0001193125-21-003227.txt : 20210106 0001193125-21-003227.hdr.sgml : 20210106 20210106164709 ACCESSION NUMBER: 0001193125-21-003227 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 46 CONFORMED PERIOD OF REPORT: 20201031 FILED AS OF DATE: 20210106 DATE AS OF CHANGE: 20210106 EFFECTIVENESS DATE: 20210106 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIMENSIONAL EMERGING MARKETS VALUE FUND CENTRAL INDEX KEY: 0000896163 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07440 FILM NUMBER: 21511252 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 C000002781 DIMENSIONAL EMERGING MARKETS VALUE FUND N-CSR 1 d27191dncsr.htm DIMENSIONAL EMERGING MARKETS VALUE FUND Dimensional Emerging Markets Value Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-7440

 

 

DIMENSIONAL EMERGING MARKETS VALUE FUND

(Exact name of registrant as specified in charter)

 

 

6300 Bee Cave Road, Building One, Austin, TX 78746

(Address of principal executive offices) (Zip code)

 

 

Catherine L. Newell, Esquire, President and General Counsel

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, 2020

 

 

 


ITEM 1.

REPORTS TO STOCKHOLDERS.


LOGO

Annual Report

Year Ended: October 31, 2020

 

 

DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. / THE DFA INVESTMENT TRUST COMPANY / DIMENSIONAL EMERGING MARKETS VALUE FUND

 

DFA Investment Dimensions Group Inc.

 

Large Cap International Portfolio    DFA International Real Estate Securities Portfolio    World Core Equity Portfolio
International Core Equity Portfolio   

DFA Global Real Estate Securities

Portfolio

   Selectively Hedged Global Equity Portfolio
Global Small Company Portfolio   

DFA International Small Cap Value

Portfolio

   Emerging Markets Portfolio
International Small Company Portfolio    International Vector Equity Portfolio    Emerging Markets Small Cap Portfolio
Japanese Small Company Portfolio    International High Relative Profitability Portfolio    Emerging Markets Value Portfolio
Asia Pacific Small Company Portfolio    World ex U.S. Value Portfolio    Emerging Markets Core Equity Portfolio

United Kingdom Small Company

Portfolio

   World ex U.S. Core Equity Portfolio   

Emerging Markets Targeted Value

Portfolio

Continental Small Company Portfolio      

Dimensional Investment Group Inc.

 

DFA International Value Portfolio

The DFA Investment Trust Company

 

The DFA International Value Series    The Continental Small Company Series
The Japanese Small Company Series    The Canadian Small Company Series
The Asia Pacific Small Company Series    The Emerging Markets Series
The United Kingdom Small Company Series    The Emerging Markets Small Cap Series

Dimensional Emerging Markets Value Fund

 

 

See the inside front cover for important information about access to your fund’s annual and semi-annual shareholder reports.


Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Portfolio’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Portfolio or from your financial intermediary. Instead, the reports will be made available on a Portfolio’s website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically from a Portfolio anytime by contacting the Portfolio’s transfer agent at (888) 576-1167 or by contacting your financial intermediary.

You may elect to receive all future shareholder reports in paper free of charge. You can inform a Portfolio that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you invest directly with the Portfolio, by calling (888) 576-1167, to let the Portfolio know of your request. Your election to receive reports in paper will apply to all DFA Funds held directly or to all funds held through your financial intermediary.


[THIS PAGE INTENTIONALLY LEFT BLANK]


LOGO

December 2020

Dear Fellow Shareholder,

As we come to the end of a year that saw an array of challenges, we want to thank you for the honor of serving you. We recognize that your financial assets play a vital role in your future, and we have tremendous gratitude for the faith you place in us by entrusting those assets with Dimensional.

Since the day our firm was founded nearly 40 years ago, we have focused on bringing the great ideas in finance to life for investors. We believe that a sensible, financial science-based approach offers people the best chance at a successful investment experience. With that as a guiding principle, we continue to innovate in the strategies we offer and how they are executed. We look forward to further work on these efforts—if there’s a better way to do something, we want to pursue it.

We also place great value on helping our clients understand what they can expect from us. We strive to be transparent about what we can deliver, and to then excel in our execution.

That’s how we help clients achieve their financial goals. And at Dimensional, we believe that when investors win, we all win. On behalf of over 1,400 employees, we send our deepest appreciation for letting us serve as the investment manager of your assets.

 

Sincerely,    
LOGO     LOGO
David P. Butler     Gerard O’Reilly
CO-CHIEF EXECUTIVE OFFICER     CO-CHIEF EXECUTIVE OFFICER and
    CHIEF INVESTMENT OFFICER


[THIS PAGE INTENTIONALLY LEFT BLANK]


ANNUAL REPORT

Table of Contents

 

     Page  

Letter to Shareholders

  

Definitions of Abbreviations and Footnotes

     1  

DFA Investment Dimensions Group Inc.

  

Performance Charts

     3  

Management’s Discussion and Analysis

     15  

Disclosure of Fund Expenses

     28  

Disclosure of Portfolio Holdings

     32  

Schedules of Investments/Summary Schedules of Portfolio Holdings

  

Large Cap International Portfolio

     34  

International Core Equity Portfolio

     38  

Global Small Company Portfolio

     43  

International Small Company Portfolio

     44  

Japanese Small Company Portfolio

     45  

Asia Pacific Small Company Portfolio

     46  

United Kingdom Small Company Portfolio

     47  

Continental Small Company Portfolio

     48  

DFA International Real Estate Securities Portfolio

     49  

DFA Global Real Estate Securities Portfolio

     53  

DFA International Small Cap Value Portfolio

     55  

International Vector Equity Portfolio

     60  

International High Relative Profitability Portfolio

     64  

World ex U.S. Value Portfolio

     68  

World ex U.S. Core Equity Portfolio

     69  

World Core Equity Portfolio

     76  

Selectively Hedged Global Equity Portfolio

     77  

Emerging Markets Portfolio

     79  

Emerging Markets Small Cap Portfolio

     80  

Emerging Markets Value Portfolio

     81  

Emerging Markets Core Equity Portfolio

     82  

Emerging Markets Targeted Value Portfolio

     87  

Statements of Assets and Liabilities

     91  

Statements of Operations

     97  

Statements of Changes in Net Assets

     103  

Financial Highlights

     111  

Notes to Financial Statements

     124  

Report of Independent Registered Public Accounting Firm

     153  

Section 19(a) Notice

     155  

Dimensional Investment Group Inc.

  

Performance Chart

     156  

Management’s Discussion and Analysis

     157  

Disclosure of Fund Expenses

     160  

Disclosure of Portfolio Holdings

     162  

Schedule of Investments

  

DFA International Value Portfolio

     163  

Statement of Assets and Liabilities

     164  

Statement of Operations

     165  

Statements of Changes in Net Assets

     166  

Financial Highlights

     167  

Notes to Financial Statements

     169  

Report of Independent Registered Public Accounting Firm

     175  

The DFA Investment Trust Company

  

Performance Charts

     176  

Management’s Discussion and Analysis

     180  

 

i


TABLE OF CONTENTS

CONTINUED

 

     Page  

Disclosure of Fund Expenses

     185  

Disclosure of Portfolio Holdings

     187  

Summary Schedules of Portfolio Holdings

  

The DFA International Value Series

     189  

The Japanese Small Company Series

     193  

The Asia Pacific Small Company Series

     196  

The United Kingdom Small Company Series

     198  

The Continental Small Company Series

     201  

The Canadian Small Company Series

     205  

The Emerging Markets Series

     208  

The Emerging Markets Small Cap Series

     213  

Statements of Assets and Liabilities

     218  

Statements of Operations

     220  

Statements of Changes in Net Assets

     222  

Financial Highlights

     225  

Notes to Financial Statements

     229  

Report of Independent Registered Public Accounting Firm

     242  

Dimensional Emerging Markets Value Fund

  

Performance Chart

     243  

Management’s Discussion and Analysis

     244  

Disclosure of Fund Expenses

     247  

Disclosure of Portfolio Holdings

     249  

Summary Schedule of Portfolio Holdings

  

Dimensional Emerging Markets Value Fund

     250  

Statement of Assets and Liabilities

     255  

Statement of Operations

     256  

Statements of Changes in Net Assets

     257  

Financial Highlights

     258  

Notes to Financial Statements

     259  

Report of Independent Registered Public Accounting Firm

     268  

Fund Management

     269  

Board of Directors Table

     270  

Voting Proxies on Fund Portfolio Securities

     277  

Notice to Shareholders

     278  

This report is submitted for the information of the Portfolio’s shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

 

ii


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

SA

   Special Assessment

REIT

   Real Estate Investment Trust

GDR

   Global Depositary Receipt

AUD

   Australian Dollars

CAD

   Canadian Dollars

CHF

   Swiss Franc

DKK

   Danish Krone

EUR

   Euro

GBP

   British Pounds

ILS

   Israeli New Shekel

JPY

   Japanese Yen

NOK

   Norwegian Krone

SEK

   Swedish Krona
Investment Footnotes   

»

   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.

#

   Total or Partial Securities on Loan.

*

   Non-Income Producing Securities.

   See Note B to Financial Statements.

@

   Security purchased with cash collateral received from Securities on Loan.

§

   Affiliated Fund.

W

   Rule 144A, Section 4(2), or other security that is restricted as to resale to institutional investors. This security has been deemed liquid based upon the Fund’s Liquidity Guidelines. The liquidity determination is unaudited.

 

1


DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES

CONTINUED

 

Financial Highlights

 

**

   The Net Investment Income (Loss) per share and the ratio of Net Investment Income to Average Net Assets includes the current year effect of an estimation related to a one time distribution from a real estate investment trust. Net Investment Income (Loss) per share, Net Gain (Loss) per share and the ratio of Net Investment Income to Average Net Assets would have been $0.39, $2.11 and 3.39%, respectively had the current year effect of this estimation not been considered.

(A)

   Computed using average shares outstanding.

(B)

   Non-Annualized

(C)

   Represents the combined ratios for the respective Portfolio and its respective pro-rata share of its Master Fund(s) and/or Underlying Fund(s).

(D)

   Annualized

(E)

   Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios.

(F)

   Represents the combined ratios for the respective Portfolio and its respective pro-rata share of its Master Fund(s).

All Statements, Schedules and Notes to Financial Statements

 

 

  

Amounts designated as — are either zero or rounded to zero.

SEC

  

Securities and Exchange Commission

u

  

Commencement of Operations.

 

2


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

Large Cap International Portfolio vs.

MSCI World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

International Core Equity Portfolio vs.

MSCI World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

3


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

Global Small Company Portfolio vs.

MSCI All Country World Small Cap Index (net dividends)

January 18, 2017-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

International Small Company Portfolio vs.

MSCI World ex USA Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

4


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

Japanese Small Company Portfolio vs.

MSCI Japan Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

Asia Pacific Small Company Portfolio vs.

MSCI Pacific ex Japan Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

5


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

United Kingdom Small Company Portfolio vs.

MSCI United Kingdom Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

Continental Small Company Portfolio vs.

MSCI Europe ex UK Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

6


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)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

Copyright 2020 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved.

 

 

 

DFA Global Real Estate Securities Portfolio vs.

S&P Global REIT Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

Copyright 2020 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved.

 

 

 

7


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, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

International Vector Equity Portfolio vs.

MSCI World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

8


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

International High Relative Profitability Portfolio vs.

MSCI World ex USA Index (net dividends)

May 16, 2017-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

World Ex U.S. Value Portfolio vs.

MSCI All Country World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

9


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, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

World Core Equity Portfolio vs.

MSCI All Country World Index (net dividends)

March 7, 2012-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

10


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, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

Emerging Markets Portfolio vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

11


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

Emerging Markets Small Cap Portfolio vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

Emerging Markets Value Portfolio — Institutional Class vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

12


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

Emerging Markets Value Portfolio — Class R2 vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

Emerging Markets Core Equity Portfolio vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

13


DFA INVESTMENT DIMENSIONS GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

Emerging Markets Targeted Value Portfolio vs.

MSCI Emerging Markets Index (net dividends)

November 14, 2018-October 31, 2020

 

LOGO     

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

14


MANAGEMENT’S DISCUSSION AND ANALYSIS

 

International Equity Market Review    12 Months Ended October 31, 2020

Performance of non-U.S. developed markets was mostly negative for the period. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI World ex USA indices.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI World ex USA Index

     -6.79

MSCI World ex USA Mid Cap Index

     -3.83

MSCI World ex USA Small Cap Index

     -0.65

MSCI World ex USA Value Index

     -18.72

MSCI World ex USA Growth Index

     5.65

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against most non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.

12 Months Ended October 31, 2020

 

Ten Largest Foreign Developed Markets by Market Cap

   Local Return     Return in U.S. Dollars  

Japan

     -2.97     0.33

United Kingdom

     -22.19     -22.25

France

     -17.43     -13.79

Switzerland

     -4.37     2.95

Canada

     -4.70     -6.05

Germany

     -10.77     -6.84

Australia

     -11.01     -9.29

Netherlands

     4.14     8.62

Hong Kong

     -8.06     -7.15

Sweden

     0.79     9.10

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

Emerging markets had mostly positive performance for the period, outperforming non-U.S. developed markets but underperforming the U.S. As measured by the MSCI Emerging Markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, underperformed large-cap stocks and small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI Emerging Markets indices.

 

15


12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI Emerging Markets Index

     8.25

MSCI Emerging Markets Mid Cap Index

     -3.22

MSCI Emerging Markets Small Cap Index

     2.39

MSCI Emerging Markets Value Index

     -8.47

MSCI Emerging Markets Growth Index

     25.97

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against some emerging markets currencies and appreciated against others. Overall, currency movements had a negative impact on the U.S. dollar denominated returns of emerging markets.

12 Months Ended October 31, 2020

 

Ten Largest Emerging Markets by Market Cap

   Local Return     Return in U.S.  

Dollars

            

China

     33.57     35.19

Taiwan

     18.86     26.49

Korea

     11.33     14.15

India

     1.83     -2.54

Brazil

     -11.13     -38.13

South Africa

     -6.49     -13.31

Saudi Arabia

     -0.90     -0.90

Russia

     -14.17     -29.27

Thailand

     -28.54     -30.77

Malaysia

     -6.02     -5.49

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios 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, 2020, these differences generally contributed positively to the Portfolios’ relative performance.

 

16


Large Cap International Portfolio

The Large Cap International Portfolio invests in developed ex U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. with increased exposure to stocks with smaller total market capitalizations, lower relative price (value) stocks, and higher-profitability stocks within the large-cap segment of developed ex U.S. markets. As of October 31, 2020, the Portfolio held approximately 1,330 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -6.05% for the Portfolio and -6.79% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s greater emphasis on higher-profitability stocks contributed positively to performance relative to the benchmark, as these stocks generally outperformed lower-profitability stocks. Additionally, the Portfolio’s exclusion of real estate investment trusts (REITs) had a positive impact on relative performance, as REITs generally underperformed in developed ex U.S. markets.

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, lower relative price (value), and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Portfolio held approximately 5,040 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -6.32% for the Portfolio and -6.79% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. With small-cap stocks outperforming large-cap stocks in developed ex U.S. markets for the period, the Portfolio’s inclusion of and emphasis on small-caps had a positive impact on performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks. The Portfolio’s greater emphasis on higher-profitability stocks contributed positively to relative performance, as higher-profitability stocks generally outperformed lower-profitability stocks. Additionally, the Portfolio’s exclusion of real estate investment trusts (REITs) had a positive impact on relative performance, as REITs generally underperformed in developed ex U.S. markets.

Global Small Company Portfolio

The Global Small Company Portfolio is designed to capture the returns of global small company stocks by purchasing shares of seven funds (which shall be collectively referred to below as the “Underlying Funds”) managed by Dimensional that individually invest in Canada, the United States, the United Kingdom, Europe (including Israel and excluding the U.K.), Japan, the Asia Pacific region (ex Japan), and emerging markets. The Underlying Funds generally exclude stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Underlying Funds collectively held approximately 10,730 securities in 44 eligible developed and emerging markets.

For the 12 months ended October 31, 2020, total returns were -3.75% for the Portfolio and 0.27% for the MSCI All Country World Small Cap Index (net dividends), the Portfolio’s benchmark. The Underlying Funds’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Underlying Fund’s

 

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exclusion of stocks with the lowest profitability and highest relative price also detracted from relative performance, as those stocks outperformed. Conversely, the Underlying Funds’ exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed globally.

International Small Company Portfolio

The International Small Company Portfolio invests in 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 Portfolio generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Master Funds collectively held approximately 4,200 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -3.64% for the Portfolio and -0.65% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Funds’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price detracted from performance relative to the benchmark, as those stocks outperformed. Conversely, the Master Funds’ exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in developed ex U.S. markets.

Japanese Small Company Portfolio

The Japanese Small Company Portfolio invests in 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 Master Fund generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Master Fund held approximately 1,710 securities. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were -2.32% for the Portfolio and -1.46% for the MSCI Japan Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund’s greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price had a negative impact on performance relative to the benchmark, as those stocks outperformed. Conversely, the Master Fund’s exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in Japan.

Asia Pacific Small Company Portfolio

The Asia Pacific Small Company Portfolio invests in 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 Master Fund’s greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Master Fund generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven,

 

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emphasizing broad diversification. As of October 31, 2020, the Master Fund held approximately 750 securities in 4 eligible countries. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were -0.23% for the Portfolio and 3.00% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price had a negative impact on performance relative to the benchmark, as those securities outperformed. Conversely, the Master Fund’s exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in Asia Pacific (ex Japan) markets.

United Kingdom Small Company Portfolio

The United Kingdom Small Company Portfolio invests in 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 Master Fund generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Master Fund held approximately 330 securities. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were -15.27% for the Portfolio and -14.04% for the MSCI United Kingdom Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund’s greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price detracted from performance relative to the benchmark, as those securities outperformed for the period. Conversely, the Master Fund’s exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in the U.K.

Continental Small Company Portfolio

The Continental Small Company Portfolio invests in 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 Master Fund generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Master Fund held approximately 1,090 securities in 15 eligible countries. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -2.63% for the Portfolio and 3.14% for the MSCI Europe ex U.K. Small Cap Index (net dividends), the Portfolio’s benchmark. The Master Fund and its benchmark use different methodologies to determine which small-cap stocks are eligible for purchase or to hold. This methodology variance led to country by-country differences between the maximum market capitalization of small-cap stocks bought and held by the Master Fund relative to the benchmark, which in turn led to differences in holdings between the Master Fund and the benchmark. These holdings differences detracted from the Master Fund’s performance relative to the benchmark. The Master Fund’s greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Master Fund’s exclusion of stocks with the lowest profitability and highest relative price also detracted

 

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from relative performance, as those securities outperformed for the year. Conversely, the Master Fund’s exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in eligible markets.

 

Global Real Estate Market Review    12 Months Ended October 31, 2020

Publicly traded global real estate investment trusts (REITs) had negative returns for the period. REITs underperformed U.S., developed non-U.S., and emerging markets equities. The U.S. REIT market, the world’s largest, had negative performance for the period and underperformed non-U.S. REITs. Among non-U.S. REIT markets, Saudi Arabia, New Zealand, and Turkey were among the strongest performers, while Taiwan, South Africa, and France lagged. At the REIT industry level, industrial and specialized REITs generally outperformed, while hotel and resort REITs and retail REITs generally underperformed.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

Dow Jones U.S. Select REIT IndexSM

     -25.14

S&P Global ex U.S. REIT Index

     -24.67

S&P Global REIT Index

     -22.87

Source: Returns are of Standard and Poor’s (S&P) indices net of foreign withholding taxes on dividends. Copyright S&P, 2020. All rights reserved. Dow Jones and S&P have different REIT eligibility criteria which can result in performance differences across different indices representing the same region.

For Portfolios investing in non-U.S. REITs and REIT-like securities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios 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, 2020, these differences did not have material overall impact on the Portfolios’ relative performance.

DFA International Real Estate Securities Portfolio

The DFA International Real Estate Securities Portfolio invests in a broadly diversified portfolio of real estate securities in developed ex U.S. and emerging markets. As of October 31, 2020, the Portfolio held approximately 290 securities in 21 eligible developed ex U.S. and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -23.98% for the Portfolio and -24.67% for the S&P Global ex US REIT Index (net dividends), the Portfolio’s benchmark. Withholding tax rate differences between the Portfolio and the benchmark had a positive impact on performance relative to the benchmark as the Portfolio’s actual tax rate was lower than the assumed tax rates of the benchmark. Additionally, Thailand is not an eligible market for the Portfolio but the benchmark holds Thai securities, which had a positive impact on relative performance as those securities underperformed.

 

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DFA Global Real Estate Securities Portfolio

The DFA Global Real Estate Securities Portfolio invests in a broadly diversified group of real estate securities in domestic and international markets, including emerging markets. As of the date of this report, the Portfolio’s investments included the DFA International Real Estate Securities Portfolio, the DFA Real Estate Securities Portfolio, and individual securities. As of October 31, 2020, the Portfolio held, either directly or through the underlying portfolios, approximately 450 securities in 22 eligible developed and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -19.28% for the Portfolio and -22.87% for the S&P Global REIT Index (net dividends), the Portfolio’s benchmark. The Portfolio’s broader inclusion of specialized REITs had a positive impact on performance relative to the benchmark as did withholding tax rate differences between the Portfolio and the benchmark.

 

International Equity Market Review    12 Months Ended October 31, 2020

Performance of non-U.S. developed markets was mostly negative for the period. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI World ex USA indices.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI World ex USA Index

     -6.79

MSCI World ex USA Mid Cap Index

     -3.83

MSCI World ex USA Small Cap Index

     -0.65

MSCI World ex USA Value Index

     -18.72

MSCI World ex USA Growth Index

     5.65

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against most non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.

12 Months Ended October 31, 2020

 

Ten Largest Foreign Developed Markets by Market Cap

   Local Return     Return in U.S. Dollars  

Japan

     -2.97     0.33

United Kingdom

     -22.19     -22.25

France

     -17.43     -13.79

Switzerland

     -4.37     2.95

Canada

     -4.70     -6.05

Germany

     -10.77     -6.84

 

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Australia

     -11.01     -9.29

Netherlands

     4.14     8.62

Hong Kong

     -8.06     -7.15

Sweden

     0.79     9.10

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

Emerging markets had mostly positive performance for the period, outperforming non-U.S. developed markets but underperforming the U.S. As measured by the MSCI Emerging Markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, underperformed large-cap stocks and small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI Emerging Markets indices.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI Emerging Markets Index

     8.25

MSCI Emerging Markets Mid Cap Index

     -3.22

MSCI Emerging Markets Small Cap Index

     2.39

MSCI Emerging Markets Value Index

     -8.47

MSCI Emerging Markets Growth Index

     25.97

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against some emerging markets currencies and appreciated against others. Overall, currency movements had a negative impact on the U.S. dollar denominated returns of emerging markets.

12 Months Ended October 31, 2020

 

Ten Largest Emerging Markets by Market Cap

   Local Return     Return in U.S.  

Dollars

            

China

     33.57     35.19

Taiwan

     18.86     26.49

Korea

     11.33     14.15

India

     1.83     -2.54

Brazil

     -11.13     -38.13

South Africa

     -6.49     -13.31

Saudi Arabia

     -0.90     -0.90

Russia

     -14.17     -29.27

Thailand

     -28.54     -30.77

Malaysia

     -6.02     -5.49

 

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Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios 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, 2020, these differences generally contributed positively to the Portfolios’ relative performance.

DFA International Small Cap Value Portfolio

The DFA International Small Cap Value Portfolio invests in small-cap value stocks in developed ex U.S. markets, with an emphasis on those with higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Portfolio held approximately 1,990 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -13.03% for the Portfolio and -0.65% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio’s benchmark. With low relative price (value) stocks underperforming high relative price (growth) stocks, the Portfolio’s focus on value stocks detracted from performance relative to the style-neutral benchmark. Conversely, the Portfolio’s exclusion of real estate investment trusts (REITs) had a positive impact on relative performance, as REITs generally underperformed in developed ex U.S. markets.

International Vector Equity Portfolio

The International Vector 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, lower relative price (value), and higher profitability. The Portfolio’s increased exposure to small capitalization and value stocks may be achieved by decreasing the allocation to or excluding the largest high relative price (growth) stocks in developed ex U.S. markets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Portfolio held approximately 4,700 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -8.41% for the Portfolio and -6.79% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s greater emphasis on low relative price (value) stocks detracted from performance relative to the benchmark, as value stocks underperformed high relative price (growth) stocks.

International High Relative Profitability Portfolio

The International High Relative Profitability Portfolio invests in developed ex U.S. large-cap stocks with higher profitability. The investment strategy is process driven, emphasizing broad diversification, with increased exposure to stocks with smaller total market capitalizations, lower

 

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relative price (value), and higher profitability within the large cap high relative profitability segment of developed ex U.S. markets. As of October 31, 2020, the Portfolio held approximately 530 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were 0.80% for the Portfolio and -6.79% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s focus on stocks with higher profitability contributed positively to performance relative to the benchmark, as higher-profitability stocks generally outperformed lower profitability stocks for the period. The Portfolio’s exclusion of real estate investment trusts (REITs) also had a positive impact on relative performance, as REITs generally underperformed in developed ex U.S. markets.

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. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Portfolio, directly and through the Underlying Funds, held approximately 5,320 securities in 44 eligible developed ex U.S. and emerging markets.

For the 12 months ended October 31, 2020, total returns were -15.76% for the Portfolio and -2.61% for the MSCI All Country World ex USA Index (net dividends), the Portfolio’s benchmark. The Underlying Funds’ focus on low relative price (value) stocks had a negative impact on performance relative to the style-neutral benchmark, as value stocks underperformed high relative price (growth) stocks globally.

World ex U.S. Core Equity Portfolio

The World ex U.S. Core Equity Portfolio invests in a broadly diversified group of stocks in developed ex U.S. and emerging markets with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Portfolio held approximately 9,820 securities in 46 eligible developed ex U.S. and emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -4.42% for the Portfolio and -2.61% for the MSCI All Country World ex USA Index (net dividends), the Portfolio’s benchmark. The Portfolio’s greater emphasis on low relative price (value) stocks detracted from performance relative to the benchmark, as value stocks underperformed high relative price (growth) stocks in developed ex U.S. and emerging markets. Conversely, the Portfolio’s exclusion of real estate investment trusts (REITs) contributed positively to performance, as REITs generally underperformed in developed ex U.S. and emerging markets.

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

 

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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, 2020, the Underlying Funds collectively held more than 13,230 equity securities in 47 eligible developed and emerging markets.

For the 12 months ended October 31, 2020, total returns were 1.25% for the Portfolio and 4.89% for the MSCI All Country World Index (net dividends), the Portfolio’s benchmark. With low relative price (value) stocks underperforming high relative price (growth) stocks globally, the Underlying Funds’ greater emphasis on value stocks had a negative impact on performance relative to the benchmark. With small-caps underperforming large-caps globally for the period, the Underlying Funds’ inclusion of and emphasis on small-cap stocks also detracted from performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks. Conversely, the Underlying Funds’ exclusion of real estate investment trusts (REITs) contributed positively to performance, as REITs generally underperformed.

Selectively Hedged Global Equity Portfolio

The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of other 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, 2020, the Underlying Funds collectively held approximately 13,270 securities in 47 eligible developed and emerging markets.

For the 12 months ended October 31, 2020, total returns were 0.47% for the Portfolio and 4.89% for the MSCI All Country World Index (net dividends), the Portfolio’s benchmark. With low relative price (value) stocks generally underperforming high relative price (growth) stocks globally, the Underlying Funds’ greater emphasis on value stocks had a negative impact on performance relative to the benchmark. With small-caps underperforming large-caps globally for the period, the Underlying Funds’ inclusion of and emphasis on small-cap stocks also detracted from performance relative to the benchmark (which is composed primarily of large- and mid-cap stocks). The Portfolio’s strategy of selectively hedging foreign currency exposure detracted from performance relative to the benchmark (which does not hedge currency exposure), as the U.S. dollar generally weakened against the currencies to which the Portfolio had hedged its exposure.

Emerging Markets Portfolio

The Emerging Markets Portfolio invests in large-cap stocks in emerging markets 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 with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher-profitability within the large-cap segment of emerging markets. As of October 31, 2020, the Master Fund held approximately 1,610 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were 2.36% for the Portfolio and 8.25% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. The Master Fund’s greater emphasis on low relative price (value) stocks had a negative impact on performance

 

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relative to the benchmark, as value stocks underperformed high relative price (growth) stocks in emerging markets for the period. The Master Fund’s greater allocation to stocks with smaller market capitalizations within the large cap universe also detracted from relative performance, as these stocks underperformed their larger counterparts for the period.

Emerging Markets Small Cap Portfolio

The Emerging Markets Small Cap Portfolio invests in small company stocks in 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 generally excludes stocks with the lowest profitability and highest relative price. The Master Fund’s investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Master Fund held approximately 4,550 securities in 21 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were 0.81% for the Portfolio and 8.25% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. With small-cap stocks underperforming large-cap stocks in emerging markets, the Master Fund’s inclusion of stocks with smaller market capitalizations detracted from performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.

Emerging Markets Value Portfolio

The Emerging Markets Value Portfolio invests in value stocks of large and small companies in emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher profitability within the value segment of emerging markets. As of October 31, 2020, the Master Fund held approximately 2,870 securities in 22 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were -9.98% for the Portfolio’s Class R2 shares, -9.75% for the Portfolio’s Institutional Class shares, and 8.25% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. The Master Fund’s focus on low relative price (value) stocks had a negative impact on performance relative to the style-neutral benchmark, as value stocks underperformed high relative price (growth) stocks in emerging markets for the period. With small-cap stocks underperforming large-cap stocks, the Master Fund’s inclusion of small-caps also detracted from performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.

Emerging Markets Core Equity Portfolio

The Emerging Markets Core Equity Portfolio invests in a broadly diversified group of stocks in emerging markets, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Portfolio held approximately 5,600 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

 

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For the 12 months ended October 31, 2020, total returns were 1.13% for the Portfolio and 8.25% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. With low relative price (value) stocks underperforming high relative price (growth) stocks, the Portfolio’s greater emphasis value stocks detracted from performance relative to the benchmark. With small-cap stocks underperforming large-cap stocks in emerging markets for the period, the Portfolio’s inclusion of and emphasis on small-caps also had a negative impact on relative performance, which is composed primarily of large- and mid-cap stocks.

Emerging Markets Targeted Value Portfolio

The Emerging Markets Targeted Value Portfolio invests in value stocks of small- and mid-cap companies in emerging markets. The investment strategy is process driven, emphasizing broad diversification with increased exposure to smaller total market capitalizations, lower relative price (value) stocks, and higher-profitability stocks within the small- and mid-cap value segment of emerging markets. As of October 31, 2020, the Portfolio held approximately 2,180 securities in 21 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Portfolio’s assets.

For the 12 months ended October 31, 2020, total returns were -3.89% for the Portfolio and 8.25% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. The Portfolio’s focus on low relative price (value) stocks had a negative impact on performance relative to the style-neutral benchmark, as value stocks underperformed high relative price (growth) stocks in emerging markets for the period. With small-cap and mid-cap stocks underperforming large-cap stocks, the Portfolio’s focus on small- and mid-cap stocks also detracted from relative performance, which is composed primarily of large- and mid-cap stocks.

