Paracorp Bhd 252,000 -- 0.0% Paramount Corp. Bhd 1,660,525 568,888 0.0% #* Parkson Holdings Bhd 8,069,328 1,451,904 0.0% * Perisai Petroleum Teknologi Bhd 394,200 3,754 0.0% Pie Industrial Bhd 987,900 459,337 0.0% Pos Malaysia Bhd 277,117 264,219 0.0% PPB Group Bhd 8,068,066 30,999,192 0.2% Press Metal Bhd 2,482,662 2,579,576 0.0% * Prime Utilities Bhd 39,000 -- 0.0% Protasco Bhd 2,991,400 1,134,079 0.0% RHB Bank Bhd 13,951,600 16,065,070 0.1% * Rimbunan Sawit Bhd 6,810,000 827,482 0.0% # Salcon Bhd 658,500 96,475 0.0% #* Sapurakencana Petroleum Bhd 27,001,600 10,382,035 0.1% # Sarawak Oil Palms Bhd 468,120 413,672 0.0% * Scomi Energy Services Bhd 352,300 13,881 0.0% * Scomi Group Bhd 23,530,600 641,945 0.0% Selangor Dredging Bhd 1,352,800 280,129 0.0% Selangor Properties Bhd 75,300 89,758 0.0% Shangri-La Hotels Malaysia Bhd 659,000 825,684 0.0% * Shell Refining Co. Federation of Malaya Bhd 68,700 49,937 0.0% SHL Consolidated Bhd 331,800 234,119 0.0% # SP Setia Bhd Group 5,275,461 4,408,187 0.0% Star Media Group Bhd 1,607,100 964,994 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- MALAYSIA -- (Continued) #* Sumatec Resources Bhd 2,855,100 $ 43,960 0.0% # Sunway Bhd 13,657,326 10,157,137 0.1% # Supermax Corp. Bhd 6,429,200 3,323,717 0.0% Suria Capital Holdings Bhd 824,400 408,489 0.0% Symphony Life Bhd 1,658,855 268,951 0.0% # Ta Ann Holdings Bhd 2,235,026 1,881,543 0.0% TA Enterprise Bhd 21,041,700 2,404,823 0.0% TA Global Bhd 15,532,980 813,984 0.0% * Talam Transform Bhd 3,183,850 29,455 0.0% # Taliworks Corp. Bhd 327,000 119,105 0.0% TAN Chong Motor Holdings Bhd 4,589,800 2,086,514 0.0% * Tanjung Offshore Bhd 15,100 1,111 0.0% TDM Bhd 13,551,200 2,242,454 0.0% * TH Plantations Bhd 900,500 242,456 0.0% # Time dotCom Bhd 4,938,880 9,421,758 0.1% Tiong NAM Logistics Holdings 595,500 241,159 0.0% # Tropicana Corp. Bhd 8,154,733 1,975,450 0.0% UEM Edgenta Bhd 1,824,800 1,458,431 0.0% # UEM Sunrise Bhd 19,972,745 5,322,287 0.1% # UMW Holdings Bhd 967,800 1,371,038 0.0% #* UMW Oil & Gas Corp. Bhd 3,238,300 653,825 0.0% # Unisem M Bhd 7,206,400 4,375,237 0.0% United Malacca Bhd 960,500 1,275,523 0.0% United Plantations Bhd 204,000 1,356,183 0.0% United U-Li Corp. Bhd 56,400 50,171 0.0% UOA Development Bhd 7,096,000 4,352,020 0.0% # VS Industry Bhd 4,285,865 1,448,979 0.0% Wah Seong Corp. Bhd 4,952,883 1,013,771 0.0% # WCT Holdings Bhd 14,541,620 5,885,110 0.1% Wing Tai Malaysia Bhd 2,781,650 714,722 0.0% # WTK Holdings Bhd 5,925,650 1,524,964 0.0% #* YNH Property Bhd 6,942,625 2,586,182 0.0% YTL Corp. Bhd 89,104,250 33,783,425 0.2% * YTL Land & Development Bhd 3,544,900 493,651 0.0% ------------ --- TOTAL MALAYSIA 577,744,389 3.5% ------------ --- MEXICO -- (5.1%) Alfa S.A.B. de C.V. Class A 34,589,985 52,486,153 0.3% Alpek S.A.B. de C.V. 3,901,309 5,808,308 0.0% Arca Continental S.A.B. de C.V. 227,746 1,415,324 0.0% #* Axtel S.A.B. de C.V. 10,802,374 2,669,017 0.0% * Bio Pappel S.A.B. de C.V. 439,582 576,776 0.0% * Cemex S.A.B. de C.V. Sponsored ADR 13,493,350 117,122,279 0.7% * Cia Minera Autlan S.A.B. de C.V. Series B 21,493 8,426 0.0% # Coca-Cola Femsa S.A.B. de C.V. Series L 1,408,075 10,572,668 0.1% # Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 136,577 10,244,641 0.1% Consorcio ARA S.A.B. de C.V. Series * 9,395,648 3,554,250 0.0% * Corp Interamericana de Entretenimiento S.A.B. de C.V. Class B 1,560,786 1,486,384 0.0% # Corp. Actinver S.A.B. de C.V. 105,133 74,479 0.0% # Credito Real S.A.B. de C.V. SOFOM ER 154,961 284,736 0.0% Dine S.A.B. de C.V. 1,027,267 619,589 0.0% El Puerto de Liverpool S.A.B. de C.V. Series 1 1,533 15,978 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- MEXICO -- (Continued) * Empaques Ponderosa S.A. de C.V. 90,000 $ -- 0.0% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,633,336 156,261,255 0.9% #* Genomma Lab Internacional S.A.B. de C.V. Class B 696,005 835,162 0.0% #* Grupo Aeromexico S.A.B. de C.V. 1,749,952 3,441,390 0.0% Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 378,976 36,620,451 0.2% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 78,279 12,446,361 0.1% # Grupo Carso S.A.B. de C.V. Series A1 7,721,656 33,744,711 0.2% Grupo Cementos de Chihuahua S.A.B. de C.V. 2,738,354 8,801,386 0.1% # Grupo Comercial Chedraui S.A. de C.V. 2,497,484 5,554,956 0.0% # Grupo Elektra S.A.B. de C.V. 254,160 3,516,904 0.0% #* Grupo Famsa S.A.B. de C.V. Class A 2,828,859 1,225,774 0.0% # Grupo Financiero Banorte S.A.B. de C.V. Class O 21,258,812 125,409,107 0.8% # Grupo Financiero Inbursa S.A.B. de C.V. Class O 14,772,311 24,072,122 0.2% # Grupo Financiero Interacciones SA de C.V. Class O 708,084 3,465,307 0.0% # Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 4,341,414 7,862,367 0.1% Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 1,632,369 14,772,939 0.1% * Grupo Gigante S.A.B. de C.V. Series * 471,076 897,240 0.0% # Grupo Herdez S.A.B. de C.V. Series * 805,727 1,951,547 0.0% Grupo Industrial Maseca S.A.B. de C.V. Class B 2,749,400 3,344,199 0.0% # Grupo Industrial Saltillo S.A.B. de C.V. 1,338,007 2,680,120 0.0% Grupo KUO S.A.B. de C.V. Series B 2,034,528 4,036,548 0.0% Grupo Mexico S.A.B. de C.V. Series B 36,736,533 90,184,389 0.6% * Grupo Pochteca S.A.B. de C.V. 67,810 32,935 0.0% * Grupo Posadas S.A.B. de C.V. 355,113 891,211 0.0% * Grupo Qumma SA de C.V. Series B 5,301 -- 0.0% Grupo Sanborns S.A.B. de C.V. 1,252,776 1,558,265 0.0% #* Grupo Simec S.A.B. de C.V. Series B 1,169,462 4,088,569 0.0% * Grupo Sports World S.A.B. de C.V. 293,561 262,483 0.0% Industrias Bachoco S.A.B. de C.V. Series B 1,777,377 7,853,898 0.1% Industrias Bachoco S.A.B. de C.V. Sponsored ADR 40,783 2,157,421 0.0% #* Industrias CH S.A.B. de C.V. Series B 2,014,328 9,516,930 0.1% Industrias Penoles S.A.B. de C.V. 298,966 7,232,538 0.1% #* La Comer S.A.B. de C.V. 5,414,652 4,970,330 0.0% Medica Sur S.A.B. de C.V. Series B 1,000 2,227 0.0% Megacable Holdings S.A.B. de C.V. 109,722 401,596 0.0% Mexichem S.A.B. de C.V. 8,452,281 20,199,436 0.1% #* Minera Frisco S.A.B. de C.V. Class A1 7,179,830 5,576,420 0.0% * OHL Mexico S.A.B. de C.V. 9,746,749 11,437,643 0.1% # Organizacion Cultiba S.A.B. de C.V. 170,021 187,733 0.0% #* Organizacion Soriana S.A.B. de C.V. Class B 14,733,640 40,043,759 0.3% # Qualitas Controladora S.A.B. de C.V. 1,652,078 3,046,131 0.0% * Savia SA Class A 3,457,285 -- 0.0% # TV Azteca S.A.B. de C.V. 9,264,749 1,764,621 0.0% #* Urbi Desarrollos Urbanos S.A.B. de C.V. 9,101 10,304 0.0% Vitro S.A.B. de C.V. Series A 1,499,658 4,939,088 0.0% ------------ --- TOTAL MEXICO 874,236,781 5.3% ------------ --- PHILIPPINES -- (1.1%) A Soriano Corp. 17,425,400 2,140,500 0.0% ACR Mining Corp. 105,455 7,309 0.0% Alliance Global Group, Inc. 30,705,606 9,038,877 0.1% Alsons Consolidated Resources, Inc. 20,894,000 604,920 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- PHILIPPINES -- (Continued) * Atlas Consolidated Mining & Development Corp. 5,351,500 $ 438,408 0.0% Bank of the Philippine Islands 234,470 489,264 0.0% BDO Unibank, Inc. 11,854,265 27,608,078 0.2% Cebu Air, Inc. 2,168,500 4,704,255 0.0% Cebu Holdings, Inc. 1,032,250 109,886 0.0% Century Properties Group, Inc. 28,217,400 349,448 0.0% China Banking Corp. 466,371 365,385 0.0% Cosco Capital, Inc. 10,643,700 1,866,226 0.0% DMCI Holdings, Inc. 653,400 168,484 0.0% East West Banking Corp. 124,500 49,123 0.0% EEI Corp. 1,150,300 170,873 0.0% * Empire East Land Holdings, Inc. 24,178,000 378,944 0.0% Energy Development Corp. 1,168,200 142,271 0.0% * Export & Industry Bank, Inc. Class A 14,950 -- 0.0% Filinvest Development Corp. 142,800 24,106 0.0% Filinvest Land, Inc. 205,242,031 7,475,599 0.1% First Philippine Holdings Corp. 4,618,290 6,612,720 0.0% * Fwbc Holdings, Inc. 5,471,786 -- 0.0% Integrated Micro-Electronics, Inc. 248,900 31,153 0.0% JG Summit Holdings, Inc. 8,990,930 14,085,436 0.1% Lopez Holdings Corp. 34,749,200 5,702,631 0.0% LT Group, Inc. 13,887,300 4,140,209 0.0% * Megawide Construction Corp. 632,000 195,443 0.0% Megaworld Corp. 166,539,400 13,804,310 0.1% Metropolitan Bank & Trust Co. 8,134,630 13,661,158 0.1% * Mondragon International Philippines, Inc. 2,464,000 -- 0.0% Nickel Asia Corp. 627,500 89,030 0.0% Pepsi-Cola Products Philippines, Inc. 709,000 45,511 0.0% Petron Corp. 15,595,000 3,332,854 0.0% Philippine National Bank 4,899,113 5,863,157 0.0% * Philippine National Construction Corp. 398,900 7,571 0.0% Philippine Savings Bank 1,232,313 2,491,721 0.0% * Philippine Townships, Inc. 226,200 -- 0.0% * Philtown Properties, Inc. 6,701 -- 0.0% Phinma Corp. 865,998 204,311 0.0% Phinma Energy Corp. 26,285,000 1,176,843 0.0% Phoenix Petroleum Philippines, Inc. 507,600 61,065 0.0% RFM Corp. 976,000 86,732 0.0% Rizal Commercial Banking Corp. 4,714,948 3,495,459 0.0% Robinsons Land Corp. 29,823,950 19,064,542 0.1% Robinsons Retail Holdings, Inc. 308,660 492,366 0.0% San Miguel Corp. 6,759,016 11,245,585 0.1% San Miguel Pure Foods Co., Inc. 63,140 293,581 0.0% Security Bank Corp. 1,880,714 8,561,351 0.1% * Top Frontier Investment Holdings, Inc. 628,532 3,044,553 0.0% Travellers International Hotel Group, Inc. 1,539,200 106,569 0.0% Union Bank of the Philippines 4,413,349 6,830,531 0.1% Universal Robina Corp. 743,935 2,795,543 0.0% Vista Land & Lifescapes, Inc. 75,486,968 8,149,442 0.1% ------------ --- TOTAL PHILIPPINES 191,803,333 1.2% ------------ ---