 

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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 and 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” reflects 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, 2020

EXPENSE TABLES

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

Large Cap International Portfolio

          

Actual Fund Return

     $1,000.00        $1,104.70        0.22     $1.16  

Hypothetical 5% Annual Return

     $1,000.00        $1,024.03        0.22     $1.12  

International Core Equity Portfolio

          

Actual Fund Return

     $1,000.00        $1,126.60        0.30     $1.60  

Hypothetical 5% Annual Return

     $1,000.00        $1,023.63        0.30     $1.53  

 

28


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

Global Small Company Portfolio (2)

          

Actual Fund Return

     $1,000.00        $1,168.00        0.47     $2.56  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.77        0.47     $2.39  

International Small Company Portfolio (2)

          

Actual Fund Return

     $1,000.00        $1,151.90        0.53     $2.87  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.47        0.53     $2.69  

Japanese Small Company Portfolio (3)

          

Actual Fund Return

     $1,000.00        $1,136.50        0.54     $2.90  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.42        0.54     $2.75  

Asia Pacific Small Company Portfolio (3)

          

Actual Fund Return

     $1,000.00        $1,219.30        0.54     $3.01  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.42        0.54     $2.75  

United Kingdom Small Company Portfolio (3)

          

Actual Fund Return

     $1,000.00        $1,075.60        0.59     $3.08  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.17        0.59     $3.00  

Continental Small Company Portfolio (3)

          

Actual Fund Return

     $1,000.00        $1,157.80        0.54     $2.93  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.42        0.54     $2.75  

DFA International Real Estate Securities Portfolio

          

Actual Fund Return

     $1,000.00        $1,056.00        0.26     $1.34  

Hypothetical 5% Annual Return

     $1,000.00        $1,023.83        0.26     $1.32  

DFA Global Real Estate Securities Portfolio (4)

          

Actual Fund Return

     $1,000.00        $1,025.70        0.24     $1.22  

Hypothetical 5% Annual Return

     $1,000.00        $1,023.93        0.24     $1.22  

DFA International Small Cap Value Portfolio

          

Actual Fund Return

     $1,000.00        $1,100.90        0.65     $3.43  

Hypothetical 5% Annual Return

     $1,000.00        $1,021.87        0.65     $3.30  

International Vector Equity Portfolio

          

Actual Fund Return

     $1,000.00        $1,126.60        0.47     $2.51  

Hypothetical 5% Annual Return

     $1,000.00        $1,022.77        0.47     $2.39  

International High Relative Profitability Portfolio

          

Actual Fund Return

     $1,000.00        $1,129.50        0.30     $1.61  

Hypothetical 5% Annual Return

     $1,000.00        $1,023.63        0.30     $1.53  

 

29


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

World ex U.S. Value Portfolio (2)

          

Actual Fund Return

   $ 1,000.00      $ 1,088.70        0.40   $ 2.10  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.13        0.40   $ 2.03  

World ex U.S. Core Equity Portfolio

          

Actual Fund Return

   $ 1,000.00      $ 1,143.60        0.35   $ 1.89  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.38        0.35   $ 1.78  

World Core Equity Portfolio (2)

          

Actual Fund Return

   $ 1,000.00      $ 1,147.60        0.32   $ 1.73  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.53        0.32   $ 1.63  

Selectively Hedged Global Equity Portfolio (2)

          

Actual Fund Return

   $ 1,000.00      $ 1,140.70        0.36   $ 1.94  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.33        0.36   $ 1.83  

Emerging Markets Portfolio (3)

          

Actual Fund Return

   $ 1,000.00      $ 1,194.00        0.44   $ 2.43  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,022.93        0.44   $ 2.24  

Emerging Markets Small Cap Portfolio (3)

          

Actual Fund Return

   $ 1,000.00      $ 1,220.00        0.69   $ 3.85  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,021.67        0.69   $ 3.51  

Emerging Markets Value Portfolio (3)

          

Actual Fund Return

          

Class R2 Shares

   $ 1,000.00      $ 1,116.60        0.77   $ 4.10  

Institutional Class Shares

   $ 1,000.00      $ 1,117.90        0.52   $ 2.77  

Hypothetical 5% Annual Return

          

Class R2 Shares

   $ 1,000.00      $ 1,021.27        0.77   $ 3.91  

Institutional Class Shares

   $ 1,000.00      $ 1,022.52        0.52   $ 2.64  

Emerging Markets Core Equity Portfolio

          

Actual Fund Return

   $ 1,000.00      $ 1,196.90        0.49   $ 2.71  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,022.67        0.49   $ 2.49  

Emerging Markets Targeted Value Portfolio

          

Actual Fund Return

   $ 1,000.00      $ 1,191.40        0.84   $ 4.63  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,020.91        0.84   $ 4.27  

 

(1)

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.

 

30


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

(2)

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).

 

(3)

The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the allocation of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company).

 

(4)

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 Master and/or Underlying Funds (Affiliated Investment Companies).

 

31


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 as an exhibit to their reports on Form N-PORT. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-PORT with the SEC on September 29, 2020. They are available upon request,, without charge, by calling collect: (512) 306- 7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

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; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this 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 in 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  

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

FUNDS OF FUNDS

 

     Affiliated Investment Companies  

Global Small Company Portfolio

     100.0

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

 

32


DISCLOSURE OF PORTFOLIO HOLDINGS

CONTINUED

 

INTERNATIONAL EQUITY PORTFOLIOS

 

Large Cap International Portfolio  

Communication Services

     6.5

Consumer Discretionary

     12.9

Consumer Staples

     11.2

Energy

     3.6

Financials

     14.4

Health Care

     11.7

Industrials

     16.1

Information Technology

     7.8

Materials

     10.2

Real Estate

     1.8

Utilities

     3.8
  

 

 

 
     100.0

 

DFA Global Real Estate Securities Portfolio  

Affiliated Investment Companies

     45.9

Real Estate

     54.1
  

 

 

 
     100.0

 

 

 

 

International High Relative Profitability
Portfolio
 

Communication Services

     10.2

Consumer Discretionary

     15.4

Consumer Staples

     14.3

Energy

     1.4

Financials

     4.7

Health Care

     14.4

Industrials

     18.4

Information Technology

     8.8

Materials

     9.4

Real Estate

     0.7

Utilities

     2.3
  

 

 

 
     100.0

 

Emerging Markets Targeted Value

Portfolio

 

Communication Services

     4.2

Consumer Discretionary

     11.6

Consumer Staples

     4.4

Energy

     2.8

Financials

     14.6

Health Care

     4.8

Industrials

     17.0

Information Technology

     13.2

Materials

     17.2

Real Estate

     8.4

Utilities

     1.8
  

 

 

 
     100.0
International Core Equity Portfolio  

Communication Services

     6.2

Consumer Discretionary

     14.4

Consumer Staples

     8.5

Energy

     3.6

Financials

     13.8

Health Care

     7.8

Industrials

     18.7

Information Technology

     7.7

Materials

     13.1

Real Estate

     2.7

Utilities

     3.5
  

 

 

 
     100.0

 

DFA International Small Cap Value Portfolio  

Communication Services

     2.7

Consumer Discretionary

     14.4

Consumer Staples

     4.8

Energy

     5.0

Financials

     20.3

Health Care

     2.7

Industrials

     24.1

Information Technology

     3.7

Materials

     17.2

Real Estate

     3.7

Utilities

     1.4
  

 

 

 
     100.0

 

World ex U.S. Core Equity Portfolio  

Communication Services

     6.9

Consumer Discretionary

     13.9

Consumer Staples

     8.1

Energy

     4.1

Financials

     14.3

Health Care

     6.8

Industrials

     15.8

Information Technology

     11.2

Materials

     12.0

Real Estate

     3.7

Utilities

     3.2
  

 

 

 
     100.0
DFA International Real Estate Securities
Portfolio
 

Real Estate

     100.0
  

 

 

 
     100.0

 

 

 

 

International Vector Equity Portfolio  

Communication Services

     5.1

Consumer Discretionary

     14.2

Consumer Staples

     6.5

Energy

     4.5

Financials

     16.9

Health Care

     5.6

Industrials

     21.1

Information Technology

     7.2

Materials

     13.7

Real Estate

     2.9

Utilities

     2.3
  

 

 

 
     100.0

 

Emerging Markets Core Equity Portfolio  

Communication Services

     10.6

Consumer Discretionary

     13.8

Consumer Staples

     6.5

Energy

     4.8

Financials

     15.2

Health Care

     4.0

Industrials

     7.7

Information Technology

     20.2

Materials

     10.2

Real Estate

     4.2

Utilities

     2.8
  

 

 

 
     100.0
 

 

33


LARGE CAP INTERNATIONAL PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

    

Shares

    

Value»

    

Percentage
of Net Assets‡

 

COMMON STOCKS — (95.9%)

        

AUSTRALIA — (5.9%)

        

BHP Group, Ltd.

     842,811      $ 20,203,550        0.4

Commonwealth Bank of Australia

     470,347        22,836,066        0.5

CSL, Ltd.

     137,898        27,918,453        0.6

Other Securities

        212,542,899        4.5
     

 

 

    

 

 

 

TOTAL AUSTRALIA

        283,500,968        6.0
     

 

 

    

 

 

 

AUSTRIA — (0.1%)

        

Other Securities

        4,826,219        0.1
     

 

 

    

 

 

 

BELGIUM — (0.9%)

        

Anheuser-Busch InBev SA

     265,831        13,750,419        0.3

Other Securities

        27,813,601        0.6
     

 

 

    

 

 

 

TOTAL BELGIUM

        41,564,020        0.9
     

 

 

    

 

 

 

CANADA — (8.9%)

        

Canadian National Railway Co.

     149,760        14,877,082        0.3

#   Royal Bank of Canada

     335,579        23,465,090        0.5

Royal Bank of Canada

     216,240        15,134,638        0.3

Other Securities

        378,134,979        8.1
     

 

 

    

 

 

 

TOTAL CANADA

        431,611,789        9.2
     

 

 

    

 

 

 

DENMARK — (2.5%)

        

Novo Nordisk A.S., Class B

     541,515        34,530,047        0.7

Other Securities

        86,377,814        1.9
     

 

 

    

 

 

 

TOTAL DENMARK

        120,907,861        2.6
     

 

 

    

 

 

 

FINLAND — (1.3%)

        

Other Securities

        61,160,733        1.3
     

 

 

    

 

 

 

FRANCE — (9.0%)

        

Air Liquide SA

     137,694        20,136,133        0.4

*   Airbus SE

     183,285        13,410,237        0.3

Kering SA

     22,325        13,491,357        0.3

L’Oreal SA

     53,362        17,245,813        0.4

LVMH Moet Hennessy Louis Vuitton SE

     92,526        43,371,349        0.9

Sanofi

     214,267        19,346,883        0.4

Schneider Electric SE

     136,443        16,578,700        0.4

Total SE

     608,182        18,425,913        0.4

Vinci SA

     172,107        13,593,883        0.3

Other Securities

        260,675,632        5.5
     

 

 

    

 

 

 

TOTAL FRANCE

        436,275,900        9.3
     

 

 

    

 

 

 

GERMANY — (6.7%)

        

*   Adidas AG

     48,528        14,417,905        0.3

Daimler AG

     270,117        13,961,939        0.3

Deutsche Post AG

     337,563        14,966,861        0.3

Deutsche Telekom AG

     1,271,712        19,328,430        0.4

SAP SE

     248,559        26,517,412        0.6

Siemens AG

     130,592        15,320,535        0.3

 

34


LARGE CAP INTERNATIONAL PORTFOLIO

CONTINUED

 

    

Shares

    

Value»

    

Percentage
of Net Assets‡

 

GERMANY — (Continued)

        

Other Securities

      $ 217,140,799        4.6
     

 

 

    

 

 

 

TOTAL GERMANY

        321,653,881        6.8
     

 

 

    

 

 

 

HONG KONG — (2.6%)

        

AIA Group, Ltd.

     3,249,000        30,921,296        0.7

Hong Kong Exchanges & Clearing, Ltd.

     349,451        16,745,240        0.4

Other Securities

        75,698,724        1.5
     

 

 

    

 

 

 

TOTAL HONG KONG

        123,365,260        2.6
     

 

 

    

 

 

 

IRELAND — (0.8%)

        

Other Securities

        40,195,468        0.9
     

 

 

    

 

 

 

ISRAEL — (0.4%)

        

Other Securities

        21,843,158        0.5
     

 

 

    

 

 

 

ITALY — (2.0%)

        

Enel SpA

     2,271,536        18,059,853        0.4

Other Securities

        77,883,513        1.6
     

 

 

    

 

 

 

TOTAL ITALY

        95,943,366        2.0
     

 

 

    

 

 

 

JAPAN — (23.9%)

        

Daikin Industries, Ltd.

     74,200        13,885,285        0.3

KDDI Corp.

     742,300        20,082,919        0.4

Keyence Corp.

     32,904        14,932,575        0.3

Nintendo Co., Ltd.

     30,500        16,491,007        0.4

NTT DOCOMO, Inc.

     481,328        17,922,340        0.4

Recruit Holdings Co., Ltd.

     399,800        15,212,648        0.3

SoftBank Group Corp.

     306,176        19,942,398        0.4

Sony Corp.

     401,800        33,496,629        0.7

Toyota Motor Corp.

     608,523        39,947,641        0.9

#   Toyota Motor Corp., Sponsored ADR

     65,041        8,539,233        0.2

Other Securities

        953,957,225        20.3
     

 

 

    

 

 

 

TOTAL JAPAN

        1,154,409,900        24.6
     

 

 

    

 

 

 

NETHERLANDS — (3.7%)

        

ASML Holding NV

     72,895        26,330,403        0.6

Koninklijke Ahold Delhaize NV

     597,549        16,382,264        0.3

#   Unilever NV

     268,265        15,123,100        0.3

Wolters Kluwer NV

     167,575        13,567,988        0.3

Other Securities

        107,630,980        2.3
     

 

 

    

 

 

 

TOTAL NETHERLANDS

        179,034,735        3.8
     

 

 

    

 

 

 

NEW ZEALAND — (0.4%)

        

Other Securities

        21,045,262        0.4
     

 

 

    

 

 

 

NORWAY — (0.6%)

        

Other Securities

        29,464,155        0.6
     

 

 

    

 

 

 

PORTUGAL — (0.2%)

        

Other Securities

        7,487,329        0.2
     

 

 

    

 

 

 

 

35


LARGE CAP INTERNATIONAL PORTFOLIO

CONTINUED

 

    

Shares

    

Value»

   

Percentage
of Net Assets‡

 

SINGAPORE — (0.7%)

       

Other Securities

      $ 35,939,775       0.8
     

 

 

   

 

 

 

SPAIN — (2.0%)

       

Iberdrola SA

     2,077,556        24,530,901       0.5

Other Securities

        70,289,852       1.5
     

 

 

   

 

 

 

TOTAL SPAIN

        94,820,753       2.0
     

 

 

   

 

 

 

SWEDEN — (3.0%)

       

Other Securities

        144,946,428       3.1
     

 

 

   

 

 

 

SWITZERLAND — (8.2%)

       

Nestle SA

     915,482        102,971,482       2.2

Novartis AG

     448,358        34,937,212       0.7

Roche Holding AG

     8,668        2,792,840       0.1

Roche Holding AG

     227,381        73,064,642       1.6

Other Securities

        182,878,074       3.8
     

 

 

   

 

 

 

TOTAL SWITZERLAND

        396,644,250       8.4
     

 

 

   

 

 

 

UNITED KINGDOM — (12.1%)

       

AstraZeneca P.L.C.

     141,555        14,212,896       0.3

AstraZeneca P.L.C., Sponsored ADR

     570,883        28,635,491       0.6

Diageo P.L.C., Sponsored ADR

     105,239        13,700,013       0.3

Reckitt Benckiser Group P.L.C.

     172,565        15,200,993       0.3

#   Rio Tinto P.L.C., Sponsored ADR

     267,962      15,212,203     0.3 %

Royal Dutch Shell P.L.C., Sponsored ADR, Class B

     837,467        20,224,828       0.4

#   Unilever P.L.C., Sponsored ADR

     274,641      15,607,848     0.3 %

Other Securities

        460,143,761       9.9
     

 

 

   

 

 

 

TOTAL UNITED KINGDOM

        582,938,033       12.4
     

 

 

   

 

 

 

TOTAL COMMON STOCKS

        4,629,579,243       98.5
     

 

 

   

 

 

 

PREFERRED STOCKS — (0.5%)

       

GERMANY — (0.5%)

       

Other Securities

        22,490,733       0.5
     

 

 

   

 

 

 

RIGHTS/WARRANTS — (0.0%)

       

UNITED KINGDOM — (0.0%)

       

Other Security

        588,083       0.0
     

 

 

   

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $3,983,423,495)

        4,652,658,059    
     

 

 

   
        Value†    
     

 

 

   

SECURITIES LENDING COLLATERAL — (3.6%)

       

@§ The DFA Short Term Investment Fund

     15,069,216        174,365,896       3.7
     

 

 

   

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $4,157,749,800)

      $ 4,827,023,955       102.7
     

 

 

   

 

 

 

 

36


LARGE CAP INTERNATIONAL PORTFOLIO

CONTINUED

 

As of October 31, 2020, Large Cap International Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     267        12/18/20      $ 44,330,250      $ 43,583,745      $ (746,505
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 44,330,250      $ 43,583,745      $ (746,505
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 5,609,966      $ 277,891,002        —        $ 283,500,968  

Austria

     —          4,826,219        —          4,826,219  

Belgium

     606,184        40,957,836        —          41,564,020  

Canada

     427,847,340        3,764,449        —          431,611,789  

Denmark

     3,864,514        117,043,347        —          120,907,861  

Finland

     46,937        61,113,796        —          61,160,733  

France

     4,836,531        431,439,369        —          436,275,900  

Germany

     14,457,718        307,196,163        —          321,653,881  

Hong Kong

     550,272        122,814,988        —          123,365,260  

Ireland

     13,125,467        27,070,001        —          40,195,468  

Israel

     6,403,851        15,439,307        —          21,843,158  

Italy

     6,104,440        89,838,926        —          95,943,366  

Japan

     21,314,917        1,133,094,983        —          1,154,409,900  

Netherlands

     48,313,641        130,721,094        —          179,034,735  

New Zealand

     —          21,045,262        —          21,045,262  

Norway

     52,140        29,412,015        —          29,464,155  

Portugal

     —          7,487,329        —          7,487,329  

Singapore

     —          35,939,775        —          35,939,775  

Spain

     2,514,115        92,306,638        —          94,820,753  

Sweden

     —          144,946,428        —          144,946,428  

Switzerland

     28,278,388        368,365,862        —          396,644,250  

United Kingdom

     167,773,824        415,164,209        —          582,938,033  

Preferred Stocks

           

Germany

     —          22,490,733        —          22,490,733  

Rights/Warrants

           

United Kingdom

     —          588,083        —          588,083  

Securities Lending Collateral

     —          174,365,896        —          174,365,896  

Futures Contracts**

     (746,505      —          —          (746,505
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 750,953,740      $ 4,075,323,710        —        $ 4,826,277,450  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

37


INTERNATIONAL CORE EQUITY PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (95.1%)

        

AUSTRALIA — (6.5%)

        
   BHP Group, Ltd.      4,074,214      $ 97,665,537        0.4
   Commonwealth Bank of Australia      1,042,706        50,624,971        0.2
   CSL, Ltd.      345,823        70,014,383        0.3
   Fortescue Metals Group, Ltd.      5,968,860        73,019,990        0.3
   Rio Tinto, Ltd.      692,143        45,026,569        0.2
   Other Securities         1,338,836,051        5.3
        

 

 

    

 

 

 

TOTAL AUSTRALIA

        1,675,187,501        6.7
     

 

 

    

 

 

 

AUSTRIA — (0.4%)

        
   Other Securities         113,638,061        0.5
        

 

 

    

 

 

 

BELGIUM — (1.1%)

        

#   

  

Anheuser-BuschInBev SA

     913,054        47,228,786        0.2
   Other Securities         241,815,922        1.0
        

 

 

    

 

 

 

TOTAL BELGIUM

        289,044,708        1.2
     

 

 

    

 

 

 

CANADA — (9.1%)

        

#   

  

Bankof Montreal

     835,441        49,683,676        0.2
   Canadian Natural Resources, Ltd.      2,874,569        45,849,376        0.2
   Kinross Gold Corp.      8,338,438        66,341,997        0.3

#   

  

KirklandLake Gold, Ltd.

     1,396,348        63,618,056        0.3

#   

  

NationalBank of Canada

     1,008,670        48,408,286        0.2
   Royal Bank of Canada      858,381        60,021,597        0.3
   Royal Bank of Canada      1,068,243        74,766,328        0.3
   Other Securities         1,950,972,681        7.7
        

 

 

    

 

 

 

TOTAL CANADA

        2,359,661,997        9.5
     

 

 

    

 

 

 

CHINA — (0.0%)

        
   Other Securities         243,369        0.0
        

 

 

    

 

 

 

DENMARK — (2.2%)

        
   Novo Nordisk A.S., Class B      891,477        56,845,596        0.2
   Other Securities         510,565,789        2.1
        

 

 

    

 

 

 

TOTAL DENMARK

        567,411,385        2.3
     

 

 

    

 

 

 

FINLAND — (1.7%)

        
   Other Securities         442,698,184        1.8
        

 

 

    

 

 

 

FRANCE — (7.4%)

        
   Cie Generale des Etablissements Michelin SCA      610,972        65,985,567        0.3

#*   

  

IngenicoGroup SA

     328,454        47,223,576        0.2
   LVMH Moet Hennessy Louis Vuitton SE      248,440        116,455,677        0.5
   Orange SA      4,330,858        48,633,895        0.2

*   

  

PeugeotSA

     3,367,636        60,496,910        0.3
   Teleperformance      180,912        54,306,679        0.2
   Total SE      2,092,369        63,391,894        0.3
   Vinci SA      563,434        44,502,872        0.2
   Other Securities         1,422,100,701        5.5
        

 

 

    

 

 

 

TOTAL FRANCE

        1,923,097,771        7.7
     

 

 

    

 

 

 

 

38


INTERNATIONAL CORE EQUITY PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

GERMANY — (6.2%)

        
   Allianz SE      283,403      $ 49,922,740        0.2
   Bayerische Motoren Werke AG      951,135        64,999,355        0.3
   Daimler AG      1,555,981        80,426,303        0.3
   Deutsche Telekom AG      5,414,362        82,291,521        0.3
   Other Securities         1,318,734,586        5.3
        

 

 

    

 

 

 

TOTAL GERMANY

        1,596,374,505        6.4
     

 

 

    

 

 

 

HONG KONG — (2.6%)

        
   AIA Group, Ltd.      7,285,200        69,334,512        0.3
   Other Securities         591,695,012        2.3
        

 

 

    

 

 

 

TOTAL HONG KONG

        661,029,524        2.6
     

 

 

    

 

 

 

IRELAND — (0.9%)

        

*   

  

KingspanGroup P.L.C.

     619,289        54,044,888        0.2
   Other Securities         172,489,751        0.7
        

 

 

    

 

 

 

TOTAL IRELAND

        226,534,639        0.9
     

 

 

    

 

 

 

ISRAEL — (0.7%)

        
   Other Securities         179,073,078        0.7
        

 

 

    

 

 

 

ITALY — (2.3%)

        
   Other Securities         582,554,463        2.3
        

 

 

    

 

 

 

JAPAN — (24.2%)

        
   KDDI Corp.      2,158,400        58,395,489        0.3
   NTT DOCOMO, Inc.      1,433,300        53,369,200        0.2
   SoftBank Group Corp.      2,506,763        163,274,904        0.7
   Sony Corp.      1,141,000        95,121,089        0.4
   Toyota Motor Corp.      2,411,895        158,333,397        0.7
   Other Securities         5,723,037,846        22.7
        

 

 

    

 

 

 

TOTAL JAPAN

        6,251,531,925        25.0
     

 

 

    

 

 

 

NETHERLANDS — (3.4%)

        
   ASML Holding NV      180,590        65,230,914        0.3
   Koninklijke Ahold Delhaize NV      3,769,401        103,341,020        0.4

#   

  

UnileverNV

     796,683        44,911,995        0.2
   Wolters Kluwer NV      580,125        46,970,784        0.2
   Other Securities         622,506,743        2.4
        

 

 

    

 

 

 

TOTAL NETHERLANDS.

        882,961,456        3.5
     

 

 

    

 

 

 

NEW ZEALAND — (0.6%)

        
   Other Securities         142,882,517        0.6
        

 

 

    

 

 

 

NORWAY — (0.8%)

        
   Other Securities         198,746,127        0.8
        

 

 

    

 

 

 

PORTUGAL — (0.2%)

        
   Other Securities         55,136,064        0.2
        

 

 

    

 

 

 

SINGAPORE — (0.8%)

        
   Other Securities         218,169,590        0.9
        

 

 

    

 

 

 

 

39


INTERNATIONAL CORE EQUITY PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

SPAIN — (1.8%)

        
   Iberdrola SA      8,110,077      $ 95,760,355        0.4
   Other Securities         368,610,393        1.5
        

 

 

    

 

 

 

TOTAL SPAIN

        464,370,748        1.9
        

 

 

    

 

 

 

SWEDEN — (3.0%)

        

*   

  

VolvoAB, Class B

     2,990,796        58,132,667        0.2
   Other Securities         721,724,686        2.9
        

 

 

    

 

 

 

TOTAL SWEDEN

        779,857,353        3.1
        

 

 

    

 

 

 

SWITZERLAND — (7.2%)

        
   Nestle SA      2,748,677        309,165,386        1.2
   Novartis AG, Sponsored ADR      953,193        74,425,309        0.3
   Roche Holding AG      634,350        203,836,537        0.8
   Sika AG      258,120        63,498,747        0.3
   Swisscom AG      97,290        49,481,777        0.2
   Other Securities         1,165,742,631        4.7
        

 

 

    

 

 

 

TOTAL SWITZERLAND

        1,866,150,387        7.5
        

 

 

    

 

 

 

UNITED KINGDOM — (12.0%)

        
   AstraZeneca P.L.C., Sponsored ADR      1,444,584        72,460,333        0.3

#   

   BP P.L.C., Sponsored ADR      3,919,514        60,674,077        0.3

#   

   HSBC Holdings P.L.C., Sponsored ADR      3,163,564        66,371,573        0.3

#   

   Rio Tinto P.L.C., Sponsored ADR      1,793,636        101,824,716        0.4
   Royal Dutch Shell P.L.C., Sponsored ADR, Class B      3,281,476        79,247,645        0.3
   Other Securities         2,726,170,961        10.8
        

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        3,106,749,305        12.4
        

 

 

    

 

 

 

UNITED STATES — (0.0%)

        
   Other Security         117,462        0.0
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        24,583,222,119        98.5
        

 

 

    

 

 

 

PREFERRED STOCKS — (0.6%)

        

GERMANY — (0.6%)

        
   Volkswagen AG      486,012        70,794,485        0.3
   Other Securities         89,603,134        0.3
        

 

 

    

 

 

 

TOTAL GERMANY

        160,397,619        0.6
        

 

 

    

 

 

 

UNITED KINGDOM — (0.0%)

        
   Other Security         12,071        0.0
        

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        160,409,690        0.6
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.1%)

        

CANADA — (0.0%)

        
   Other Securities         2,385,955        0.0
        

 

 

    

 

 

 

SPAIN — (0.0%)

        
   Other Security         290,076        0.0
        

 

 

    

 

 

 

 

40


INTERNATIONAL CORE EQUITY PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

UNITED KINGDOM — (0.1%)

        
   Other Security       $ 2,836,103        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        5,512,134        0.0
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $23,838,375,268)

        24,749,143,943     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (4.2%)

        

@§ 

   The DFA Short Term Investment Fund      94,632,109        1,094,988,135        4.4
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $24,933,131,946)

      $ 25,844,132,078        103.5
        

 

 

    

 

 

 

As of October 31, 2020, International Core Equity Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     652        12/18/20      $ 108,289,939      $ 106,429,220      $ (1,860,719
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 108,289,939      $ 106,429,220      $ (1,860,719
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 38,590,121      $  1,636,597,380        —        $  1,675,187,501  

Austria

     55,818        113,582,243        —          113,638,061  

Belgium

     9,045,156        279,999,552        —          289,044,708  

Canada

     2,348,574,831        11,087,166        —          2,359,661,997  

China

     —          243,369        —          243,369  

Denmark

     38,032,631        529,378,754        —          567,411,385  

Finland

     —          442,698,184        —          442,698,184  

France

     45,130,248        1,877,967,523        —          1,923,097,771  

Germany

     54,985,991        1,541,388,514        —          1,596,374,505  

Hong Kong

     964,267        660,065,257        —          661,029,524  

Ireland

     34,909,293        191,625,346        —          226,534,639  

Israel

     22,365,640        156,707,438        —          179,073,078  

Italy

     15,229,693        567,324,770        —          582,554,463  

Japan

     111,709,398        6,139,822,527        —          6,251,531,925  

Netherlands

     129,788,011        753,173,445        —          882,961,456  

New Zealand

     293,531        142,588,986        —          142,882,517  

Norway

     7,664,119        191,082,008        —          198,746,127  

Portugal

     357,219        54,778,845        —          55,136,064  

Singapore

     6,849        218,162,741        —          218,169,590  

Spain

     3,884,358        460,486,390        —          464,370,748  

Sweden

     2,457,196        777,400,157        —          779,857,353  

Switzerland

     142,178,837        1,723,971,550        —          1,866,150,387  

 

41


INTERNATIONAL CORE EQUITY PORTFOLIO

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

United Kingdom

   $ 599,111,609      $ 2,507,637,696        —        $ 3,106,749,305  

United States

     —          117,462        —          117,462  

Preferred Stocks

           

Germany

     —          160,397,619        —          160,397,619  

United Kingdom

     —          12,071        —          12,071  

Rights/Warrants

           

Canada

     —          2,385,955        —          2,385,955  

Spain

     —          290,076        —          290,076  

United Kingdom

     —          2,836,103        —          2,836,103  

Securities Lending Collateral

     —          1,094,988,135        —          1,094,988,135  

Futures Contracts**

     (1,860,719      —          —          (1,860,719
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 3,603,474,097      $ 22,238,797,262        —        $ 25,842,271,359  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

42


GLOBAL SMALL COMPANY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Shares      Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

     

Investment in U.S. Small Cap Portfolio of DFA Investment Dimensions Group Inc

     803,093      $ 24,895,890  

Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company

        5,733,151  

Investment in The Continental Small Company Series of The DFA Investment Trust Company

        5,130,613  

Investment in The Japanese Small Company Series of The DFA Investment Trust Company

        3,180,392  

Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company

        1,853,536  

Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company

        1,503,122  

Investment in The Canadian Small Company Series of The DFA Investment Trust Company

        1,417,491  
     

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $43,969,799)

      $ 43,714,195  
     

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 43,714,195        —          —        $ 43,714,195  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 43,714,195        —          —        $ 43,714,195  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

43


INTERNATIONAL SMALL COMPANY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The Continental Small Company Series of The DFA Investment Trust Company

   $ 4,057,689,728  

Investment in The Japanese Small Company Series of The DFA Investment Trust Company

     2,472,938,534  

Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company

     1,457,035,142  

Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company

     1,146,647,138  

Investment in The Canadian Small Company Series of The DFA Investment Trust Company

     946,466,202  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 10,080,776,744  
  

 

 

 

As of October 31, 2020, International Small Company Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     475        12/18/20      $ 78,811,800      $ 77,536,625      $ (1,275,175
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 78,811,800      $ 77,536,625      $ (1,275,175
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 10,080,776,744        —          —        $ 10,080,776,744  

Futures Contracts**

     (1,275,175      —          —          (1,275,175
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 10,079,501,569        —          —        $ 10,079,501,569  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

** 

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

44


JAPANESE SMALL COMPANY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The Japanese Small Company Series of The DFA Investment Trust Company

   $ 467,034,485  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 467,034,485  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

45


ASIA PACIFIC SMALL COMPANY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company

   $ 378,863,871  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 378,863,871  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

46


UNITED KINGDOM SMALL COMPANY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company

   $ 16,892,837  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 16,892,837  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

47


CONTINENTAL SMALL COMPANY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The Continental Small Company Series of The DFA Investment Trust Company

   $ 539,124,853  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 539,124,853  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

48


DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (92.3%)

        

AUSTRALIA — (18.0%)

        
   Charter Hall Group      5,431,397      $ 47,093,077        1.0%  
   Dexus      12,475,576        75,477,814        1.6%  
   Goodman Group      19,072,383        246,856,800        5.3%  
   GPT Group (The)      22,487,604        63,690,549        1.4%  
   Mirvac Group      44,833,141        66,486,256        1.4%  
   Scentre Group      58,622,741        86,510,715        1.9%  
   Stockland      26,589,291        71,899,618        1.6%  
   Vicinity Centres      46,119,137        39,192,370        0.8%  
   Other Securities         197,503,160        4.3%  
        

 

 

    

 

 

 

TOTAL AUSTRALIA

        894,710,359        19.3%  
        

 

 

    

 

 

 

BELGIUM — (3.7%)

        
   Aedifica SA      385,213        38,821,693        0.8%  
   Cofinimmo SA      312,909        42,526,465        0.9%  
   Warehouses De Pauw CVA      1,641,998        55,012,302        1.2%  
   Other Securities         46,259,727        1.0%  
        

 

 

    

 

 

 

TOTAL BELGIUM

        182,620,187        3.9%  
        

 

 

    

 

 

 

CANADA — (4.7%)

        

#

   Canadian Apartment Properties REIT      1,000,265        32,155,933        0.7%  
   Other Securities         201,961,130        4.3%  
        

 

 

    

 

 

 

TOTAL CANADA

        234,117,063        5.0%  
        

 

 

    

 

 

 

CHINA — (0.2%)

        
   Other Securities         10,478,775        0.2%  
        

 

 

    

 

 

 

FRANCE — (3.4%)

        
   Covivio      614,468        36,591,953        0.8%  

#

   Gecina SA      554,553        68,843,877        1.5%  

#

   Klepierre SA      2,404,190        30,461,301        0.7%  
   Other Securities         33,470,881        0.6%  
        

 

 

    

 

 

 

TOTAL FRANCE

        169,368,012        3.6%  
        

 

 

    

 

 

 

GERMANY — (0.7%)

        
   Other Securities         34,754,830        0.8%  
        

 

 

    

 

 

 

HONG KONG — (4.6%)

        
   Link REIT      24,676,105        188,324,513        4.1%  
   Other Securities         38,806,166        0.8%  
        

 

 

    

 

 

 

TOTAL HONG KONG

        227,130,679        4.9%  
        

 

 

    

 

 

 

IRELAND — (0.4%)

        
   Other Securities         17,847,444        0.4%  
        

 

 

    

 

 

 

ITALY — (0.1%)

        
   Other Securities         3,271,953        0.1%  
        

 

 

    

 

 

 

JAPAN — (26.1%)

        
   Activia Properties, Inc.      7,953        28,734,326        0.6%  
   Advance Residence Investment Corp.      16,113        47,048,322        1.0%  

 

49


DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

JAPAN — (Continued)

        
   Daiwa House REIT Investment Corp.      23,269      $ 53,827,278        1.2%  
   GLP J-Reit      44,121        68,019,045        1.5%  

#

   Industrial & Infrastructure Fund Investment Corp.      21,049        35,831,429        0.8%  
   Japan Logistics Fund, Inc.      10,199        28,661,990        0.6%  
   Japan Real Estate Investment Corp.      15,460        75,764,897        1.6%  
   Japan Retail Fund Investment Corp.      31,459        45,345,204        1.0%  

#

   Kenedix Office Investment Corp.      5,187        30,000,322        0.6%  
   Nippon Accommodations Fund, Inc.      5,146        29,479,726        0.6%  

#

   Nippon Building Fund, Inc.      14,206        71,751,675        1.5%  
   Nippon Prologis REIT, Inc.      24,608        80,995,726        1.7%  
   Nomura Real Estate Master Fund, Inc.      48,860        58,346,279        1.3%  
   Orix JREIT, Inc.      30,319        42,610,604        0.9%  

#

   Sekisui House Reit, Inc.      50,069        35,012,877        0.8%  
   United Urban Investment Corp.      35,700        38,115,816        0.8%  
   Other Securities         524,375,951        11.3%  
        

 

 

    

 

 

 

TOTAL JAPAN

        1,293,921,467        27.8%  
        

 

 

    

 

 

 

MALAYSIA — (0.5%)

        
   Other Securities         27,612,423        0.6%  
        

 

 

    

 

 

 

MEXICO — (1.5%)

        

#

   Fibra Uno Administracion S.A. de C.V.      38,682,934        29,415,917        0.6%  
   Other Securities         45,487,151        1.0%  
        

 

 

    

 

 

 

TOTAL MEXICO

        74,903,068        1.6%  
        

 

 

    

 

 

 

NETHERLANDS — (1.9%)

        

#

   Unibail-Rodamco-Westfield (BFYM460)      1,213,572        49,126,483        1.1%  
   Other Securities         43,179,323        0.9%  
        

 

 

    

 

 

 

TOTAL NETHERLANDS

        92,305,806        2.0%  
        

 

 

    

 

 

 

NEW ZEALAND — (1.5%)

        
   Other Securities         74,989,759        1.6%  
        

 

 

    

 

 

 

SINGAPORE — (9.6%)

        
   Ascendas Real Estate Investment Trust      33,186,192        70,026,837        1.5%  

#

   CapitaLand Mall Trust      50,660,711        64,215,358        1.4%  
   Keppel DC REIT      14,296,483        30,354,502        0.7%  

#

   Mapletree Commercial Trust      23,754,206        29,951,116        0.6%  
   Mapletree Industrial Trust      17,439,758        38,867,124        0.8%  
   Mapletree Logistics Trust      28,607,456        40,865,530        0.9%  
   Other Securities         201,333,614        4.3%  
        

 

 

    

 

 

 

TOTAL SINGAPORE

        475,614,081        10.2%  
        

 

 

    

 

 

 

SOUTH AFRICA — (1.2%)

        
   Other Securities         58,603,546        1.3%  
        

 

 

    

 

 

 

SPAIN — (1.1%)

        
   Merlin Properties Socimi SA      4,381,606        29,492,762        0.6%  
   Other Securities         26,534,857        0.6%  
        

 

 

    

 

 

 

TOTAL SPAIN

        56,027,619        1.2%  
        

 

 

    

 

 

 

 

50


DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

TAIWAN — (0.3%)

        
  

Other Securities

      $ 16,159,929        0.4%  
        

 

 

    

 

 

 

TURKEY — (0.2%)

        
  

Other Securities

        9,552,032        0.2%  
        

 

 

    

 

 

 

UNITED KINGDOM — (12.6%)

        
   Big Yellow Group P.L.C.      2,186,308        31,156,906        0.7%  
   British Land Co. P.L.C. (The)      11,080,454        50,038,355        1.1%  
   Derwent London P.L.C.      1,341,890        46,209,966        1.0%  

#

   Land Securities Group P.L.C.      8,773,483        57,887,599        1.2%  
   LondonMetric Property P.L.C.      11,773,255        32,917,139        0.7%  
   Safestore Holdings P.L.C.      3,114,018        32,416,846        0.7%  
   Segro P.L.C.      14,094,509        164,690,007        3.5%  
   Tritax Big Box REIT P.L.C.      20,913,266        42,432,659        0.9%  

*

   UNITE Group P.L.C. (The)      3,260,016        35,181,129        0.8%  
   Other Securities         131,617,397        2.8%  
        

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        624,548,003        13.4%  
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        4,578,537,035        98.5%  
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $5,115,107,005)

        4,578,537,035     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (7.7%)

        

   The DFA Short Term Investment Fund      32,784,321        379,347,377        8.2%  
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $5,494,423,502)

      $ 4,957,884,412        106.7%  
        

 

 

    

 

 

 

As of October 31, 2020, DFA International Real Estate Securities Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     187        12/18/20      $ 32,202,344      $ 30,524,945      $ (1,677,399
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 32,202,344      $ 30,524,945      $ (1,677,399
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 458,066      $  894,252,293        —        $  894,710,359  

Belgium

     —          182,620,187        —          182,620,187  

Canada

     234,117,063        —          —          234,117,063  

China

     —          10,478,775        —          10,478,775  

France

     —          169,368,012        —          169,368,012  

 

51


DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Germany

     —        $ 34,754,830        —        $ 34,754,830  

Hong Kong

     —          227,130,679        —          227,130,679  

Ireland

     —          17,847,444        —          17,847,444  

Italy

     —          3,271,953        —          3,271,953  

Japan

     —          1,293,921,467        —          1,293,921,467  

Malaysia

     —          27,612,423        —          27,612,423  

Mexico

   $ 74,903,068        —          —          74,903,068  

Netherlands

     —          92,305,806        —          92,305,806  

New Zealand

     —          74,989,759        —          74,989,759  

Singapore

     —          475,614,081        —          475,614,081  

South Africa

     —          58,603,546        —          58,603,546  

Spain

     —          56,027,619        —          56,027,619  

Taiwan

     —          16,159,929        —          16,159,929  

Turkey

     —          9,552,032        —          9,552,032  

United Kingdom

     —          624,548,003        —          624,548,003  

Securities Lending Collateral

     —          379,347,377        —          379,347,377  

Futures Contracts**

     (1,677,399      —          —          (1,677,399
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 307,800,798      $ 4,648,406,215        —        $ 4,956,207,013  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

52


DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (53.6%)

        

UNITED STATES — (53.6%)

        
   Alexandria Real Estate Equities, Inc.      502,810      $ 76,185,771        1.1
   American Campus Communities, Inc.      557,058        20,867,393        0.3
   American Homes 4 Rent, Class A      1,151,985        32,566,627        0.4
   American Tower Corp.      1,735,168        398,481,331        5.5

#

   AvalonBay Communities, Inc.      561,134        78,070,573        1.1
   Boston Properties, Inc.      579,858        41,987,518        0.6
   Camden Property Trust      395,058        36,440,150        0.5
   CoreSite Realty Corp.      172,151        20,547,943        0.3
   Crown Castle International Corp.      1,634,939        255,377,472        3.5
   CubeSmart      784,180        26,607,227        0.4
   CyrusOne, Inc.      474,061        33,682,034        0.5
   Digital Realty Trust, Inc.      885,428        127,767,232        1.8
   Duke Realty Corp.      1,477,396        56,126,274        0.8
   EastGroup Properties, Inc.      159,200        21,186,336        0.3
   Equinix, Inc.      336,500        246,062,260        3.4
   Equity LifeStyle Properties, Inc.      692,628        40,996,651        0.6
   Equity Residential      1,483,968        69,716,817        1.0
   Essex Property Trust, Inc.      259,989        53,191,150        0.7
   Extra Space Storage, Inc.      519,649        60,253,302        0.8
   First Industrial Realty Trust, Inc.      522,323        20,793,679        0.3
   Gaming and Leisure Properties, Inc.      840,012        30,534,436        0.4
   Healthcare Trust of America, Inc., Class A      884,544        21,494,419        0.3
   Healthpeak Properties, Inc.      2,146,229        57,883,796        0.8
   Host Hotels & Resorts, Inc.      2,798,309        29,326,278        0.4
   Invitation Homes, Inc.      2,234,793        60,920,453        0.8

#

   Iron Mountain, Inc.      1,168,783        30,458,485        0.4
   Kilroy Realty Corp.      423,624        19,944,218        0.3
   Lamar Advertising Co., Class A      349,659        21,664,872        0.3
   Life Storage, Inc.      189,902        21,677,313        0.3
   Medical Properties Trust, Inc.      2,145,028        38,224,399        0.5
   Mid-America Apartment Communities, Inc.      455,808        53,160,831        0.7

#

   National Retail Properties, Inc.      702,392        22,483,568        0.3
   Omega Healthcare Investors, Inc.      918,650        26,466,311        0.4
   Prologis, Inc.      2,885,094        286,201,283        4.0
   Public Storage      614,993        140,876,447        1.9
   Realty Income Corp.      1,375,641        79,594,588        1.1
   Regency Centers Corp.      686,719        24,440,315        0.3
   Rexford Industrial Realty, Inc.      501,030        23,277,854        0.3
   SBA Communications Corp.      443,093        128,660,914        1.8
   Simon Property Group, Inc.      1,219,545        76,599,621        1.1
   STORE Capital Corp.      974,506        25,044,804        0.3
   Sun Communities, Inc.      392,316        53,994,451        0.7
   UDR, Inc.      1,196,845        37,389,438        0.5
   Ventas, Inc.      1,487,025        58,692,877        0.8
   VEREIT, Inc.      4,362,883        27,049,875        0.4
   Vornado Realty Trust      634,192        19,488,720        0.3
   Welltower, Inc.      1,608,880        86,509,478        1.2
   WP Carey, Inc.      693,357        43,411,082        0.6
   Other Securities         643,304,224        8.9
        

 

 

    

 

 

 

TOTAL UNITED STATES

        3,905,683,090        54.0
        

 

 

    

 

 

 

 

53


DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO

CONTINUED

 

     Shares      Value†      Percentage
of Net Assets‡
 

AFFILIATED INVESTMENT COMPANIES — (45.4%)

        
  

DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc

     686,418,396      $ 2,587,797,354        35.8
  

DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc

     21,075,018        720,976,350        10.0
        

 

 

    

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

        3,308,773,704        45.8
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $7,526,353,654)

        7,214,456,794     
        

 

 

    

SECURITIES LENDING COLLATERAL — (1.0%)

        

@§ 

  

The  DFA Short Term Investment Fund

     6,235,899        72,155,584        1.0
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $7,598,493,388)

      $ 7,286,612,378        100.8
        

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 3,905,630,308      $ 52,782        —        $ 3,905,683,090  

Affiliated Investment Companies

     3,308,773,704        —          —          3,308,773,704  

Securities Lending Collateral

     —          72,155,584        —          72,155,584  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 7,214,404,012      $ 72,208,366        —        $ 7,286,612,378  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

54


DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (95.6%)

        

AUSTRALIA — (7.6%)

        
  

Cleanaway Waste Management, Ltd.

     35,410,403      $ 51,048,380        0.5
  

Downer EDI, Ltd.

     10,342,407        31,977,826        0.3
  

IGO, Ltd.

     9,546,016        29,836,362        0.3
  

Nine Entertainment Co. Holdings, Ltd.

     22,352,125        32,674,128        0.3
  

OZ Minerals, Ltd.

     6,865,911        71,723,927        0.7
  

Other Securities

        552,601,412        5.7
        

 

 

    

 

 

 

TOTAL AUSTRALIA

        769,862,035        7.8
     

 

 

    

 

 

 

AUSTRIA — (0.8%)

        
  

Other Securities

        82,094,265        0.8
        

 

 

    

 

 

 

BELGIUM — (1.5%)

        

*

  

Ackermans & van Haaren NV

     364,335        44,847,246        0.5
  

Other Securities

        109,842,071        1.1
        

 

 

    

 

 

 

TOTAL BELGIUM

        154,689,317        1.6
     

 

 

    

 

 

 

CANADA — (9.8%)

        
  

Alamos Gold, Inc., Class A

     7,335,819        67,009,621        0.7

#

  

Canadian Western Bank

     1,872,110        34,426,702        0.4
  

Centerra Gold, Inc.

     4,954,470        43,286,070        0.4

#

  

Genworth MI Canada, Inc.

     1,030,214        34,178,082        0.4

*

  

IAMGOLD Corp.

     9,868,177        36,145,541        0.4

#

  

Linamar Corp.

     950,360        31,065,209        0.3

#*

  

SSR Mining, Inc.

     2,011,450        37,230,629        0.4
  

Tourmaline Oil Corp.

     2,345,001        30,379,582        0.3

#

  

TransAlta Corp.

     6,330,384        37,536,616        0.4
  

Yamana Gold, Inc.

     13,241,356        73,645,912        0.8
  

Other Securities

        567,695,063        5.5
        

 

 

    

 

 

 

TOTAL CANADA

        992,599,027        10.0
     

 

 

    

 

 

 

DENMARK — (2.1%)

        

*

  

Jyske Bank A.S.

     1,162,241        34,632,590        0.4
  

Schouw & Co., A.S.

     346,020        30,132,091        0.3
  

Other Securities

        145,937,350        1.4
        

 

 

    

 

 

 

TOTAL DENMARK

        210,702,031        2.1
     

 

 

    

 

 

 

FINLAND — (2.6%)

        
  

Kemira Oyj

     2,792,209        34,494,696        0.3
  

Konecranes Oyj

     1,066,526        33,558,057        0.3
  

Metsa Board Oyj

     4,187,145        35,131,495        0.4

#

  

Nokian Renkaat Oyj

     1,439,643        44,237,239        0.4
  

Other Securities

        112,551,093        1.2
        

 

 

    

 

 

 

TOTAL FINLAND

        259,972,580        2.6
     

 

 

    

 

 

 

FRANCE — (3.6%)

        

*

  

Elis SA

     2,927,943        32,113,144        0.3

*

  

Rexel SA

     5,590,516        58,860,670        0.6
  

Other Securities

        271,856,928        2.8
        

 

 

    

 

 

 

TOTAL FRANCE

        362,830,742        3.7
     

 

 

    

 

 

 

 

55


DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

GERMANY — (5.8%)

        
  

Aurubis AG

     1,173,538      $ 75,075,288        0.8

#*   

  

Commerzbank AG

     12,261,026        58,035,255        0.6
  

Lanxess AG

     1,090,963        55,331,196        0.6
  

Other Securities

        400,594,456        4.0
        

 

 

    

 

 

 

TOTAL GERMANY

        589,036,195        6.0
     

 

 

    

 

 

 

GREECE — (0.0%)

        
  

Other Securities

        2,001        0.0
        

 

 

    

 

 

 

HONG KONG — (2.8%)

        
  

Other Securities

        285,818,677        2.9
        

 

 

    

 

 

 

IRELAND — (0.0%)

        
  

Other Securities

        4,436,586        0.0
        

 

 

    

 

 

 

ISRAEL — (0.8%)

        
  

Other Securities

        81,988,726        0.8
        

 

 

    

 

 

 

ITALY — (3.4%)

        

#   

  

Buzzi Unicem SpA

     1,485,793        32,149,274        0.3

*   

  

Unipol Gruppo SpA

     10,098,772        36,835,847        0.4
  

Other Securities

        272,163,182        2.8
        

 

 

    

 

 

 

TOTAL ITALY

        341,148,303        3.5
     

 

 

    

 

 

 

JAPAN — (25.5%)

        
  

Shimachu Co., Ltd.

     1,004,300        53,084,409        0.5
  

Other Securities

        2,531,480,535        25.6
        

 

 

    

 

 

 

TOTAL JAPAN

        2,584,564,944        26.1
     

 

 

    

 

 

 

NETHERLANDS — (3.1%)

        
  

APERAM SA

     1,236,551        33,184,896        0.3
  

ASR Nederland NV

     2,674,123        81,147,541        0.8
  

SBM Offshore NV

     4,667,578        75,428,907        0.8

*W  

  

Signify NV

     1,786,371        63,407,820        0.6
  

Other Securities

        59,372,445        0.7
        

 

 

    

 

 

 

TOTAL NETHERLANDS

        312,541,609        3.2
     

 

 

    

 

 

 

NEW ZEALAND — (0.5%)

        
  

Other Securities

        51,892,870        0.5
        

 

 

    

 

 

 

NORWAY — (0.8%)

        
  

Other Securities

        76,032,619        0.8
        

 

 

    

 

 

 

PORTUGAL — (0.2%)

        
  

Other Securities

        20,345,934        0.2
        

 

 

    

 

 

 

SINGAPORE — (1.0%)

        
  

Other Securities

        105,174,732        1.1
        

 

 

    

 

 

 

SPAIN — (2.2%)

        
  

Ebro Foods SA

     1,792,345        40,130,428        0.4

 

56


DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

SPAIN — (Continued)

        
  

Other Securities

      $ 181,501,057        1.8
        

 

 

    

 

 

 

TOTAL SPAIN

        221,631,485        2.2
     

 

 

    

 

 

 

SWEDEN — (3.4%)

        
  

Other Securities

        343,011,307        3.5
        

 

 

    

 

 

 

SWITZERLAND — (5.2%)

        
  

Allreal Holding AG

     281,115        59,539,946        0.6
  

Helvetia Holding AG

     625,301        49,031,829        0.5
  

Siegfried Holding AG

     64,976        41,136,871        0.4
  

Other Securities

        374,010,161        3.8
        

 

 

    

 

 

 

TOTAL SWITZERLAND

        523,718,807        5.3
     

 

 

    

 

 

 

UNITED KINGDOM — (12.9%)

        
  

Aggreko P.L.C.

     5,413,669        30,855,816        0.3
  

Bellway P.L.C.

     2,773,677        83,918,089        0.9
  

Centamin P.L.C.

     31,245,884        50,251,152        0.5
  

Close Brothers Group P.L.C.

     3,168,810        44,186,390        0.5

*

  

Grafton Group P.L.C.

     5,538,784        48,151,335        0.5

*

  

Meggitt P.L.C.

     8,865,721        31,415,610        0.3
  

Pets at Home Group P.L.C.

     6,666,241        33,477,768        0.3

*

  

Redrow P.L.C.

     7,039,369        37,953,578        0.4
  

Royal Mail P.L.C.

     11,498,732        33,845,542        0.4

*

  

Travis Perkins P.L.C.

     5,527,930        75,922,117        0.8
  

Vesuvius P.L.C.

     7,161,691        37,044,382        0.4

*

  

Vistry Group P.L.C.

     6,680,942        47,140,748        0.5
  

Other Securities

        751,735,413        7.4
        

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        1,305,897,940        13.2
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        9,679,992,732        97.9
     

 

 

    

 

 

 

PREFERRED STOCKS — (0.3%)

        

GERMANY — (0.3%)

        
  

Other Securities

        26,152,984        0.3
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

CANADA — (0.0%)

        
  

Other Security

        1,195,196        0.0
        

 

 

    

 

 

 

GERMANY — (0.0%)

        
  

Other Security

        2,884        0.0
        

 

 

    

 

 

 

SINGAPORE — (0.0%)

        
  

Other Securities

        40,190        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        1,238,270        0.0
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $10,743,878,713)

        9,707,383,986     
     

 

 

    

 

57


DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO

CONTINUED

 

          Shares      Value»†      Percentage
of Net Assets‡
 

SECURITIES LENDING COLLATERAL — (4.1%)

        

  

The DFA Short Term Investment Fund

     36,277,073      $ 419,762,013        4.2
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%) (Cost $11,163,569,033)

      $ 10,127,145,999        102.4
     

 

 

    

 

 

 

As of October 31, 2020, DFA International Small Cap Value Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional Value      Market Value      Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     716        12/18/20      $ 122,069,615      $ 116,876,260      $ (5,193,355
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 122,069,615      $ 116,876,260      $ (5,193,355
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 439,644      $ 769,422,391        —        $ 769,862,035  

Austria

     —          82,094,265        —          82,094,265  

Belgium

     575,905        154,113,412        —          154,689,317  

Canada

     991,973,745        625,282        —          992,599,027  

Denmark

     —          210,702,031        —          210,702,031  

Finland

     —          259,972,580        —          259,972,580  

France

     —          362,830,742        —          362,830,742  

Germany

     —          589,036,195        —          589,036,195  

Greece

     —          2,001        —          2,001  

Hong Kong

     370,503        285,448,174        —          285,818,677  

Ireland

     —          4,436,586        —          4,436,586  

Israel

     221,762        81,766,964        —          81,988,726  

Italy

     —          341,148,303        —          341,148,303  

Japan

     —          2,584,564,944        —          2,584,564,944  

Netherlands

     797,313        311,744,296        —          312,541,609  

New Zealand

     —          51,892,870        —          51,892,870  

Norway

     113,842        75,918,777        —          76,032,619  

Portugal

     —          20,345,934        —          20,345,934  

Singapore

     —          105,174,732        —          105,174,732  

Spain

     —          221,631,485        —          221,631,485  

Sweden

     4,556,994        338,454,313        —          343,011,307  

Switzerland

     —          523,718,807        —          523,718,807  

United Kingdom

     —          1,305,897,940        —          1,305,897,940  

Preferred Stocks

           

Germany

     —          26,152,984        —          26,152,984  

Rights/Warrants

           

Canada

     —          1,195,196        —          1,195,196  

Germany

     —          2,884        —          2,884  

Singapore

     —          40,190        —          40,190  

 

58


DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Securities Lending Collateral

     —        $ 419,762,013        —        $ 419,762,013  

Futures Contracts**

   $ (5,193,355      —          —          (5,193,355
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 993,856,353      $ 9,128,096,291        —        $ 10,121,952,644  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

59


INTERNATIONAL VECTOR EQUITY PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

     Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (95.1%)

        

AUSTRALIA — (6.2%)

        

BHP Group, Ltd.

     178,389      $ 4,276,275        0.2%  

Commonwealth Bank of Australia

     93,348        4,532,188        0.2%  

Westpac Banking Corp.

     360,411        4,561,672        0.2%  

Other Securities

        161,498,347        5.8%  
     

 

 

    

 

 

 

TOTAL AUSTRALIA

        174,868,482        6.4%  
     

 

 

    

 

 

 

AUSTRIA — (0.5%)

        

Other Securities

        15,159,229        0.6%  
     

 

 

    

 

 

 

BELGIUM — (1.1%)

        

Other Securities

        30,931,706        1.1%  
     

 

 

    

 

 

 

CANADA — (9.6%)

        

Canadian Natural Resources, Ltd.

     515,271        8,218,572        0.3%  

Kinross Gold Corp.

     607,485        4,833,251        0.2%  

Magna International, Inc.

     136,215        6,961,949        0.3%  

Nutrien, Ltd.

     126,234        5,135,210        0.2%  

Royal Bank of Canada

     73,948        5,170,754        0.2%  

Other Securities

        241,183,244        8.8%  
     

 

 

    

 

 

 

TOTAL CANADA

        271,502,980        10.0%  
     

 

 

    

 

 

 

DENMARK — (2.5%)

        

GN Store Nord A.S.

     68,341        4,920,346        0.2%  

Pandora A.S.

     115,658        9,175,083        0.3%  

Other Securities

        55,606,024        2.1%  
     

 

 

    

 

 

 

TOTAL DENMARK

        69,701,453        2.6%  
     

 

 

    

 

 

 

FINLAND — (1.7%)

        

Other Securities

        47,432,170        1.7%  
     

 

 

    

 

 

 

FRANCE — (6.9%)

        

Arkema SA

     66,054        6,469,312        0.2%  

*   Atos SE

     67,753        4,628,604        0.2%  

*   Cie de Saint-Gobain

     157,949        6,152,668        0.2%  

Cie Generale des Etablissements Michelin SCA

     86,287        9,319,080        0.4%  

Iliad SA

     25,004        4,834,066        0.2%  

#*   Ingenico Group SA

     33,176        4,769,890        0.2%  

Orange SA

     418,182        4,696,025        0.2%  

*   Peugeot SA

     392,822        7,056,736        0.3%  

Total SE

     308,861        9,357,472        0.4%  

Other Securities

        136,765,488        4.8%  
     

 

 

    

 

 

 

TOTAL FRANCE

        194,049,341        7.1%  
     

 

 

    

 

 

 

GERMANY — (5.9%)

        

Allianz SE

     39,330        6,928,160        0.3%  

Brenntag AG

     67,385        4,307,005        0.2%  

*   Commerzbank AG

     941,728        4,457,491        0.2%  

Daimler AG

     115,128        5,950,792        0.2%  

#   KION Group AG

     63,587        4,954,755        0.2%  

 

60


INTERNATIONAL VECTOR EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

GERMANY — (Continued)

        

Other Securities

      $ 141,036,143        5.0%  
     

 

 

    

 

 

 

TOTAL GERMANY

        167,634,346        6.1%  
     

 

 

    

 

 

 

HONG KONG — (2.2%)

        

Other Securities

        63,764,591        2.3%  
     

 

 

    

 

 

 

IRELAND — (1.0%)

        

#   CRH P.L.C., Sponsored ADR

     318,075        11,180,336        0.4%  

*   Flutter Entertainment P.L.C.

     32,269        5,590,631        0.2%  

Other Securities

        11,291,292        0.4%  
     

 

 

    

 

 

 

TOTAL IRELAND

        28,062,259        1.0%  
     

 

 

    

 

 

 

ISRAEL — (0.8%)

        

Other Securities

        23,850,910        0.9%  
     

 

 

    

 

 

 

ITALY — (2.7%)

        

*   Intesa Sanpaolo SpA

     3,029,136        5,028,680        0.2%  

Other Securities

        70,614,967        2.6%  
     

 

 

    

 

 

 

TOTAL ITALY

        75,643,647        2.8%  
     

 

 

    

 

 

 

JAPAN — (24.2%)

        

Mitsubishi UFJ Financial Group, Inc.

     1,117,000        4,403,108        0.2%  

SoftBank Group Corp.

     82,100        5,347,483        0.2%  

Sony Corp., Sponsored ADR

     54,920        4,594,607        0.2%  

Toyota Motor Corp.

     86,018        5,646,814        0.2%  

Toyota Motor Corp., Sponsored ADR

     34,806        4,569,680        0.2%  

Other Securities

        659,697,179        24.1%  
     

 

 

    

 

 

 

TOTAL JAPAN

        684,258,871        25.1%  
     

 

 

    

 

 

 

NETHERLANDS — (3.3%)

        

ASM International NV

     34,931        4,989,223        0.2%  

ASR Nederland NV

     149,446        4,535,010        0.2%  

Koninklijke Ahold Delhaize NV

     437,995        12,007,969        0.4%  

*   Randstad NV

     117,015        5,838,642        0.2%  

*W  Signify NV

     139,981        4,968,671        0.2%  

Other Securities

        62,388,129        2.3%  
     

 

 

    

 

 

 

TOTAL NETHERLANDS

        94,727,644        3.5%  
     

 

 

    

 

 

 

NEW ZEALAND — (0.6%)

        

Other Securities

        15,777,833        0.6%  
     

 

 

    

 

 

 

NORWAY — (0.8%)

        

Other Securities

        21,616,450        0.8%  
     

 

 

    

 

 

 

PORTUGAL — (0.2%)

        

Other Securities

        4,791,030        0.2%  
     

 

 

    

 

 

 

SINGAPORE — (0.8%)

        

Other Securities

        22,673,568        0.8%  
     

 

 

    

 

 

 

SPAIN — (1.8%)

        

Other Securities

        50,925,093        1.9%  
     

 

 

    

 

 

 

 

61


INTERNATIONAL VECTOR EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

SWEDEN — (3.2%)

        

Other Securities

      $ 91,291,717        3.3%  
     

 

 

    

 

 

 

SWITZERLAND — (7.0%)

        

Adecco Group AG

     88,563        4,342,592        0.2%  

Julius Baer Group, Ltd.

     99,709        4,437,572        0.2%  

Nestle SA

     126,847        14,267,483        0.5%  

Novartis AG, Sponsored ADR

     70,669        5,517,836        0.2%  

Swisscom AG

     8,588        4,367,864        0.2%  

Zurich Insurance Group AG

     14,535        4,827,736        0.2%  

Other Securities

        160,095,814        5.8%  
     

 

 

    

 

 

 

TOTAL SWITZERLAND

        197,856,897        7.3%  
     

 

 

    

 

 

 

UNITED KINGDOM — (12.1%)

        

BP P.L.C.

     2,171,504        5,538,819        0.2%  

British American Tobacco P.L.C.

     154,373        4,892,909        0.2%  

BT Group P.L.C.

     3,746,165        4,920,022        0.2%  

#   HSBC Holdings P.L.C., Sponsored ADR

     320,826        6,730,929        0.3%  

*   Kingfisher P.L.C

     1,314,662        4,889,207        0.2%  

Royal Dutch Shell P.L.C., Sponsored ADR, Class B

     293,891        7,097,468        0.3%  

Other Securities

        308,491,427        11.2%  
     

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        342,560,781        12.6%  
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        2,689,080,998        98.7%  
     

 

 

    

 

 

 

PREFERRED STOCKS — (0.5%)

        

GERMANY — (0.5%)

        

Volkswagen AG

     37,294        5,432,396        0.2%  

Other Securities

        9,930,309        0.4%  
     

 

 

    

 

 

 

TOTAL GERMANY

        15,362,705        0.6%  
     

 

 

    

 

 

 

UNITED KINGDOM — (0.0%)

        

Other Security

        2,216        0.0%  
     

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        15,364,921        0.6%  
     

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

CANADA — (0.0%)

        

Other Securities

        241,843        0.0%  
     

 

 

    

 

 

 

SPAIN — (0.0%)

        

Other Security

        44,174        0.0%  
     

 

 

    

 

 

 

UNITED KINGDOM — (0.0%)

        

Other Security

        166,096        0.0%  
     

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        452,113        0.0%  
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $2,586,114,073)

        2,704,898,032     
     

 

 

    

 

62


INTERNATIONAL VECTOR EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value†      Percentage
of Net Assets‡
 

SECURITIES LENDING COLLATERAL — (4.4%)

        

@§ The DFA Short Term Investment Fund

     10,697,191      $ 123,777,192        4.6%  
     

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $2,709,863,371)

      $ 2,828,675,224        103.9%  
     

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 483,095      $ 174,385,387        —        $ 174,868,482  

Austria

     —          15,159,229        —          15,159,229  

Belgium

     723,527        30,208,179        —          30,931,706  

Canada

     270,200,371        1,302,609        —          271,502,980  

Denmark

     —          69,701,453        —          69,701,453  

Finland

     —          47,432,170        —          47,432,170  

France

     194,617        193,854,724        —          194,049,341  

Germany

     7,480,574        160,153,772        —          167,634,346  

Hong Kong

     248,755        63,515,836        —          63,764,591  

Ireland

     11,180,336        16,881,923        —          28,062,259  

Israel

     1,963,112        21,887,798        —          23,850,910  

Italy

     4,235,945        71,407,702        —          75,643,647  

Japan

     11,522,140        672,736,731        —          684,258,871  

Netherlands

     7,747,969        86,979,675        —          94,727,644  

New Zealand

     12,931        15,764,902        —          15,777,833  

Norway

     65,633        21,550,817        —          21,616,450  

Portugal

     —          4,791,030        —          4,791,030  

Singapore

     4,248        22,669,320        —          22,673,568  

Spain

     1,664,071        49,261,022        —          50,925,093  

Sweden

     327,130        90,964,587        —          91,291,717  

Switzerland

     14,340,761        183,516,136        —          197,856,897  

United Kingdom

     34,161,329        308,399,452        —          342,560,781  

Preferred Stocks

           

Germany

     —          15,362,705        —          15,362,705  

United Kingdom

     —          2,216        —          2,216  

Rights/Warrants

           

Canada

     —          241,843        —          241,843  

Spain

     —          44,174        —          44,174  

United Kingdom

     —          166,096        —          166,096  

Securities Lending Collateral

     —          123,777,192        —          123,777,192  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 366,556,544      $ 2,462,118,680        —        $ 2,828,675,224  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

63


INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

     Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (96.1%)

        

AUSTRALIA — (5.9%)

        

BHP Group, Ltd.

     250,101      $ 5,995,328        0.4

#   BHP Group, Ltd., Sponsored ADR

     234,341        11,274,146        0.8

CSL, Ltd.

     77,414        15,673,028        1.1

Woolworths Group, Ltd.

     253,239        6,812,205        0.5

Other Securities

        49,777,922        3.3
     

 

 

    

 

 

 

TOTAL AUSTRALIA

        89,532,629        6.1
     

 

 

    

 

 

 

AUSTRIA — (0.0%)

        

Other Security

        736,303        0.0
     

 

 

    

 

 

 

BELGIUM — (0.8%)

        

Other Securities

        12,301,441        0.8
     

 

 

    

 

 

 

CANADA — (8.2%)

        

Canadian National Railway Co.

     81,933        8,139,182        0.6

Canadian Natural Resources, Ltd.