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- POLAND -- (1.5%) Agora SA 578,734 $ 1,633,847 0.0% Asseco Poland SA 1,330,913 17,789,337 0.1% * Bank Millennium SA 3,927,942 5,781,175 0.0% Ciech SA 378,418 6,171,808 0.1% #* Enea SA 2,384,313 6,107,651 0.0% Firma Oponiarska Debica SA 74,997 1,913,641 0.0% * Getin Holding SA 2,977,249 873,074 0.0% #* Getin Noble Bank SA 1,077,448 360,210 0.0% * Gobarto SA 56,943 87,588 0.0% Grupa Azoty SA 161,472 2,571,748 0.0% Grupa Kety SA 92,776 9,254,531 0.1% #* Grupa Lotos SA 1,619,206 14,039,406 0.1% * Impexmetal SA 5,046,806 3,511,670 0.0% #* Integer.pl SA 1,510 13,409 0.0% #* Jastrzebska Spolka Weglowa SA 184,341 3,418,718 0.0% Kernel Holding SA 440,617 7,050,726 0.1% KGHM Polska Miedz SA 1,974,521 35,838,395 0.2% LC Corp. SA 1,199,107 595,739 0.0% #* Lubelski Wegiel Bogdanka SA 10,880 193,070 0.0% # Netia SA 4,474,891 5,303,870 0.0% Orbis SA 503,480 9,100,628 0.1% * Pelion SA 10,134 140,526 0.0% PGE Polska Grupa Energetyczna SA 14,513,224 38,026,049 0.2% * PKP Cargo SA 5,859 64,165 0.0% # Polski Koncern Naftowy Orlen SA 3,609,126 71,505,205 0.4% Powszechna Kasa Oszczednosci Bank Polski SA 1,151,786 8,068,526 0.1% * Tauron Polska Energia SA 16,990,517 11,481,181 0.1% Trakcja SA 664,120 2,275,170 0.0% * Vistula Group SA 54,605 48,678 0.0% ------------ --- TOTAL POLAND 263,219,741 1.6% ------------ --- RUSSIA -- (2.2%) * AFI Development P.L.C. GDR 31,827 3,835 0.0% Gazprom PJSC Sponsored ADR 61,401,592 264,756,173 1.5% Lukoil PJSC Sponsored ADR(BYZDW2900) 1,526,223 74,239,014 0.4% Lukoil PJSC Sponsored ADR(69343P105) 197,577 9,604,218 0.1% Magnitogorsk Iron & Steel OJSC GDR 1,412,867 9,281,143 0.1% * Mechel PJSC Sponsored ADR 83,251 411,260 0.0% RusHydro PJSC ADR 8,628,608 10,509,869 0.1% ------------ --- TOTAL RUSSIA 368,805,512 2.2% ------------ --- SOUTH AFRICA -- (7.1%) Adcorp Holdings, Ltd. 928,945 933,962 0.0% Aeci, Ltd. 1,305,204 9,858,018 0.1% * African Bank Investments, Ltd. 9,264,952 3,474 0.0% African Oxygen, Ltd. 45,466 66,313 0.0% African Rainbow Minerals, Ltd. 1,833,355 13,283,249 0.1% Alexander Forbes Group Holdings, Ltd. 219,133 99,493 0.0% * Allied Electronics Corp., Ltd. Class A 26,803 13,854 0.0% * Anglo American Platinum, Ltd. 98,018 2,317,507 0.0% * AngloGold Ashanti, Ltd. Sponsored ADR 1,382,157 18,990,837 0.1% * ArcelorMittal South Africa, Ltd. 2,390,579 2,046,888 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ------------ ---------- SOUTH AFRICA -- (Continued) * Aveng, Ltd. 7,422,053 $ 3,891,252 0.0% Barclays Africa Group, Ltd. 5,579,767 64,750,119 0.4% Barloworld, Ltd. 4,883,085 31,540,754 0.2% Blue Label Telecoms, Ltd. 3,760,437 5,685,520 0.0% #* Brait SE 2,391,574 15,872,937 0.1% Caxton and CTP Publishers and Printers, Ltd. 3,089,885 3,016,144 0.0% Clover Industries, Ltd. 1,275,295 1,646,099 0.0% * Consolidated Infrastructure Group, Ltd. 409,539 712,147 0.0% DataTec, Ltd. 3,542,034 11,779,967 0.1% Distell Group, Ltd. 55,963 686,944 0.0% # DRDGOLD, Ltd. 5,320,916 2,698,055 0.0% #* Eqstra Holdings, Ltd. 3,474,295 675,197 0.0% * Evraz Highveld Steel and Vanadium, Ltd. 120,337 226 0.0% Exxaro Resources, Ltd. 1,763,223 12,996,309 0.1% Gold Fields, Ltd. 2,664,475 10,989,011 0.1% Gold Fields, Ltd. Sponsored ADR 12,391,918 51,426,460 0.3% Grindrod, Ltd. 7,724,928 6,363,922 0.0% Group Five, Ltd. 1,678,632 2,878,031 0.0% Harmony Gold Mining Co., Ltd. 1,605,176 4,983,185 0.0% Harmony Gold Mining Co., Ltd. Sponsored ADR 491,788 1,558,968 0.0% Hudaco Industries, Ltd. 136,179 1,103,909 0.0% * Hulamin, Ltd. 1,790,383 691,609 0.0% * Impala Platinum Holdings, Ltd. 6,689,573 27,030,236 0.2% Imperial Holdings, Ltd. 1,648,309 20,819,284 0.1% Investec, Ltd. 3,952,103 24,339,875 0.2% * JCI, Ltd. 10,677,339 -- 0.0% KAP Industrial Holdings, Ltd. 865,789 497,654 0.0% #* Kumba Iron Ore, Ltd. 119,427 1,216,206 0.0% # Lewis Group, Ltd. 1,852,654 5,491,634 0.0% Liberty Holdings, Ltd. 1,680,993 14,472,753 0.1% Merafe Resources, Ltd. 22,040,287 2,073,859 0.0% Metair Investments, Ltd. 1,288,607 1,816,144 0.0% MMI Holdings, Ltd. 17,493,889 29,304,705 0.2% Mondi, Ltd. 327,295 6,393,197 0.1% Mpact, Ltd. 2,498,915 6,114,312 0.0% MTN Group, Ltd. 10,762,518 92,959,482 0.6% Murray & Roberts Holdings, Ltd. 6,076,782 4,172,433 0.0% # Nampak, Ltd. 1,584,420 2,209,636 0.0% Nedbank Group, Ltd. 3,173,298 51,943,749 0.3% * Northam Platinum, Ltd. 1,107,927 4,036,704 0.0% Omnia Holdings, Ltd. 525,110 6,359,299 0.0% Peregrine Holdings, Ltd. 1,278,194 2,464,496 0.0% * Pinnacle Holdings, Ltd. 866,898 1,151,126 0.0% Raubex Group, Ltd. 1,981,831 3,694,408 0.0% RCL Foods, Ltd. 90,842 92,469 0.0% Reunert, Ltd. 495,102 2,262,550 0.0% * Royal Bafokeng Platinum, Ltd. 460,976 1,406,683 0.0% Sanlam, Ltd. 5,572,241 26,990,264 0.2% * Sappi, Ltd. 8,499,396 47,292,839 0.3% * Sappi, Ltd. Sponsored ADR 660,121 3,683,475 0.0% Sasol, Ltd. 3,802,484 105,005,545 0.6% Sasol, Ltd. Sponsored ADR 1,664,260 45,783,792 0.3%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- -------------- ---------- SOUTH AFRICA -- (Continued) Sibanye Gold, Ltd. Sponsored ADR 1,445,989 $ 16,195,077 0.1% Standard Bank Group, Ltd. 16,569,484 175,889,757 1.1% * Stefanutti Stocks Holdings, Ltd. 526,548 182,552 0.0% Steinhoff International Holdings NV 24,951,223 134,603,568 0.8% * Super Group, Ltd. 4,217,794 12,448,559 0.1% Telkom SA SOC, Ltd. 5,017,373 23,127,550 0.2% Tongaat Hulett, Ltd. 1,217,594 11,003,633 0.1% # Trencor, Ltd. 1,507,605 3,205,941 0.0% Wilson Bayly Holmes-Ovcon, Ltd. 431,964 4,869,271 0.0% * Zeder Investments, Ltd. 1 -- 0.0% -------------- --- TOTAL SOUTH AFRICA 1,206,165,077 7.2% -------------- --- SOUTH KOREA -- (14.1%) # Ace Technologies Corp. 96,925 315,918 0.0% #* AJ Rent A Car Co., Ltd. 57,800 498,194 0.0% * Amotech Co., Ltd. 36,121 545,031 0.0% # Asia Cement Co., Ltd. 10,074 647,915 0.0% # ASIA Holdings Co., Ltd. 27,584 2,423,062 0.0% #* Asia Paper Manufacturing Co., Ltd. 56,207 957,928 0.0% * Asiana Airlines, Inc. 237,160 957,311 0.0% #* AUK Corp. 405,252 791,341 0.0% # Austem Co., Ltd. 193,239 540,943 0.0% Avaco Co., Ltd. 18,015 94,380 0.0% #* BH Co., Ltd. 19,986 189,509 0.0% # BNK Financial Group, Inc. 2,892,220 23,443,592 0.2% Bookook Securities Co., Ltd. 28,655 500,325 0.0% BYC Co., Ltd. 752 286,817 0.0% #* Capro Corp. 79,730 383,756 0.0% * Chemtronics Co., Ltd. 2,627 13,370 0.0% #* China Great Star International, Ltd. 595,580 675,652 0.0% Chinyang Holdings Corp. 26,720 81,155 0.0% # Chokwang Paint, Ltd. 16,217 161,348 0.0% # Chongkundang Holdings Corp. 2,179 126,162 0.0% Chosun Refractories Co., Ltd. 9,716 780,666 0.0% CJ Hellovision Co., Ltd. 95,342 680,495 0.0% CJ O Shopping Co., Ltd. 5,831 825,598 0.0% CKD Bio Corp. 2,284 44,542 0.0% #* Cosmochemical Co., Ltd. 115,498 437,807 0.0% # Dae Dong Industrial Co., Ltd. 145,909 861,135 0.0% # Dae Han Flour Mills Co., Ltd. 14,500 2,234,533 0.0% # Dae Hyun Co., Ltd. 40,551 132,575 0.0% Dae Won Kang Up Co., Ltd. 245,096 1,105,656 0.0% #* Dae Young Packaging Co., Ltd. 1,121,470 983,240 0.0% #* Dae-Il Corp. 71,782 630,024 0.0% #* Daechang Co., Ltd. 526,706 428,422 0.0% Daeduck Electronics Co. 217,109 1,427,061 0.0% # Daeduck GDS Co., Ltd. 292,352 3,037,236 0.0% # Daegu Department Store 71,060 822,508 0.0% # Daehan Steel Co., Ltd. 176,108 1,434,922 0.0% # Daekyo Co., Ltd. 184,455 1,344,255 0.0% Daelim Industrial Co., Ltd. 270,338 19,265,125 0.1% Daesang Holdings Co., Ltd. 104,641 954,332 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ----------- ---------- SOUTH KOREA -- (Continued) # Daesung Holdings Co., Ltd. 42,463 $ 342,262 0.0% Daewon San Up Co., Ltd. 6,072 43,846 0.0% #* Daewoo Engineering & Construction Co., Ltd. 964,334 5,318,753 0.1% #* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 491,004 1,922,393 0.0% * Dahaam E-Tec Co., Ltd. 3,535 10,427 0.0% # Daishin Securities Co., Ltd. 590,481 5,430,071 0.1% # Daou Data Corp. 15,106 138,926 0.0% Daou Technology, Inc. 237,303 4,280,568 0.0% #* Dasan Networks, Inc. 134,840 798,097 0.0% DGB Financial Group, Inc. 1,625,465 13,615,861 0.1% Display Tech Co., Ltd. 43,544 151,345 0.0% DK UIL Co., Ltd. 25,593 243,566 0.0% # Dong Ah Tire & Rubber Co., Ltd. 96,629 2,035,161 0.0% # Dong-Ah Geological Engineering Co., Ltd. 47,826 344,989 0.0% # Dong-Il Corp. 17,861 947,282 0.0% # Dongbang Transport Logistics Co., Ltd. 221,137 404,949 0.0% #* Dongbu Co., Ltd. 469,666 328,641 0.0% #* Dongbu Securities Co., Ltd. 412,339 1,194,514 0.0% # Dongil Industries Co., Ltd. 16,483 1,044,154 0.0% #* Dongkook Industrial Co., Ltd. 288,799 558,615 0.0% Dongkuk Industries Co., Ltd. 127,071 549,142 0.0% #* Dongkuk Steel Mill Co., Ltd. 954,772 6,812,705 0.1% DONGSUNG Corp. 24,827 140,021 0.0% # Dongwha Pharm Co., Ltd. 56,231 381,421 0.0% Dongwon Development Co., Ltd. 19,628 78,312 0.0% # Dongwoo Co., Ltd. 14,971 52,986 0.0% # Dongyang E&P, Inc. 32,885 384,364 0.0% # Doosan Corp. 112,906 10,102,603 0.1% #* Doosan Engine Co., Ltd. 112,890 347,607 0.0% Doosan Heavy Industries & Construction Co., Ltd. 528,862 12,066,160 0.1% #* Doosan Infracore Co., Ltd. 1,493,659 9,019,862 0.1% # DRB Holding Co., Ltd. 114,917 1,284,074 0.0% # DY Corp. 251,346 1,374,707 0.0% # e-LITECOM Co., Ltd. 78,775 668,951 0.0% # E-MART, Inc. 173,261 24,568,431 0.2% # Eagon Industrial, Ltd. 44,518 440,549 0.0% # Easy Bio, Inc. 81,361 429,423 0.0% # Elentec Co., Ltd. 57,025 259,054 0.0% # Eugene Corp. 553,471 2,226,073 0.0% #* Eugene Investment & Securities Co., Ltd. 1,130,616 2,371,697 0.0% Eusu Holdings Co., Ltd. 38,984 212,973 0.0% # EVERDIGM Corp. 21,489 171,413 0.0% F&F Co., Ltd. 2,792 39,241 0.0% #* FarmStory Co., Ltd. 107,663 124,502 0.0% # Fine Technix Co., Ltd. 187,057 446,799 0.0% Fursys, Inc. 28,479 844,503 0.0% # Gaon Cable Co., Ltd. 25,249 445,138 0.0% #* Global Display Co., Ltd. 32,534 95,691 0.0% # GOLFZONYUWONHOLDINGS Co., Ltd. 70,139 475,778 0.0% #* GS