     457,803        7,284,713        0.5

National Bank of Canada

     138,986        6,670,243        0.5

Other Securities

        101,441,246        6.8
     

 

 

    

 

 

 

TOTAL CANADA

        123,535,384        8.4
     

 

 

    

 

 

 

DENMARK — (2.3%)

        

Novo Nordisk A.S., Class B

     460,979        29,394,618        2.0

Other Securities

        4,736,817        0.3
     

 

 

    

 

 

 

TOTAL DENMARK

        34,131,435        2.3
     

 

 

    

 

 

 

FINLAND — (1.1%)

        

Other Securities

        16,948,580        1.1
     

 

 

    

 

 

 

FRANCE — (9.6%)

        

Air Liquide SA

     47,519        6,949,097        0.5

Capgemini SE

     56,846        6,563,882        0.4

Kering SA

     14,579        8,810,325        0.6

Legrand SA

     92,541        6,849,820        0.5

LVMH Moet Hennessy Louis Vuitton SE

     59,150        27,726,426        1.9

Orange SA

     658,647        7,396,356        0.5

Vinci SA

     108,246        8,549,818        0.6

Other Securities

        72,370,197        4.8
     

 

 

    

 

 

 

TOTAL FRANCE

        145,215,921        9.8
     

 

 

    

 

 

 

GERMANY — (7.4%)

        

*   Adidas AG

     32,418        9,631,545        0.6

Deutsche Post AG

     218,448        9,685,543        0.7

Deutsche Telekom AG

     803,082        12,205,841        0.8

#   E.ON SE

     886,740        9,234,657        0.6

SAP SE

     91,993        9,814,234        0.7

Other Securities

        60,336,139        4.1
     

 

 

    

 

 

 

TOTAL GERMANY

        110,907,959        7.5
     

 

 

    

 

 

 

HONG KONG — (2.6%)

        

Hong Kong Exchanges & Clearing, Ltd.

     248,737        11,919,156        0.8

 

64


INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

HONG KONG — (Continued)

        

Other Securities

      $ 26,858,445        1.8
     

 

 

    

 

 

 

TOTAL HONG KONG

        38,777,601        2.6
     

 

 

    

 

 

 

IRELAND — (0.6%)

        

Other Securities

        8,441,899        0.6
     

 

 

    

 

 

 

ISRAEL — (0.3%)

        

Other Securities

        5,200,119        0.4
     

 

 

    

 

 

 

ITALY — (1.7%)

        

Other Securities

        25,297,731        1.7
     

 

 

    

 

 

 

JAPAN — (24.1%)

        

Daikin Industries, Ltd.

     49,600        9,281,808        0.6

Fast Retailing Co., Ltd.

     10,400        7,254,433        0.5

Hoya Corp.

     74,600        8,419,124        0.6

Kao Corp.

     103,100        7,340,585        0.5

KDDI Corp.

     413,300        11,181,827        0.8

Murata Manufacturing Co., Ltd.

     102,400        7,181,174        0.5

Nintendo Co., Ltd.

     23,900        12,922,461        0.9

NTT DOCOMO, Inc.

     247,500        9,215,710        0.6

Recruit Holdings Co., Ltd.

     220,700        8,397,778        0.6

Softbank Corp.

     604,400        7,033,683        0.5

SoftBank Group Corp.

     216,000        14,068,895        1.0

Sony Corp.

     299,100        24,934,897        1.7

Tokyo Electron, Ltd.

     31,900        8,562,305        0.6

Other Securities

        227,641,781        15.2
     

 

 

    

 

 

 

TOTAL JAPAN

        363,436,461        24.6
     

 

 

    

 

 

 

NETHERLANDS — (3.7%)

        

Koninklijke Ahold Delhaize NV

     293,223        8,038,933        0.5

Unilever NV

     277,189        15,677,810        1.1

#   Unilever NV

     62,170        3,504,755        0.2

Wolters Kluwer NV

     127,654        10,335,718        0.7

Other Securities

        17,678,333        1.2
     

 

 

    

 

 

 

TOTAL NETHERLANDS

        55,235,549        3.7
     

 

 

    

 

 

 

NEW ZEALAND — (0.3%)

        

Other Securities

        4,257,784        0.3
     

 

 

    

 

 

 

NORWAY — (0.6%)

        

Other Securities

        8,622,661        0.6
     

 

 

    

 

 

 

PORTUGAL — (0.1%)

        

Other Security

        999,578        0.1
     

 

 

    

 

 

 

SINGAPORE — (0.8%)

        

Other Securities

        12,708,741        0.9
     

 

 

    

 

 

 

SPAIN — (1.7%)

        

Other Securities

        25,466,495        1.7
     

 

 

    

 

 

 

SWEDEN — (2.7%)

        

Other Securities

        41,167,374        2.8
     

 

 

    

 

 

 

 

65


INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

SWITZERLAND — (9.7%)

        

Geberit AG

     13,431      $ 7,644,513        0.5

Nestle SA

     279,289        31,413,837        2.1

Partners Group Holding AG

     7,244        6,521,815        0.5

Roche Holding AG

     6,863        2,211,266        0.2

Roche Holding AG

     181,530        58,331,278        4.0

Sika AG

     36,778        9,047,563        0.6

Swisscom AG

     12,782        6,500,936        0.4

Other Securities

        23,752,413        1.6
     

 

 

    

 

 

 

TOTAL SWITZERLAND

        145,423,621        9.9
     

 

 

    

 

 

 

UNITED KINGDOM — (11.9%)

        

Ashtead Group P.L.C.

     208,344        7,528,991        0.5

AstraZeneca P.L.C.

     67,346        6,761,907        0.5

AstraZeneca P.L.C., Sponsored ADR

     352,883        17,700,611        1.2

Compass Group P.L.C.

     680,403        9,313,173        0.6

Diageo P.L.C.

     80,730        2,609,020        0.2

#   Diageo P.L.C., Sponsored ADR

     104,919        13,658,355        0.9

#   Rio Tinto P.L.C., Sponsored ADR

     245,564        13,940,668        1.0

SSE P.L.C.

     438,250        7,187,072        0.5

Unilever P.L.C.

     48,760        2,778,775        0.2

#   Unilever P.L.C., Sponsored ADR

     217,630        12,367,913        0.8

Other Securities

        85,655,303        5.8
     

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        179,501,788        12.2
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        1,447,847,054        98.1
     

 

 

    

 

 

 

PREFERRED STOCKS — (0.7%)

        

GERMANY — (0.7%)

        

Other Securities

        11,085,920        0.8
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $1,366,850,188)

        1,458,932,974     
     

 

 

    
            Value†         

SECURITIES LENDING COLLATERAL — (3.2%)

        

@§ The DFA Short Term Investment Fund

     4,156,702        48,097,198        3.2
     

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $1,414,940,426)

      $ 1,507,030,172        102.1
     

 

 

    

 

 

 

As of October 31, 2020, International High Relative Profitability Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number
of Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     70        12/18/20      $ 11,571,298      $ 11,426,450      $ (144,848
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 11,571,298      $ 11,426,450      $ (144,848
        

 

 

    

 

 

    

 

 

 

 

66


INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO

CONTINUED

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 11,274,146      $ 78,258,483        —        $ 89,532,629  

Austria

     —          736,303        —          736,303  

Belgium

     —          12,301,441        —          12,301,441  

Canada

     123,535,384        —          —          123,535,384  

Denmark

     —          34,131,435        —          34,131,435  

Finland

     —          16,948,580        —          16,948,580  

France

     626,498        144,589,423        —          145,215,921  

Germany

     —          110,907,959        —          110,907,959  

Hong Kong

     —          38,777,601        —          38,777,601  

Ireland

     2,526,512        5,915,387        —          8,441,899  

Israel

     2,502,718        2,697,401        —          5,200,119  

Italy

     2,842,409        22,455,322        —          25,297,731  

Japan

     —          363,436,461        —          363,436,461  

Netherlands

     16,721,707        38,513,842        —          55,235,549  

New Zealand

     —          4,257,784        —          4,257,784  

Norway

     —          8,622,661        —          8,622,661  

Portugal

     —          999,578        —          999,578  

Singapore

     —          12,708,741        —          12,708,741  

Spain

     —          25,466,495        —          25,466,495  

Sweden

     —          41,167,374        —          41,167,374  

Switzerland

     77,370        145,346,251        —          145,423,621  

United Kingdom

     65,310,004        114,191,784        —          179,501,788  

Preferred Stocks

           

Germany

     —          11,085,920        —          11,085,920  

Securities Lending Collateral

     —          48,097,198        —          48,097,198  

Futures Contracts**

     (144,848)        —          —          (144,848)  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 225,271,900      $ 1,281,613,424        —        $ 1,506,885,324  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

** 

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

67


WORLD EX U.S. VALUE PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Shares      Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

     

Investment in The DFA International Value Series of The DFA Investment Trust Company

      $ 122,844,811  

Investment in Dimensional Emerging Markets Value Fund

        65,121,466  

Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.

     1,207,732        18,901,004  
     

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $233,102,688)

      $ 206,867,281  
     

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 206,867,281        —          —        $ 206,867,281  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 206,867,281        —          —        $ 206,867,281  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

68


WORLD EX U.S. CORE EQUITY PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

     Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (95.7%)

        

AUSTRALIA — (4.2%)

        

BHP Group, Ltd.

     352,621      $ 8,452,899        0.3

Commonwealth Bank of Australia

     97,789        4,747,806        0.2

CSL, Ltd.

     28,867        5,844,334        0.2

Other Securities

        119,597,074        3.6
     

 

 

    

 

 

 

TOTAL AUSTRALIA

        138,642,113        4.3
     

 

 

    

 

 

 

AUSTRIA — (0.3%)

        

Other Securities

        9,801,387        0.3
     

 

 

    

 

 

 

BELGIUM — (0.7%)

        

Other Securities

        24,066,061        0.8
     

 

 

    

 

 

 

BRAZIL — (1.2%)

        

Vale SA

     628,010        6,627,106        0.2

Other Securities

        31,630,097        1.0
     

 

 

    

 

 

 

TOTAL BRAZIL

        38,257,203        1.2
     

 

 

    

 

 

 

CANADA — (6.4%)

        

Canadian National Railway Co.

     47,248        4,698,814        0.2

Royal Bank of Canada

     120,786        8,445,863        0.3

Royal Bank of Canada

     97,598        6,830,884        0.2

Other Securities

        191,649,764        5.9
     

 

 

    

 

 

 

TOTAL CANADA

        211,625,325        6.6
     

 

 

    

 

 

 

CHILE — (0.2%)

        

Other Securities

        5,207,103        0.2
     

 

 

    

 

 

 

CHINA — (11.5%)

        

*   Alibaba Group Holding, Ltd., Sponsored ADR

     44,024        13,413,673        0.4

China Construction Bank Corp., Class H

     10,450,000        7,201,231        0.2

China Mobile, Ltd.

     1,070,500        6,547,755        0.2

CNOOC, Ltd.

     5,213,000        4,769,664        0.2

Industrial & Commercial Bank of China, Ltd., Class H

     8,614,000        4,891,581        0.2

Ping An Insurance Group Co. of China, Ltd., Class H

     878,500        9,083,403        0.3

Tencent Holdings, Ltd.

     442,200        33,786,560        1.1

Other Securities

        298,807,712        9.2
     

 

 

    

 

 

 

TOTAL CHINA

        378,501,579        11.8
     

 

 

    

 

 

 

COLOMBIA — (0.1%)

        

Other Securities

        1,952,422        0.1
     

 

 

    

 

 

 

CZECH REPUBLIC — (0.0%)

        

Other Securities

        853,212        0.0
     

 

 

    

 

 

 

DENMARK — (1.5%)

        

Novo Nordisk A.S., Class B

     144,089        9,187,926        0.3

Other Securities

        40,304,594        1.2
     

 

 

    

 

 

 

TOTAL DENMARK

        49,492,520        1.5
     

 

 

    

 

 

 

 

69


WORLD EX U.S. CORE EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

EGYPT — (0.0%)

        

Other Securities

      $ 241,882        0.0
     

 

 

    

 

 

 

FINLAND — (1.1%)

        

Other Securities

        36,701,588        1.1
     

 

 

    

 

 

 

FRANCE — (5.0%)

        

LVMH Moet Hennessy Louis Vuitton SE

     21,810        10,223,387        0.3

Orange SA

     433,198        4,864,649        0.2

*   Peugeot SA

     268,680        4,826,623        0.2

Total SE

     225,223        6,823,516        0.2

Vinci SA

     66,251        5,232,840        0.2

Other Securities

        133,991,725        4.1
     

 

 

    

 

 

 

TOTAL FRANCE

        165,962,740        5.2
     

 

 

    

 

 

 

GERMANY — (4.2%)

        

Allianz SE

     28,309        4,986,760        0.2

Bayerische Motoren Werke AG

     72,976        4,987,087        0.2

Daimler AG

     102,531        5,299,672        0.2

Deutsche Telekom AG

     336,042        5,107,417        0.2

Other Securities

        117,456,782        3.5
     

 

 

    

 

 

 

TOTAL GERMANY

        137,837,718        4.3
     

 

 

    

 

 

 

GREECE — (0.0%)

        

Other Securities

        1,427,401        0.0
     

 

 

    

 

 

 

HONG KONG — (1.8%)

        

AIA Group, Ltd.

     562,200        5,350,555        0.2

Other Securities

        55,370,749        1.7
     

 

 

    

 

 

 

TOTAL HONG KONG

        60,721,304        1.9
     

 

 

    

 

 

 

HUNGARY — (0.1%)

        

Other Securities

        2,051,402        0.1
     

 

 

    

 

 

 

INDIA — (3.4%)

        

Infosys, Ltd.

     347,300        4,974,878        0.2

Reliance Industries, Ltd.

     297,354        8,283,595        0.3

Other Securities

        98,935,713        3.0
     

 

 

    

 

 

 

TOTAL INDIA

        112,194,186        3.5
     

 

 

    

 

 

 

INDONESIA — (0.5%)

        

Other Securities

        14,730,945        0.5
     

 

 

    

 

 

 

IRELAND — (0.7%)

        

#   CRH P.L.C., Sponsored ADR

     228,603        8,035,395        0.3

Other Securities

        15,892,371        0.4
     

 

 

    

 

 

 

TOTAL IRELAND

        23,927,766        0.7
     

 

 

    

 

 

 

ISRAEL — (0.5%)

        

Other Securities

        16,875,750        0.5
     

 

 

    

 

 

 

ITALY — (1.5%)

        

Other Securities

        50,755,952        1.6
     

 

 

    

 

 

 

 

70


WORLD EX U.S. CORE EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

JAPAN — (16.1%)

        

NTT DOCOMO, Inc.

     181,600      $ 6,761,911        0.2

SoftBank Group Corp.

     138,244        9,004,353        0.3

Sony Corp.

     104,000        8,670,108        0.3

Toyota Motor Corp.

     226,064        14,840,365        0.5

Other Securities

        491,517,983        15.2
     

 

 

    

 

 

 

TOTAL JAPAN

        530,794,720        16.5
     

 

 

    

 

 

 

MALAYSIA — (0.6%)

        

Other Securities

        20,309,018        0.6
     

 

 

    

 

 

 

MEXICO — (0.7%)

        

Other Securities

        22,426,915        0.7
     

 

 

    

 

 

 

NETHERLANDS — (2.2%)

        

ASML Holding NV

     20,610        7,444,538        0.2

Koninklijke Ahold Delhaize NV

     261,210        7,161,265        0.2

Other Securities

        57,668,093        1.9
     

 

 

    

 

 

 

TOTAL NETHERLANDS

        72,273,896        2.3
     

 

 

    

 

 

 

NEW ZEALAND — (0.4%)

        

Other Securities

        12,970,022        0.4
     

 

 

    

 

 

 

NORWAY — (0.5%)

        

Other Securities

        16,996,291        0.5
     

 

 

    

 

 

 

PERU — (0.0%)

        

Other Securities

        262,369        0.0
     

 

 

    

 

 

 

PHILIPPINES — (0.3%)

        

Other Securities

        8,364,575        0.3
     

 

 

    

 

 

 

POLAND — (0.2%)

        

Other Securities

        7,043,506        0.2
     

 

 

    

 

 

 

PORTUGAL — (0.1%)

        

Other Securities

        4,071,244        0.1
     

 

 

    

 

 

 

QATAR — (0.2%)

        

Other Securities

        5,021,658        0.2
     

 

 

    

 

 

 

RUSSIA — (0.2%)

        

Other Securities

        7,471,392        0.2
     

 

 

    

 

 

 

SAUDI ARABIA — (0.6%)

        

Other Securities

        20,349,595        0.6
     

 

 

    

 

 

 

SINGAPORE — (0.6%)

        

Other Securities

        19,873,284        0.6
     

 

 

    

 

 

 

SOUTH AFRICA — (1.4%)

        

Gold Fields, Ltd., Sponsored ADR

     439,903        4,808,140        0.2

Other Securities

        42,406,543        1.3
     

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        47,214,683        1.5
     

 

 

    

 

 

 

 

71


WORLD EX U.S. CORE EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

SOUTH KOREA — (4.1%)

 

     

Samsung Electronics Co., Ltd.

     661,530      $ 33,252,208        1.1

SK Hynix, Inc.

     79,671        5,652,088        0.2

Other Securities

        97,105,766        2.9
     

 

 

    

 

 

 

TOTAL SOUTH KOREA

        136,010,062        4.2
     

 

 

    

 

 

 

SPAIN — (1.3%)

        

Iberdrola SA

     559,782        6,609,669        0.2

Other Securities

        35,027,868        1.1
     

 

 

    

 

 

 

TOTAL SPAIN

        41,637,537        1.3
     

 

 

    

 

 

 

SWEDEN — (2.2%)

        

*   Volvo AB, Class B

     272,897        5,304,350        0.2

Other Securities

        66,215,784        2.0
     

 

 

    

 

 

 

TOTAL SWEDEN

        71,520,134        2.2
     

 

 

    

 

 

 

SWITZERLAND — (5.1%)

        

Nestle SA

     285,492        32,111,537        1.0

Novartis AG

     100,236        7,810,648        0.3

Roche Holding AG

     58,789        18,890,748        0.6

Sika AG

     19,260        4,738,052        0.2

Other Securities

        103,550,816        3.1
     

 

 

    

 

 

 

TOTAL SWITZERLAND

        167,101,801        5.2
     

 

 

    

 

 

 

TAIWAN — (4.9%)

        

Taiwan Semiconductor Manufacturing Co., Ltd.

     1,170,000        17,701,718        0.6

Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR

     129,369        10,850,178        0.4

Other Securities

        133,439,713        4.0
     

 

 

    

 

 

 

TOTAL TAIWAN

        161,991,609        5.0
     

 

 

    

 

 

 

THAILAND — (0.6%)

        

Other Securities

        21,113,427        0.7
     

 

 

    

 

 

 

TURKEY — (0.2%)

        

Other Securities

        5,799,476        0.2
     

 

 

    

 

 

 

UNITED ARAB EMIRATES — (0.1%)

        

Other Securities

        3,658,919        0.1
     

 

 

    

 

 

 

UNITED KINGDOM — (8.2%)

        

AstraZeneca P.L.C., Sponsored ADR

     149,455        7,496,663        0.3

BP P.L.C., Sponsored ADR

     317,435        4,913,894        0.2

#   HSBC Holdings P.L.C., Sponsored ADR

     263,052        5,518,831        0.2

#   Rio Tinto P.L.C., Sponsored ADR

     172,914        9,816,328        0.3

Royal Dutch Shell P.L.C., Sponsored ADR, Class B

     345,386        8,341,072        0.3

Other Securities

        235,104,354        7.2
     

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        271,191,142        8.5
     

 

 

    

 

 

 

UNITED STATES — (0.0%)

        

Other Security

        21,081        0.0
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        3,157,315,915        98.3
     

 

 

    

 

 

 

 

72


WORLD EX U.S. CORE EQUITY PORTFOLIO

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

PREFERRED STOCKS — (0.7%)

        

BRAZIL — (0.3%)

        

Other Securities

      $ 9,053,801        0.3
     

 

 

    

 

 

 

CHILE — (0.0%)

        

Other Securities

        200,088        0.0
     

 

 

    

 

 

 

COLOMBIA — (0.0%)

        

Other Securities

        223,562        0.0
     

 

 

    

 

 

 

GERMANY — (0.4%)

        

Other Securities

        11,787,766        0.4
     

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        

Other Security

        1,160        0.0
     

 

 

    

 

 

 

UNITED KINGDOM — (0.0%)

        

Other Security

        1,240        0.0
     

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        21,267,617        0.7
     

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

BRAZIL — (0.0%)

        

Other Security

        2,608        0.0
     

 

 

    

 

 

 

CANADA — (0.0%)

        

Other Securities

        64,111        0.0
     

 

 

    

 

 

 

FRANCE — (0.0%)

        

Other Security

        204        0.0
     

 

 

    

 

 

 

GERMANY — (0.0%)

        

Other Security

        468        0.0
     

 

 

    

 

 

 

MALAYSIA — (0.0%)

        

Other Securities

        24,292        0.0
     

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        

Other Securities

        90,036        0.0
     

 

 

    

 

 

 

SPAIN — (0.0%)

        

Other Security

        41,758        0.0
     

 

 

    

 

 

 

TAIWAN — (0.0%)

        

Other Securities

        2,547        0.0
     

 

 

    

 

 

 

THAILAND — (0.0%)

        

Other Securities

        4,523        0.0
     

 

 

    

 

 

 

UNITED KINGDOM — (0.0%)

        

Other Security

        294,275        0.0
     

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        524,822        0.0
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $3,168,410,046)

        3,179,108,354     
     

 

 

    

 

73


WORLD EX U.S CORE EQUITY PORTFOLIO

CONTINUED

 

         Shares      Value†      Percentage
of Net Assets‡
 
    

 

 

    

 

 

    

 

 

 

SECURITIES LENDING COLLATERAL — (3.6%)

        

 

The DFA Short Term Investment Fund

     10,292,665      $ 119,096,422        3.7
       

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $3,287,477,314)

      $ 3,298,204,776        102.7
       

 

 

    

 

 

 

As of October 31, 2020, World ex U.S. Core Equity Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     103        12/18/20      $ 17,411,351      $ 16,813,205      $ (598,146
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 17,411,351      $ 16,813,205      $ (598,146
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Common Stocks

           

Australia

   $ 1,022,772      $ 137,619,341        —        $ 138,642,113  

Austria

     —          9,801,387        —          9,801,387  

Belgium

     616,194        23,449,867        —          24,066,061  

Brazil

     38,257,203        —          —          38,257,203  

Canada

     210,649,893        975,432        —          211,625,325  

Chile

     1,004,156        4,202,947        —          5,207,103  

China

     53,902,024        324,599,555        —          378,501,579  

Colombia

     1,952,422        —          —          1,952,422  

Czech Republic

     —          853,212        —          853,212  

Denmark

     —          49,492,520        —          49,492,520  

Egypt

     112,131        129,751        —          241,882  

Finland

     —          36,701,588        —          36,701,588  

France

     732,593        165,230,147        —          165,962,740  

Germany

     1,993,363        135,844,355        —          137,837,718  

Greece

     1,813        1,425,588        —          1,427,401  

Hong Kong

     327,079        60,394,225        —          60,721,304  

Hungary

     —          2,051,402        —          2,051,402  

India

     2,315,340        109,878,846        —          112,194,186  

Indonesia

     135,238        14,595,707        —          14,730,945  

Ireland

     8,035,395        15,892,371        —          23,927,766  

Israel

     2,017,654        14,858,096        —          16,875,750  

Italy

     115,467        50,640,485        —          50,755,952  

Japan

     2,600,152        528,194,568        —          530,794,720  

Malaysia

     —          20,309,018        —          20,309,018  

Mexico

     22,426,736        179        —          22,426,915  

Netherlands

     11,547,279        60,726,617        —          72,273,896  

New Zealand

     —          12,970,022        —          12,970,022  

Norway

     123,861        16,872,430        —          16,996,291  

Peru

     262,369        —          —          262,369  

Philippines

     22,611        8,341,964        —          8,364,575  

Poland

     —          7,043,506        —          7,043,506  

 

74


WORLD EX U.S CORE EQUITY PORTFOLIO

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Portugal

     —        $ 4,071,244        —        $ 4,071,244  

Qatar

     —          5,021,658        —          5,021,658  

Russia

   $ 3,790,808        3,680,584        —          7,471,392  

Saudi Arabia

     43,693        20,305,902        —          20,349,595  

Singapore

     —          19,873,284        —          19,873,284  

South Africa

     7,715,667        39,499,016        —          47,214,683  

South Korea

     1,184,602        134,825,460        —          136,010,062  

Spain

     316,443        41,321,094        —          41,637,537  

Sweden

     186,836        71,333,298        —          71,520,134  

Switzerland

     9,488,876        157,612,925        —          167,101,801  

Taiwan

     11,017,475        150,974,134        —          161,991,609  

Thailand

     21,113,427        —          —          21,113,427  

Turkey

     —          5,799,476        —          5,799,476  

United Arab Emirates

     —          3,658,919        —          3,658,919  

United Kingdom

     57,828,104        213,363,038        —          271,191,142  

United States

     —          21,081        —          21,081  

Preferred Stocks

           

Brazil

     9,053,801        —          —          9,053,801  

Chile

     —          200,088        —          200,088  

Colombia

     223,562        —          —          223,562  

Germany

     —          11,787,766        —          11,787,766  

South Korea

     —          1,160        —          1,160  

United Kingdom

     —          1,240        —          1,240  

Rights/Warrants

           

Brazil

     —          2,608        —          2,608  

Canada

     —          64,111        —          64,111  

France

     —          204        —          204  

Germany

     —          468        —          468  

Malaysia

     —          24,292        —          24,292  

South Korea

     —          90,036        —          90,036  

Spain

     —          41,758        —          41,758  

Taiwan

     —          2,547        —          2,547  

Thailand

     —          4,523        —          4,523  

United Kingdom

     —          294,275        —          294,275  

Securities Lending Collateral

     —          119,096,422        —          119,096,422  

Futures Contracts**

     (598,146      —          —          (598,146
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 481,538,893      $ 2,816,067,737        —        $ 3,297,606,630  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

75


WORLD CORE EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Shares      Value†  

AFFILIATED INVESTMENT COMPANIES — (99.9%)

     

Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.

     17,279,785      $ 436,141,765  

Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.

     19,096,191        230,681,992  

Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.

     5,023,803        102,184,162  
     

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $645,866,189)

      $ 769,007,919  
     

 

 

 

TEMPORARY CASH INVESTMENTS — (0.1%)

     

State Street Institutional U.S. Government Money Market Fund, 0.026%
(Cost $671,264)

     671,264        671,264  
     

 

 

 

TOTAL INVESTMENTS — (100.0%)
(Cost $646,537,453)

      $ 769,679,183  
     

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 769,007,919        —          —        $ 769,007,919  

Temporary Cash Investments

     671,264        —          —          671,264  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 769,679,183        —          —        $ 769,679,183  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

76


SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Shares      Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

     

Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.

     6,484,693      $ 147,786,159  

Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.

     6,603,003        79,764,273  

Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.

     2,838,422        57,733,511  
     

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $220,790,573)

      $ 285,283,943  
     

 

 

 

As of October 31, 2020, Selectively Hedged Global Equity Portfolio had entered into the following forward currency contracts and the net unrealized forward currency gain (loss) is reflected in the accompanying financial statements:

 

Currency Purchased

    

Currency Sold

    

Counterparty

   Settlement
Date
     Unrealized
Foreign
Exchange
Appreciation
(Depreciation)
 

GBP

     359,386     

USD

     464,855     

Barclays Capital

     11/03/20      $ 729  

USD

     485,430     

GBP

     372,150     

Citibank, N.A.

     11/03/20        3,310  

GBP

     381,644     

USD

     489,168     

Goldman Sachs International

     11/03/20        5,252  

USD

     523,152     

ILS

     1,777,000     

JP Morgan

     11/17/20        2,295  

USD

     1,705,475     

DKK

     10,569,891     

Bank of America Corp.

     11/30/20        50,876  

USD

     115,190     

DKK

     725,092     

Citibank, N.A.

     11/30/20        1,685  

USD

     614,250     

NOK

     5,713,661     

Goldman Sachs International

     12/30/20        15,848  

USD

     20,709,985     

EUR

     17,611,927     

Barclays Capital

     01/07/21        164,685  

USD

     5,094,786     

AUD

     7,169,000     

Citibank, N.A.

     01/20/21        53,630  

SEK

     1,607,347     

USD

     180,564     

Citibank, N.A.

     01/21/21        263  

USD

     7,499,794     

SEK

     28,066,048     

JP Morgan

     01/21/21        99,892  

CAD

     406,357     

USD

     304,003     

State Street Bank and Trust

     01/21/21        1,124  
                 

 

 

 

Total Appreciation

 

         $ 399,589  

USD

     9,559,808     

GBP

     7,415,912     

Citibank, N.A.

     11/03/20      $ (47,502

GBP

     7,047,032     

USD

     9,129,994     

State Street Bank and Trust

     11/03/20        (567

ILS

     132,239     

USD

     39,258     

Citibank, N.A.

     11/17/20        (498

DKK

     671,463     

USD

     106,894     

Citibank, N.A.

     11/30/20        (1,784

NOK

     5,713,661     

USD

     618,315     

UBS AG

     12/30/20        (19,913

USD

     8,929,588     

GBP

     6,890,000     

State Street Bank and Trust

     12/31/20        (770

CHF

     345,383     

USD

     379,261     

Bank of America Corp.

     01/07/21        (1,785

USD

     5,607,366     

CHF

     5,139,880     

Bank of New York Mellon Corp.

     01/07/21        (10,106

EUR

     928,491     

USD

     1,090,523     

Societe Generale

     01/07/21        (7,386

USD

     18,742,922     

JPY

     1,968,857,758     

Bank of America Corp.

     01/13/21        (83,128
                 

 

 

 

Total (Depreciation)

 

         $ (173,439
           

 

 

 

Total Appreciation (Depreciation)

 

         $ 226,150  
              

 

 

 

 

77


SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO

CONTINUED

 

As of October 31, 2020, Selectively Hedged Global Equity Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     21        12/18/20      $ 3,521,889      $ 3,427,935      $ (93,954
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 3,521,889      $ 3,427,935      $ (93,954
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 285,283,943        —          —        $ 285,283,943  

Forward Currency Contracts**

     —        $ 226,150        —          226,150  

Futures Contracts**

     (93,954      —          —          (93,954
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 285,189,989      $ 226,150        —        $ 285,416,139  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

78


EMERGING MARKETS PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The Emerging Markets Series of
The DFA Investment Trust Company

   $ 5,657,882,166  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 5,657,882,166  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

79


EMERGING MARKETS SMALL CAP PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company

   $ 4,901,220,721  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 4,901,220,721  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

80


EMERGING MARKETS VALUE PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in Dimensional Emerging Markets Value Fund

   $ 12,662,141,783  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 12,662,141,783  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

81


EMERGING MARKETS CORE EQUITY PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (97.2%)

        

BRAZIL — (3.8%)

        
   Magazine Luiza SA      13,113,688      $ 56,290,162        0.2
   Petroleo Brasileiro SA      19,448,656        64,400,084        0.3
   Vale SA      17,407,141        183,689,715        0.8
   Other Securities         648,589,058        2.5
        

 

 

    

 

 

 

TOTAL BRAZIL

        952,969,019        3.8
        

 

 

    

 

 

 

CHILE — (0.7%)

        
   Other Securities         167,274,845        0.7
        

 

 

    

 

 

 

CHINA — (34.5%)

        

*

   Alibaba Group Holding, Ltd., Sponsored ADR      2,528,930        770,539,682        3.1

*

   Baidu, Inc., Sponsored ADR      630,238        83,853,166        0.4

#

   Bank of China, Ltd., Class H      203,461,702        64,265,632        0.3
   BYD Co., Ltd., Class H      3,243,300        65,562,658        0.3
   China Construction Bank Corp., Class H      333,485,302        229,809,077        0.9
   China Merchants Bank Co., Ltd., Class H      19,361,646        100,853,514        0.4
   China Mobile, Ltd.      14,262,500        87,237,144        0.4
   China Mobile, Ltd., Sponsored ADR      2,903,118        89,212,816        0.4
   China Overseas Land & Investment, Ltd.      22,770,033        57,193,544        0.2
   China Petroleum & Chemical Corp., Class H      144,228,400        56,317,000        0.2
   China Resources Land, Ltd.      14,146,610        57,854,901        0.3
   China Shenhua Energy Co., Ltd., Class H      28,497,000        49,375,051        0.2
   CNOOC, Ltd.      66,903,000        61,213,281        0.3
   Geely Automobile Holdings, Ltd.      29,475,000        60,566,869        0.3
   Industrial & Commercial Bank of China, Ltd., Class H      260,523,725        147,942,056        0.6

*

   JD.com, Inc., ADR      933,460        76,095,659        0.3

*

   Meituan Dianping, Class B      1,960,500        73,085,789        0.3

#

   NetEase, Inc., ADR      1,143,858        99,275,436        0.4

*

   New Oriental Education & Technology Group, Inc., Sponsored ADR      336,236        53,925,530        0.2

*

   NIO, Inc., ADR      2,486,207        76,028,210        0.3

#

   Ping An Insurance Group Co. of China, Ltd., Class H      30,207,000        312,330,514        1.3
   Sino Biopharmaceutical, Ltd.      48,739,495        49,372,810        0.2
   Sunac China Holdings, Ltd.      15,572,000        57,712,174        0.3
   Tencent Holdings, Ltd.      17,216,900        1,315,467,717        5.3

*

   Vipshop Holdings, Ltd., ADR      3,141,441        67,226,837        0.3
   Xinyi Solar Holdings, Ltd.      28,249,834        51,608,076        0.2
   Yum China Holdings, Inc.      1,301,003        69,252,390        0.3
   Other Securities         4,368,043,258        17.2
        

 

 

    

 

 

 

TOTAL CHINA

        8,651,220,791        34.9
        

 

 

    

 

 

 

COLOMBIA — (0.2%)

        
   Other Securities         41,789,900        0.2
        

 

 

    

 

 

 

CZECH REPUBLIC — (0.1%)

        
   Other Securities         28,040,143        0.1
        

 

 

    

 

 

 

EGYPT — (0.1%)

        
   Other Securities         16,427,844        0.1
        

 

 

    

 

 

 

GREECE — (0.2%)

        
   Other Securities         45,306,234        0.2
        

 

 

    

 

 

 

 

82


EMERGING MARKETS CORE EQUITY PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

HONG KONG — (0.2%)

        
   Other Securities       $ 58,580,878        0.2
        

 

 

    

 

 

 

HUNGARY — (0.2%)

        
   Other Securities         54,622,576        0.2
        

 

 

    

 

 

 

INDIA — (11.0%)

        
   HCL Technologies, Ltd.      4,417,982        50,433,219        0.2

*

   HDFC Bank, Ltd.      5,989,118        95,552,894        0.4
   Hindustan Unilever, Ltd.      2,248,958        62,994,011        0.3
   Housing Development Finance Corp., Ltd.      2,926,564        75,823,884        0.3
   Infosys, Ltd.      8,238,838        118,016,738        0.5
   Infosys, Ltd., Sponsored ADR      7,138,068        101,860,230        0.4
   Reliance Industries, Ltd.      9,603,552        267,532,744        1.1
   Tata Consultancy Services, Ltd.      2,426,638        87,414,434        0.4
   Other Securities         1,893,212,711        7.5
        

 

 

    

 

 

 

TOTAL INDIA

        2,752,840,865        11.1
        

 

 

    

 

 

 

INDONESIA — (1.8%)

        
   Other Securities         456,971,964        1.8
        

 

 

    

 

 

 

MALAYSIA — (2.1%)

        
   Other Securities         517,680,915        2.1
        

 

 

    

 

 

 

MEXICO — (2.2%)

        

#

   Grupo Mexico S.A.B. de C.V., Class B      18,002,447        51,330,080        0.2
   Other Securities         500,834,854        2.0
        

 

 

    

 

 

 

TOTAL MEXICO

        552,164,934        2.2
        

 

 

    

 

 

 

PERU — (0.1%)

        
   Other Securities         21,130,689        0.1
        

 

 

    

 

 

 

PHILIPPINES — (0.9%)

        
   Other Securities         235,788,762        1.0
        

 

 

    

 

 

 

POLAND — (0.7%)

        
   Other Securities         170,267,118        0.7
        

 

 

    

 

 

 

QATAR — (0.1%)

        
   Other Securities         36,282,054        0.1
        

 

 

    

 

 

 

RUSSIA — (0.8%)

        
   Other Securities         206,152,309        0.8
        

 

 

    

 

 

 

SAUDI ARABIA — (1.3%)

        
   Other Securities         320,899,770        1.3
        

 

 

    

 

 

 

SOUTH AFRICA — (4.2%)

        
   Gold Fields, Ltd., Sponsored ADR      7,820,734        85,480,623        0.4

#

   MTN Group, Ltd.      14,341,540        51,206,615        0.2
   Naspers, Ltd., Class N      463,620        90,511,338        0.4
   Standard Bank Group, Ltd.      8,280,680        54,146,469        0.2
   Other Securities         783,662,597        3.1
        

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        1,065,007,642        4.3
        

 

 

    

 

 

 

 

83


EMERGING MARKETS CORE EQUITY PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

SOUTH KOREA — (13.4%)

        

    

   LG Electronics, Inc.      869,500      $ 64,638,147        0.3
   Samsung Electronics Co., Ltd.      19,583,730        984,388,104        4.0
   SK Hynix, Inc.      2,287,099        162,253,318        0.7
   Other Securities         2,136,945,062        8.5
        

 

 

    

 

 

 

TOTAL SOUTH KOREA

        3,348,224,631        13.5
        

 

 

    

 

 

 

TAIWAN — (16.0%)

        
   Hon Hai Precision Industry Co., Ltd.      26,398,403        71,595,904        0.3
   Taiwan Semiconductor Manufacturing Co., Ltd.      41,439,652        626,968,405        2.5
   Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR      5,081,623        426,195,721        1.7
   Other Securities         2,890,791,773        11.7
        

 

 

    

 

 

 

TOTAL TAIWAN

        4,015,551,803        16.2
        

 

 

    

 

 

 

THAILAND — (1.9%)

        
   Other Securities         485,085,248        2.0
        

 

 

    

 

 

 

TURKEY — (0.6%)

        
   Other Securities         139,725,670        0.6
        

 

 

    

 

 

 

UNITED ARAB EMIRATES — (0.1%)

        
   Other Securities         26,871,155        0.1
        

 

 

    

 

 

 

UNITED STATES — (0.0%)

        
   Other Security         172,039        0.0
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        24,367,049,798        98.3
        

 

 

    

 

 

 

PREFERRED STOCKS — (1.0%)

        

BRAZIL — (0.9%)

        
   Petroleo Brasileiro SA      28,735,931        94,852,436        0.4
   Other Securities         133,823,726        0.5
        

 

 

    

 

 

 

TOTAL BRAZIL

        228,676,162        0.9
        

 

 

    

 

 

 

CHILE — (0.0%)

        
   Other Securities         4,036,441        0.0
        

 

 

    

 

 

 

COLOMBIA — (0.1%)

        
   Other Securities         8,361,863        0.1
        

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        
   Other Security         189,077        0.0
        

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        241,263,543        1.0
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

BRAZIL — (0.0%)

        
   Other Securities         64,192        0.0
        

 

 

    

 

 

 

MALAYSIA — (0.0%)

        
   Other Securities         463,989        0.0
        

 

 

    

 

 

 

 

84


EMERGING MARKETS CORE EQUITY PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

SOUTH KOREA — (0.0%)

        

    

   Other Securities       $ 1,544,775        0.0
        

 

 

    

 

 

 

TAIWAN — (0.0%)

        
   Other Securities         56,874        0.0
        

 

 

    

 

 

 

THAILAND — (0.0%)

        
   Other Securities         112,853        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        2,242,683        0.0
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $20,614,695,802)

        24,610,556,024     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (1.8%)

        

   The DFA Short Term Investment Fund      38,661,524        447,352,497        1.8
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $21,061,939,395)

      $ 25,057,908,521        101.1
        

 

 

    

 

 

 

As of October 31, 2020, Emerging Markets Core Equity Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index.

     905        12/18/20      $ 155,623,087      $ 147,727,675      $ (7,895,412
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 155,623,087      $ 147,727,675      $ (7,895,412
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 952,969,019        —          —        $ 952,969,019  

Chile

     46,377,839      $ 120,897,006        —          167,274,845  

China

     1,757,353,830        6,893,866,961        —          8,651,220,791  

Colombia

     41,789,900        —          —          41,789,900  

Czech Republic

     —          28,040,143        —          28,040,143  

Egypt

     1,630,684        14,797,160        —          16,427,844  

Greece

     6,737        45,299,497        —          45,306,234  

Hong Kong

     6,792,380        51,788,498        —          58,580,878  

Hungary

     88,352        54,534,224        —          54,622,576  

India

     174,449,847        2,578,391,018        —          2,752,840,865  

Indonesia

     13,748,358        443,223,606        —          456,971,964  

Malaysia

     —          517,680,915        —          517,680,915  

Mexico

     552,145,140        19,794        —          552,164,934  

Peru

     21,130,688        1        —          21,130,689  

Philippines

     5,318,933        230,469,829        —          235,788,762  

Poland

     —          170,267,118        —          170,267,118  

Qatar

     —          36,282,054        —          36,282,054  

 

85


EMERGING MARKETS CORE EQUITY PORTFOLIO

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Russia

   $ 20,862,520      $ 185,289,789        —        $ 206,152,309  

Saudi Arabia

     474,305        320,425,465        —          320,899,770  

South Africa

     170,766,397        894,241,245        —          1,065,007,642  

South Korea

     63,879,327        3,284,345,304        —          3,348,224,631  

Taiwan

     440,790,265        3,574,761,538        —          4,015,551,803  

Thailand

     485,085,248        —          —          485,085,248  

Turkey

     624,108        139,101,562        —          139,725,670  

United Arab Emirates

     —          26,871,155        —          26,871,155  

United States

     —          172,039        —          172,039  

Preferred Stocks

           

Brazil

     228,676,162        —          —          228,676,162  

Chile

     —          4,036,441        —          4,036,441  

Colombia

     8,361,863        —          —          8,361,863  

South Korea

     —          189,077        —          189,077  

Rights/Warrants

           

Brazil

     —          64,192        —          64,192  

Malaysia

     —          463,989        —          463,989  

South Korea

     —          1,544,775        —          1,544,775  

Taiwan.

     —          56,874        —          56,874  

Thailand

     —          112,853        —          112,853  

Securities Lending Collateral

     —          447,352,497        —          447,352,497  

Futures Contracts**

     (7,895,412      —          —          (7,895,412
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 4,985,426,490      $ 20,064,586,619        —        $ 25,050,013,109  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

86


EMERGING MARKETS TARGETED VALUE PORTFOLIO

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (98.1%)

        

BRAZIL — (3.0%)

        
   Sul America SA      82,071      $ 571,985        0.3
   Other Securities         4,589,349        2.7
        

 

 

    

 

 

 

TOTAL BRAZIL

        5,161,334        3.0
        

 

 

    

 

 

 

CHILE — (0.5%)

        
   Other Securities         768,684        0.5
        

 

 

    

 

 

 

CHINA — (29.1%)

        
   China Conch Venture Holdings, Ltd.      148,000        659,015        0.4

*W

   China International Capital Corp., Ltd., Class H      328,400        767,335        0.5
   China Jinmao Holdings Group, Ltd.      1,102,000        558,331        0.3
   China National Building Material Co., Ltd., Class H      998,000        1,148,759        0.7
   China Resources Cement Holdings, Ltd.      382,000        500,202        0.3
   China Taiping Insurance Holdings Co., Ltd.      397,600        600,434        0.4
   China Unicom Hong Kong, Ltd.      780,000        480,784        0.3
   Fosun International, Ltd.      652,500        787,915        0.5
   Great Wall Motor Co., Ltd., Class H      330,000        534,293        0.3

#*

   JinkoSolar Holding Co., Ltd., ADR      9,125        531,987        0.3

#

   JOYY, Inc., ADR      8,665        791,808        0.5
   Kingboard Holdings, Ltd.      158,500        536,847        0.3
   Kunlun Energy Co., Ltd.      730,000        472,604        0.3
   Minth Group, Ltd.      156,000        645,527        0.4
   Nine Dragons Paper Holdings, Ltd.      436,000        581,551        0.4
   PICC Property & Casualty Co., Ltd., Class H      844,000        572,834        0.4
   Shimao Group Holdings, Ltd.      149,500        529,576        0.3

*

   SINA Corp.      10,908        467,408        0.3
   Sinopharm Group Co., Ltd., Class H      350,400        805,024        0.5
   Sinotruk Hong Kong, Ltd.      174,000        445,066        0.3

*

   Trip.com Group, Ltd., ADR      52,226        1,502,020        0.9
   Other Securities         35,608,633        20.5
        

 

 

    

 

 

 

TOTAL CHINA

        49,527,953        29.1
        

 

 

    

 

 

 

COLOMBIA — (0.2%)

        
   Other Securities         289,843        0.2
        

 

 

    

 

 

 

GREECE — (0.2%)

        
   Other Securities         323,777        0.2
        

 

 

    

 

 

 

HONG KONG — (0.2%)

        
   Other Securities         384,083        0.2
        

 

 

    

 

 

 

INDIA — (11.3%)

        
   Aurobindo Pharma, Ltd.      51,632        538,669        0.3
   Cipla, Ltd.      54,009        550,639        0.3
   Dr Reddy’s Laboratories, Ltd.      7,033        463,026        0.3
   Grasim Industries, Ltd.      62,073        652,733        0.4
   Hindalco Industries, Ltd.      206,621        478,009        0.3
   Tata Consumer Products, Ltd.      67,382        448,775        0.3
   Tech Mahindra, Ltd.      48,500        532,656        0.3
   UPL, Ltd.      75,705        462,278        0.3

 

87


EMERGING MARKETS TARGETED VALUE PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

INDIA — (Continued)

        
   Other Securities       $ 15,095,644        8.8
        

 

 

    

 

 

 

TOTAL INDIA

        19,222,429        11.3
        

 

 

    

 

 

 

INDONESIA — (1.5%)

        
   Other Securities         2,620,907        1.5
        

 

 

    

 

 

 

MALAYSIA — (2.1%)

        
   Other Securities         3,545,043        2.1
        

 

 

    

 

 

 

MEXICO — (2.5%)

        
   Cemex S.A.B. de C.V.      2,836,629        1,171,481        0.7

*

   Grupo Televisa S.A.B.      404,268        514,591        0.3
   Other Securities         2,469,707        1.5
        

 

 

    

 

 

 

TOTAL MEXICO

        4,155,779        2.5
        

 

 

    

 

 

 

PHILIPPINES — (0.8%)

        
   Other Securities         1,384,232        0.8
        

 

 

    

 

 

 

POLAND — (0.7%)

        
   Other Securities         1,161,459        0.7
        

 

 

    

 

 

 

QATAR — (0.9%)

        
   Other Securities         1,556,675        0.9
        

 

 

    

 

 

 

RUSSIA — (0.7%)

        
   Other Securities         1,109,459        0.7
        

 

 

    

 

 

 

SAUDI ARABIA — (2.5%)

        

*

   Etihad Etisalat Co.      63,225        470,475        0.3
   Other Securities         3,762,553        2.2
        

 

 

    

 

 

 

TOTAL SAUDI ARABIA

        4,233,028        2.5
        

 

 

    

 

 

 

SOUTH AFRICA — (3.6%)

        
   Sibanye Stillwater, Ltd.      256,549        756,491        0.5
   Other Securities         5,414,026        3.1
        

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        6,170,517        3.6
        

 

 

    

 

 

 

SOUTH KOREA — (16.2%)

        
   DB Insurance Co., Ltd.      11,991        468,801        0.3
   E-MART, Inc.      5,089        640,695        0.4
   Hankook Tire & Technology Co., Ltd.      18,185        509,439        0.3
   Hanwha Solutions Corp.      17,310        672,868        0.4
   Kumho Petrochemical Co., Ltd.      4,146        490,422        0.3

*

   Samsung Heavy Industries Co., Ltd.      107,772        484,432        0.3
   Woori Financial Group, Inc.      71,172        561,946        0.3
   Other Securities         23,788,590        13.9
        

 

 

    

 

 

 

TOTAL SOUTH KOREA

        27,617,193        16.2
        

 

 

    

 

 

 

TAIWAN — (18.3%)

        

*

   AU Optronics Corp.      1,763,000        712,046        0.4
   Compal Electronics, Inc.      981,000        639,120        0.4
   Innolux Corp.      1,677,000        582,067        0.4

 

88


EMERGING MARKETS TARGETED VALUE PORTFOLIO

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

TAIWAN — (Continued)

        
   Lite-On Technology Corp.      420,000      $ 684,145        0.4
   Pou Chen Corp.      514,000        454,163        0.3
   Shin Kong Financial Holding Co., Ltd.      1,821,137        507,267        0.3
   Synnex Technology International Corp.      296,000        439,913        0.3
   Wistron Corp.      629,000        628,837        0.4
   Other Securities         26,540,020        15.4
        

 

 

    

 

 

 

TOTAL TAIWAN

        31,187,578        18.3
        

 

 

    

 

 

 

THAILAND — (2.4%)

        
   Other Securities         4,110,112        2.4
        

 

 

    

 

 

 

TURKEY — (0.8%)

        
   Other Securities         1,378,822        0.8
        

 

 

    

 

 

 

UNITED ARAB EMIRATES — (0.6%)

        
   Other Securities         1,000,223        0.6
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        166,909,130        98.1
        

 

 

    

 

 

 

PREFERRED STOCKS — (0.7%)

        

BRAZIL — (0.7%)

        
   Gerdau SA      158,000        600,559        0.4
   Other Securities         512,598        0.3
        

 

 

    

 

 

 

TOTAL BRAZIL

        1,113,157        0.7
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

MALAYSIA — (0.0%)

        
   Other Security         10,032        0.0
        

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        
   Other Securities         37,820        0.0
        

 

 

    

 

 

 

TAIWAN — (0.0%)

        
   Other Securities         236        0.0
        

 

 

    

 

 

 

THAILAND — (0.0%)

        
   Other Security         1,380        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        49,468        0.0
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $164,920,616)

        168,071,755     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (1.2%)

        

   The DFA Short Term Investment Fund      176,015        2,036,669        1.2
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $166,957,154)

      $ 170,108,424        100.0
        

 

 

    

 

 

 

 

89


EMERGING MARKETS TARGETED VALUE PORTFOLIO

CONTINUED

 

As of October 31, 2020, Emerging Markets Targeted Value Portfolio had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     8        12/18/20      $ 1,318,841      $ 1,305,880      $ (12,961
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 1,318,841      $ 1,305,880      $ (12,961
        

 

 

    

 

 

    

 

 

 

Summary of the Portfolio’s investments as of October 31, 2020, 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

   $ 5,161,334        —          —        $ 5,161,334  

Chile

     4,572      $ 764,112        —          768,684  

China

     4,263,802        45,264,151        —          49,527,953  

Colombia

     289,843        —          —          289,843  

Greece

     —          323,777        —          323,777  

Hong Kong

     90,440        293,643        —          384,083  

India

     —          19,222,429        —          19,222,429  

Indonesia

     —          2,620,907        —          2,620,907  

Malaysia

     —          3,545,043        —          3,545,043  

Mexico

     4,155,779        —          —          4,155,779  

Philippines

     —          1,384,232        —          1,384,232  

Poland

     —          1,161,459        —          1,161,459  

Qatar

     —          1,556,675        —          1,556,675  

Russia

     990,167        119,292        —          1,109,459  

Saudi Arabia

     —          4,233,028        —          4,233,028  

South Africa

     444,141        5,726,376        —          6,170,517  

South Korea

     234,645        27,382,548        —          27,617,193  

Taiwan

     —          31,187,578        —          31,187,578  

Thailand

     4,110,112        —          —          4,110,112  

Turkey

     —          1,378,822        —          1,378,822  

United Arab Emirates

     —          1,000,223        —          1,000,223  

Preferred Stocks

           

Brazil

     1,113,157        —          —          1,113,157  

Rights/Warrants

           

Malaysia

     —          10,032        —          10,032  

South Korea

     —          37,820        —          37,820  

Taiwan

     —          236        —          236  

Thailand

     —          1,380        —          1,380  

Securities Lending Collateral

     —          2,036,669        —          2,036,669  

Futures Contracts**

     (12,961      —          —          (12,961
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 20,845,031      $ 149,250,432        —        $ 170,095,463  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

90


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     Large Cap
International
Portfolio*
     International
Core Equity
Portfolio*
    Global Small
Company
Portfolio
    International
Small
Company
Portfolio
 

ASSETS:

         

Investments in Affiliated Investment Companies at Value

     —          —       $ 43,714     $ 10,080,777  

Investment Securities at Value (including $180,359, $1,243,693, $0 and $0 of securities on loan, respectively)

   $ 4,652,658      $ 24,749,144       —         —    

Collateral from Securities on Loan Invested in Affiliate at Value (including cost of

         

$174,326, $1,094,757, $0 and $0, respectively)

     174,366        1,094,988       —         —    

Segregated Cash for Futures Contracts

     3,204        7,824       —         5,700  

Foreign Currencies at Value

     18,966        38,325       —         —    

Cash

     —          47,030       28       73,447  

Receivables:

         

Investment Securities Sold

     35,585        52,599       —         —    

Dividends, Interest and Tax Reclaims

     16,574        81,077       —         —    

Securities Lending Income

     66        1,650       —         —    

Fund Shares Sold

     3,879        16,182       2       3,735  

Due from Advisor

     —          —         2       —    

Futures Margin Variation

     —          5,794       —         —    

Unrealized Gain on Foreign Currency Contracts

     23        56       —         —    

Prepaid Expenses and Other Assets

     65        330       12       109  
  

 

 

    

 

 

   

 

 

   

 

 

 

Total Assets

     4,905,386        26,094,999       43,758       10,163,768  
  

 

 

    

 

 

   

 

 

   

 

 

 

LIABILITIES:

         

Payables:

         

Due to Custodian

     64        —         —         —    

Upon Return of Securities Loaned

     174,377        1,094,979       —         —    

Investment Securities Purchased

     —          119       —         —    

Fund Shares Redeemed

     22,776        25,069       166       10,268  

Due to Advisor

     765        5,954       —         3,448  

Line of Credit

     4,045        —         —         —    

Futures Margin Variation

     2,100        —         —         893  

Accrued Expenses and Other Liabilities

     771        3,317       24       1,027  
  

 

 

    

 

 

   

 

 

   

 

 

 

Total Liabilities

     204,898        1,129,438       190       15,636  
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 4,700,488      $ 24,965,561     $ 43,568     $ 10,148,132  
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

         

Institutional Class Shares — based on net assets of $4,700,488; $24,965,561; $43,568 and $10,148,132 and shares outstanding of 224,874,880, 2,066,025,729, 4,149,085 and 602,694,748, respectively

   $ 20.90      $ 12.08     $ 10.50     $ 16.84  
  

 

 

    

 

 

   

 

 

   

 

 

 

NUMBER OF SHARES AUTHORIZED

     1,500,000,000        7,000,000,000       100,000,000       3,000,000,000  
  

 

 

    

 

 

   

 

 

   

 

 

 

Investments in Affiliated Investment Companies at Cost

   $ —        $ —       $ 43,970       N/A  
  

 

 

    

 

 

   

 

 

   

 

 

 

Investment Securities at Cost

   $ 3,983,423      $ 23,838,375       N/A       N/A  
  

 

 

    

 

 

   

 

 

   

 

 

 

Foreign Currencies at Cost

   $ 19,269      $ 38,291     $ —       $ —    
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

         

Paid-In Capital

   $ 4,518,548      $ 25,612,369     $ 43,731     $ 10,259,277  

Total Distributable Earnings (Loss)

     181,940        (646,808     (163     (111,145
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 4,700,488      $ 24,965,561     $ 43,568     $ 10,148,132  
  

 

 

    

 

 

   

 

 

   

 

 

 

 

*

See Note K in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

91


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     Japanese Small
Company
Portfolio
     Asia Pacific
Small
Company
Portfolio
    United
Kingdom Small
Company
Portfolio
    Continental
Small
Company
Portfolio
 

ASSETS:

         

Investments in Affiliated Investment Companies at Value

   $ 467,034      $ 378,864     $ 16,893     $ 539,125  

Receivables:

         

Fund Shares Sold

     —          —         —         1  

Due from Advisor

     —          —         2       —    

Prepaid Expenses and Other Assets

     10        10       8       10  
  

 

 

    

 

 

   

 

 

   

 

 

 

Total Assets

     467,044        378,874       16,903       539,136  
  

 

 

    

 

 

   

 

 

   

 

 

 

LIABILITIES:

         

Payables:

         

Fund Shares Redeemed

     139        19       8       1,137  

Due to Advisor

     150        123       —         181  

Accrued Expenses and Other Liabilities

     59        50       28       74  
  

 

 

    

 

 

   

 

 

   

 

 

 

Total Liabilities

     348        192       36       1,392  
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 466,696      $ 378,682     $ 16,867     $ 537,744  
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

         

Institutional Class Shares — based on net assets of $466,696; $378,682; $16,867 and $537,744 and shares outstanding of 19,948,861, 18,810,861, 789,972 and 22,576,468, respectively

   $ 23.39      $ 20.13     $ 21.35     $ 23.82  
  

 

 

    

 

 

   

 

 

   

 

 

 

NUMBER OF SHARES AUTHORIZED

     1,000,000,000        1,000,000,000       1,000,000,000       1,000,000,000  
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

         

Paid-In Capital

   $ 421,285      $ 412,169     $ 19,287     $ 543,778  

Total Distributable Earnings (Loss)

     45,411        (33,487     (2,420     (6,034
  

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 466,696      $ 378,682     $ 16,867     $ 537,744  
  

 

 

    

 

 

   

 

 

   

 

 

 

See accompanying Notes to Financial Statements.

 

92


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     DFA
International
Real Estate
Securities
Portfolio*
    DFA Global
Real Estate
Securities
Portfolio*
    DFA
International
Small Cap
Value Portfolio*
    International
Vector Equity
Portfolio*
 

ASSETS:

        

Investments in Affiliated Investment Companies at Value

     —       $ 3,308,774       —         —    

Investment Securities at Value (including $481,790, $70,201, $478,832 and $142,360 of securities on loan, respectively)

   $ 4,578,537       3,905,683     $ 9,707,384     $ 2,704,898  

Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $379,316, $72,140, $419,690 and $123,749, respectively)

     379,347       72,156       419,762       123,777  

Segregated Cash for Futures Contracts

     2,244       —         9,451       —    

Foreign Currencies at Value

     34,663       —         89,069       5,177  

Cash

     237       7,863       41,083       2,194  

Receivables:

        

Investment Securities Sold

     7,754       3,828       19,219       404  

Dividends, Interest and Tax Reclaims

     27,086       2,389       47,944       9,741  

Securities Lending Income

     628       176       1,315       237  

Fund Shares Sold

     1,217       9,548       3,486       4,615  

Unrealized Gain on Foreign Currency Contracts

     57       —         5       2  

Prepaid Expenses and Other Assets

     23       78       157       94  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Assets

     5,031,793       7,310,495       10,338,875       2,851,139  
  

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES:

        

Payables:

        

Upon Return of Securities Loaned

     379,377       72,198       419,715       123,757  

Investment Securities Purchased

     152       5,611       9,010       1,432  

Fund Shares Redeemed

     3,417       5,766       13,843       1,601  

Due to Advisor

     998       670       5,290       1,017  

Futures Margin Variation

     351       —         1,346       —    

Unrealized Loss on Foreign Currency Contracts

     —         —         23       1  

Accrued Expenses and Other Liabilities

     650       425       1,720       472  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Liabilities

     384,945       84,670       450,947       128,280  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 4,646,848     $ 7,225,825     $ 9,887,928     $ 2,722,859  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

        

Institutional Class Shares — based on net assets of $4,646,848; $7,225,825; $9,887,928 and $2,722,859 and shares outstanding of 1,231,582,504, 755,186,998, 631,709,141 and 261,255,076, respectively

   $ 3.77     $ 9.57     $ 15.65     $ 10.42  
  

 

 

   

 

 

   

 

 

   

 

 

 

NUMBER OF SHARES AUTHORIZED

     4,000,000,000       3,000,000,000       4,600,000,000       1,500,000,000  
  

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Affiliated Investment Companies at Cost

   $ —       $ 3,643,637     $ —       $ —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Investment Securities at Cost

   $ 5,115,107     $ 3,882,717     $ 10,743,879     $ 2,586,114  
  

 

 

   

 

 

   

 

 

   

 

 

 

Foreign Currencies at Cost

   $ 34,867     $ —       $ 89,522     $ 5,210  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

        

Paid-In Capital

   $ 6,240,332     $ 7,551,934     $ 11,377,832     $ 2,723,191  

Total Distributable Earnings (Loss)

     (1,593,484     (326,109     (1,489,904     (332
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 4,646,848     $ 7,225,825     $ 9,887,928     $ 2,722,859  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

See Note K in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

93


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     International
High Relative
Profitability
Portfolio*
     World ex U.S.
Value Portfolio
    World ex U.S.
Core Equity
Portfolio*
 

ASSETS:

       

Investments in Affiliated Investment Companies at Value

     —        $ 206,867       —    

Investment Securities at Value (including $56,196, $0 and $149,396 of securities on loan, respectively)

   $ 1,458,933        —       $ 3,179,109  

Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $48,090, $0 and $119,067, respectively)

     48,097        —         119,096  

Segregated Cash for Futures Contracts

     840        —         1,236  

Foreign Currencies at Value

     471        —         24,251  

Cash

     10,512        107       54  

Receivables:

       

Investment Securities Sold

     2,975        —         8,486  

Dividends, Interest and Tax Reclaims

     3,489        —         8,984  

Securities Lending Income

     18        —         202  

Fund Shares Sold

     4,899        17       1,337  

Futures Margin Variation

     —          —         370  

Unrealized Gain on Foreign Currency Contracts

     5        —         9  

Prepaid Expenses and Other Assets

     52        16       70  
  

 

 

    

 

 

   

 

 

 

Total Assets

     1,530,291        207,007       3,343,204  
  

 

 

    

 

 

   

 

 

 

LIABILITIES:

       

Payables:

       

Upon Return of Securities Loaned

     48,092        —         119,101  

Investment Securities Purchased

     5,388        —         39  

Fund Shares Redeemed

     591        3       12,390  

Due to Advisor

     319        56       828  

Futures Margin Variation

     402        —         —    

Unrealized Loss on Foreign Currency Contracts

     5        —         2  

Accrued Expenses and Other Liabilities

     149        33       607  
  

 

 

    

 

 

   

 

 

 

Total Liabilities

     54,946        92       132,967  
  

 

 

    

 

 

   

 

 

 

NET ASSETS.