Engineering & Construction Corp. 443,425 10,350,991 0.1% #* GS Global Corp. 211,068 493,054 0.0% GS Holdings Corp. 603,727 26,858,939 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ------------ ---------- SOUTH KOREA -- (Continued) # Gwangju Shinsegae Co., Ltd. 5,985 $ 1,312,180 0.0% #* Halla Corp. 75,864 304,594 0.0% # Halla Holdings Corp. 62,976 3,725,239 0.0% Han Kuk Carbon Co., Ltd. 46,780 249,066 0.0% Hana Financial Group, Inc. 3,086,346 88,276,195 0.5% # Hana Micron, Inc. 84,391 377,098 0.0% # Handsome Co., Ltd. 86,690 3,072,764 0.0% # Hanil Cement Co., Ltd. 51,641 3,351,219 0.0% * Hanjin Heavy Industries & Construction Co., Ltd. 571,915 1,945,992 0.0% #* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 186,144 847,295 0.0% # Hanjin Kal Corp. 178,382 2,632,152 0.0% # Hanjin Transportation Co., Ltd. 123,466 3,174,139 0.0% Hankuk Glass Industries, Inc. 17,640 413,859 0.0% # Hankuk Paper Manufacturing Co., Ltd. 34,577 877,605 0.0% HanmiGlobal Co., Ltd. 13,645 107,138 0.0% * Hanshin Construction 6,921 107,456 0.0% #* Hansol Holdings Co., Ltd. 466,767 2,620,816 0.0% #* Hansol HomeDeco Co., Ltd. 408,594 624,246 0.0% Hansol Paper Co., Ltd. 142,915 2,530,813 0.0% Hanwha Chemical Corp. 1,003,728 23,632,373 0.2% Hanwha Corp. 740,315 24,110,863 0.2% # Hanwha Galleria Timeworld Co., Ltd. 2,375 81,536 0.0% Hanwha General Insurance Co., Ltd. 122,173 810,006 0.0% #* Hanwha Investment & Securities Co., Ltd. 915,980 1,787,724 0.0% Hanwha Life Insurance Co., Ltd. 2,512,656 13,717,869 0.1% # Hanyang Securities Co., Ltd. 92,428 600,547 0.0% * Harim Holdings Co., Ltd. 19,889 69,514 0.0% # Heung-A Shipping Co., Ltd. 1,102,548 1,615,503 0.0% # Hitejinro Holdings Co., Ltd. 117,810 1,228,823 0.0% # HMC Investment Securities Co., Ltd. 247,176 2,058,139 0.0% # HS R&A Co., Ltd. 35,942 1,020,688 0.0% Humax Co., Ltd. 193,812 2,469,930 0.0% # Huvis Corp. 64,280 402,402 0.0% # Hwa Shin Co., Ltd. 147,530 887,892 0.0% # Hwacheon Machine Tool Co., Ltd. 14,227 624,005 0.0% HwaSung Industrial Co., Ltd. 48,321 530,227 0.0% Hy-Lok Corp. 9,610 191,102 0.0% Hyosung Corp. 102,032 11,918,853 0.1% #* Hyundai BNG Steel Co., Ltd. 127,884 1,287,016 0.0% Hyundai Corp. 33,801 619,081 0.0% Hyundai Department Store Co., Ltd. 139,694 14,331,079 0.1% Hyundai Engineering & Construction Co., Ltd. 478,866 17,296,927 0.1% # Hyundai Greenfood Co., Ltd. 46,329 677,939 0.0% #* Hyundai Heavy Industries Co., Ltd. 411,885 52,235,381 0.3% Hyundai Home Shopping Network Corp. 9,169 909,019 0.0% Hyundai Hy Communications & Networks Co., Ltd. 286,078 923,958 0.0% #* Hyundai Mipo Dockyard Co., Ltd. 80,621 4,932,518 0.0% Hyundai Mobis Co., Ltd. 254,752 60,760,449 0.4% Hyundai Motor Co. 1,517,445 185,263,981 1.1% #* Hyundai Rotem Co., Ltd. 6,913 112,878 0.0% Hyundai Steel Co. 1,050,773 45,277,684 0.3% # Hyundai Wia Corp. 143,808 9,865,603 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ------------ ---------- SOUTH KOREA -- (Continued) Ilji Technology Co., Ltd. 13,647 $ 87,073 0.0% #* Iljin Display Co., Ltd. 54,206 194,722 0.0% # Iljin Electric Co., Ltd. 230,699 936,169 0.0% # Ilshin Spinning Co., Ltd. 16,812 1,910,247 0.0% # Ilsung Pharmaceuticals Co., Ltd. 9,407 931,778 0.0% # Industrial Bank of Korea 2,328,028 26,798,145 0.2% * InnoWireless, Inc. 1,805 13,693 0.0% #* Interflex Co., Ltd. 37,223 530,344 0.0% # Intergis Co., Ltd. 49,180 142,012 0.0% Interpark Holdings Corp. 181,954 792,501 0.0% INTOPS Co., Ltd. 76,349 1,347,385 0.0% Inzi Controls Co., Ltd. 89,540 391,493 0.0% # INZI Display Co., Ltd. 244,705 437,953 0.0% # ISU Chemical Co., Ltd. 83,274 1,127,371 0.0% # IsuPetasys Co., Ltd. 181,155 661,144 0.0% # Jahwa Electronics Co., Ltd. 68,255 866,539 0.0% # JB Financial Group Co., Ltd. 912,123 4,729,329 0.0% # Kangnam Jevisco Co., Ltd. 32,637 1,062,140 0.0% # KB Capital Co., Ltd. 95,780 2,197,783 0.0% KB Financial Group, Inc. 1,584,101 58,638,345 0.4% KB Financial Group, Inc. ADR 3,020,559 111,700,272 0.7% KB Insurance Co., Ltd. 308,221 7,789,456 0.1% KC Green Holdings Co., Ltd. 3,401 25,663 0.0% KCC Corp. 47,542 16,784,884 0.1% #* KEC Corp. 432,094 363,014 0.0% # Keyang Electric Machinery Co., Ltd. 183,876 801,031 0.0% # KG Chemical Corp. 57,540 702,595 0.0% # KG Eco Technology Service Co., Ltd. 128,486 366,293 0.0% # KH Vatec Co., Ltd. 138,316 1,520,106 0.0% Kia Motors Corp. 2,442,082 86,715,201 0.5% # KISCO Corp. 52,726 1,732,037 0.0% # KISCO Holdings Co., Ltd. 11,405 612,838 0.0% # Kishin Corp. 107,298 497,903 0.0% # KISWIRE, Ltd. 89,105 3,038,146 0.0% #* KleanNara Co., Ltd. 33,493 156,022 0.0% * KMH Co., Ltd. 2,583 18,546 0.0% Kolon Corp. 20,698 918,999 0.0% * Kolon Global Corp. 5,196 60,631 0.0% # Kolon Industries, Inc. 210,202 13,654,810 0.1% # Kook Soon Dang Brewery Co., Ltd. 112,565 656,203 0.0% # Korea Alcohol Industrial Co., Ltd. 28,767 232,903 0.0% # Korea Circuit Co., Ltd. 146,625 1,031,204 0.0% Korea Electric Terminal Co., Ltd. 15,636 976,677 0.0% Korea Export Packaging Industrial Co., Ltd. 5,290 85,271 0.0% #* Korea Flange Co., Ltd. 67,906 859,415 0.0% # Korea Investment Holdings Co., Ltd. 430,137 15,400,563 0.1% #* Korea Line Corp. 26,922 423,964 0.0% * Korean Air Lines Co., Ltd. 127,749 3,570,982 0.0% # Korean Reinsurance Co. 769,678 7,931,966 0.1% # Kortek Corp. 71,671 878,656 0.0% # KPX Chemical Co., Ltd. 13,226 730,280 0.0% KSS LINE, Ltd. 27,580 194,312 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ----------- ---------- SOUTH KOREA -- (Continued) #* KTB Investment & Securities Co., Ltd. 639,952 $ 1,599,420 0.0% KTCS Corp. 102,235 219,677 0.0% # Kukdo Chemical Co., Ltd. 50,073 2,367,744 0.0% Kukdong Oil & Chemicals Co., Ltd. 5,622 15,824 0.0% #* Kumho Electric Co., Ltd. 44,161 363,850 0.0% # Kumkang Kind Co., Ltd. 3,361 133,285 0.0% # Kwangju Bank 147,127 1,298,466 0.0% #* Kyeryong Construction Industrial Co., Ltd. 38,242 487,919 0.0% # Kyobo Securities Co., Ltd. 206,079 1,669,471 0.0% # Kyung-In Synthetic Corp. 27,261 109,461 0.0% # Kyungbang, Ltd. 125,420 1,983,804 0.0% Kyungchang Industrial Co., Ltd. 28,508 125,119 0.0% # LEADCORP, Inc. (The) 55,918 388,531 0.0% LF Corp. 183,379 3,476,610 0.0% LG Corp. 841,761 45,014,141 0.3% LG Display Co., Ltd. 1,415,814 33,851,579 0.2% # LG Display Co., Ltd. ADR 3,991,524 47,938,203 0.3% # LG Electronics, Inc. 1,692,217 70,543,997 0.4% LG Hausys, Ltd. 18,502 1,528,117 0.0% LG International Corp. 226,181 5,496,578 0.1% LG Uplus Corp. 2,100,307 21,646,190 0.1% # LMS Co., Ltd. 14,112 93,317 0.0% Lotte Chemical Corp. 43,453 10,917,666 0.1% # Lotte Chilsung Beverage Co., Ltd. 6,056 8,152,314 0.1% # Lotte Confectionery Co., Ltd. 16,259 2,729,259 0.0% LOTTE Fine Chemical Co., Ltd. 45,782 1,159,244 0.0% Lotte Food Co., Ltd. 838 505,780 0.0% LOTTE Himart Co., Ltd. 91,315 3,516,268 0.0% #* Lotte Non-Life Insurance Co., Ltd. 206,214 489,804 0.0% # Lotte Shopping Co., Ltd. 123,317 24,604,758 0.2% LS Corp. 117,860 5,636,961 0.1% #* Lumens Co., Ltd. 138,587 486,598 0.0% MegaStudy Co., Ltd. 6,219 175,734 0.0% MegaStudyEdu Co., Ltd. 2,475 102,256 0.0% Meritz Financial Group, Inc. 57,067 560,567 0.0% Meritz Fire & Marine Insurance Co., Ltd. 11,441 159,211 0.0% # Meritz Securities Co., Ltd. 1,053,135 3,121,016 0.0% Mi Chang Oil Industrial Co., Ltd. 5,239 402,959 0.0% Mirae Asset Daewoo Co., Ltd. 1,327,460 8,951,950 0.1% Mirae Asset Securities Co., Ltd. 790,041 15,581,219 0.1% # MK Electron Co., Ltd. 146,681 1,075,651 0.0% * MNTech Co., Ltd. 75,700 375,300 0.0% * Mobase Co., Ltd. 15,349 100,628 0.0% # Moorim P&P Co., Ltd. 404,887 1,440,833 0.0% #* Moorim Paper Co., Ltd. 210,130 508,849 0.0% # Motonic Corp. 77,783 629,666 0.0% # Namyang Dairy Products Co., Ltd. 2,975 1,752,588 0.0% * Neowiz Games Corp. 15,471 145,860 0.0% # NEOWIZ HOLDINGS Corp. 72,062 990,920 0.0% # Nexen Corp. 179,318 1,251,739 0.0% # NH Investment & Securities Co., Ltd. 1,207,525 10,618,098 0.1% #* NHN Entertainment Corp. 28,547 1,250,775 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ------------ ---------- SOUTH KOREA -- (Continued) # Nong Shim Holdings Co., Ltd. 20,858 $ 1,839,474 0.0% # NongShim Co., Ltd. 6,887 1,733,034 0.0% # NOROO Paint & Coatings Co., Ltd. 45,161 364,840 0.0% # NPC 116,690 642,277 0.0% #* OCI Co., Ltd. 108,701 8,566,728 0.1% Opto Device Technology Co., Ltd. 21,326 155,318 0.0% * Paik Kwang Industrial Co., Ltd. 23,328 37,991 0.0% #* Pan Ocean Co., Ltd. 433,842 1,365,085 0.0% Pang Rim Co., Ltd. 3,201 67,519 0.0% #* PaperCorea, Inc. 340,867 172,506 0.0% # Poongsan Corp. 350,209 10,641,787 0.1% Poongsan Holdings Corp. 55,420 2,263,053 0.0% POSCO 533,590 111,025,370 0.7% POSCO Sponsored ADR 1,449,591 75,306,252 0.5% POSCO Coated & Color Steel Co., Ltd. 8,404 198,506 0.0% Posco Daewoo Corp. 174,399 3,786,944 0.0% #* Power Logics Co., Ltd. 242,843 786,345 0.0% # Pyeong Hwa Automotive Co., Ltd. 86,477 882,972 0.0% # RFTech Co., Ltd. 50,474 301,839 0.0% * S&C Engine Group, Ltd. 86,137 110,760 0.0% # S&T Dynamics Co., Ltd. 344,607 2,783,701 0.0% # S&T Holdings Co., Ltd. 104,438 1,364,216 0.0% S&T Motiv Co., Ltd. 16,644 594,381 0.0% # S-Energy Co., Ltd. 28,801 247,785 0.0% #* Sajo Industries Co., Ltd. 18,924 1,031,930 0.0% Sam Young Electronics Co., Ltd. 159,570 1,553,238 0.0% Sambo Motors Co., Ltd. 12,259 78,512 0.0% Samho Development Co., Ltd. 4,638 13,169 0.0% # SAMHWA Paints Industrial Co., Ltd. 29,032 283,653 0.0% # Samick Musical Instruments Co., Ltd. 221,199 443,911 0.0% #* Samji Electronics Co., Ltd. 10,273 73,959 0.0% # Samjin LND Co., Ltd. 92,054 236,133 0.0% Samkee Automotive Co., Ltd. 14,490 45,953 0.0% Sammok S-Form Co., Ltd. 16,882 203,330 0.0% Samsung Card Co., Ltd. 88,736 3,735,755 0.0% # Samsung Electro-Mechanics Co., Ltd. 457,341 18,774,733 0.1% Samsung Electronics Co., Ltd. 24,020 34,356,481 0.2% #* Samsung Heavy Industries Co., Ltd. 1,117,012 9,492,953 0.1% Samsung Life Insurance Co., Ltd. 364,345 35,159,217 0.2% # Samsung SDI Co., Ltd. 387,366 31,882,640 0.2% Samsung Securities Co., Ltd. 282,137 8,485,432 0.1% Samyang Corp. 13,390 1,202,325 0.0% Samyang Holdings Corp. 35,071 3,823,881 0.0% Samyang Tongsang Co., Ltd. 10,522 451,616 0.0% #* Samyoung Chemical Co., Ltd. 258,455 352,335 0.0% # SAVEZONE I&C Corp. 63,850 306,803 0.0% # SBS Media Holdings Co., Ltd. 384,794 958,990 0.0% # Seah Besteel Corp. 203,857 4,126,378 0.0% # SeAH Holdings Corp. 12,963 1,355,968 0.0% SeAH Steel Corp. 44,101 2,681,339 0.0% Sebang Co., Ltd. 136,608 1,795,750 0.0% Sebang Global Battery Co., Ltd. 67,437 2,184,639 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** --------- ------------ ---------- SOUTH KOREA -- (Continued) # Sejong Industrial Co., Ltd. 154,092 $ 1,387,793 0.0% Sejoong Co., Ltd. 23,733 89,148 0.0% #* Seohee Construction Co., Ltd. 1,238,365 1,640,957 0.0% Seoyon Co., Ltd. 28,763 278,847 0.0% Sewon Precision Industry Co., Ltd. 3,019 49,856 0.0% #* SFA Semicon Co, Ltd. 105,798 204,225 0.0% #* SG Corp. 59,208 62,999 0.0% #* SG&G Corp. 66,085 219,068 0.0% Shinhan Financial Group Co., Ltd. 3,520,728 134,682,551 0.8% Shinhan Financial Group Co., Ltd. ADR 1,516,469 58,596,362 0.4% # Shinsegae Information & Communication Co., Ltd. 9,203 523,328 0.0% Shinsegae, Inc. 97,043 15,762,314 0.1% #* Shinsung Tongsang Co., Ltd. 813,810 865,456 0.0% #* Shinwon Corp. 82,700 118,435 0.0% # Shinyoung Securities Co., Ltd. 37,211 1,616,300 0.0% #* Signetics Corp. 594,215 912,109 0.0% # Silla Co., Ltd. 64,953 797,107 0.0% #* SIMMTECH HOLDINGS Co., Ltd. 3,959 9,169 0.0% SIMPAC, Inc. 29,785 127,518 0.0% # Sindoh Co., Ltd. 48,776 2,237,929 0.0% SJM Co., Ltd. 11,075 59,466 0.0% # SK Chemicals Co., Ltd. 121,677 6,351,858 0.1% # SK Gas, Ltd. 56,144 4,718,548 0.0% SK Holdings Co., Ltd. 123,495 24,091,417 0.2% SK Hynix, Inc. 335,733 12,008,034 0.1% SK Innovation Co., Ltd. 752,489 99,053,339 0.6% SK Networks Co., Ltd. 1,389,702 7,898,130 0.1% #* SK Securities Co., Ltd. 2,856,758 2,584,248 0.0% SKC Co., Ltd. 193,631 4,568,037 0.0% SL Corp. 199,061 2,650,016 0.0% #* Ssangyong Cement Industrial Co., Ltd. 299,916 4,203,268 0.0% # Sun Kwang Co., Ltd. 21,595 341,355 0.0% # Sunchang Corp. 25,879 232,260 0.0% # Sung Kwang Bend Co., Ltd. 90,554 743,779 0.0% # Sungchang Enterprise Holdings, Ltd. 326,002 866,945 0.0% #* Sungshin Cement Co., Ltd. 228,799 1,519,372 0.0% # Sungwoo Hitech Co., Ltd. 466,875 3,125,572 0.0% # Tae Kyung Industrial Co., Ltd. 120,772 510,859 0.0% Taekwang Industrial Co., Ltd. 5,045 3,697,453 0.0% #* Taewoong Co., Ltd. 64,855 1,562,048 0.0% #* Taeyoung Engineering & Construction Co., Ltd. 582,310 2,477,772 0.0% Tailim Packaging Co., Ltd. 385,280 1,029,118 0.0% #* TBH Global Co., Ltd. 92,197 664,431 0.0% #* TK Chemical Corp. 615,650 1,036,800 0.0% # TK Corp. 33,718 249,200 0.0% * Tong Kook Corp. 607 -- 0.0% # Tong Yang Moolsan Co., Ltd. 435,710 963,283 0.0% * Tongyang Cement & Energy Corp. 19,291 60,526 0.0% Tongyang Life Insurance Co, Ltd. 425,384 4,456,674 0.0% #* Top Engineering Co., Ltd. 79,477 408,151 0.0% # Tovis Co., Ltd. 51,828 380,272 0.0% # TS Corp. 74,861 1,572,518 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- -------------- ---------- SOUTH KOREA -- (Continued) # Ubiquoss, Inc. 97,259 $ 946,213 0.0% Uju Electronics Co., Ltd. 49,001 640,001 0.0% # Unid Co., Ltd. 66,294 2,707,405 0.0% Uniquest Corp. 20,797 89,368 0.0% Visang Education, Inc. 8,418 110,613 0.0% # WillBes & Co. (The) 760,995 1,827,368 0.0% Wiscom Co., Ltd. 32,980 127,828 0.0% * Woongjin Co., Ltd. 148,278 347,120 0.0% * Wooree ETI Co., Ltd. 39,563 49,399 0.0% Woori Bank 2,388,988 26,035,506 0.2% Woori Bank Sponsored ADR 7,135 235,526 0.0% # WooSung Feed Co., Ltd. 226,244 677,096 0.0% Y G-1 Co., Ltd. 24,204 191,282 0.0% YESCO Co., Ltd. 31,499 1,036,378 0.0% # Yoosung Enterprise Co., Ltd. 164,543 580,864 0.0% # YooSung T&S Co., Ltd. 64,347 326,555 0.0% # Youlchon Chemical Co., Ltd. 143,089 1,693,233 0.0% # Young Poong Corp. 3,937 3,412,985 0.0% * Young Poong Mining & Construction Corp. 18,030 -- 0.0% Young Poong Precision Corp. 126,084 923,308 0.0% Youngone Holdings Co., Ltd. 2,208 111,100 0.0% #* Yuanta Securities Korea Co., Ltd. 476,080 1,301,374 0.0% YuHwa Securities Co., Ltd. 28,274 387,482 0.0% # Zeus Co., Ltd. 32,629 354,276 0.0% * Zinus, Inc. 1,866 211,999 0.0% -------------- ---- TOTAL SOUTH KOREA 2,404,029,788 14.4% -------------- ---- TAIWAN -- (14.0%) # Ability Enterprise Co., Ltd. 2,489,330 1,221,218 0.0% # Acer, Inc. 35,018,109 16,046,247 0.1% # ACES Electronic Co., Ltd. 1,235,000 942,470 0.0% # Achem Technology Corp. 3,395,318 1,160,146 0.0% Acter Co., Ltd. 4,000 10,753 0.0% #* Advanced Connectek, Inc. 1,938,000 516,713 0.0% Advanced International Multitech Co., Ltd. 256,000 162,952 0.0% Advanced Optoelectronic Technology, Inc. 47,000 35,425 0.0% #* AGV Products Corp. 6,395,211 1,523,957 0.0% # AimCore Technology Co., Ltd. 785,797 455,172 0.0% # Alcor Micro Corp. 522,000 322,438 0.0% # Allis Electric Co., Ltd. 1,250,000 389,879 0.0% # Alpha Networks, Inc. 4,160,313 2,393,699 0.0% # Altek Corp. 3,822,365 2,732,219 0.0% # Ambassador Hotel (The) 1,200,000 939,400 0.0% # AMPOC Far-East Co., Ltd. 1,358,000 1,082,795 0.0% # AmTRAN Technology Co., Ltd. 10,964,956 8,684,318 0.1% Apacer Technology, Inc. 109,210 114,681 0.0% #* APCB, Inc. 2,327,000 1,649,219 0.0% Apex International Co., Ltd. 92,000 98,680 0.0% Apex Science & Engineering 211,536 53,775 0.0% # Arcadyan Technology Corp. 1,253,675 2,276,980 0.0% # Ardentec Corp. 5,241,058 3,903,369 0.0% * Arima Communications Corp. 86,000 13,407 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- TAIWAN -- (Continued) Asia Cement Corp. 25,420,589 $22,162,746 0.2% #* Asia Optical Co., Inc. 4,014,290 3,703,233 0.0% * Asia Pacific Telecom Co., Ltd. 472,000 151,528 0.0% #* Asia Plastic Recycling Holding, Ltd. 692,731 394,076 0.0% # Asia Polymer Corp. 4,962,607 2,870,603 0.0% # Asia Vital Components Co., Ltd. 3,909,984 2,926,181 0.0% Asustek Computer, Inc. 1,216,000 10,645,188 0.1% # AU Optronics Corp. 60,935,812 23,144,560 0.2% AU Optronics Corp. Sponsored ADR 9,323,617 35,243,272 0.2% # Audix Corp. 1,436,332 1,657,782 0.0% # Avermedia Technologies 2,505,000 793,043 0.0% #* Avision, Inc. 1,540,555 328,774 0.0% # AVY Precision Technology, Inc. 407,680 647,615 0.0% # Bank of Kaohsiung Co., Ltd. 6,299,617 1,764,765 0.0% # BenQ Materials Corp. 510,000 216,820 0.0% # BES Engineering Corp. 20,381,443 3,470,178 0.0% #* Biostar Microtech International Corp. 2,398,055 682,898 0.0% # Bright Led Electronics Corp. 1,691,000 524,886 0.0% #* C Sun Manufacturing, Ltd. 2,417,837 1,219,376 0.0% #* Cameo Communications, Inc. 2,551,197 491,662 0.0% # Capital Securities Corp. 26,935,447 6,733,531 0.1% # Career Technology MFG. Co., Ltd. 2,827,000 1,802,725 0.0% #* Carnival Industrial Corp. 4,943,000 849,885 0.0% # Casetek Holdings, Ltd. 392,000 1,258,422 0.0% # Cathay Chemical Works 812,000 382,258 0.0% # Cathay Financial Holding Co., Ltd. 18,172,000 23,517,785 0.2% Cathay Real Estate Development Co., Ltd. 9,913,694 5,081,883 0.1% # Celxpert Energy Corp. 262,000 148,662 0.0% # Central Reinsurance Co., Ltd. 1,626,016 710,912 0.0% # ChainQui Construction Development Co., Ltd. 1,248,173 740,219 0.0% #* Champion Building Materials Co., Ltd. 6,205,828 1,366,371 0.0% # Chang Hwa Commercial Bank, Ltd. 89,712,937 45,839,193 0.3% Chang Wah Electromaterials, Inc. 46,800 220,047 0.0% # Channel Well Technology Co., Ltd. 363,000 347,523 0.0% # Charoen Pokphand Enterprise 2,891,825 4,110,469 0.0% CHC Healthcare Group 15,000 20,782 0.0% # Cheng Loong Corp. 13,801,659 5,002,665 0.0% # Cheng Uei Precision Industry Co., Ltd. 6,430,635 7,868,507 0.1% # Chia Chang Co., Ltd. 1,615,000 1,237,845 0.0% # Chia Hsin Cement Corp. 6,869,191 1,939,151 0.0% # Chien Kuo Construction Co., Ltd. 4,407,247 1,181,353 0.0% # Chimei Materials Technology Corp. 1,667,000 654,973 0.0% # Chin-Poon Industrial Co., Ltd. 1,479,815 2,833,848 0.0% China Airlines, Ltd. 46,582,353 14,093,004 0.1% # China Bills Finance Corp. 678,000 271,713 0.0% # China Chemical & Pharmaceutical Co., Ltd. 4,137,264 2,331,389 0.0% # China Development Financial Holding Corp. 154,527,734 38,667,817 0.3% #* China Electric Manufacturing Corp. 3,962,200 932,857 0.0% # China General Plastics Corp. 5,372,370 4,293,918 0.0% China Glaze Co., Ltd. 1,954,799 806,610 0.0% China Life Insurance Co., Ltd. 23,134,959 21,324,960 0.1% # China Man-Made Fiber Corp. 13,030,303 3,151,667 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- TAIWAN -- (Continued) # China Metal Products 4,081,969 $ 4,021,551 0.0% # China Motor Corp. 6,691,749 5,240,565 0.1% #* China Petrochemical Development Corp. 27,675,397 7,902,519 0.1% # China Steel Corp. 43,856,320 31,675,991 0.2% # China Steel Structure Co., Ltd. 1,435,219 996,734 0.0% China Synthetic Rubber Corp. 8,631,794 6,773,959 0.1% * China United Trust & Investment Corp. 493,999 -- 0.0% # China Wire & Cable Co., Ltd. 2,258,000 1,079,577 0.0% # Chinese Maritime Transport, Ltd. 1,194,270 913,893 0.0% # Chipbond Technology Corp. 4,129,000 5,699,915 0.1% #* ChipMOS TECHNOLOGIES, Inc. 138,229 123,275 0.0% Chong Hong Construction Co., Ltd. 65,000 106,719 0.0% # Chun YU Works & Co., Ltd. 3,273,000 1,347,050 0.0% # Chun Yuan Steel 6,432,287 2,199,679 0.0% * Chung Hung Steel Corp. 11,811,046 2,697,583 0.0% # Chung Hwa Pulp Corp. 