   $ 1,475,345      $ 206,915     $ 3,210,237  
  

 

 

    

 

 

   

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

       

Institutional Class Shares — based on net assets of $1,475,345; $206,915 and $3,210,237 and shares outstanding of 138,693,765, 23,012,639 and 307,414,469, respectively

   $ 10.64      $ 8.99     $ 10.44  
  

 

 

    

 

 

   

 

 

 

NUMBER OF SHARES AUTHORIZED

     500,000,000        1,000,000,000       1,500,000,000  
  

 

 

    

 

 

   

 

 

 

Investments in Affiliated Investment Companies at Cost

   $ —        $ 233,103     $ —    
  

 

 

    

 

 

   

 

 

 

Investment Securities at Cost

   $ 1,366,850        N/A     $ 3,168,410  
  

 

 

    

 

 

   

 

 

 

Foreign Currencies at Cost

   $ 474      $ —       $ 24,155  
  

 

 

    

 

 

   

 

 

 

NET ASSETS CONSIST OF:

       

Paid-In Capital

   $ 1,407,883      $ 252,952     $ 3,327,399  

Total Distributable Earnings (Loss)

     67,462        (46,037     (117,162
  

 

 

    

 

 

   

 

 

 

NET ASSETS

   $ 1,475,345      $ 206,915     $ 3,210,237  
  

 

 

    

 

 

   

 

 

 

 

*

See Note K in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

94


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     World Core
Equity

Portfolio
     Selectively
Hedged Global
Equity

Portfolio
     Emerging
Markets

Portfolio
     Emerging
Markets Small
Cap Portfolio
 

ASSETS:

           

Investments in Affiliated Investment Companies at Value

   $ 769,008      $ 285,284      $ 5,657,882      $ 4,901,221  

Temporary Cash Investments at Value & Cost

     671        —          —          —    

Segregated Cash for Futures Contracts

     —          252        —          —    

Cash

     —          3,208        —          —    

Receivables:

           

Fund Shares Sold

     268        59        4,172        1,053  

Unrealized Gain on Forward Currency Contracts

     —          400        —          —    

Prepaid Expenses and Other Assets

     38        17        95        32  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

     769,985        289,220        5,662,149        4,902,306  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES:

           

Payables:

           

Fund Shares Redeemed

     293        443        8,034        20,378  

Due to Advisor

     26        9        1,323        1,714  

Futures Margin Variation

     —          40        —          —    

Unrealized Loss on Forward Currency Contracts

     —          173        —          —    

Accrued Expenses and Other Liabilities

     64        46        434        481  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

     383        711        9,791        22,573  
  

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

   $ 769,602      $ 288,509      $ 5,652,358      $ 4,879,733  
  

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

           

Institutional Class Shares — based on net assets of $769,602; $288,509; $5,652,358 and $4,879,733 and shares outstanding of 47,252,450, 17,797,160, 204,524,442 and 248,118,362, respectively

   $ 16.29      $ 16.21      $ 27.64      $ 19.67  
  

 

 

    

 

 

    

 

 

    

 

 

 

NUMBER OF SHARES AUTHORIZED

     1,000,000,000        1,000,000,000        1,500,000,000        1,500,000,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Investments in Affiliated Investment Companies at Cost

   $ 645,866      $ 220,791        N/A        N/A  
  

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF:

           

Paid-In Capital

   $ 669,688      $ 223,786      $ 4,033,669      $ 5,073,491  

Total Distributable Earnings (Loss)

     99,914        64,723        1,618,689        (193,758
  

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

   $ 769,602      $ 288,509      $ 5,652,358      $ 4,879,733  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

95


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     Emerging
Markets Value
Portfolio
    Emerging
Markets Core
Equity

Portfolio*
     Emerging
Markets Targeted
Value Portfolio*
 

ASSETS:

       

Investments in Affiliated Investment Companies at Value

   $ 12,662,142       —          —    

Investment Securities at Value (including $0, $966,030 and $3,055 of securities on loan, respectively)

     —       $ 24,610,556      $ 168,072  

Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $447,244 and $2,037, respectively)

     —         447,352        2,037  

Segregated Cash for Futures Contracts

     —         10,860        96  

Foreign Currencies at Value

     —         102,117        1,091  

Cash

     —         33,001        816  

Receivables:

       

Investment Securities/Affiliated Investment Companies Sold

     —         30,723        262  

Dividends and Interest

     —         29,511        145  

Securities Lending Income

     —         2,088        7  

Fund Shares Sold

     2,383       14,262        81  

Prepaid Expenses and Other Assets

     80       182        23  
  

 

 

   

 

 

    

 

 

 

Total Assets

     12,664,605       25,280,652        172,630  
  

 

 

   

 

 

    

 

 

 

LIABILITIES:

       

Payables:

       

Upon Return of Securities Loaned

     —         447,327        2,037  

Investment Securities/Affiliated Investment Companies Purchased

     —         2,919        219  

Fund Shares Redeemed

     50,035       18,851        30  

Due to Advisor

     3,864       9,064        54  

Futures Margin Variation

     —         —          14  

Unrealized Loss on Foreign Currency Contracts

     —         36        —    

Deferred Taxes Payable

     —         17,448        —    

Accrued Expenses and Other Liabilities

     1,217       4,307        113  
  

 

 

   

 

 

    

 

 

 

Total Liabilities

     55,116       499,952        2,467  
  

 

 

   

 

 

    

 

 

 

NET ASSETS

   $ 12,609,489     $ 24,780,700      $ 170,163  
  

 

 

   

 

 

    

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

       

Class R2 Shares — based on net assets of $12,587; $0 and $0 and shares outstanding of 529,311, 0 and 0, respectively

   $ 23.78       N/A        N/A  
  

 

 

   

 

 

    

 

 

 

NUMBER OF SHARES AUTHORIZED

     200,000,000       N/A        N/A  
  

 

 

   

 

 

    

 

 

 

Institutional Class Shares — based on net assets of $12,596,902; $24,780,700 and $170,163 and shares outstanding of 526,429,836, 1,218,268,057 and 17,519,628, respectively

   $ 23.93     $ 20.34      $ 9.71  
  

 

 

   

 

 

    

 

 

 

NUMBER OF SHARES AUTHORIZED

     3,000,000,000       5,000,000,000        500,000,000  
  

 

 

   

 

 

    

 

 

 

Investment Securities at Cost

     N/A     $ 20,614,696      $ 164,921  
  

 

 

   

 

 

    

 

 

 

Foreign Currencies at Cost

   $ —       $ 102,149      $ 1,076  
  

 

 

   

 

 

    

 

 

 

NET ASSETS CONSIST OF:

       

Paid-In Capital

   $ 15,407,034     $ 23,617,832      $ 164,016  

Total Distributable Earnings (Loss)

     (2,797,545     1,162,868        6,147  
  

 

 

   

 

 

    

 

 

 

NET ASSETS

   $ 12,609,489     $ 24,780,700      $ 170,163  
  

 

 

   

 

 

    

 

 

 

 

*

See Note K in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

96


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     Large Cap
International
Portfolio#
    International
Core Equity
Portfolio#
    Global Small
Company
Portfolio*
    International
Small
Company
Portfolio*
 

Investment Income

        

Net Investment Income Allocated from Affiliated Investment Companies

        

Dividends (Net of Foreign Taxes Withheld of $0, $0, $44 and $23,526, respectively)

     —         —       $ 440     $ 258,942  

Income from Securities Lending

     —         —         45       20,089  

Expenses Allocated from Affiliated Investment Companies

     —         —         (29     (13,509
  

 

 

   

 

 

   

 

 

   

 

 

 

Income Distributions Received from Affiliated Investment Companies

     —         —         244       —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     —         —         700       265,522  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fund Investment Income

        

Dividends (Net of Foreign Taxes Withheld of $12,483, $62,878, $0 and $0, respectively)

   $ 126,806     $ 663,032       —         —    

Income from Securities Lending

     2,393       26,012       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Fund Investment Income

     129,199       689,044       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Fund Expenses

        

Investment Management Fees

     9,541       68,181       180       43,408  

Accounting & Transfer Agent Fees

     913       4,754       19       1,452  

Custodian Fees

     377       1,492       2       2  

Filing Fees

     140       712       23       177  

Shareholders’ Reports

     208       754       13       528  

Directors’/Trustees’ Fees & Expenses

     42       215       —         88  

Professional Fees

     117       706       —         51  

Previously Waived Fees Recovered by Advisor (Note C)

     —         3,676       —         —    

Other

     202       1,085       2       76  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Fund Expenses

     11,540       81,575       239       45,782  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

     —         183       155       —    

Fees Paid Indirectly (Note C)

     277       1,078       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Expenses

     11,263       80,314       84       45,782  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     117,936       608,730       616       219,740  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

        

Capital Gain Distributions Received from Investment Securities

     —         —         535       —    

Net Realized Gain (Loss) on:

        

Investment Securities Sold**

     (380,110     (1,030,907     —         —    

Affiliated Investment Companies Shares Sold

     (71     (170     (712     —    

Transactions Allocated from Affiliated Investment Company**

     —         —         (193     (279,498

Futures

     16,935       86,315       18       13,320  

Foreign Currency Transactions

     4,070       5,368       —         —    

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     (141,807     (1,938,314     9       —    

Affiliated Investment Companies Shares

     27       97       (202     —    

Transactions Allocated from Affiliated Investment Company

     —         —         (79     (573,955

Futures

     (1,346     (6,655     —         (2,575

Translation of Foreign Currency-Denominated Amounts

     207       640       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (502,095     (2,883,626     (624     (842,708
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (384,159   $ (2,274,896   $ (8   $ (622,968
  

 

 

   

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.

*

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

#

Portion of income is from investment in affiliated fund.

See accompanying Notes to Financial Statements.

 

97


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     Japanese Small
Company
Portfolio*
    Asia Pacific
Small
Company
Portfolio*
    United
Kingdom Small
Company
Portfolio*
    Continental
Small
Company
Portfolio*
 

Investment Income

        

Net Investment Income Allocated from Affiliated Investment Companies

        

Dividends (Net of Foreign Taxes Withheld of $1,221, $152, $5 and $1,610, respectively)

   $ 11,002     $ 13,793     $ 487     $ 11,560  

Income from Securities Lending

     687       904       7       1,319  

Expenses Allocated from Affiliated Investment Companies

     (641     (413     (23     (702
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     11,048       14,284       471       12,177  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fund Expenses

        

Investment Management Fees

     2,467       1,578       97       2,791  

Accounting & Transfer Agent Fees

     103       77       16       126  

Filing Fees

     28       29       18       53  

Shareholders’ Reports

     15       13       12       17  

Directors’/Trustees’ Fees & Expenses

     6       3       —         4  

Professional Fees

     2       1       3       3  

Previously Waived Fees Recovered by Advisor (Note C)

     —         —         2       —    

Other

     4       3       1       7  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Fund Expenses

     2,625       1,704       149       3,001  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

     513       329       55       580  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Expenses

     2,112       1,375       94       2,421  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     8,936       12,909       377       9,756  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

        

Net Realized Gain (Loss) on:

        

Transactions Allocated from Affiliated Investment Company**

     (2,944     (3,570     78       (23,161

Change in Unrealized Appreciation (Depreciation) of:

        

Transactions Allocated from Affiliated Investment Company

     (15,236     1,830       (3,815     (31,479
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (18,180     (1,740     (3,737     (54,640
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (9,244   $ 11,169     $ (3,360   $ (44,884
  

 

 

   

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.

*

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

See accompanying Notes to Financial Statements.

 

98


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     DFA
International
Real Estate
Securities
Portfolio#
    DFA Global
Real Estate

Securities
Portfolio#
    DFA
International
Small Cap
Value Portfolio#
    International
Vector Equity
Portfolio#
 

Investment Income

        

Net Investment Income Allocated from Affiliated Investment Companies

        

Income Distributions Received from Affiliated Investment Companies

     —       $ 399,313       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     —         399,313       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Fund Investment Income

        

Dividends (Net of Foreign Taxes Withheld of $25,562, $0, $24,799 and $6,812, respectively)

   $ 199,050       123,152     $ 286,462     $ 68,720  

Income from Securities Lending

     4,895       1,046       14,772       3,560  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Fund Investment Income

     203,945       124,198       301,234       72,280  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fund Expenses

        

Investment Management Fees

     12,837       15,944       69,790       11,621  

Accounting & Transfer Agent Fees

     653       1,037       1,972       585  

Custodian Fees

     408       34       730       341  

Filing Fees

     60       182       196       120  

Shareholders’ Reports

     162       432       522       119  

Directors’/Trustees’ Fees & Expenses

     41       62       90       23  

Professional Fees

     118       61       293       78  

Previously Waived Fees Recovered by Advisor (Note C)

     —         104       —         —    

Other

     135       83       506       124  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Fund Expenses

     14,414       17,939       74,099       13,011  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

     —         8,120              

Fees Paid Indirectly (Note C)

     500       7       925       197  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Expenses

     13,914       9,812       73,174       12,814  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     190,031       513,699       228,060       59,466  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

        

Capital Gain Distributions Received from Investment Securities

     —         1,750       —         —    

Net Realized Gain (Loss) on:

        

Investment Securities Sold**

     (107,519     (42,440     (411,850     (76,225

Affiliated Investment Companies Shares Sold

     (33     22,534       (2     (7

Futures

     21,374       (362     35,047       (8,170

Foreign Currency Transactions

     1,329       —         6,447       296  

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     (1,553,230     (868,809     (1,526,362     (125,231

Affiliated Investment Companies Shares

     14       (1,432,797     (8     15  

Futures

     (2,070     —         (7,947     —    

Translation of Foreign Currency-Denominated Amounts

     310       —         (289     132  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (1,639,825     (2,320,124     (1,904,964     (209,190
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (1,449,794   $ (1,806,425   $ (1,676,904   $ (149,724
  

 

 

   

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.

#

Portion of income is from investment in affiliated fund.

 

See accompanying Notes to Financial Statements.

99


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     International
High Relative

Profitability
Portfolio#
    World ex U.S.
Value Portfolio*
    World ex U.S.
Core Equity
Portfolio#
 

Investment Income

      

Net Investment Income Allocated from Affiliated Investment Companies

      

Dividends (Net of Foreign Taxes Withheld of $0, $793 and $0, respectively)

     —       $ 6,655       —    

Income from Securities Lending

     —         128       —    

Expenses Allocated from Affiliated Investment Companies

     —         (418     —    
  

 

 

   

 

 

   

 

 

 

Income Distributions Received from Affiliated Investment Companies

     —         465       —    
  

 

 

   

 

 

   

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     —         6,830       —    
  

 

 

   

 

 

   

 

 

 

Fund Investment Income

      

Dividends (Net of Foreign Taxes Withheld of $2,175, $0 and $9,075, respectively)

   $ 22,430       —       $ 86,930  

Income from Securities Lending

     348       —         3,106  
  

 

 

   

 

 

   

 

 

 

Total Fund Investment Income

     22,778       —         90,036  
  

 

 

   

 

 

   

 

 

 

Fund Expenses

      

Investment Management Fees

     2,503       1,076       10,369  

Accounting & Transfer Agent Fees

     222       29       663  

Custodian Fees

     93             658  

Filing Fees

     135       35       163  

Shareholders’ Reports

     61       16       139  

Directors’/Trustees’ Fees & Expenses

     9       2       28  

Professional Fees

     20       4       117  

Previously Waived Fees Recovered by Advisor (Note C)

     25       —         —    

Other

     33       4       217  
  

 

 

   

 

 

   

 

 

 

Total Fund Expenses

     3,101       1,166       12,354  
  

 

 

   

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

     —         504       —    

Fees Paid Indirectly (Note C)

     95       —         144  
  

 

 

   

 

 

   

 

 

 

Net Expenses

     3,006       662       12,210  
  

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     19,772       6,168       77,826  
  

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

      

Capital Gain Distributions Received from Investment Securities

     —         440       —    

Net Realized Gain (Loss) on:

      

Investment Securities Sold**

     (18,047     —         (110,980

Affiliated Investment Companies Shares Sold

     (1     (1,457     (23

Transactions Allocated from Affiliated Investment Company**

     —         (14,842     —    

Futures

     3,996       100       13,484  

Foreign Currency Transactions

     (53     —         1,255  

Change in Unrealized Appreciation (Depreciation) of:

      

Investment Securities and Foreign Currency

     56,853       (42     (169,554

Affiliated Investment Companies Shares

     5       (3,499     17  

Transactions Allocated from Affiliated Investment Company

     —         (36,036     —    

Futures

     (145     —         (598

Translation of Foreign Currency-Denominated Amounts

     60       —         101  
  

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     42,668       (55,336     (266,298
  

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ 62,440     $ (49,168   $ (188,472
  

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $2 and $2, respectively.

*

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

#

Portion of income is from investment in affiliated fund.

 

See accompanying Notes to Financial Statements.

100


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     World Core
Equity

Portfolio
    Selectively
Hedged Global
Equity
Portfolio
    Emerging
Markets
Portfolio*
    Emerging
Markets Small
Cap Portfolio*
 

Investment Income

        

Net Investment Income Allocated from Affiliated Investment Companies

        

Dividends (Net of Foreign Taxes Withheld of $0, $0, $19,214 and $15,943, respectively)

     —       $ 37     $ 140,906     $ 135,517  

Interest

     —         —         75       105  

Income from Securities Lending

     —         —         3,277       23,638  

Expenses Allocated from Affiliated Investment Companies

     —         —         (7,908     (14,242
  

 

 

   

 

 

   

 

 

   

 

 

 

Income Distributions Received from Affiliated Investment Companies

   $ 15,451       6,007       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     15,451       6,044       136,350       145,018  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fund Expenses

        

Investment Management Fees

     2,307       935       22,191       33,995  

Accounting & Transfer Agent Fees

     123       76       594       583  

Custodian Fees

     2       4       —         —    

Filing Fees

     52       29       111       148  

Shareholders’ Reports

     19       21       242       202  

Directors’/Trustees’ Fees & Expenses

     6       2       48       43  

Professional Fees

     6       3       20       21  

Previously Waived Fees Recovered by Advisor (Note C)

     28       —         —         —    

Other

     9       3       28       30  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Fund Expenses

     2,552       1,073       23,234       35,022  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

     2,008       818       5,732       10,976  

Fees Paid Indirectly (Note C)

     —         1              
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Expenses

     544       254       17,502       24,046  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     14,907       5,790       118,848       120,972  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

        

Capital Gain Distributions Received from Affiliated Investment Companies

     8,146       4,097       —         —    

Net Realized Gain (Loss) on:

        

Affiliated Investment Companies Shares Sold

     (19,813     (689     —         —    

Transactions Allocated from Affiliated Investment Company**

     —         —         62,124       (377,221

Futures

     (122     460       —         —    

Forward Currency Contracts

     —         (1,961     —         —    

Change in Unrealized Appreciation (Depreciation) of:

        

Affiliated Investment Companies Shares

     3,079       (13,537     —         —    

Transactions Allocated from Affiliated Investment Company

     —               28,554       126,768  

Futures

     —         (146     —         —    

Forward Currency Contracts

     —         710       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (8,710     (11,066     90,678       (250,453
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ 6,197     $ (5,276   $ 209,526     $ (129,481
  

 

 

   

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $0, $0 and $162, respectively.

*

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

 

See accompanying Notes to Financial Statements.

101


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     Emerging
Markets Value
Portfolio*
    Emerging
Markets Core
Equity
Portfolio#
    Emerging
Markets Targeted
Value Portfolio#
 

Investment Income

      

Net Investment Income Allocated from Affiliated Investment Companies

      

Dividends (Net of Foreign Taxes Withheld of $70,047, $0 and $0, respectively)

   $ 486,364       —         —    

Interest

     180       —         —    

Income from Securities Lending

     10,339       —         —    

Expenses Allocated from Affiliated Investment Companies

     (21,766     —         —    
  

 

 

   

 

 

   

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     475,117       —         —    
  

 

 

   

 

 

   

 

 

 

Fund Investment Income

      

Dividends (Net of Foreign Taxes Withheld of $0, $84,124 and $483, respectively)

     —       $ 656,963     $ 4,260  

Income from Securities Lending

     1       32,055       66  
  

 

 

   

 

 

   

 

 

 

Total Fund Investment Income

     1       689,018       4,326  
  

 

 

   

 

 

   

 

 

 

Fund Expenses

      

Investment Management Fees

     68,528       112,638       923  

Accounting & Transfer Agent Fees

     1,116       4,061       41  

Custodian Fees

     —         6,823       132  

Shareholder Servicing Fees

      

Class R2 Shares

     55       —         —    

Filing Fees

     213       490       54  

Shareholders’ Reports

     386       886       38  

Directors’/Trustees’ Fees & Expenses

     120       202       2  

Professional Fees

     71       682       14  

Organizational & Offering Costs

     —         —         3  

Previously Waived Fees Recovered by Advisor (Note C)

     —         —         32  

Other

     78       2,451       23  
  

 

 

   

 

 

   

 

 

 

Total Fund Expenses

     70,567       128,233       1,262  
  

 

 

   

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

     —         —         62  

Class R2 Shares

     22       —         —    

Institutional Class Shares

     14,579       —         —    

Fees Paid Indirectly (Note C)

     —         1,167       15  
  

 

 

   

 

 

   

 

 

 

Net Expenses

     55,966       127,066       1,185  
  

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     419,152       561,952       3,141  
  

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

      

Net Realized Gain (Loss) on:

      

Investment Securities Sold**

     —         (1,673,803     1,473  

Affiliated Investment Companies Shares Sold

     —         (9     —    

Transactions Allocated from Affiliated Investment Company**

     (1,030,841     —         —    

Futures

     —         69,434       (609

Foreign Currency Transactions

     —         (17,720     36  

Change in Unrealized Appreciation (Depreciation) of:

      

Investment Securities and Foreign Currency

     —         760,317       3,387  

Affiliated Investment Companies Shares

     —         17       —    

Transactions Allocated from Affiliated Investment Company

     (1,128,949     —         —    

Futures

     —         (12,657     (13

Translation of Foreign Currency-Denominated Amounts

     —         (579     (4
  

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (2,159,790     (875,000     4,270  
  

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (1,740,638   $ (313,048   $ 7,411  
  

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $365, $72 and $0, respectively.

*

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

#

Portion of income is from investment in affiliated fund.

 

See accompanying Notes to Financial Statements.

102


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     Large Cap International
Portfolio
    International Core
Equity Portfolio
    Global Small
Company Portfolio***
 
     Year
Ended
Oct 31,

2020
    Year
Ended
Oct 31,

2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,

2020
    Year
Ended
Oct 31,

2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 117,936     $ 161,397     $ 608,730     $ 913,682     $ 616     $ 596  

Capital Gain Distributions Received from Investment Securities

     —         —         —         —         535       587  

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     (380,110     (116,656     (1,030,907     (348,700     —         —    

Affiliated Investment Companies Shares Sold

     (71     (11     (170     (2     (712     (342

Transactions Allocated from Affiliated Investment Company*,**

     —         —         —         —         (193     (416

Futures

     16,935       815       86,315       12,437       18       7  

Foreign Currency Transactions

     4,070       (892     5,368       (5,912     —         —    

Change in Unrealized Appreciation (Depreciation) of:

            

Investment Securities and Foreign Currency

     (141,807     461,700       (1,938,314     1,567,492       9       (357

Affiliated Investment Companies Shares

     27       25       97       111       (202     271  

Transactions Allocated from Affiliated Investment Company

     —         —         —         —         (79     1,280  

Futures

     (1,346     3,123       (6,655     13,424       —         —    

Translation of Foreign Currency-Denominated Amounts

     207       193       640       1,383       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (384,159     509,694       (2,274,896     2,153,915       (8     1,626  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

            

Institutional Class Shares

     (119,035     (155,698     (616,813     (907,539     (627     (308

Capital Share Transactions (1):

            

Shares Issued

     1,926,246       1,454,715       8,116,550       8,662,646       15,132       16,512  

Shares Issued in Lieu of Cash Distributions

     109,607       138,823       589,210       864,811       627       308  

Shares Redeemed

     (2,188,646     (1,178,465     (11,407,917     (7,388,995     (12,842     (8,232
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (152,793     415,073       (2,702,157     2,138,462       2,917       8,588  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (655,987     769,069       (5,593,866     3,384,838       2,282       9,906  

Net Assets

            

Beginning of Year

     5,356,475       4,587,406       30,559,427       27,174,589       41,286       31,380  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 4,700,488     $ 5,356,475     $ 24,965,561     $ 30,559,427     $ 43,568     $ 41,286  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

            

Shares Issued

     94,221       68,558       716,205       693,417       1,667       1,564  

Shares Issued in Lieu of Cash Distributions

     5,201       6,394       47,443       68,976       54       31  

Shares Redeemed

     (109,723     (55,298     (1,014,855     (593,959     (1,300     (793
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (10,301     19,654       (251,207     168,434       421       802  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

***

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

 

See accompanying Notes to Financial Statements.

103


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     International Small
Company Portfolio***
    Japanese Small
Company Portfolio***
    Asia Pacific Small
Company Portfolio***
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended

Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 219,740     $ 300,037     $ 8,936     $ 11,135     $ 12,909     $ 12,680  

Net Realized Gain (Loss) on:

            

Transactions Allocated from Affiliated Investment Company*,**

     (279,498     313,315       (2,944     10,446       (3,570     5,261  

Futures

     13,320       (626     —         —         —         —    

Change in Unrealized Appreciation (Depreciation) of:

            

Transactions Allocated from Affiliated Investment Company

     (573,955     135,389       (15,236     2,052       1,830       (501

Futures

     (2,575     7,881       —         —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (622,968     755,996       (9,244     23,633       11,169       17,440  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

            

Institutional Class Shares

     (529,962     (857,472     (23,243     (39,387     (14,178     (11,260

Capital Share Transactions (1):

            

Shares Issued

     2,566,857       2,921,274       67,280       72,402       71,668       38,624  

Shares Issued in Lieu of Cash Distributions

     511,580       824,335       23,242       36,290       14,174       10,374  

Shares Redeemed

     (4,527,485     (3,550,227     (231,407     (75,520     (44,800     (60,864
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (1,449,048     195,382       (140,885     33,172       41,042       (11,866
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (2,601,978     93,906       (173,372     17,418       38,033       (5,686

Net Assets

            

Beginning of Year

     12,750,110       12,656,204       640,068       622,650       340,649       346,335  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 10,148,132     $ 12,750,110     $ 466,696     $ 640,068     $ 378,682     $ 340,649  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

            

Shares Issued

     166,813       170,065       3,412       3,098       4,296       1,859  

Shares Issued in Lieu of Cash Distributions

     27,715       51,059       928       1,637       681       522  

Shares Redeemed

     (292,110     (206,414     (10,105     (3,248     (2,301     (2,869
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (97,582     14,710       (5,765     1,487       2,676       (488
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

***

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

 

See accompanying Notes to Financial Statements.

104


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     United Kingdom Small
Company Portfolio***
    Continental Small Company
Portfolio***
    DFA International Real
Estate Securities Portfolio
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 377     $ 866     $ 9,756     $ 14,356     $ 190,031     $ 228,481  

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     —         —         —         —         (107,519     (121,318

Affiliated Investment Companies Shares Sold

     —         —         —         —         (33     (4

Transactions Allocated from Affiliated Investment Company*,**

     78       1,418       (23,161     (1,860     —         —    

Futures

     —         —         —         —         21,374       1,553  

Foreign Currency Transactions

     —         —         —         —         1,329       221  

Change in Unrealized Appreciation (Depreciation) of:

            

Investment Securities and Foreign Currency

     —         —         —         —         (1,553,230     1,036,222  

Affiliated Investment Companies Shares

     —         —         —         —         14       16  

Transactions Allocated from Affiliated Investment Company

     (3,815     (372     (31,479     38,034       —         —    

Futures

     —         —         —         —         (2,070     1,373  

Translation of Foreign Currency-Denominated Amounts

     —         —         —         —         310       136  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (3,360     1,912       (44,884     50,530       (1,449,794     1,146,680  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

            

Institutional Class Shares

     (2,447     (1,977     (8,902     (33,215     (717,271     (302,662

Capital Share Transactions (1):

            

Shares Issued

     3,517       2,122       73,968       117,898       1,196,937       913,489  

Shares Issued in Lieu of Cash Distributions

     2,447       1,763       8,888       31,461       707,587       297,390  

Shares Redeemed

     (9,830     (13,631     (148,431     (155,220     (1,388,574     (1,199,441
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (3,866     (9,746     (65,575     (5,861     515,950       11,438  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (9,673     (9,811     (119,361     11,454       (1,651,115     855,456  

Net Assets

            

Beginning of Year

     26,540       36,351       657,105       645,651       6,297,963       5,442,507  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 16,867     $ 26,540     $ 537,744     $ 657,105     $ 4,646,848     $ 6,297,963  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

            

Shares Issued

     153       82       2,953       5,188       304,948       182,042  

Shares Issued in Lieu of Cash Distributions

     88       75       361       1,395       144,701       64,510  

Shares Redeemed

     (404     (553     (7,187     (6,632     (341,397     (245,929
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (163     (396     (3,873     (49     108,252       623  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

***

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

 

See accompanying Notes to Financial Statements.

105


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     DFA Global Real Estate
Securities Portfolio
    DFA International Small
Cap Value Portfolio
    International Vector Equity
Portfolio
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 513,699     $ 243,121     $ 228,060     $ 325,454     $ 59,466     $ 72,736  

Capital Gain Distributions Received from Investment Securities

     1,750       —         —         —         —         —    

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     (42,440     73,513       (411,850     238,307       (76,225     (25,195

Affiliated Investment Companies Shares Sold

     22,534       37,097       (2     —         (7     —    

Futures

     (362     (135     35,047       1,976       (8,170     (2,728

Foreign Currency Transactions

     —         —         6,447       (1,093     296       (429

Change in Unrealized Appreciation (Depreciation) of:

            

Investment Securities and Foreign Currency

     (868,809     795,754       (1,526,362     (233,259     (125,231     93,366  

Affiliated Investment Companies Shares

     (1,432,797     641,678       (8     70       15       12  

Futures

     —         —         (7,947     4,434       —         —    

Translation of Foreign Currency-Denominated Amounts

     —         —         (289     1,343       132       106  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (1,806,425     1,791,028       (1,676,904     337,232       (149,724     137,868  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

            

Institutional Class Shares

     (599,021     (351,905     (430,950     (776,069     (57,640     (147,900

Capital Share Transactions (1):

            

Shares Issued

     2,435,290       1,973,793       2,667,860       3,086,382       1,704,392       1,111,287  

Shares Issued in Lieu of Cash Distributions

     567,176       335,724       385,828       699,165       56,357       140,703  

Shares Redeemed

     (2,640,206     (1,955,553     (4,485,990     (3,706,321     (1,408,660     (1,105,041
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     362,260       353,964       (1,432,302     79,226       352,089       146,949  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (2,043,186     1,793,087       (3,540,156     (359,611     144,725       136,917  

Net Assets

            

Beginning of Year

     9,269,011       7,475,924       13,428,084       13,787,695       2,578,134       2,441,217  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 7,225,825     $ 9,269,011     $ 9,887,928     $ 13,428,084     $ 2,722,859     $ 2,578,134  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

            

Shares Issued

     243,141       173,132       181,563       174,997       184,973       101,269  

Shares Issued in Lieu of Cash Distributions

     49,884       32,690       20,438       41,425       5,172       13,131  

Shares Redeemed

     (267,327     (174,212     (292,999     (210,444     (150,794     (100,463
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     25,698       31,610       (90,998     5,978       39,351       13,937  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

 

See accompanying Notes to Financial Statements.

106


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     International High Relative
Profitability Portfolio
    World ex U.S. Value
Portfolio***
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

        

Operations:

        

Net Investment Income (Loss)

   $ 19,772     $ 11,989     $ 6,168     $ 8,768  

Capital Gain Distributions Received from Investment Securities

     —         —         440       766  

Net Realized Gain (Loss) on:

        

Investment Securities Sold*,**

     (18,047     (10,724     —         —    

Affiliated Investment Companies Shares Sold

     (1     —         (1,457     (802

Transactions Allocated from Affiliated Investment Company*,**

     —         —         (14,842     (1,780

Futures

     3,996       155       100       (109

Foreign Currency Transactions

     (53     (32     —         —    

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     56,853       58,944       (42     384  

Affiliated Investment Companies Shares

     5       2       (3,499     95  

Transactions Allocated from Affiliated Investment Company

     —         —         (36,036     4,725  

Futures

     (145     —         —         —    

Translation of Foreign Currency-Denominated Amounts

     60       6       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     62,440       60,340       (49,168     12,047  
  

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

        

Institutional Class Shares

     (18,018     (11,023     (6,579     (13,716

Capital Share Transactions (1):

        

Shares Issued

     1,014,049       416,587       54,277       110,720  

Shares Issued in Lieu of Cash Distributions

     17,687       11,018       6,573       13,703  

Shares Redeemed

     (259,261     (85,342     (100,557     (61,053
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     772,475       342,263       (39,707     63,370  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     816,897       391,580       (95,454     61,701  

Net Assets

        

Beginning of Year

     658,448       266,868       302,369       240,668  
  

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 1,475,345     $ 658,448     $ 206,915     $ 302,369  
  

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

        

Shares Issued

     101,501       41,376       6,299       10,308  

Shares Issued in Lieu of Cash Distributions

     1,705       1,078       672       1,293  

Shares Redeemed

     (25,836     (8,617     (11,524     (5,597
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     77,370       33,837       (4,553     6,004  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0 and $2, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0 and $0, respectively.

***

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

 

See accompanying Notes to Financial Statements.

107


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     World ex U.S. Core Equity
Portfolio
    World Core Equity
Portfolio
    Selectively Hedged
Global Equity Portfolio
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31, 2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 77,826     $ 103,743     $ 14,907     $ 18,204     $ 5,790     $ 9,052  

Capital Gain Distributions Received from Investment Securities

     —         —         8,146       2,509       4,097       1,971  

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     (110,980     (27,918     —         —         —         —    

Affiliated Investment Companies Shares Sold

     (23           (19,813     (5,618     (689     (4,770

Futures

     13,484       (1,060     (122     (62     460       (1,126

Foreign Currency Transactions

     1,255       (4,961     —         —         —         —    

Forward Currency Contracts

     —         —         —         —         (1,961     4,438  

Change in Unrealized Appreciation (Depreciation) of:

            

Investment Securities and Foreign Currency

     (169,554     222,436       —         —         —         —    

Affiliated Investment Companies Shares

     17       10       3,079       67,131       (13,537     27,375  

Futures

     (598     —         —         —         (146     1,674  

Translation of Foreign Currency-Denominated Amounts

     101       116       —         —         —         —    

Forward Currency Contracts

     —         —         —         —         710       (2,086
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations.

     (188,472     292,366       6,197       82,164       (5,276     36,528  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

            

Institutional Class Shares

     (75,535     (116,666     (16,437     (23,511     (9,635     (16,864

Capital Share Transactions (1):

            

Shares Issued

     1,273,174       1,271,493       198,881       192,373       64,436       78,038  

Shares Issued in Lieu of Cash Distributions

     74,685       113,738       15,264       23,302       9,598       16,808  

Shares Redeemed

     (1,592,928     (971,409     (313,856     (136,287     (146,446     (141,873
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (245,069     413,822       (99,711     79,388       (72,412     (47,027
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (509,076     589,522       (109,951     138,041       (87,323     (27,363

Net Assets

            

Beginning of Year

     3,719,313       3,129,791       879,553       741,512       375,832       403,195  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 3,210,237     $ 3,719,313     $ 769,602     $ 879,553     $ 288,509     $ 375,832  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

            

Shares Issued

     135,315       119,518       13,724       12,674       4,300       5,128  

Shares Issued in Lieu of Cash Distributions

     7,310       10,760       969       1,534       564       1,185  

Shares Redeemed

     (168,321     (91,013     (20,996     (8,795     (9,787     (9,256
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (25,696     39,265       (6,303     5,413       (4,923     (2,943
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $2, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

 

See accompanying Notes to Financial Statements.

108


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     Emerging Markets
Portfolio***
    Emerging Markets
Small Cap Portfolio***
    Emerging Markets Value
Portfolio***
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 118,848     $ 156,390     $ 120,972     $ 161,559     $ 419,152     $ 442,266  

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     —         (1     —         —         —         —    

Transactions Allocated from Affiliated Investment Company*,**

     62,124       (72,191     (377,221     57,552       (1,030,841     (172,477

Change in Unrealized Appreciation (Depreciation) of:

            

Transactions Allocated from Affiliated Investment Company

     28,554       516,007       126,768       568,138       (1,128,949     477,901  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     209,526       600,205       (129,481     787,249       (1,740,638     747,690  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

            

Class R2 Shares

     —         —         —         —         (569     (687

Institutional Class Shares

     (118,156     (145,647     (170,927     (327,074     (441,483     (458,693
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (118,156     (145,647     (170,927     (327,074     (442,052     (459,380
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Capital Share Transactions (1):

            

Shares Issued

     1,949,203       1,392,119       767,311       1,086,305       3,023,264       3,101,990  

Shares Issued in Lieu of Cash Distributions

     110,017       131,384       161,476       306,500       425,730       437,294  

Shares Redeemed

     (2,466,550     (1,403,931     (2,172,505     (1,733,527     (5,847,897     (3,093,072
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (407,330     119,572       (1,243,718     (340,722     (2,398,903     446,212  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (315,960     574,130       (1,544,126     119,453       (4,581,593     734,522  

Net Assets

            

Beginning of Year

     5,968,318       5,394,188       6,423,859       6,304,406       17,191,082       16,456,560  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 5,652,358     $ 5,968,318     $ 4,879,733     $ 6,423,859     $ 12,609,489     $ 17,191,082  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

            

Shares Issued

     81,083       51,928       43,649       54,991       131,688       111,222  

Shares Issued in Lieu of Cash Distributions

     4,148       4,954       8,071       16,347       16,867       16,392  

Shares Redeemed

     (97,296     (52,162     (123,692     (88,031     (250,369     (112,571
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (12,065     4,720       (71,972     (16,693     (101,814     15,043  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $162 and $365, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

***

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

 

See accompanying Notes to Financial Statements.