5,954,353 1,689,046 0.0% * Chung Shing Textile Co., Ltd. 600 -- 0.0% Chung-Hsin Electric & Machinery Manufacturing Corp. 5,843,250 3,276,735 0.0% * Chunghwa Picture Tubes, Ltd. 52,219,412 2,555,113 0.0% # Clevo Co. 809,000 740,274 0.0% #* CMC Magnetics Corp. 40,543,621 4,770,255 0.0% CoAsia Microelectronics Corp. 421,797 182,220 0.0% # Coland Holdings, Ltd. 92,000 135,430 0.0% # Collins Co., Ltd. 2,011,224 678,817 0.0% Compal Electronics, Inc. 70,471,332 41,903,434 0.3% # Compeq Manufacturing Co., Ltd. 20,614,000 10,856,171 0.1% * Compex International Co., Ltd. 46,400 -- 0.0% Concord Securities Co., Ltd. 1,769,000 347,327 0.0% # Continental Holdings Corp. 7,326,540 2,388,992 0.0% Coretronic Corp. 6,393,800 6,616,057 0.1% # Coxon Precise Industrial Co., Ltd. 1,986,000 1,894,775 0.0% # Creative Sensor, Inc. 414,000 262,765 0.0% # CSBC Corp. Taiwan 6,296,654 2,610,201 0.0% CTBC Financial Holding Co., Ltd. 61,819,073 33,245,872 0.2% # CyberTAN Technology, Inc. 186,000 111,225 0.0% # D-Link Corp. 10,842,552 3,479,527 0.0% # DA CIN Construction Co., Ltd. 2,383,579 1,426,387 0.0% Da-Li Development Co., Ltd. 58,575 36,752 0.0% * Danen Technology Corp. 484,000 111,231 0.0% Darfon Electronics Corp. 5,200,950 3,045,780 0.0% Darwin Precisions Corp. 6,176,635 2,389,101 0.0% # Delpha Construction Co., Ltd. 1,741,016 730,356 0.0% Depo Auto Parts Ind Co., Ltd. 20,000 62,471 0.0% * Der Pao Construction Co., Ltd. 2,158,544 -- 0.0% #* Dynamic Electronics Co., Ltd. 4,422,324 1,306,635 0.0% Dynapack International Technology Corp. 110,000 143,902 0.0% # E Ink Holdings, Inc. 6,610,000 5,602,328 0.1% * E-Ton Solar Tech Co., Ltd. 3,546,443 1,097,463 0.0% E.Sun Financial Holding Co., Ltd. 82,512,960 46,859,507 0.3% # Edimax Technology Co., Ltd. 3,213,902 1,032,775 0.0% # Edison Opto Corp. 1,362,000 579,803 0.0% Edom Technology Co., Ltd. 379,046 211,068 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- TAIWAN -- (Continued) # Elite Semiconductor Memory Technology, Inc. 286,000 $ 304,661 0.0% # Elitegroup Computer Systems Co., Ltd. 5,792,395 2,475,657 0.0% Emerging Display Technologies Corp. 45,000 13,968 0.0% ENG Electric Co., Ltd. 1,306,344 690,223 0.0% # EnTie Commercial Bank Co., Ltd. 2,271,232 866,391 0.0% * Episil Holdings, Inc. 966,000 305,590 0.0% #* Epistar Corp. 13,529,869 9,186,478 0.1% Eson Precision Ind. Co., Ltd. 16,000 20,767 0.0% Eternal Materials Co., Ltd. 1,679,292 1,769,922 0.0% Etron Technology, Inc. 643,000 246,858 0.0% Eva Airways Corp. 11,791,548 5,676,609 0.1% * Ever Fortune Industrial Co., Ltd. 409,000 -- 0.0% # Everest Textile Co., Ltd. 3,398,002 1,780,713 0.0% Evergreen International Storage & Transport Corp. 9,376,000 3,799,797 0.0% * Evergreen Marine Corp. Taiwan, Ltd. 23,276,607 8,693,141 0.1% Everlight Chemical Industrial Corp. 103,950 65,756 0.0% # Everlight Electronics Co., Ltd. 1,096,000 1,653,108 0.0% # Excelsior Medical Co., Ltd. 1,380,726 1,971,491 0.0% # Far Eastern Department Stores, Ltd. 8,000,445 4,240,215 0.0% Far Eastern International Bank 29,351,994 8,346,671 0.1% Far Eastern New Century Corp. 8,336,528 6,450,334 0.1% #* Farglory F T Z Investment Holding Co., Ltd. 1,258,000 547,759 0.0% # Farglory Land Development Co., Ltd. 2,211,264 2,541,612 0.0% # Federal Corp. 7,677,160 3,284,407 0.0% Feedback Technology Corp. 34,000 65,677 0.0% Feng Hsin Steel Co., Ltd. 209,000 276,984 0.0% * First Copper Technology Co., Ltd. 2,939,750 629,960 0.0% # First Financial Holding Co., Ltd. 144,043,234 75,453,806 0.5% # First Hotel 1,594,590 833,890 0.0% #* First Insurance Co., Ltd, (The) 3,892,064 1,393,806 0.0% #* First Steamship Co., Ltd. 5,554,173 1,259,340 0.0% # Formosa Advanced Technologies Co., Ltd. 2,137,000 1,493,617 0.0% Formosa Oilseed Processing Co., Ltd. 321,977 529,087 0.0% Formosa Taffeta Co., Ltd. 9,476,511 8,633,767 0.1% # Formosan Rubber Group, Inc. 7,231,505 3,364,457 0.0% # Formosan Union Chemical 2,864,034 1,533,352 0.0% # Fortune Electric Co., Ltd. 409,000 224,602 0.0% # Founding Construction & Development Co., Ltd. 3,475,418 1,774,639 0.0% Foxconn Technology Co., Ltd. 5,888,142 17,068,619 0.1% # Foxlink Image Technology Co., Ltd. 1,568,000 752,271 0.0% #* Froch Enterprise Co., Ltd. 2,358,734 715,689 0.0% # FSP Technology, Inc. 1,976,292 1,508,784 0.0% # Fubon Financial Holding Co., Ltd. 92,306,471 130,605,137 0.8% Fulgent Sun International Holding Co., Ltd. 41,922 82,611 0.0% # Fullerton Technology Co., Ltd. 1,517,200 1,099,647 0.0% # Fulltech Fiber Glass Corp. 4,752,690 1,963,857 0.0% # Fwusow Industry Co., Ltd. 2,813,980 1,377,393 0.0% # G Shank Enterprise Co., Ltd. 2,168,902 1,731,484 0.0% * G Tech Optoelectronics Corp. 130,340 85,422 0.0% # Gallant Precision Machining Co., Ltd. 658,000 432,784 0.0% # Gemtek Technology Corp. 5,560,962 3,200,507 0.0% #* Genesis Photonics, Inc. 3,437,810 499,163 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- ----------- ---------- TAIWAN -- (Continued) #* Genius Electronic Optical Co., Ltd. 843,000 $ 1,344,435 0.0% Getac Technology Corp. 5,546,065 7,203,301 0.1% # Giantplus Technology Co., Ltd. 2,198,100 1,187,967 0.0% # Gigabyte Technology Co., Ltd. 8,459,287 11,116,275 0.1% #* Gigastorage Corp. 3,500,600 2,512,521 0.0% #* Gintech Energy Corp. 6,200,453 4,426,965 0.0% #* Global Brands Manufacture, Ltd. 4,814,951 1,661,939 0.0% # Global Lighting Technologies, Inc. 638,000 1,362,433 0.0% Global Mixed Mode Technology, Inc. 34,000 75,179 0.0% # Globalwafers Co., Ltd. 240,752 593,389 0.0% Globe Union Industrial Corp. 2,962,625 1,458,024 0.0% # Gloria Material Technology Corp. 6,551,116 3,505,669 0.0% * Gold Circuit Electronics, Ltd. 7,596,965 2,559,231 0.0% # Goldsun Building Materials Co., Ltd. 20,406,261 4,706,051 0.0% # Good Will Instrument Co., Ltd. 552,746 358,937 0.0% Grand Ocean Retail Group, Ltd. 154,000 109,752 0.0% # Grand Pacific Petrochemical 14,804,000 8,252,361 0.1% # Great China Metal Industry 884,000 649,067 0.0% # Great Wall Enterprise Co., Ltd. 6,865,597 6,246,396 0.1% #* Green Energy Technology, Inc. 3,125,880 1,714,233 0.0% #* GTM Holdings Corp. 1,918,000 917,208 0.0% # Hannstar Board Corp. 5,125,635 2,466,404 0.0% #* HannStar Display Corp. 41,672,435 10,430,281 0.1% * HannsTouch Solution, Inc. 1,721,481 422,103 0.0% #* Harvatek Corp. 2,915,553 863,655 0.0% * Helix Technology, Inc. 29,585 -- 0.0% # Hey Song Corp. 2,920,500 2,986,566 0.0% # Hiroca Holdings, Ltd. 68,000 236,907 0.0% HiTi Digital, Inc. 127,000 52,228 0.0% # Hitron Technology, Inc. 1,925,885 1,260,995 0.0% #* Ho Tung Chemical Corp. 10,865,474 2,666,094 0.0% # Hocheng Corp. 4,424,300 1,123,121 0.0% Hold-Key Electric Wire & Cable Co., Ltd. 118,124 29,039 0.0% Holy Stone Enterprise Co., Ltd. 3,189,650 3,215,708 0.0% Hon Hai Precision Industry Co., Ltd. 18,096,240 48,880,870 0.3% # Hong TAI Electric Industrial 3,336,000 938,861 0.0% Hong YI Fiber Industry Co. 32,000 19,677 0.0% #* Horizon Securities Co., Ltd. 5,860,000 1,044,689 0.0% # Hsin Kuang Steel Co., Ltd. 3,172,124 1,874,686 0.0% # Hsing TA Cement Co. 1,864,782 590,642 0.0% #* HTC Corp. 5,139,000 15,010,505 0.1% #* HUA ENG Wire & Cable Co., Ltd. 6,632,035 1,596,139 0.0% Hua Nan Financial Holdings Co., Ltd. 59,307,965 30,117,035 0.2% # Huaku Development Co., Ltd. 729,000 1,283,179 0.0% * Hualon Corp. 257,040 -- 0.0% Huang Hsiang Construction Corp. 449,000 548,768 0.0% # Hung Ching Development & Construction Co., Ltd. 1,906,468 1,098,858 0.0% # Hung Poo Real Estate Development Corp. 3,653,655 3,004,356 0.0% # Hung Sheng Construction, Ltd. 6,271,892 3,383,626 0.0% # Huxen Corp. 275,281 334,104 0.0% #* Hwacom Systems, Inc. 333,000 105,861 0.0% #* I-Chiun Precision Industry Co., Ltd. 2,708,000 727,193 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- TAIWAN -- (Continued) #* Ichia Technologies, Inc. 1,524,260 $ 674,554 0.0% # Ideal Bike Corp. 80,271 27,333 0.0% # Infortrend Technology, Inc. 1,042,000 514,583 0.0% # Innolux Corp. 145,275,544 48,903,779 0.3% * Inotera Memories, Inc. 8,785,000 8,215,530 0.1% # Inpaq Technology Co., Ltd. 315,000 229,201 0.0% Inventec Corp. 27,710,277 21,634,237 0.1% # ITE Technology, Inc. 1,814,479 1,681,191 0.0% ITEQ Corp. 236,000 255,416 0.0% Jentech Precision Industrial Co., Ltd. 42,000 65,650 0.0% # Jess-Link Products Co., Ltd. 1,183,000 979,307 0.0% # Jih Sun Financial Holdings Co., Ltd. 7,178,814 1,495,607 0.0% # Jinli Group Holdings, Ltd. 252,200 301,281 0.0% # K Laser Technology, Inc. 1,672,601 901,398 0.0% # Kang Na Hsiung Enterprise Co., Ltd. 1,687,078 566,588 0.0% # Kaulin Manufacturing Co., Ltd. 2,503,656 1,276,055 0.0% KEE TAI Properties Co., Ltd. 1,968,000 629,235 0.0% # Kenmec Mechanical Engineering Co., Ltd. 1,836,000 679,647 0.0% # Kindom Construction Corp. 4,873,000 2,400,073 0.0% # King Yuan Electronics Co., Ltd. 14,948,805 13,148,778 0.1% King's Town Bank Co., Ltd. 11,404,012 9,327,541 0.1% * King's Town Construction Co., Ltd. 146,380 88,091 0.0% #* Kinko Optical Co., Ltd. 1,601,000 1,215,852 0.0% # Kinpo Electronics 18,996,375 7,120,958 0.1% Kinsus Interconnect Technology Corp. 817,000 1,885,356 0.0% # KS Terminals, Inc. 690,880 777,731 0.0% #* Kung Sing Engineering Corp. 3,301,000 1,044,131 0.0% # Kuo Toong International Co., Ltd. 760,160 414,697 0.0% # Kuoyang Construction Co., Ltd. 7,426,840 2,918,613 0.0% # Kwong Fong Industries Corp. 2,030,611 1,642,725 0.0% # KYE Systems Corp. 4,361,909 1,244,301 0.0% # L&K Engineering Co., Ltd. 1,994,000 1,560,219 0.0% # LAN FA Textile 3,125,713 825,936 0.0% # LCY Chemical Corp. 514,000 627,106 0.0% # Leader Electronics, Inc. 1,966,056 657,286 0.0% # Lealea Enterprise Co., Ltd. 11,822,941 3,024,110 0.0% # Ledtech Electronics Corp. 660,000 252,880 0.0% # LEE CHI Enterprises Co., Ltd. 3,367,900 1,077,377 0.0% # Lelon Electronics Corp. 94,620 117,198 0.0% # Leofoo Development Co., Ltd. 4,911,908 1,329,478 0.0% #* LES Enphants Co., Ltd. 877,000 347,202 0.0% # Lextar Electronics Corp. 5,315,000 2,201,682 0.0% #* Li Peng Enterprise Co., Ltd. 8,884,381 1,996,500 0.0% # Lien Hwa Industrial Corp. 8,495,147 5,756,902 0.1% # Lingsen Precision Industries, Ltd. 6,580,480 2,321,370 0.0% # Lite-On Semiconductor Corp. 3,472,729 2,437,503 0.0% Lite-On Technology Corp. 29,285,738 41,984,040 0.3% # Long Chen Paper Co., Ltd. 10,448,223 4,959,495 0.0% # Longwell Co. 1,515,000 1,330,314 0.0% # Lotes Co., Ltd. 661,000 1,680,682 0.0% # Lucky Cement Corp. 3,294,000 947,321 0.0% LuxNet Corp. 81,000 78,524 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- TAIWAN -- (Continued) * Macronix International 53,095,913 $ 7,342,194 0.1% # Marketech International Corp. 1,891,000 1,620,298 0.0% # Masterlink Securities Corp. 17,657,489 4,482,740 0.0% #* Mayer Steel Pipe Corp. 2,232,456 901,617 0.0% Maywufa Co., Ltd. 252,070 103,779 0.0% Mega Financial Holding Co., Ltd. 129,885,796 88,800,916 0.6% * Megamedia Corp. 782 -- 0.0% # Meiloon Industrial Co. 1,319,084 569,714 0.0% Mercuries & Associates Holding, Ltd. 1,940,333 1,192,263 0.0% #* Mercuries Life Insurance Co., Ltd. 4,643,445 2,233,632 0.0% Micro-Star International Co., Ltd. 1,411,985 4,061,996 0.0% MIN AIK Technology Co., Ltd. 110,000 129,125 0.0% # Mitac Holdings Corp. 8,750,754 8,282,207 0.1% * Mosel Vitelic, Inc. 1,692,506 120,492 0.0% #* Motech Industries, Inc. 3,733,000 3,601,144 0.0% # Nan Ren Lake Leisure Amusement Co., Ltd. 1,652,000 395,721 0.0% # Nan Ya Printed Circuit Board Corp. 3,334,000 2,517,510 0.0% # Nantex Industry Co., Ltd. 1,703,134 1,236,326 0.0% #* Neo Solar Power Corp. 4,941,056 2,523,313 0.0% New Asia Construction & Development Corp. 1,810,304 360,156 0.0% # New Era Electronics Co., Ltd. 203,000 142,651 0.0% #* Newmax Technology Co., Ltd. 173,000 100,554 0.0% # Nien Hsing Textile Co., Ltd. 4,407,721 3,298,552 0.0% # Nishoku Technology, Inc. 268,000 687,834 0.0% * O-TA Precision Industry Co., Ltd. 24,000 10,171 0.0% #* Ocean Plastics Co., Ltd. 161,000 129,807 0.0% * Optimax Technology Corp. 1,085,597 133,080 0.0% # OptoTech Corp. 8,689,000 3,660,320 0.0% # Oriental Union Chemical Corp. 181,000 113,009 0.0% # Pacific Construction Co. 2,487,452 885,768 0.0% # Pan Jit International, Inc. 5,210,837 2,452,622 0.0% # Pan-International Industrial Corp. 3,991,444 3,661,669 0.0% # Paragon Technologies Co., Ltd. 952,191 717,798 0.0% # Pegatron Corp. 24,483,998 65,929,943 0.4% #* Phihong Technology Co., Ltd. 3,341,320 1,045,543 0.0% # Portwell, Inc. 869,000 1,158,359 0.0% * Potrans Electrical Corp., Ltd. 1,139,000 -- 0.0% Pou Chen Corp. 14,189,550 19,145,552 0.1% Powertech Industrial Co., Ltd. 124,000 51,835 0.0% Powertech Technology, Inc. 3,162,000 9,021,832 0.1% # President Securities Corp. 12,999,351 4,521,814 0.0% * Prime Electronics & Satellitics, Inc. 406,000 120,097 0.0% # Prince Housing & Development Corp. 5,084,018 1,609,801 0.0% * Prodisc Technology, Inc. 6,185,157 -- 0.0% # Promise Technology, Inc. 397,000 182,044 0.0% # Qisda Corp. 27,432,171 11,540,650 0.1% # Qualipoly Chemical Corp. 146,756 157,198 0.0% # Quanta Storage, Inc. 2,348,000 2,239,030 0.0% #* Quintain Steel Co., Ltd. 4,929,684 1,316,191 0.0% # Radiant Opto-Electronics Corp. 2,366,000 3,988,795 0.0% #* Radium Life Tech Co., Ltd. 9,154,124 2,595,311 0.0% # Ralec Electronic Corp. 547,087 825,553 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- TAIWAN -- (Continued) # Rich Development Co., Ltd. 6,916,054 $ 1,904,386 0.0% * Ritek Corp. 24,129,669 4,162,158 0.0% # Rotam Global Agrosciences, Ltd. 195,693 227,374 0.0% * Sainfoin Technology Corp. 835,498 -- 0.0% # Sampo Corp. 7,504,925 4,667,917 0.0% San Far Property, Ltd. 71,000 25,909 0.0% # Sanyang Motor Co., Ltd. 1,977,624 1,265,829 0.0% SDI Corp. 454,000 570,128 0.0% # Sesoda Corp. 1,470,346 1,189,628 0.0% Shan-Loong Transportation Co., Ltd. 66,000 52,780 0.0% # Sheng Yu Steel Co., Ltd. 1,935,000 1,775,017 0.0% # ShenMao Technology, Inc. 1,180,000 1,128,694 0.0% Shih Her Technologies, Inc. 411,000 421,937 0.0% * Shih Wei Navigation Co., Ltd. 2,952,288 838,399 0.0% # Shihlin Electric & Engineering Corp. 4,487,000 5,767,183 0.1% #* Shin Kong Financial Holding Co., Ltd. 135,466,430 29,359,966 0.2% * Shining Building Business Co., Ltd. 181,900 57,496 0.0% # Shinkong Insurance Co., Ltd. 3,522,412 2,653,490 0.0% # Shinkong Synthetic Fibers Corp. 24,322,754 6,480,325 0.1% #* Shuttle, Inc. 4,516,015 1,159,211 0.0% # Sigurd Microelectronics Corp. 6,341,047 4,735,007 0.0% * Silicon Integrated Systems Corp. 5,454,165 1,074,834 0.0% # Silitech Technology Corp. 797,803 395,020 0.0% Sincere Navigation Corp. 4,878,740 2,725,123 0.0% Sinher Technology, Inc. 16,000 28,940 0.0% # Sino-American Silicon Products, Inc. 7,859,000 8,448,146 0.1% # Sinon Corp. 5,951,877 2,884,444 0.0% # SinoPac Financial Holdings Co., Ltd. 140,436,250 40,476,426 0.3% Sirtec International Co., Ltd. 55,000 68,963 0.0% # Siward Crystal Technology Co., Ltd. 2,376,875 1,508,314 0.0% Soft-World International Corp. 39,000 78,145 0.0% * Solar Applied Materials Technology Co. 2,077,000 431,920 0.0% #* Solartech Energy Corp. 3,978,165 1,993,249 0.0% * Solytech Enterprise Corp. 1,681,000 276,004 0.0% # Southeast Cement Co., Ltd. 3,220,700 1,541,187 0.0% Spirox Corp. 505,563 285,882 0.0% # Stark Technology, Inc. 1,835,200 1,509,408 0.0% # Sunonwealth Electric Machine Industry Co., Ltd. 1,202,421 889,003 0.0% # Sunplus Technology Co., Ltd. 8,214,620 2,819,806 0.0% Sunrex Technology Corp. 1,596,273 958,702 0.0% # Sunspring Metal Corp. 289,000 377,269 0.0% # Supreme Electronics Co., Ltd. 4,556,441 3,278,642 0.0% # Sweeten Real Estate Development Co., Ltd. 1,335,143 619,644 0.0% Syncmold Enterprise Corp. 68,000 113,638 0.0% Synnex Technology International Corp. 1,313,550 1,399,528 0.0% Sysage Technology Co., Ltd. 101,797 84,199 0.0% Systex Corp. 776,801 1,305,909 0.0% # T-Mac Techvest PCB Co., Ltd. 1,603,000 611,559 0.0% T3EX Global Holdings Corp. 54,499 36,206 0.0% TA Chen Stainless Pipe 9,012,228 4,737,305 0.0% Ta Chong Securities Co., Ltd. 212,000 51,563 0.0% #* Ta Ya Electric Wire & Cable 6,888,329 1,144,084 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- TAIWAN -- (Continued) TA-I Technology Co., Ltd. 1,442,170 $ 871,269 0.0% Tah Hsin Industrial Corp. 1,477,900 1,174,403 0.0% TAI Roun Products Co., Ltd. 63,000 20,846 0.0% # Taichung Commercial Bank Co., Ltd. 33,735,157 9,604,530 0.1% Taiflex Scientific Co., Ltd. 201,960 191,806 0.0% # Tainan Enterprises Co., Ltd. 989,183 913,964 0.0% # Tainan Spinning Co., Ltd. 18,027,485 6,915,274 0.1% # Tainergy Tech Co., Ltd. 1,358,000 646,563 0.0% Taishin Financial Holding Co., Ltd. 134,129,480 49,034,202 0.3% #* Taisun Enterprise Co., Ltd. 1,776,410 947,676 0.0% #* Taita Chemical Co., Ltd. 2,217,864 570,309 0.0% # Taiwan Business Bank 61,471,335 15,526,891 0.1% # Taiwan Cement Corp. 47,149,440 56,474,200 0.4% Taiwan Chinsan Electronic Industrial Co., Ltd. 31,000 50,815 0.0% # Taiwan Cogeneration Corp. 2,803,333 2,042,266 0.0% # Taiwan Cooperative Financial Holding Co., Ltd. 111,878,904 49,034,055 0.3% Taiwan Fertilizer Co., Ltd. 4,202,000 5,621,151 0.1% Taiwan Fire & Marine Insurance Co., Ltd. 1,235,000 723,703 0.0% * Taiwan Flourescent Lamp Co., Ltd. 756,000 -- 0.0% # Taiwan FU Hsing Industrial Co., Ltd. 562,000 708,581 0.0% #* Taiwan Glass Industry Corp. 10,678,982 4,461,300 0.0% Taiwan Hon Chuan Enterprise Co., Ltd. 245,932 403,061 0.0% # Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,540,000 920,154 0.0% * Taiwan Kolin Co., Ltd. 5,797,000 -- 0.0% # Taiwan Land Development Corp. 10,104,324 3,154,898 0.0% Taiwan Line Tek Electronic 82,771 52,432 0.0% # Taiwan Mask Corp. 3,154,250 836,287 0.0% Taiwan Navigation Co., Ltd. 1,428,000 531,486 0.0% Taiwan PCB Techvest Co., Ltd. 3,699,946 3,611,501 0.0% #* Taiwan Prosperity Chemical Corp. 903,000 458,060 0.0% #* Taiwan Pulp & Paper Corp. 6,955,660 2,246,748 0.0% Taiwan Sakura Corp. 366,472 422,127 0.0% Taiwan Semiconductor Co., Ltd. 129,000 144,617 0.0% # Taiwan Styrene Monomer 5,208,647 2,749,639 0.0% # Taiwan Surface Mounting Technology Corp. 2,943,991 2,451,663 0.0% # Taiwan TEA Corp. 8,595,092 3,744,888 0.0% # Taiwan Union Technology Corp. 2,448,000 2,708,039 0.0% # Taiyen Biotech Co., Ltd. 2,164,217 2,066,584 0.0% #* Tatung Co., Ltd. 28,642,342 7,529,510 0.1% Te Chang Construction Co., Ltd. 94,424 66,555 0.0% # Teco Electric and Machinery Co., Ltd. 28,784,725 25,519,270 0.2% Test Rite International Co., Ltd. 964,266 594,048 0.0% #* Tex-Ray Industrial Co., Ltd. 444,000 178,679 0.0% # Thinking Electronic Industrial Co., Ltd. 549,000 1,072,504 0.0% # Ton Yi Industrial Corp. 2,635,600 1,130,854 0.0% Tong Yang Industry Co., Ltd. 2,464,099 5,733,658 0.1% # Tong-Tai Machine & Tool Co., Ltd. 3,528,447 2,514,175 0.0% Topco Scientific Co., Ltd. 755,999 1,938,897 0.0% # Topoint Technology Co., Ltd. 2,309,288 1,452,918 0.0% #* TPK Holding Co., Ltd. 2,445,000 3,897,658 0.0% * Transasia Airways Corp. 949,380 184,813 0.0% Tripod Technology Corp. 2,085,000 4,935,849 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ----------- ---------- TAIWAN -- (Continued) Tsann Kuen Enterprise Co., Ltd. 134,000 $ 124,526 0.0% TSRC Corp. 232,000 239,428 0.0% Tung Ho Steel Enterprise Corp. 12,857,274 8,197,265 0.1% TXC Corp. 418,000 583,082 0.0% TYC Brother Industrial Co., Ltd. 1,045,723 1,077,565 