109


DFA INVESTMENT DIMENSIONS GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     Emerging Markets Core
Equity Portfolio
    Emerging Markets Targeted
Value Portfolio
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Period
Nov 14,
2018
u
to
Oct 31,
2019
 

Increase (Decrease) in Net Assets

        

Operations:

        

Net Investment Income (Loss)

   $ 561,952     $ 723,412     $ 3,141     $ 2,379  

Net Realized Gain (Loss) on:

        

Investment Securities Sold*,**

     (1,673,803     (319,383     1,473       1,412  

Affiliated Investment Companies Shares Sold

     (9     (3     —         —    

Futures

     69,434       14,341       (609     35  

Foreign Currency Transactions.

     (17,720     (779     36       (33

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     760,317       2,502,146       3,387       (221

Affiliated Investment Companies Shares

     17       58       —         —    

Futures

     (12,657     13,038       (13     —    

Translation of Foreign Currency-Denominated Amounts

     (579     433       (4     1  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (313,048     2,933,263       7,411       3,573  
  

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

        

Institutional Class Shares

     (585,760     (730,829     (3,875     (64

Capital Share Transactions (1):

        

Shares Issued

     6,136,399       6,077,361       116,272       128,579  

Shares Issued in Lieu of Cash Distributions

     555,504       690,137       3,875       64  

Shares Redeemed

     (9,635,005     (5,720,081     (67,880     (17,792
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (2,943,102     1,047,417       52,267       110,851  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (3,841,910     3,249,851       55,803       114,360  

Net Assets

        

Beginning of Year

     28,622,610       25,372,759       114,360       —    
  

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 24,780,700     $ 28,622,610     $ 170,163     $ 114,360  
  

 

 

   

 

 

   

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

        

Shares Issued

     329,136       303,000       14,050       12,691  

Shares Issued in Lieu of Cash Distributions

     28,643       34,717       366       6  

Shares Redeemed

     (529,560     (286,918     (7,864     (1,729
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (171,781     50,799       6,552       10,968  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* 

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $72 and $0, respectively.

** 

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $(1) and $0, respectively.

 

See accompanying Notes to Financial Statements.

110


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

    Large Cap International Portfolio     International Core Equity Portfolio  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

  $ 22.78     $ 21.29     $ 23.52     $ 19.52     $ 20.36     $ 13.19     $ 12.65     $ 14.23     $ 11.58     $ 11.69  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                   

Net Investment Income (Loss)

    0.49       0.70       0.66       0.58       0.57       0.28       0.41       0.38       0.34       0.32  

Net Gains (Losses) on Securities (Realized and Unrealized)

    (1.87     1.47       (2.25     4.00       (0.86     (1.11     0.53       (1.60     2.63       (0.15
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.38     2.17       (1.59     4.58       (0.29     (0.83     0.94       (1.22     2.97       0.17  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                   

Net Investment Income

    (0.50     (0.68     (0.64     (0.58     (0.55     (0.28     (0.40     (0.36     (0.32     (0.28
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.50     (0.68     (0.64     (0.58     (0.55     (0.28     (0.40     (0.36     (0.32     (0.28
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 20.90     $ 22.78     $ 21.29     $ 23.52     $ 19.52     $ 12.08 $        13.19     $ 12.65     $ 14.23     $ 11.58  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

    (6.05 %)      10.38     (6.97 %)      23.79     (1.30 %)      (6.32 %)      7.67     (8.79 %)      26.02     1.62
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 4,700,488     $ 5,356,475     $ 4,587,406     $ 4,723,090     $ 3,527,775     $ 24,965,561     $ 30,559,427     $ 27,174,589     $ 25,443,968     $ 16,983,011  

Ratio of Expenses to Average Net Assets

    0.22     0.23     0.23     0.25     0.28     0.30     0.29     0.30     0.30     0.38

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly)

    0.23     0.24     0.23     0.25     0.28     0.30     0.31     0.30     0.32     0.38

Ratio of Net Investment Income to Average Net Assets

    2.31     3.22     2.78     2.72     2.95     2.24     3.21     2.67     2.62     2.83

Portfolio Turnover Rate

    19     7     8     10     10     4     6     4     6     2
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

111


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     Global Small Company Portfolio     International Small Company Portfolio  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Period
Jan 18,
2017 
u to
Oct 31,
2017
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Period

   $ 11.07     $ 10.73     $ 11.53     $ 10.00     $ 18.21     $ 18.46     $ 21.52     $ 17.78     $ 17.78  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                  

Net Investment Income (Loss)

     0.15       0.18       0.19       0.14       0.33       0.43       0.46       0.41       0.43  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (0.55     0.27       (0.75     1.39       (0.93     0.58       (2.41     4.13       0.48  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (0.40     0.45       (0.56     1.53       (0.60     1.01       (1.95     4.54       0.91  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                  

Net Investment Income

     (0.17     (0.11     (0.17     —         (0.37     (0.44     (0.44     (0.34     (0.51

Net Realized Gains

     —         —         (0.07     —         (0.40     (0.82     (0.67     (0.46     (0.40
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.17     (0.11     (0.24     —         (0.77     (1.26     (1.11     (0.80     (0.91
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Period

   $ 10.50     $ 11.07     $ 10.73     $ 11.53     $ 16.84     $ 18.21     $ 18.46     $ 21.52     $ 17.78  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     (3.75 %)      4.29     (5.02 %)      15.30 %(B)      (3.64 %)      6.44     (9.54 %)      26.54     5.43
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Period (thousands)

   $ 43,568     $ 41,286     $ 31,380     $ 15,021     $ 10,148,132     $ 12,750,110     $ 12,656,204     $ 13,490,290     $ 10,387,361  

Ratio of Expenses to Average Net Assets *(C)

     0.47     0.49     0.49     0.42 %(D)(E)      0.53     0.54     0.53     0.53     0.53

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) *(C)

     0.85     0.93     0.90     1.14 %(D)(E)      0.53     0.54     0.53     0.53     0.53

Ratio of Net Investment Income to Average Net Assets

     1.50     1.69     1.58     1.74 %(D)(E)      1.96     2.44     2.18     2.14     2.47
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows:

     0.27     0.27     0.26     0.27     0.12     0.12     0.12     0.12     0.13
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

112


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     Japanese Small Company Portfolio     Asia Pacific Small Company Portfolio  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended

Oct 31,
2016
 

Net Asset Value, Beginning of Year

   $ 24.89     $ 25.70     $ 28.56     $ 23.01     $ 20.46     $ 21.11     $ 20.83     $ 23.71     $ 21.27     $ 19.06  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                    

Net Investment Income (Loss)

     0.40       0.45       0.43       0.37       0.32       0.75       0.77       0.84       0.74       0.71  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (0.91     0.37       (2.59     5.61       2.51       (0.77     0.19       (2.76     2.45       2.24  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (0.51     0.82       (2.16     5.98       2.83       (0.02     0.96       (1.92     3.19       2.95  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                    

Net Investment Income

     (0.61     (0.28     (0.70     (0.43     (0.28     (0.96     (0.68     (0.96     (0.75     (0.74

Net Realized Gains

     (0.38     (1.35     —         —         —         —         —         —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.99     (1.63     (0.70     (0.43     (0.28     (0.96     (0.68     (0.96     (0.75     (0.74
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

   $ 23.39     $ 24.89     $ 25.70     $ 28.56     $ 23.01     $ 20.13     $ 21.11     $ 20.83     $ 23.71     $ 21.27  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     (2.32 %)      4.01     (7.82 %)      26.56     14.04     (0.23 %)      4.81     (8.51 %)      15.70     16.18
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 466,696     $ 640,068     $ 622,650     $ 647,978     $ 509,413     $ 378,682     $ 340,649     $ 346,335     $ 332,153     $ 251,575  

Ratio of Expenses to Average Net Assets (F)

     0.54     0.55     0.53     0.54     0.54     0.54     0.57     0.54     0.54     0.54

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

     0.64     0.65     0.63     0.64     0.64     0.64     0.67     0.64     0.64     0.64

Ratio of Net Investment Income to Average Net Assets

     1.74     1.91     1.49     1.50     1.57     3.92     3.65     3.57     3.41     3.57
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

113


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

    United Kingdom Small Company Portfolio     Continental Small Company Portfolio  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

  $ 27.85     $ 26.95     $ 32.67     $ 27.21     $ 35.50     $ 24.84     $ 24.37     $ 28.24     $ 21.48     $ 20.74  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                   

Net Investment Income (Loss)

    0.43       0.76       0.85       0.87       1.18       0.40       0.55       0.61       0.45       0.43  

Net Gains (Losses) on Securities (Realized and Unrealized)

    (4.00     1.68       (3.65     6.67       (6.55     (1.04     1.23       (3.68     6.73       0.72  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (3.57     2.44       (2.80     7.54       (5.37     (0.64     1.78       (3.07     7.18       1.15  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                   

Net Investment Income

    (0.68     (0.47     (0.79     (0.93     (1.29     (0.38     (0.51     (0.59     (0.42     (0.41

Net Realized Gains

    (2.25     (1.07     (2.13     (1.15     (1.63     —         (0.80     (0.21     —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (2.93     (1.54     (2.92     (2.08     (2.92     (0.38     (1.31     (0.80     (0.42     (0.41
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 21.35     $ 27.85     $ 26.95     $ 32.67     $ 27.21     $ 23.82     $ 24.84     $ 24.37     $ 28.24     $ 21.48  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

    (15.27 %)      10.14     (9.34 %)      29.28     (16.20 %)      (2.63 %)      7.94     (11.14 %)      33.68     5.70
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 16,867     $ 26,540     $ 36,351     $ 45,177     $ 32,323     $ 537,744     $ 657,105     $ 645,651     $ 592,347     $ 292,117  

Ratio of Expenses to Average Net Assets (F)

    0.59     0.59     0.58     0.59     0.59     0.54     0.56     0.54     0.56     0.54

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

    0.86     0.82     0.68     0.71     0.71     0.64     0.66     0.64     0.66     0.64

Ratio of Net Investment Income to Average Net Assets

    1.89     2.92     2.75     2.93     3.87     1.68     2.30     2.16     1.78     2.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

114


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

    DFA International Real Estate Securities Portfolio     DFA Global Real Estate Securities Portfolio  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

  $ 5.61     $ 4.85     $ 5.07     $ 5.23     $ 5.27     $ 12.71     $ 10.71     $ 10.90     $ 10.84     $ 10.59  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                   

Net Investment Income (Loss)

    0.15       0.20       0.22       0.21       0.20       0.68       0.34 **      0.48       0.43       0.27  

Net Gains (Losses) on Securities (Realized and Unrealized)

    (1.35     0.83       (0.22     0.04       (0.15     (3.00     2.16 **      (0.26     0.15       0.23  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.20     1.03       —         0.25       0.05       (2.32     2.50       0.22       0.58       0.50  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                   

Net Investment Income

    (0.64     (0.27     (0.22     (0.41     (0.09     (0.70     (0.50     (0.34     (0.49     (0.25

Net Realized Gains

    —         —         —         —         —         (0.12     (—       (0.07     (0.03     —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.64     (0.27     (0.22     (0.41     (0.09     (0.82     (0.50     (0.41     (0.52     (0.25
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 3.77     $ 5.61     $ 4.85     $ 5.07     $ 5.23     $ 9.57     $ 12.71     $ 10.71     $ 10.90     $ 10.84  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

    (23.98 %)      22.54     (0.24 %)      5.46     1.05     (19.28 %)      24.55     1.91     5.82     4.87
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 4,646,848     $ 6,297,963     $ 5,442,507     $ 5,497,753     $ 4,181,623     $ 7,225,825     $ 9,269,011     $ 7,475,924     $ 6,753,782     $ 4,888,955  

Ratio of Expenses to Average Net Assets *

    0.26     0.27     0.28     0.28     0.28     0.24 %(C)      0.24 %(C)      0.24 %(C)      0.24 %(C)      0.24 %(C) 

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) *

    0.27     0.28     0.28     0.28     0.28     0.34 %(C)      0.35 %(C)      0.35 %(C)      0.37 %(C)      0.38 %(C) 

Ratio of Net Investment Income to Average Net Assets

    3.61     4.01     4.27     4.19     3.71     6.44     2.95 %**      4.42     4.03     2.45

Portfolio Turnover Rate

    12     8     5     1     1     0     0     3     2     2
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows:

    N/A       N/A       N/A       N/A       N/A       0.12     0.13     0.13     0.15     0.16
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

115


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

    DFA International Small Cap Value Portfolio     International Vector Equity Portfolio  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

  $ 18.58     $ 19.24     $ 23.51     $ 19.31     $ 19.44     $ 11.62     $ 11.74     $ 13.33     $ 10.78     $ 10.76  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                   

Net Investment Income (Loss)

    0.33       0.45       0.47       0.39       0.44       0.23       0.33       0.32       0.28       0.28  

Net Gains (Losses) on Securities (Realized and Unrealized)

    (2.65     (0.01     (3.44     4.72       0.29       (1.20     0.24       (1.56     2.57       0.05  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (2.32     0.44       (2.97     5.11       0.73       (0.97     0.57       (1.24     2.85       0.33  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                   

Net Investment Income

    (0.32     (0.48     (0.56     (0.29     (0.58     (0.23     (0.34     (0.30     (0.28     (0.27

Net Realized Gains

    (0.29     (0.62     (0.74     (0.62     (0.28     —         (0.35     (0.05     (0.02     (0.04
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.61     (1.10     (1.30     (0.91     (0.86     (0.23     (0.69     (0.35     (0.30     (0.31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 15.65     $ 18.58     $ 19.24     $ 23.51     $ 19.31     $ 10.42     $ 11.62     $ 11.74     $ 13.33     $ 10.78  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

    (13.03 %)      2.94     (13.37 %)      27.49     4.09     (8.41 %)      5.49     (9.52 %)      26.83     3.21
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 9,887,928     $ 13,428,084     $ 13,787,695     $ 16,162,471     $ 13,009,729     $ 2,722,859     $ 2,578,134     $ 2,441,217     $ 2,529,852     $ 1,856,474  

Ratio of Expenses to Average Net Assets

    0.65     0.68     0.68     0.68     0.68     0.47     0.50     0.48     0.49     0.49

Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)

    0.66     0.69     0.68     0.68     0.68     0.48     0.50     0.48     0.49     0.49

Ratio of Net Investment Income to Average Net Assets

    2.02     2.48     2.10     1.85     2.38     2.20     2.94     2.40     2.36     2.73

Portfolio Turnover Rate

    14     18     23     21     19     18     17     12     5     4
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

116


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     International High Relative Profitability Portfolio     World Ex U.S. Value Portfolio  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Period
May 16,
2017 u to
Oct 31,
2017
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Period

   $ 10.74     $ 9.71     $ 10.68     $ 10.00     $ 10.97     $ 11.16     $ 12.71     $ 10.31     $ 10.28  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                  

Net Investment Income (Loss)

     0.21       0.27       0.26       0.08       0.25       0.35       0.34       0.31       0.31  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (0.13     1.00       (1.01     0.66       (1.96     0.04       (1.48     2.33       0.03  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     0.08       1.27       (0.75     0.74       (1.71     0.39       (1.14     2.64       0.34  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                  

Net Investment Income

     (0.18     (0.24     (0.22     (0.06     (0.27     (0.35     (0.41     (0.24     (0.31

Net Realized Gains

     —         —         —         —         —         (0.23     —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.18     (0.24     (0.22     (0.06     (0.27     (0.58     (0.41     (0.24     (0.31
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Period

   $ 10.64     $ 10.74     $ 9.71     $ 10.68     $ 8.99     $ 10.97     $ 11.16     $ 12.71     $ 10.31  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     0.80     13.19     (7.20 %)      7.38 %(B)      (15.76 %)      3.75     (9.22 %)      25.97     3.54
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Period (thousands)

   $ 1,475,345     $ 658,448     $ 266,868     $ 67,793     $ 206,915     $ 302,369     $ 240,668     $ 246,551     $ 188,154  

Ratio of Expenses to Average Net Assets *

     0.30     0.33     0.35     0.31 %(D)(E)      0.50 %(C)      0.54 %(C)      0.52 %(C)      0.52 %(C)      0.53 %(C) 

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly) *

     0.31     0.34     0.35     0.65 %(D)(E)      0.71 %(C)      0.76 %(C)      0.74 %(C)      0.75 %(C)      0.76 %(C) 

Ratio of Net Investment Income to Average Net Assets

     1.97     2.69     2.41     1.76 %(D)(E)      2.56     3.25     2.72     2.69     3.20

Portfolio Turnover Rate

     15     9     9     2 %(B)      N/A       N/A       N/A       N/A       N/A  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows:

     N/A       N/A       N/A       N/A       0.23     0.24     0.24     0.25     0.26
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

117


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     World Ex U.S. Core Equity Portfolio  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Period

   $ 11.17     $ 10.65     $ 12.15     $ 9.93     $ 9.83  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

          

Net Investment Income (Loss)

     0.24       0.33       0.31       0.27       0.26  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (0.74     0.56       (1.52     2.21       0.08  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (0.50     0.89       (1.21     2.48       0.34  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

          

Net Investment Income

     (0.23     (0.32     (0.29     (0.26     (0.24

Net Realized Gains

     —         (0.05     —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.23     (0.37     (0.29     (0.26     (0.24
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Period

   $ 10.44     $ 11.17     $ 10.65     $ 12.15     $ 9.93  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     (4.42 %)      8.64     (10.22 %)      25.33     3.58
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Period (thousands)

   $ 3,210,237     $ 3,719,313     $ 3,129,791     $ 2,805,367     $ 1,656,445  

Ratio of Expenses to Average Net Assets

     0.35     0.37     0.39     0.40     0.47

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly)

     0.36     0.38     0.37     0.40     0.47

Ratio of Net Investment Income to Average Net Assets

     2.26     3.02     2.56     2.48     2.67

Portfolio Turnover Rate

     13     8     4     4     1
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

118


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

    World Core Equity Portfolio     Selectively Hedged Global Equity Portfolio  
    Year
Ended

Oct 31,
2020
    Year
Ended

Oct 31,
2019
    Year
Ended

Oct 31,
2018
    Year
Ended

Oct 31,
2017
    Year
Ended

Oct 31,
2016
    Year
Ended

Oct 31,
2020
    Year
Ended

Oct 31,
2019
    Year
Ended

Oct 31,
2018
    Year
Ended

Oct 31,
2017
    Year
Ended

Oct 31,
2016
 

Net Asset Value, Beginning of Year

  $ 16.42     $ 15.40     $ 16.06     $ 13.14     $ 12.94     $ 16.54     $ 15.71     $ 16.52     $ 13.67     $ 13.50  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                   

Net Investment Income (Loss)

    0.29       0.35       0.31       0.29       0.27       0.28       0.35       0.31       0.29       0.26  

Net Gains (Losses) on Securities (Realized and Unrealized)

    (0.10     1.13       (0.64     2.98       0.20       (0.18     1.12       (0.66     2.98       0.30  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.19       1.48       (0.33     3.27       0.47       0.10       1.47       (0.35     3.27       0.56  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                   

Net Investment Income

    (0.29     (0.35     (0.30     (0.30     (0.26     (0.43     (0.44     (0.27     (0.30     (0.35

Net Realized Gains

    (0.03     (0.11     (0.03     (0.05     (0.01     —         (0.20     (0.19     (0.12     (0.04
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.32     (0.46     (0.33     (0.35     (0.27     (0.43     (0.64     (0.46     (0.42     (0.39
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 16.29     $ 16.42     $ 15.40     $ 16.06     $ 13.14     $ 16.21     $ 16.54     $ 15.71     $ 16.52     $ 13.67  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

    1.25     9.94     (2.16 %)      25.14     3.73     0.47     10.10     (2.28 %)      24.54     4.32
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 769,602     $ 879,553     $ 741,512     $ 546,891     $ 370,229     $ 288,509     $ 375,832     $ 403,195     $ 402,204     $ 289,904  

Ratio of Expenses to Average Net Assets *(C)

    0.32     0.33     0.35     0.35     0.35     0.36     0.37     0.34     0.35     0.35

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) *(C)

    0.56     0.60     0.59     0.60     0.64     0.61     0.63     0.60     0.62     0.64

Ratio of Net Investment Income to Average Net Assets

    1.81     2.23     1.89     1.95     2.14     1.78     2.25     1.87     1.90     2.03
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund fees and expenses incurred by the Portfolio indirectly as a result of Portfolio’s investment in Underlying Funds as follows:

    0.25     0.27     0.27     0.28     0.31     0.28     0.30     0.29     0.29     0.32
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

119


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

    Emerging Markets Portfolio     Emerging Markets Small Cap Portfolio  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,

2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

  $ 27.56     $ 25.46     $ 29.55     $ 24.12     $ 22.17     $ 20.07     $ 18.72     $ 23.49     $ 20.39     $ 18.51  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

                   

Net Investment Income (Loss)

    0.55       0.73       0.61       0.49       0.45       0.41       0.48       0.53       0.49       0.45  

Net Gains (Losses) on Securities (Realized and Unrealized)

    0.07       2.05       (4.14     5.43       1.95       (0.24     1.87       (4.22     3.58       2.04  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.62       2.78       (3.53     5.92       2.40       0.17       2.35       (3.69     4.07       2.49  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

                   

Net Investment Income

    (0.54     (0.68     (0.56     (0.49     (0.45     (0.44     (0.46     (0.53     (0.51     (0.47

Net Realized Gains

    —         —         —         —         —         (0.13     (0.54     (0.55     (0.46     (0.14
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.54     (0.68     (0.56     (0.49     (0.45     (0.57     (1.00     (1.08     (0.97     (0.61
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 27.64     $ 27.56     $ 25.46     $ 29.55     $ 24.12     $ 19.67     $ 20.07     $ 18.72     $ 23.49     $ 20.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

    2.36     11.06     (12.14 %)      24.83     11.01     0.81     12.96     (16.45 %)      21.00     13.96
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 5,652,358     $ 5,968,318     $ 5,394,188     $ 6,632,914     $ 4,915,400     $ 4,879,733     $ 6,423,859     $ 6,304,406     $ 7,249,717     $ 5,459,509  

Ratio of Expenses to Average Net Assets (F)

    0.44     0.48     0.47     0.50     0.56     0.69     0.72     0.70     0.73     0.72

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

    0.54     0.58     0.57     0.60     0.66     0.89     0.92     0.90     0.93     0.92

Ratio of Net Investment Income to Average Net Assets

    2.07     2.70     2.08     1.88     2.04     2.20     2.44     2.31     2.32     2.43
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

120


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     Emerging Markets Value Portfolio-Class R2 Shares  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

   $ 27.16     $ 26.64     $ 30.13     $ 24.71     $ 22.18  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

          

Net Investment Income (Loss)

     0.59       0.63       0.63       0.31       0.46  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (3.27     0.56       (3.48     5.60       2.75  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (2.68     1.19       (2.85     5.91       3.21  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

          

Net Investment Income

     (0.70     (0.67     (0.64     (0.49     (0.68
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.70     (0.67     (0.64     (0.49     (0.68
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

   $ 23.78     $ 27.16     $ 26.64     $ 30.13     $ 24.71  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     (9.98 %)      4.57     (9.66 %)      24.11     14.98
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 12,587     $ 29,146     $ 25,150     $ 31,198     $ 97,923  

Ratio of Expenses to Average Net Assets (F)

     0.77     0.81     0.80     0.81     0.81

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

     0.87     0.91     0.90     0.91     0.91

Ratio of Net Investment Income to Average Net Assets

     2.41     2.29     2.07     1.19     2.08
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

121


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     Emerging Markets Value Portfolio-Institutional Class Shares  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

   $ 27.34     $ 26.81     $ 30.32     $ 24.84     $ 22.22  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income (loss) from Investment Operations (A)

          

Net Investment Income (Loss)

     0.71       0.70       0.73       0.61       0.51  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (3.35     0.57       (3.53     5.40       2.77  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (2.64     1.27       (2.80     6.01       3.28  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

          

Net Investment Income

     (0.77     (0.74     (0.71     (0.53     (0.66
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.77     (0.74     (0.71     (0.53     (0.66
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

   $ 23.93     $ 27.34     $ 26.81     $ 30.32     $ 24.84  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     (9.75 %)      4.83     (9.45 %)      24.41     15.23
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 12,596,902     $ 17,161,936     $ 16,431,410     $ 19,383,230     $ 16,304,321  

Ratio of Expenses to Average Net Assets (F)

     0.52     0.56     0.54     0.57     0.56

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

     0.62     0.66     0.64     0.67     0.66

Ratio of Net Investment Income to Average Net Assets

     2.87     2.54     2.37     2.23     2.31
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

122


DFA INVESTMENT DIMENSIONS GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     Emerging Markets Core Equity Portfolio     Emerging
Markets Targeted
Value Portfolio
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended

Oct 31,
2020
    Period
Nov 14,
2018
u to
Oct 31,
2019
 

Net Asset Value, Beginning of Year

   $ 20.59     $ 18.95     $ 22.38     $ 18.40     $ 16.81     $ 10.43     $ 10.00  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

              

Net Investment Income (Loss)

     0.43       0.53       0.50       0.42       0.37       0.21       0.24  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (0.22     1.64       (3.47     3.95       1.59       (0.59     0.20  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     0.21       2.17       (2.97     4.37       1.96       (0.38     0.44  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

              

Net Investment Income

     (0.46     (0.53     (0.46     (0.39     (0.37     (0.23     (0.01

Net Realized Gains

     —         —         —         —         —         (0.11     —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.46     (0.53     (0.46     (0.39     (0.37     (0.34     (0.01
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year.

   $ 20.34     $ 20.59     $ 18.95     $ 22.38     $ 18.40     $ 9.71     $ 10.43  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     1.13     11.61     (13.48 %)      24.02     11.87     (3.89 %)      4.38 %(B) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 24,780,700     $ 28,622,610     $ 25,372,759     $ 27,085,722     $ 18,712,966     $ 170,163     $ 114,360  

Ratio of Expenses to Average Net Assets

     0.49     0.52     0.52     0.55     0.61     0.84     0.85 %(D)(E) 

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor and Fees Paid Indirectly)

     0.50     0.53     0.52     0.56     0.61     0.87     0.95 %(D)(E) 

Ratio of Net Investment Income to Average Net Assets

     2.19     2.62     2.25     2.08     2.20     2.26     2.30 %(D)(E) 

Portfolio Turnover Rate

     15     4     4     4     3     34     12 %(B) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

123


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 one hundred and six operational portfolios, of which twenty-two (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 the 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 or fund (each such Portfolio, a “Feeder Fund”). Of the Feeder Funds, six invest all of their assets in a corresponding series of The DFA Investment Trust Company (“DFAITC”) and one invests all of its assets in the Dimensional Emerging Markets Value Fund (“DEM”) (each such series within DFAITC and DEM, a “Master Fund”, treated as partnerships for federal income tax purposes). Six of the Portfolios generally allocate their assets among other funds managed by Dimensional Fund Advisors LP (each such Portfolio, a “Fund of Funds”). The Fund of Funds may also invest in affiliated and unaffiliated registered and unregistered money market funds. The International Small Company Portfolio invests in five Master Funds within DFAITC. The Global Small Company Portfolio invests in six Master Funds within DFAITC and one underlying fund within the Fund (each such underlying fund within the Fund, an “Underlying Fund”). The DFA Global Real Estate Securities Portfolio invests in two Underlying Funds within the Fund and directly in securities. The World ex U.S. Value Portfolio invests in three Master/Underlying Funds within the Fund, DFAITC, and DEM. The World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio each invest in three Underlying Funds within the Fund. As of October 31, 2020, the following Portfolios were the owner of record of the following approximate percentages of the total outstanding shares of the following Master/Underlying Funds as detailed below:

 

Feeder Funds

  

Master/Underlying Funds

   Percentage
Ownership
at 10/31/20
 

Japanese Small Company Portfolio

   The Japanese Small Company Series      —    

Asia Pacific Small Company Portfolio

   The Asia Pacific Small Company Series      25

United Kingdom Small Company Portfolio

   The United Kingdom Small Company Series      —    

Continental Small Company Portfolio

   The Continental Small Company Series      —    

Emerging Markets Portfolio

   The Emerging Markets Series      99

Emerging Markets Small Cap Portfolio

   The Emerging Markets Small Cap Series      99

Emerging Markets Value Portfolio

   Dimensional Emerging Markets Value Fund      98

 

Funds of Funds

  

Underlying Funds

   Percentage
Ownership
at 10/31/20
 

International Small Company Portfolio

   The Continental Small Company Series      88
   The Japanese Small Company Series      84
   The United Kingdom Small Company Series      99
   The Asia Pacific Small Company Series      75
   The Canadian Small Company Series      97

Global Small Company Portfolio

   U.S. Small Cap Portfolio      —    
   The Continental Small Company Series      —    
   The Japanese Small Company Series      —    
   The Asia Pacific Small Company Series      —    

 

124


Funds of Funds

  

Underlying Funds

   Percentage
Ownership
at 10/31/20
 
   The Canadian Small Company Series      —    
   The Emerging Markets Small Cap Series      —    
   The United Kingdom Small Company Series      —    

DFA Global Real Estate Securities Portfolio*

   DFA Real Estate Securities Portfolio      9
   DFA International Real Estate Securities Portfolio      56

World ex U.S. Value Portfolio

   Dimensional Emerging Markets Value Fund      —    
   DFA International Small Cap Value Portfolio      —    
   The DFA International Value Series      —    

World Core Equity Portfolio

   U.S. Core Equity 1 Portfolio      2
   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      —    
   Emerging Markets Core Equity Portfolio      —    

 

*

DFA Global Real Estate Securities Portfolio invests in two Underlying Funds as indicated and securities listed on its Summary Schedule of Investments.

To achieve its investment objective, each Feeder Fund and Fund of Funds invests substantially all of its assets in corresponding Master and/or Underlying Funds as indicated above. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Underlying Funds and/or directly in securities of companies in the real estate industry. Each Feeder Fund and Fund of Funds also invests in short-term temporary cash investments and futures. In addition, each 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, the 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 use 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, and 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)

 

125


Securities held by 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. Core Equity Portfolio, Emerging Markets Core Equity Portfolio, International High Relative Profitability Portfolio and Emerging Markets Targeted Value 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 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 International Equity Portfolios value the securities within the range of the most recent quoted bid and ask 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 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 at which 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 pricing of the International Equity Portfolios’ 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 calculated closing prices of the foreign investments 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 uses 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.

 

126


Shares held by the Portfolios in other investment companies (such as the Master/Underlying Funds) are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds’, International Small Company Portfolio’s, Global Small Company Portfolio’s and World ex U.S. Value Portfolio’s investments in series of either DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund(s). 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 methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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 ask prices for the U.S. dollar as quoted by generally recognized reliable sources. To facilitate the translation, the Portfolios enter into foreign currency contracts. A foreign currency contract is a spot agreement between two parties to buy and sell currencies at current market exchange rates, for settlement generally within two business days. 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 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 foreign exchange rate fluctuations from the effect of fluctuations in the market prices of securities, whether realized or unrealized. However, the Selectively Hedged Global Equity Portfolio does isolate the effect of foreign currency rate fluctuations 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 of 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 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 to participate 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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ Trustees’ Fees & Expenses.

The Directors may receive their distributions of proceeds by 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. The 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

 

127


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, 2020, 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 received distributions 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, using 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.

Organizational costs are expensed during the fiscal year of inception of the Portfolios. Offering costs are amortized over a twelve-month period from the inception of the Portfolios.

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.

The Feeder Funds, International Small Company Portfolio, Global Small Company Portfolio, and World ex U.S. Value Portfolio recognize their pro-rata shares of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master Fund(s) 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. Additionally, 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 Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, World ex U.S. Core Portfolio, Emerging Markets Core Equity Portfolio and Emerging Markets Targeted Value Portfolio are subject to tax on short-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.