0.0% * Tycoons Group Enterprise 7,484,938 1,053,306 0.0% # Tyntek Corp. 2,636,097 999,990 0.0% U-Ming Marine Transport Corp. 709,000 490,954 0.0% # Unimicron Technology Corp. 23,371,363 9,652,138 0.1% # Union Bank Of Taiwan 13,025,837 3,606,482 0.0% # Unitech Computer Co., Ltd. 1,632,739 854,048 0.0% # Unitech Printed Circuit Board Corp. 8,693,281 2,730,459 0.0% # United Microelectronics Corp. 216,382,681 80,538,501 0.5% # Unity Opto Technology Co., Ltd. 1,014,000 481,427 0.0% # Universal Cement Corp. 5,829,693 4,528,722 0.0% #* Unizyx Holding Corp. 4,265,000 1,901,466 0.0% # UPC Technology Corp. 11,904,746 4,179,146 0.0% # USI Corp. 7,217,691 3,515,809 0.0% Usun Technology Co., Ltd. 45,000 62,452 0.0% # Ve Wong Corp. 1,616,806 1,126,190 0.0% Viking Tech Corp. 64,000 45,404 0.0% #* Wafer Works Corp. 5,756,092 1,590,086 0.0% # Wah Hong Industrial Corp. 395,516 246,714 0.0% # Wah Lee Industrial Corp. 2,011,000 2,867,860 0.0% # Walsin Lihwa Corp. 48,293,412 16,895,070 0.1% Walsin Technology Corp. 7,252,267 8,795,449 0.1% # Walton Advanced Engineering, Inc. 5,147,853 1,843,215 0.0% Wan Hai Lines, Ltd. 6,238,000 3,069,301 0.0% # Waterland Financial Holdings Co., Ltd. 33,160,601 8,396,383 0.1% Wei Mon Industry Co., Ltd. 3,885,691 20,784 0.0% # Weikeng Industrial Co., Ltd. 2,113,072 1,160,995 0.0% # Well Shin Technology Co., Ltd. 979,080 1,455,508 0.0% #* Wha Yu Industrial Co., Ltd. 302,000 152,184 0.0% # Winbond Electronics Corp. 52,065,885 16,347,726 0.1% Winstek Semiconductor Co., Ltd. 31,000 26,330 0.0% Wintek Corp. 20,783,484 225,963 0.0% # Wisdom Marine Lines Co., Ltd. 1,945,284 1,761,381 0.0% # Wistron Corp. 40,942,650 30,850,013 0.2% WPG Holdings, Ltd. 1,959,092 2,293,230 0.0% # WT Microelectronics Co., Ltd. 6,400,751 9,064,644 0.1% # WUS Printed Circuit Co., Ltd. 4,472,928 2,492,408 0.0% # XinTec, Inc. 492,000 498,388 0.0% # Yageo Corp. 5,458,590 10,985,670 0.1% * Yang Ming Marine Transport Corp. 18,804,676 4,172,654 0.0% # YC Co., Ltd. 5,461,978 2,075,758 0.0% # YC INOX Co., Ltd. 4,764,833 3,459,410 0.0% # Yea Shin International Development Co., Ltd. 286,830 117,198 0.0% # YFY, Inc. 19,749,847 5,816,010 0.1% # Yi Jinn Industrial Co., Ltd. 2,989,936 945,196 0.0% #* Yieh Phui Enterprise Co., Ltd. 17,825,384 6,886,382 0.1% #* Young Fast Optoelectronics Co., Ltd. 1,696,000 646,496 0.0% Young Optics, Inc. 98,000 82,828 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- -------------- ---------- TAIWAN -- (Continued) # Youngtek Electronics Corp. 801,047 $ 1,153,517 0.0% # Yuanta Financial Holding Co., Ltd. 141,433,918 52,791,291 0.3% # Yulon Motor Co., Ltd. 12,432,572 10,878,511 0.1% # Yung Chi Paint & Varnish Manufacturing Co., Ltd. 230,687 567,988 0.0% # Zenitron Corp. 3,054,000 1,643,985 0.0% Zhen Ding Technology Holding, Ltd. 1,600,000 3,639,813 0.0% # Zig Sheng Industrial Co., Ltd. 6,607,352 1,688,815 0.0% # ZongTai Real Estate Development Co., Ltd. 483,844 270,613 0.0% -------------- ---- TOTAL TAIWAN 2,397,383,299 14.4% -------------- ---- THAILAND -- (3.3%) AAPICO Hitech PCL(B013L48) 681,760 272,723 0.0% AAPICO Hitech PCL(B013KZ2) 63,300 25,322 0.0% AJ Plast PCL 1,764,000 385,588 0.0% Amata Corp. PCL 2,821,890 935,322 0.0% AP Thailand PCL 30,273,730 6,141,681 0.1% * Asia Aviation PCL 1,913,300 385,421 0.0% Asia Plus Group Holdings PCL 5,164,800 501,759 0.0% Bangchak Petroleum PCL (The) 9,410,900 8,134,287 0.1% Bangkok Bank PCL 2,360,500 10,757,904 0.1% Bangkok Insurance PCL 212,828 2,073,701 0.0% Bangkok Land PCL 112,910,900 5,097,485 0.0% Banpu PCL 19,467,950 10,179,684 0.1% Cal-Comp Electronics Thailand PCL Class F 32,780,414 2,360,358 0.0% Charoen Pokphand Foods PCL 23,325,800 20,994,720 0.1% Charoong Thai Wire & Cable PCL Class F 1,255,800 358,826 0.0% Eastern Water Resources Development and Management PCL Class F 2,332,600 779,811 0.0% * Esso Thailand PCL 21,270,200 6,138,410 0.1% * G J Steel PCL 27,256,975 288,166 0.0% * G Steel PCL 1,616,440 16,627 0.0% Golden Land Property Development PCL 71,600 11,968 0.0% Hana Microelectronics PCL 4,938,400 4,515,431 0.0% ICC International PCL 2,663,700 2,730,488 0.0% Indorama Ventures PCL 3,955,500 3,305,904 0.0% IRPC PCL 125,897,100 17,195,175 0.1% Jasmine International PCL 2,160,700 515,518 0.0% Kang Yong Electric PCL 8,200 78,023 0.0% KGI Securities Thailand PCL 14,904,400 1,524,616 0.0% Khon Kaen Sugar Industry PCL 5,305,354 591,210 0.0% Kiatnakin Bank PCL 6,011,900 10,049,179 0.1% Krung Thai Bank PCL 64,876,900 31,884,640 0.2% Laguna Resorts & Hotels PCL 1,022,500 715,801 0.0% Lanna Resources PCL 846,100 309,453 0.0% LH Financial Group PCL 6,620,546 321,592 0.0% LPN Development PCL 163,800 53,356 0.0% MBK PCL 52,200 21,926 0.0% MCOT PCL 990,400 342,420 0.0% MK Real Estate Development PCL 2,855,400 324,723 0.0% Nation Multimedia Group PCL 2,644,800 86,907 0.0% * Polyplex Thailand PCL 3,209,625 1,073,008 0.0% * Precious Shipping PCL 9,630,750 1,664,863 0.0% Property Perfect PCL 36,489,100 1,042,620 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ----------- ------------ ---------- THAILAND -- (Continued) PTT Exploration & Production PCL 21,880,100 $ 52,047,098 0.3% PTT Global Chemical PCL 30,562,641 52,396,841 0.3% PTT PCL 21,629,500 213,838,331 1.3% Quality Houses PCL 16,857,897 1,204,221 0.0% Regional Container Lines PCL 5,818,900 811,379 0.0% Rojana Industrial Park PCL 1,994,073 265,516 0.0% Saha Pathana Inter-Holding PCL 2,801,300 2,801,500 0.0% Saha Pathanapibul PCL 1,594,833 2,096,216 0.0% Saha-Union PCL 2,840,400 3,023,213 0.0% * Sahaviriya Steel Industries PCL 90,527,440 129,334 0.0% Sansiri PCL 121,361,266 5,756,403 0.1% SC Asset Corp PCL 34,710,353 3,431,611 0.0% Siam Future Development PCL 6,836,646 1,181,848 0.0% Siamgas & Petrochemicals PCL 7,047,500 2,335,910 0.0% Somboon Advance Technology PCL 3,578,000 1,257,501 0.0% Sri Ayudhya Capital PCL 85,100 80,243 0.0% Sri Trang Agro-Industry PCL 8,001,400 3,086,475 0.0% Srithai Superware PCL 21,372,400 1,129,765 0.0% STP & I Public Co., Ltd. 712,400 186,255 0.0% * Tata Steel Thailand PCL 48,610,300 1,041,724 0.0% * Thai Airways International PCL 16,250,611 13,001,417 0.1% Thai Oil PCL 8,257,400 16,515,980 0.1% Thai Rayon PCL 58,700 77,993 0.0% Thai Stanley Electric PCL 43,100 213,052 0.0% Thai Stanley Electric PCL Class F 174,600 863,085 0.0% Thai Wacoal PCL 85,000 118,098 0.0% Thaicom PCL 2,196,800 1,305,620 0.0% Thanachart Capital PCL 11,116,200 12,546,322 0.1% Thitikorn PCL 1,203,500 354,198 0.0% Thoresen Thai Agencies PCL 9,334,478 2,427,138 0.0% TICON Industrial Connection PCL Class F 653,000 276,145 0.0% Tisco Financial Group PCL 2,135,100 3,157,123 0.0% TMB Bank PCL 40,624,800 2,437,662 0.0% TPI Polene PCL 96,108,940 6,041,565 0.1% Univentures PCL 96,200 15,943 0.0% Vinythai PCL 6,688,917 1,901,699 0.0% ------------ --- TOTAL THAILAND 563,541,040 3.4% ------------ --- TURKEY -- (1.4%) Adana Cimento Sanayii TAS Class A 771,491 1,554,188 0.0% Akbank TAS 10,774,596 28,834,518 0.2% #* Akenerji Elektrik Uretim A.S. 3,818,763 1,186,466 0.0% # Aksa Akrilik Kimya Sanayii A.S. 898,333 2,530,205 0.0% # Alarko Holding A.S. 1,215,219 1,524,274 0.0% Albaraka Turk Katilim Bankasi A.S. 3,428,318 1,374,683 0.0% * Anadolu Anonim Turk Sigorta Sirketi 4,290,553 2,386,027 0.0% #* Anadolu Cam Sanayii A.S. 3,590,532 2,601,684 0.0% # Aygaz A.S. 521,263 1,842,061 0.0% #* Bagfas Bandirma Gubre Fabrikalari A.S. 41,299 144,222 0.0% Baticim Bati Anadolu Cimento Sanayii A.S. 470,159 982,130 0.0% # Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 914,482 2,493,766 0.0% * Boyner Perakende Ve Tekstil Yatirimlari A.S. 36,278 889,630 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- --------------- ---------- TURKEY -- (Continued) #* Dogan Sirketler Grubu Holding A.S. 16,723,595 $ 4,314,939 0.0% # Eczacibasi Yatirim Holding Ortakligi A.S. 203,289 830,143 0.0% # EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 1,527,154 1,931,342 0.0% Enka Insaat ve Sanayi A.S. 627,550 958,471 0.0% Eregli Demir ve Celik Fabrikalari TAS 4,579,695 6,227,018 0.1% # Global Yatirim Holding A.S. 2,576,412 1,325,257 0.0% #* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 58,943 44,595 0.0% # GSD Holding A.S. 3,474,328 1,079,106 0.0% #* Ihlas Holding A.S. 12,700,332 1,400,137 0.0% #* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 1,550,008 1,130,506 0.0% Is Finansal Kiralama A.S. 3,569,059 1,270,700 0.0% Is Yatirim Menkul Degerler A.S. Class A 515,160 178,386 0.0% # Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,678,738 755,138 0.0% Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 784,210 319,755 0.0% #* Koza Altin Isletmeleri A.S. 151,229 861,483 0.0% #* Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,500,350 1,120,597 0.0% #* Metro Ticari ve Mali Yatirimlar Holding A.S. 3,616,994 1,239,492 0.0% * NET Holding A.S. 13,395 13,377 0.0% # Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 702,352 516,150 0.0% #* Pegasus Hava Tasimaciligi A.S. 325,850 1,376,185 0.0% Pinar Entegre Et ve Un Sanayi A.S. 256,138 859,061 0.0% Pinar SUT Mamulleri Sanayii A.S. 77,164 384,360 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. 1,635,346 1,633,805 0.0% #* Sekerbank TAS 8,074,377 3,053,723 0.0% # Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 2,693,295 2,735,751 0.0% Tekfen Holding A.S. 1,576,017 3,998,789 0.0% # Trakya Cam Sanayii A.S. 6,177,837 5,091,690 0.1% # Turcas Petrol A.S. 195,565 97,331 0.0% * Turk Hava Yollari AO 8,451,011 14,866,990 0.1% Turkiye Garanti Bankasi A.S. 12,486,208 33,976,694 0.2% Turkiye Halk Bankasi A.S. 5,838,929 17,757,819 0.1% Turkiye Is Bankasi Class C 22,909,239 37,199,347 0.2% Turkiye Sinai Kalkinma Bankasi A.S. 10,010,378 4,437,031 0.1% Turkiye Sise ve Cam Fabrikalari A.S. 14,497,847 15,251,459 0.1% # Turkiye Vakiflar Bankasi TAO Class D 8,835,142 13,095,407 0.1% * Vestel Elektronik Sanayi ve Ticaret A.S. 140,010 297,524 0.0% * Yapi ve Kredi Bankasi A.S. 8,878,932 10,629,645 0.1% #* Zorlu Enerji Elektrik Uretim A.S. 335,436 177,994 0.0% --------------- ---- TOTAL TURKEY 240,781,051 1.4% --------------- ---- TOTAL COMMON STOCKS 15,766,928,192 94.7% --------------- ---- PREFERRED STOCKS -- (4.3%) BRAZIL -- (4.2%) Banco ABC Brasil SA 1,468,550 7,075,908 0.0% Banco Bradesco SA 50 524 0.0% Banco do Estado do Rio Grande do Sul SA Class B 1,900,868 8,098,936 0.1% Banco Pan SA 1,793,392 786,575 0.0% Banco Pine SA 427,430 553,034 0.0% Cia Brasileira de Distribuicao 1,479,959 28,282,424 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE++ ASSETS** ---------- --------------- ---------- BRAZIL -- (Continued) Cia Ferro Ligas da Bahia -- FERBASA 986,334 $ 2,370,044 0.0% Eucatex SA Industria e Comercio 353,288 327,610 0.0% Gerdau SA 140,500 485,060 0.0% * Marcopolo SA 4,371,245 4,464,367 0.0% * Petroleo Brasileiro SA 28,867,973 159,985,728 1.0% #* Petroleo Brasileiro SA Sponsored ADR 22,867,709 252,916,862 1.5% * Randon SA Implementos e Participacoes 2,784,800 4,170,221 0.0% Suzano Papel e Celulose SA Class A 6,772,104 23,889,063 0.1% Unipar Carbocloro SA 925,874 1,949,208 0.0% * Usinas Siderurgicas de Minas Gerais SA Class A 5,598,668 7,910,399 0.1% Vale SA 23,147,649 149,604,010 0.9% # Vale SA Sponsored ADR 10,365,717 66,755,217 0.4% --------------- --- TOTAL BRAZIL 719,625,190 4.3% --------------- --- COLOMBIA -- (0.1%) Avianca Holdings SA 1,052,635 840,209 0.0% Grupo Argos SA 210,050 1,285,402 0.0% Grupo de Inversiones Suramericana SA 1,001,278 12,654,256 0.1% --------------- --- TOTAL COLOMBIA 14,779,867 0.1% --------------- --- SOUTH KOREA -- (0.0%) * Hanwha Corp. 107,066 1,768,449 0.0% --------------- --- TOTAL PREFERRED STOCKS 736,173,506 4.4% --------------- --- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Asiana Airlines, Inc. Rights 11/03/16 22,005 -- 0.0% * Interflex Co., Ltd. Rights 11/24/16 10,680 35,001 0.0% * Samsung Heavy India Rights 11/08/2016 693,543 1,563,767 0.0% --------------- --- TOTAL AUSTRALIA 1,598,768 0.0% --------------- --- INDIA -- (0.0%) * Karnataka Bank, Ltd.11/21/16 1,085,708 850,210 0.0% --------------- --- POLAND -- (0.0%) * Hawe SA Rights 09/30/15 952,876 -- 0.0% --------------- --- SOUTH KOREA -- (0.0%) * Dong Bang Transport Logistic Rights 11/03/16 81,134 19,145 0.0% --------------- --- THAILAND -- (0.0%) * TPI Polene PCL Rights 12/30/16 593,265 -- 0.0% --------------- --- TOTAL RIGHTS/WARRANTS 2,468,123 0.0% --------------- --- TOTAL INVESTMENT SECURITIES 16,505,569,821 ---------------
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE OF NET SHARES VALUE+ ASSETS** ---------- --------------- ---------- SECURITIES LENDING COLLATERAL -- (3.5%) (S)@ DFA Short Term Investment Fund 51,188,093 $ 592,348,611 3.6% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $18,135,039,268) $17,097,918,432 102.7% =============== =====
DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of the Fund's investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Common Stocks Brazil $1,061,916,297 -- -- $ 1,061,916,297 Chile 68,522,696 $ 187,543,740 -- 256,066,436 China 222,186,685 2,184,917,720 -- 2,407,104,405 Colombia 34,189,337 -- -- 34,189,337 Czech Republic -- 42,272,990 -- 42,272,990 Greece -- 7,063,890 -- 7,063,890 Hong Kong 320,806 718,578 -- 1,039,384 Hungary -- 100,288,517 -- 100,288,517 India 166,309,441 2,072,377,223 -- 2,238,686,664 Indonesia 5,419,169 525,171,092 -- 530,590,261 Israel -- -- -- -- Malaysia 13,467 577,730,922 -- 577,744,389 Mexico 874,236,781 -- -- 874,236,781 Philippines -- 191,803,333 -- 191,803,333 Poland -- 263,219,741 -- 263,219,741 Russia 10,015,478 358,790,034 -- 368,805,512 South Africa 137,638,609 1,068,526,468 -- 1,206,165,077 South Korea 293,776,615 2,110,253,173 -- 2,404,029,788 Taiwan 35,243,272 2,362,140,027 -- 2,397,383,299 Thailand 563,411,706 129,334 -- 563,541,040 Turkey -- 240,781,051 -- 240,781,051 Preferred Stocks Brazil 719,625,190 -- -- 719,625,190 Colombia 14,779,867 -- -- 14,779,867 South Korea 1,768,449 -- -- 1,768,449 Rights/Warrants Australia -- 1,598,768 -- 1,598,768 India -- 850,210 -- 850,210 Poland -- -- -- -- South Korea -- 19,145 -- 19,145 Thailand -- -- -- -- Securities Lending Collateral -- 592,348,611 -- 592,348,611 Futures Contracts** (394,528) -- -- (394,528) -------------- --------------- -- --------------- TOTAL $4,208,979,337 $12,888,544,567 -- $17,097,523,904 ============== =============== == ===============
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees 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 (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the "Fund") as of October 31, 2016, 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, financial highlights, and schedule of investments (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 as of October 31, 2016 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 (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/A (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/ Eduardo A. Repetto ---------------------------------------- Eduardo A. Repetto Trustee, Co-Chief Executive Officer and Co-Chief Investment Officer Date: April 4, 2017 By: /s/ David P. Butler ---------------------------------------- David P. Butler Co-Chief Executive Officer Date: April 4, 2017 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/ Eduardo A. Repetto ---------------------------------------- Eduardo A. Repetto Co-Principal Executive Officer Dimensional Emerging Markets Value Fund Date: April 4, 2017 By: /s/ David P. Butler ---------------------------------------- David P. Butler Co-Principal Executive Officer Dimensional Emerging Markets Value Fund Date: April 4, 2017 By: /s/ Gregory K. Hinkle ---------------------------------------- Gregory K. Hinkle Principal Financial Officer Dimensional Emerging Markets Value Fund Date: April 4, 2017 EX-99.CODE ETH 2 d354223dex99codeeth.txt CODE OF ETHICS EFFECTIVE DATE: MARCH 22, 2017 CONFIDENTIAL AND PROPRIETARY CODE OF BUSINESS ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL EMERGING MARKETS VALUE FUND 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, 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. 1052_9 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; 1052_9 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 Inc. ("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 Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public 1052_9 3 LOGO 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: . the Designated Ethics Officer will take all appropriate action to investigate any violations and potential violations reported to him; 1052_9 4 LOGO . 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 Global Code of Ethics and Standard of Conduct 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 INSIDER TRADING POLICY 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 ____________ 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. 1052_9 5 LOGO EXHIBIT A PERSONS COVERED BY THIS CODE OF BUSINESS ETHICS _______________________________________________ Eduardo A. Repetto (Co-Principal Executive Officer of the Funds) David P. Butler (Co-Principal Executive Officer of the Funds) Greg Hinkle (Principal Financial Officer of the Funds) 1052_8 A-1 LOGO EX-99.CERT 3 d354223dex99cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David P. Butler, certify that: 1. I have reviewed this report on Form N-CSR/A 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: April 4, 2017 By: /s/ David P. Butler ---------------------------------------- David P. Butler Co-Principal Executive Officer Dimensional Emerging Markets Value Fund CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Eduardo A. Repetto, certify that: 1. I have reviewed this report on Form N-CSR/A 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: April 4, 2017 By: /s/ Eduardo A. Repetto --------------------------------------- Eduardo A. Repetto Co-Principal Executive Officer Dimensional Emerging Markets Value Fund CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Gregory K. Hinkle, certify that: 1. I have reviewed this report on Form N-CSR/A 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: April 4, 2017 By: /s/ Gregory K. Hinkle --------------------------------------- Gregory K. Hinkle Principal Financial Officer Dimensional Emerging Markets Value Fund EX-99.906CE 4 d354223dex99906ce.txt CERTIFICATIONS PURSUANT TO SECTION 906 CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 Eduardo A. Repetto, Co-Principal Executive Officer, David P. Butler, Co-Principal Executive Officer and Gregory K. Hinkle, 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/A for the period ended October 31, 2016 (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/ Eduardo A. Repetto ---------------------------------------- Eduardo A. Repetto Co-Principal Executive Officer Dimensional Emerging Markets Value Fund Date: April 4, 2017 By: /s/ David P. Butler ---------------------------------------- David P. Butler Co-Principal Executive Officer Dimensional Emerging Markets Value Fund Date: April 4, 2017 By: /s/ Gregory K. Hinkle ---------------------------------------- Gregory K. Hinkle Principal Financial Officer Dimensional Emerging Markets Value Fund Date: April 4, 2017