C. Investment Advisor:

The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolios. For the year ended October 31, 2020, 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:

 

Large Cap International Portfolio

     0.19 %* 

International Core Equity Portfolio

     0.25 %* 

Global Small Company Portfolio

     0.44 %* 

International Small Company Portfolio

     0.39 %* 

Japanese Small Company Portfolio

     0.48 %* 

Asia Pacific Small Company Portfolio

     0.48 %* 

United Kingdom Small Company Portfolio

     0.48 %* 

Continental Small Company Portfolio

     0.48 %* 

DFA International Real Estate Securities Portfolio

     0.24 %* 

DFA Global Real Estate Securities Portfolio

     0.20

 

128


DFA International Small Cap Value Portfolio

     0.62 %* 

International Vector Equity Portfolio

     0.43 %* 

International High Relative Profitability Portfolio

     0.25

World ex U.S. Value Portfolio

     0.45 %* 

World ex U.S. Core Equity Portfolio

     0.30 %* 

World Core Equity Portfolio

     0.28 %* 

Selectively Hedged Global Equity Portfolio

     0.29 %* 

Emerging Markets Portfolio

     0.39 %* 

Emerging Markets Small Cap Portfolio

     0.62 %* 

Emerging Markets Value Portfolio

     0.47 %* 

Emerging Markets Core Equity Portfolio

     0.44 %* 

Emerging Markets Targeted Value Portfolio

     0.66 %* 

 

*

Effective as of February 28, 2020, the management fees payable by the following Portfolios were reduced as follows:

 

Portfolio    Management Fee Prior to
February 28, 2020
    Management Fee Effective
February 28, 2020
 

Large Cap International Portfolio

     0.20     0.18

International Core Equity Portfolio

     0.27     0.24

Global Small Company Portfolio

     0.45     0.43

International Small Company Portfolio

     0.40     0.38

Japanese Small Company Portfolio

     0.50     0.47

Asia Pacific Small Company Portfolio

     0.50     0.47

United Kingdom Small Company Portfolio

     0.50     0.47

Continental Small Company Portfolio

     0.50     0.47

DFA International Real Estate Securities Portfolio

     0.25     0.24

DFA International Small Cap Value Portfolio

     0.65     0.60

International Vector Equity Portfolio

     0.45     0.42

World ex U.S. Value Portfolio

     0.47     0.43

World ex U.S. Core Equity Portfolio

     0.32     0.29

World Core Equity Portfolio

     0.30     0.27

Selectively Hedged Global Equity Portfolio

     0.30     0.28

Emerging Markets Portfolio

     0.42     0.37

Emerging Markets Small Cap Portfolio

     0.65     0.60

Emerging Markets Value Portfolio

     0.50     0.45

Emerging Markets Core Equity Portfolio

     0.47     0.42

Emerging Markets Targeted Value Portfolio

     0.70     0.65

Pursuant to Amended and Restated Fee Waiver and/or Expense Assumption Agreements (each, a “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 Agreements for the non-Feeder Funds, and a portion of the Fee Waiver Agreement for certain Feeder Funds below, will remain in effect through February 28, 2021, 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 Funds, as described in the notes below, will remain in effect permanently, unless terminated by a Feeder Fund. During the year ended October 31, 2020, 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 assumed expenses (amounts in thousands), as listed below. The net amount of waived fees/expenses assumed (recovered previously waived fees/expenses assumed) during the year ended October 31, 2020, and the previously waived fees/expenses assumed subject to future recovery by the Advisor as of October 31, 2020, are also reflected below (amounts in thousands). At any time that the Portfolio Expenses (defined below) of a class of a Portfolio are less than the applicable Expense Limitation Amount/Total Management Fee Limit listed below, the Advisor retains the right to recover fees previously waived and/or expenses previously assumed to the extent that the

 

129


expense ratio following such recovery would be less than the Expense Limitation Amount/Total Management Fee Limit that was in place when such prior year fees were waived and/or expenses assumed, and less than the current Expense Limitation Amount/Total Management Fee Limit in place for the Portfolio. The Advisor, however, will not be reimbursed by a Feeder Portfolio in connection with its Permanent Fee Waiver. The Fund, on behalf of a Portfolio, is also 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. With respect to the World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio, the Advisor shall also not be reimbursed for any management fees previously waived to offset a Portfolio’s proportionate share of the management fees paid by such Portfolio through its investment in other funds managed by the Advisor.

 

Institutional Class Shares

   Expense
Limitation
Amount
    Total
Management
Fee Limit
    Recovery
of Previously
Waived Fees/
Expenses Assumed
     Waived Fees/
Expenses
Assumed
     Previously
Waived Fees/
Expenses Assumed
Subject to Future
Recovery
 

Large Cap International Portfolio (1)

     0.24     —         —          —          —    

International Core Equity Portfolio (1)

     0.30     —       $ 3,676      $ 183      $ 183  

Global Small Company Portfolio (2)

     0.47     —         —          155        413  

International Small Company Portfolio (3)

     0.45     —         —          —          —    

Japanese Small Company Portfolio (4)

     0.47     0.47     —          513        —    

Asia Pacific Small Company Portfolio (4)

     0.47     0.47     —          329        —    

United Kingdom Small Company Portfolio (4)

     0.47     0.47     2        55        79  

Continental Small Company Portfolio (4)

     0.47     0.47     —          580        —    

DFA International Real Estate Securities Portfolio (1)

     0.29     —         —          —          —    

DFA Global Real Estate Securities Portfolio (5)

     0.24     —         104        8,120        25,028  

International Vector Equity Portfolio (1)

     0.60     —         —          —          —    

International High Relative Profitability Portfolio (2)

     0.35     —         25        —          —    

World ex U.S. Value Portfolio (6)

     0.60     0.43     —          504        —    

World ex U.S. Core Equity Portfolio (7)

     0.39     —         —          —          —    

World Core Equity Portfolio (8)

     0.32     0.27     28        2,008        497  

Selectively Hedged Global Equity Portfolio (9)

     0.40     0.28     —          818        —    

Emerging Markets Portfolio (10)

     0.49     0.37     —          5,732        —    

Emerging Markets Small Cap Portfolio (11)

     —         0.60     —          10,976        —    

Emerging Markets Value Portfolio (12)

     —         0.45     —          14,579        —    

 

130


Institutional Class Shares

   Expense
Limitation
Amount
    Total
Management
Fee Limit
    Recovery
of Previously
Waived Fees/
Expenses Assumed
     Waived Fees/
Expenses
Assumed
     Previously
Waived Fees/
Expenses Assumed
Subject to Future
Recovery
 

Emerging Markets Core Equity
Portfolio (1)

     0.54     —         —          —          —    

Emerging Markets Targeted
Value Portfolio (2)

     0.85     —       $ 32      $ 62      $ 135  

Class R2 Shares

 

Emerging Markets Value
Portfolio (12)

     0.96     0.45     —          22        —    

 

(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 Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the “Expense Limitation Amount”). The Fee Waiver Agreement for the Large Cap International Portfolio became effective on January 1, 2017. In addition, prior to January 1, 2017, the Advisor had contractually agreed to waive all or a portion of its management fee and assume each of the International Core Equity Portfolio’s and Emerging Markets Core Equity Portfolio’s Portfolio Expenses to the extent necessary to limit the Portfolio Expenses of each such Portfolio to 0.49% and 0.85%, respectively, as a percentage of average net assets on an annualized basis.

(2)

The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the ordinary operating expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor, excluding money market funds, but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of 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”).

(3)

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”).

(4)

Effective February 28, 2020, 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, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.47% of the average net assets of a class of a Portfolio on an annualized basis (the “Permanent Fee Waiver”). From July 21, 2015 to February 27, 2020, the permanent Fee Waiver Limit was 0.50%. 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”).

(5)

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/Underlying 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 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”).

(6)

Effective February 28, 2020, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.43% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying _ Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Total Management Fee Limit”). Prior to February 28, 2020, the Total Management Fee Limit was 0.47%. 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/Underlying Funds’ management 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.

(7)

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/ Underlying Funds but excluding the expenses that the Portfolio incurs indirectly through its 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”).

(8)

Effective February 28, 2020, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.27% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (including the Portfolio’s proportionate share of any management fees that a Master/Underlying Fund paid through its investment in an affiliated

 

131


  cash management fund) (the “Total Management Fee Limit”). Prior to February 28, 2020, the Total Management Fee Limit was 0.30%. 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”). From June 27, 2014 to February 27, 2019, the Expense Limitation Amount was 0.35% of the average net assets of such class of the Portfolio on an annualized basis.
(9)

Effective February 28, 2020, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.28% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Total Management Fee Limit”). Prior to February 28, 2020, the Total Management Fee Limit was 0.30%. 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 percentage of average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”).

(10)

Effective February 28, 2020, 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, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.37% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limit was 0.42%. Effective January 1, 2017, 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 the 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 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”).

(11)

Effective February 28, 2020, 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, except for the fees paid indirectly through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the “Money Market Series”), to the rate listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis. From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limits for the Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio were 0.65% and 0.50%, respectively.

(12)

Effective February 28, 2020, 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, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.45% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limit was 0.50%. In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to (including for the period prior to July 21, 2015) 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”).

Earned Income Credit:

Additionally, 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, 2020, expenses reduced were as follows (amounts in thousands):

 

     Fees Paid
Indirectly
 

Large Cap International Portfolio

   $ 277  

International Core Equity Portfolio

     1,078  

DFA International Real Estate Securities Portfolio

     500  

DFA Global Real Estate Securities Portfolio

     7  

DFA International Small Cap Value Portfolio

     925  

International Vector Equity Portfolio

     197  

International High Relative Profitability Portfolio

     95  

World ex U.S. Core Equity Portfolio

     144  

Selectively Hedged Global Equity Portfolio

     1  

 

132


     Fees Paid
Indirectly
 

Emerging Markets Core Equity Portfolio

   $ 1,167  

Emerging Markets Targeted Value Portfolio

     15  

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, 2020, the total related amount paid by the Fund to the CCO was $309 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statements of Operations.

D. Deferred Compensation:

As of October 31, 2020, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statements of Assets and Liabilities as follows (amounts in thousands):

 

Large Cap International Portfolio

   $ 128  

International Core Equity Portfolio

     490  

Global Small Company Portfolio

     —    

International Small Company Portfolio

     361  

Japanese Small Company Portfolio

     16  

Asia Pacific Small Company Portfolio

     10  

United Kingdom Small Company Portfolio

     2  

Continental Small Company Portfolio

     10  

DFA International Real Estate Securities Portfolio

     106  

DFA Global Real Estate Securities Portfolio

     113  

DFA International Small Cap Value Portfolio

     487  

International Vector Equity Portfolio

     49  

International High Relative Profitability Portfolio

     5  

World ex U.S. Value Portfolio

     4  

World ex U.S. Core Equity Portfolio

     34  

World Core Equity Portfolio

     7  

Selectively Hedged Global Equity Portfolio

     5  

Emerging Markets Portfolio

     172  

Emerging Markets Small Cap Portfolio

     153  

Emerging Markets Value Portfolio

     638  

Emerging Markets Core Equity Portfolio

     502  

Emerging Markets Targeted Value Portfolio

     1  

E. Purchases and Sales of Securities:

For the year ended October 31, 2020, the Portfolios’ transactions related to investment securities, other than short-term securities, in-kind redemptions and U.S. government securities (amounts in thousands), were as follows:

 

     Purchases      Sales  

Large Cap International Portfolio

   $ 932,813      $ 1,045,067  

International Core Equity Portfolio

   $ 1,110,068      $ 3,490,110  

DFA International Real Estate Securities Portfolio

   $ 699,493      $ 635,176  

DFA Global Real Estate Securities Portfolio

   $ 230,225      $ 19,979  

 

133


     Purchases      Sales  

DFA International Small Cap Value Portfolio

   $ 1,526,349      $ 2,896,135  

International Vector Equity Portfolio

   $ 852,734      $ 491,970  

International High Relative Profitability Portfolio

   $ 911,403      $ 145,135  

World ex U.S. Core Equity Portfolio

   $ 423,799      $ 663,937  

Emerging Markets Core Equity Portfolio

   $ 3,751,823      $ 6,540,110  

Emerging Markets Targeted Value Portfolio

   $ 96,597      $ 46,013  

There were no purchases or sales of long-term U.S. government securities.

For the year ended October 31, 2020, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, are presented below.

The amounts presented below may differ from the respective amounts presented in the corresponding Schedule of Investments/Summary Schedule of Portfolio Holdings, Statements of Assets and Liabilities or Statements of Operations due to rounding. The amounts are as follows (amounts in thousands):

 

    Balance at
October 31, 2019
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain/(Loss)
on Sales
    Change in
Unrealized
Appreciation/
Depreciation
    Balance at
October 31, 2020
    Shares as of
October 31, 2020
    Dividend
Income
    Capital Gain
Distributions
 

Large Cap International Portfolio

                 

The DFA Short Term Investment Fund

  $ 181,249     $ 1,584,607     $ 1,591,446     $ (71   $ 27     $ 174,366       15,069     $ 1,620       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 181,249     $ 1,584,607     $ 1,591,446     $ (71   $ 27     $ 174,366       15,069     $ 1,620       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

International Core Equity Portfolio

                 

The DFA Short Term Investment Fund

  $ 1,353,511     $ 5,227,358     $ 5,485,808     $ (170   $ 97     $ 1,094,988       94,632     $ 10,799       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,353,511     $ 5,227,358     $ 5,485,808     $ (170   $ 97     $ 1,094,988       94,632     $ 10,799       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Global Small Company Portfolio

                 

U.S. Small Cap Portfolio

  $ 22,484     $ 7,439     $ 4,122     $ (712   $ (193   $ 24,896       803     $ 244     $ 535  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 22,484     $ 7,439     $ 4,122     $ (712   $ (193   $ 24,896       803     $ 244     $ 535  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

DFA International Real Estate Securities Portfolio

                 

The DFA Short Term Investment Fund

  $ 186,393     $ 2,567,353     $ 2,374,380     $ (33   $ 14     $ 379,347       32,784     $ 1,487       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 186,393     $ 2,567,353     $ 2,374,380     $ (33   $ 14     $ 379,347       32,784     $ 1,487       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

134


    Balance at
October 31, 2019
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain/(Loss)
on Sales
    Change in
Unrealized
Appreciation/
Depreciation
    Balance at
October 31, 2020
    Shares as of
October 31, 2020
    Dividend
Income
    Capital Gain
Distributions
 

DFA Global Real Estate Securities Portfolio

                 

DFA International Real Estate Securities Portfolio

  $ 3,297,599     $ 729,753     $ 288,110     $ (56,133   $ (1,095,312   $ 2,587,797       686,418     $ 375,229       —    

DFA Real Estate Securities Portfolio

    1,315,269       —         335,800       78,695       (337,188     720,976       21,075       24,084     $ 1,750  

The DFA Short Term Investment Fund

    111,152       1,000,753       1,039,724       (28     3       72,156       6,236       1,036       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 4,724,020     $ 1,730,506     $ 1,663,634     $ 22,534     $ (1,432,497   $ 3,380,929       713,729     $ 400,349     $ 1,750  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

DFA International Small Cap Value Portfolio

                 

The DFA Short Term Investment Fund

  $ 793,359     $ 1,464,715     $ 1,838,302     $ (2   $ (8   $ 419,762       36,277     $ 5,102       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 793,359     $ 1,464,715     $ 1,838,302     $ (2   $ (8   $ 419,762       36,277     $ 5,102       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

International Vector Equity Portfolio

                 

The DFA Short Term Investment Fund

  $ 132,707     $ 524,907     $ 533,845     $ (7   $ 15     $ 123,777       10,697     $ 1,082       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 132,707     $ 524,907     $ 533,845     $ (7   $ 15     $ 123,777       10,697     $ 1,082       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

International High Relative Profitability Portfolio

                 

The DFA Short Term Investment Fund

  $ 25,970     $ 389,603     $ 367,480     $ (1   $ 5     $ 48,097       4,157       —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 25,970     $ 389,603     $ 367,480     $ (1   $ 5     $ 48,097       4,157       —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

World ex U.S. Value Portfolio

                 

DFA International Small Cap Value Portfolio

  $ 29,086     $ 1,863     $ 7,050     $ (1,457   $ (3,541   $ 18,901       1,208     $ 465     $ 440  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 29,086     $ 1,863     $ 7,050     $ (1,457   $ (3,541   $ 18,901       1,208     $ 465     $ 440  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

World ex U.S. Core Equity Portfolio

                 

The DFA Short Term Investment Fund

  $ 109,135     $ 551,261     $ 541,294     $ (23   $ 17     $ 119,096       10,293     $ 964       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 109,135     $ 551,261     $ 541,294     $ (23   $ 17     $ 119,096       10,293     $ 964       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

135


    Balance at
October 31, 2019
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain/(Loss)
on Sales
    Change in
Unrealized
Appreciation/
Depreciation
    Balance at
October 31, 2020
    Shares as of
October 31, 2020
    Dividend
Income
    Capital Gain
Distributions
 

World Core Equity Portfolio

                 

U.S. Core Equity 1 Portfolio

  $ 480,857     $ 61,045     $ 115,322     $ (2,039   $ 11,601     $ 436,142       17,280     $ 7,219     $ 8,146  

International Core Equity Portfolio

    298,575       27,394       69,724       (13,781     (11,782     230,682       19,096       5,952       —    

Emerging Markets Core Equity Portfolio

    100,081       25,017       22,181       (3,993     3,260       102,184       5,024       2,275       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 879,513     $ 113,456     $ 207,227     $ (19,813   $ 3,079     $ 769,008       41,400     $ 15,446     $ 8,146  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Selectively Hedged Global Equity Portfolio

                 

U.S. Core Equity 2 Portfolio

  $ 186,668     $ 17,659     $ 54,652     $ 3,445     $ (5,334   $ 147,786       6,485     $ 2,463     $ 4,097  

International Core Equity Portfolio

    119,342       8,230       36,871       (2,519     (8,418     79,764       6,603       2,210       —    

Emerging Markets Core Equity Portfolio

    64,065       9,312       14,243       (1,615     215       57,734       2,838       1,334       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 370,075     $ 35,201     $ 105,766     $ (689   $ (13,537   $ 285,284       15,926     $ 6,007     $ 4,097  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Emerging Markets Core Equity Portfolio

                 

The DFA Short Term Investment Fund

  $ 673,477     $ 2,162,419     $ 2,388,552     $ (9   $ 17     $ 447,352       38,662     $ 4,888       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 673,477     $ 2,162,419     $ 2,388,552     $ (9   $ 17     $ 447,352       38,662     $ 4,888       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Emerging Markets Targeted Value Portfolio

                 

The DFA Short Term Investment Fund

  $ 659     $ 15,914     $ 14,536       —         —       $ 2,037       176       —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 659     $ 15,914     $ 14,536       —         —       $ 2,037       176       —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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 that these differences are permanent, they are charged or credited to paid-in capital or distributable earnings as appropriate, in the period that the differences arise. Accordingly, the permanent differences as of October 31, 2020, can occur as a result of realized gains on securities considered to be “passive foreign investment companies,” non-deductible expenses, realized foreign capital gains tax, tax equalization, non-deductible

 

136


90-day stock issuance cost, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, and were reclassified to the accounts mentioned above. These reclassifications had no effect on net assets or net asset value per share.

The tax character of dividends and distributions declared and paid during the years ended October 31, 2019, and October 31, 2020, were as follows (amounts in thousands):

 

     Net Investment
Income and
Short-Term
Capital Gains
     Long-Term
Capital Gains
     Tax Exempt
Income
     Total  

Large Cap International Portfolio

           

2019

   $ 155,698        —          —        $ 155,698  

2020

     119,035        —          —          119,035  

International Core Equity Portfolio

           

2019

     907,539        —          —          907,539  

2020

     616,813        —          —          616,813  

Global Small Company Portfolio

           

2019

     308        —          —          308  

2020

     627        —          —          627  

International Small Company Portfolio

           

2019

     339,853      $ 517,619        —          857,472  

2020

     251,539        278,423        —          529,962  

Japanese Small Company Portfolio

           

2019

     6,623        32,764        —          39,387  

2020

     14,224        9,019        —          23,243  

Asia Pacific Small Company Portfolio

           

2019

     11,260        —          —          11,260  

2020

     14,178        —          —          14,178  

United Kingdom Small Company Portfolio

           

2019

     540        1,437        —          1,977  

2020

     969        1,478        —          2,447  

Continental Small Company Portfolio

           

2019

     14,187        19,027        —          33,214  

2020

     8,902        —          —          8,902  

DFA International Real Estate Securities Portfolio

           

2019

     302,662        —          —          302,662  

2020

     717,271        —          —          717,271  

DFA Global Real Estate Securities Portfolio

           

2019

     311,682        40,223        —          351,905  

2020

     509,001        90,019        —          599,020  

DFA International Small Cap Value Portfolio

           

2019

     346,113        429,956        —          776,069  

2020

     224,481        206,468        —          430,949  

International Vector Equity Portfolio

           

2019

     75,474        72,426        —          147,900  

2020

     57,641        —          —          57,641  

International High Relative Profitability Portfolio

           

2019

     11,023        —          —          11,023  

2020

     18,018        —          —          18,018  

 

137


     Net Investment
Income and
Short-Term
Capital Gains
     Long-Term
Capital Gains
     Tax Exempt
Income
     Total  

World ex U.S. Value Portfolio

           

2019

   $ 8,654      $ 5,062        —        $ 13,716  

2020

     6,579        —          —          6,579  

World ex U.S. Core Equity Portfolio

           

2019

     100,766        15,900        —          116,666  

2020

     75,535        —          —          75,535  

World Core Equity Portfolio

           

2019

     18,739        4,773        —          23,512  

2020

     14,888        1,549        —          16,437  

Selectively Hedged Global Equity Portfolio

           

2019

     12,345        4,519        —          16,864  

2020

     9,635        —          —          9,635  

Emerging Markets Portfolio

           

2019

     145,647        —          —          145,647  

2020

     118,156        —          —          118,156  

Emerging Markets Small Cap Portfolio

           

2019

     153,182        173,892        —          327,074  

2020

     129,179        41,749        —          170,928  

Emerging Markets Value Portfolio

           

2019

     459,380        —          —          459,380  

2020

     442,052        —          —          442,052  

Emerging Markets Core Equity Portfolio

           

2019

     730,829        —          —          730,829  

2020

     585,760        —          —          585,760  

Emerging Markets Targeted Value Portfolio

           

2019

     64        —          —          64  

2020

     3,854        21        —          3,875  

As of October 31, 2020, 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 use of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):

 

     Net Investment
Income and
Short-Term
Capital Gains
     Long-Term
Capital Gains
     Total  

Large Cap International Portfolio

   $ (8,871      —        $ (8,871

International Core Equity Portfolio

     (53,934      —          (53,934

Global Small Company Portfolio

     (71      —          (71

International Small Company Portfolio

     (23,983      —          (23,983

Japanese Small Company Portfolio

     —          —          —    

Asia Pacific Small Company Portfolio

     —          —          —    

United Kingdom Small Company Portfolio

     (19      —          (19

Continental Small Company Portfolio

     (799      —          (799

DFA International Real Estate Securities Portfolio

     —          —          —    

 

138


     Net Investment
Income and
Short-Term
Capital Gains
     Long-Term
Capital Gains
     Total  

DFA Global Real Estate Securities Portfolio

   $ (3,747      —        $ (3,747

DFA International Small Cap Value Portfolio

     (26,367      —          (26,367

International Vector Equity Portfolio

     (6,596      —          (6,596

International High Relative Profitability Portfolio

     (1,186      —          (1,186

World ex U.S. Value Portfolio

     —          —          —    

World ex U.S. Core Equity Portfolio

     (7,309      —          (7,309

World Core Equity Portfolio

     (61      —          (61

Selectively Hedged Global Equity Portfolio

     (473    $ (465      (938

Emerging Markets Portfolio

     (11,704      —          (11,704

Emerging Markets Small Cap Portfolio

     (14,465      —          (14,465

Emerging Markets Value Portfolio

     (43,191      —          (43,191

Emerging Markets Core Equity Portfolio

     (55,165      —          (55,165

Emerging Markets Targeted Value Portfolio

     (502      —          (502

As of October 31, 2020, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):

 

     Undistributed
Net Investment
Income and
Short-Term
Capital Gains
     Undistributed
Long-Term
Capital Gains
     Capital Loss
Carryforwards
    Unrealized
Appreciation
(Depreciation)
    Total Net
Distributable
Earnings
(Accumulated
Losses)
 

Large Cap International Portfolio

   $ 13,767        —        $ (485,857   $ 654,159     $ 182,069  

International Core Equity Portfolio

     109,223        —          (1,538,697     783,156       (646,318

Global Small Company Portfolio

     540        —          (258     (441     (159

International Small Company Portfolio

     136,707        —          (313,125     65,923       (110,495

Japanese Small Company Portfolio

     9,860        —          (4,708     40,289       45,441  

Asia Pacific Small Company Portfolio

     11,401        —          (17,821     (27,049     (33,469

United Kingdom Small Company Portfolio

     197        —          (55     (2,560     (2,418

Continental Small Company Portfolio

     3,703        —          (27,023     17,304       (6,016

DFA International Real Estate Securities Portfolio

     —          —          (431,697     (1,161,693     (1,593,390

DFA Global Real Estate Securities Portfolio

     86,211      $ 23,742        —         (435,949     (325,996

DFA International Small Cap Value Portfolio

     164,422        —          (427,253     (1,226,585     (1,489,416

International Vector Equity Portfolio

     18,174        —          (117,363     98,905       (284

International High Relative Profitability Portfolio

     1,731        —          (26,305     92,038       67,464  

World ex U.S. Value Portfolio

     1,190        —          (17,769     (29,442     (46,021

World ex U.S. Core Equity Portfolio

     11,477        —          (129,730     1,126       (117,127

World Core Equity Portfolio

     —          —          (1,459     101,380       99,921  

Selectively Hedged Global Equity Portfolio

     2,378        3,266        —         59,081       64,725  

Emerging Markets Portfolio

     13,176        —          (149,587     1,755,403       1,618,992  

Emerging Markets Small Cap Portfolio

     76,220        —          (395,156     125,442       (193,494

 

139


     Undistributed
Net Investment
Income and
Short-Term
Capital Gains
     Undistributed
Long-Term
Capital Gains
     Capital Loss
Carryforwards
    Unrealized
Appreciation
(Depreciation)
    Total Net
Distributable
Earnings
(Accumulated
Losses)
 

Emerging Markets Value Portfolio

   $ 98,175        —        $ (2,347,944   $ (559,050   $ (2,808,819

Emerging Markets Core Equity Portfolio

     63,708        —          (2,739,997     3,839,613       1,163,324  

Emerging Markets Targeted Value Portfolio

     4,286        —          —         1,899       6,185  

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. As of October 31, 2020, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains with no expiration date (amounts in thousands):

 

     Unlimited      Total  

Large Cap International Portfolio

   $ 485,857      $ 485,857  

International Core Equity Portfolio

     1,538,697        1,538,697  

Global Small Company Portfolio

     258        258  

International Small Company Portfolio

     313,125        313,125  

Japanese Small Company Portfolio

     4,708        4,708  

Asia Pacific Small Company Portfolio

     17,821        17,821  

United Kingdom Small Company Portfolio

     55        55  

Continental Small Company Portfolio

     27,023        27,023  

DFA International Real Estate Securities Portfolio

     431,697        431,697  

DFA Global Real Estate Securities Portfolio

     —          —    

DFA International Small Cap Value Portfolio

     427,253        427,253  

International Vector Equity Portfolio

     117,363        117,363  

International High Relative Profitability Portfolio

     26,305        26,305  

World ex U.S. Value Portfolio

     17,769        17,769  

World ex U.S. Core Equity Portfolio

     129,730        129,730  

World Core Equity Portfolio

     1,459        1,459  

Selectively Hedged Global Equity Portfolio

     —          —    

Emerging Markets Portfolio

     149,587        149,587  

Emerging Markets Small Cap Portfolio

     395,156        395,156  

Emerging Markets Value Portfolio

     2,347,944        2,347,944  

Emerging Markets Core Equity Portfolio

     2,739,997        2,739,997  

Emerging Markets Targeted Value Portfolio

     —          —    

During the year ended October 31, 2020, the following Portfolios used the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands):

 

Global Small Company Portfolio

   $ 245  

Emerging Markets Portfolio

     59,952  

 

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As of October 31, 2020, 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):

 

     Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net
Unrealized
Appreciation
(Depreciation)
 

Large Cap International Portfolio

   $ 4,172,789      $ 1,236,476      $ (582,218    $ 654,258  

International Core Equity Portfolio

     25,062,273        5,943,496        (5,161,581      781,915  

Global Small Company Portfolio

     44,163        —          (450      (450

International Small Company Portfolio

     10,014,881        65,923        —          65,923  

Japanese Small Company Portfolio

     426,756        40,279        —          40,279  

Asia Pacific Small Company Portfolio

     406,429        —          (27,049      (27,049

United Kingdom Small Company Portfolio

     19,458        —          (2,565      (2,565

Continental Small Company Portfolio

     521,797        17,304        —          17,304  

DFA International Real Estate Securities Portfolio

     6,117,825        791,309        (1,952,870      (1,161,561

DFA Global Real Estate Securities Portfolio

     7,722,562        1,228,710        (1,664,659      (435,949

DFA International Small Cap Value Portfolio

     11,348,667        1,605,837        (2,832,568      (1,226,731

International Vector Equity Portfolio

     2,729,895        585,477        (486,688      98,789  

International High Relative Profitability Portfolio

     1,415,048        170,650        (78,670      91,980  

World ex U.S. Value Portfolio

     236,342        —          (29,421      (29,421

World ex U.S. Core Equity Portfolio

     3,301,842        666,751        (670,173      (3,422

World Core Equity Portfolio

     668,300        101,380        —          101,380  

Selectively Hedged Global Equity Portfolio

     226,272        59,062        —          59,062  

Emerging Markets Portfolio

     3,890,070        1,767,776        —          1,767,776  

Emerging Markets Small Cap Portfolio

     4,775,629        125,592        —          125,592  

Emerging Markets Value Portfolio

     13,221,426        —          (559,273      (559,273

Emerging Markets Core Equity Portfolio

     21,200,633        8,214,465        (4,357,188      3,857,277  

Emerging Markets Targeted Value Portfolio

     168,225        23,036        (21,152      1,884  

The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales and net mark to market gains (losses) on regulated futures contracts, net mark-to-market gain/loss on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments.

ASC 740 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.

 

141


G. Capital Share Transactions:

The capital share transactions by class were as follows (amounts in thousands):

 

     Year Ended
October 31, 2020
     Year Ended
October 31, 2019
 
     Amount      Shares      Amount      Shares  

Emerging Markets Value Portfolio

           

Class R2 Shares

           

Shares Issued

   $ 3,669        151      $ 7,880        286  

Shares Issued in Lieu of Cash Distributions

     570        22        687        26  

Shares Redeemed

     (16,724      (717      (5,088      (183
  

 

 

    

 

 

    

 

 

    

 

 

 

Net Increase (Decrease) — Class R2 Shares

   $ (12,485      (544    $ 3,479        129  
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Class Shares

           

Shares Issued

   $ 3,019,595        131,537      $ 3,094,110        110,936  

Shares Issued in Lieu of Cash Distributions

     425,160        16,845        436,607        16,366  

Shares Redeemed

     (5,831,173      (249,652      (3,087,983      (112,388
  

 

 

    

 

 

    

 

 

    

 

 

 

Net Increase (Decrease) — Institutional Class Shares

   $ (2,386,418      (101,270    $ 442,734        14,914  
  

 

 

    

 

 

    

 

 

    

 

 

 

H. Financial Instruments:

In accordance with the Portfolios’ investment objectives and policies, the Portfolios may invest either directly or indirectly (through their investments in corresponding Master/Underlying Funds), 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.

Portfolios that have significant exposure to certain countries, such as The United Kingdom Small Company Portfolio’s Master Fund that concentrates investments in the United Kingdom, can be expected to be impacted by the political and economic conditions within such countries. For example, there is continuing uncertainty around the future of the euro and the European Union (EU) following the United Kingdom’s (UK) exit from the EU (referred to as “Brexit”). Brexit may cause greater market volatility and illiquidity, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and increased likelihood of a recession in the UK. While it is not possible to determine the precise impact these events may have on the Portfolios, during this period and beyond, the impact on the UK, EU countries, other countries or parties that transact with the UK and EU, and the broader global economy could be significant and could adversely affect the value and liquidity of the Portfolios’ investments.

Derivative Financial Instruments:

Summarized below are the specific types of derivative instruments used by the Portfolios.

2. Forward Currency Contracts: The Portfolios listed below 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) or 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 the Selectively Hedged Global Equity 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

 

142


daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation of forward currency contracts. 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 forward currency contracts. 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: Each Portfolio listed below 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 Portfolio. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. 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 in an amount 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 entrance 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 Portfolio 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.

Securities have been segregated as collateral for open futures contracts.

The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2020 was as follows (amounts in thousands):

 

     Forward
Currency
Contracts*
     Futures**  

Large Cap International Portfolio

   $ —        $ 51,172  

International Core Equity Portfolio

     —          251,263  

International Small Company Portfolio

     —          81,937  

DFA International Real Estate Securities Portfolio

     —          52,089  

DFA International Small Cap Value Portfolio

     —          114,253  

International Vector Equity Portfolio

     —          5,577  

International High Relative Profitability Portfolio

     —          7,296  

World ex U.S. Core Equity Portfolio

     —          18,959  

Selectively Hedged Global Equity Portfolio

     93,147        4,008  

Emerging Markets Core Equity Portfolio

     —          199,231  

Emerging Markets Targeted Value Portfolio

     —          2,102  

 

*

Average amount of Currency Purchased/Sold in USD

**

Average Notional Value of contracts

 

143


The following is a summary of the Portfolios’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2020 (amounts in thousands):

 

     Asset Derivatives Value  
     Total Value
at
October 31, 2020
     Forward
Currency
Contracts (1)
 

Selectively Hedged Global Equity Portfolio

   $ 400      $ 400  

 

     Liability Derivatives Value  
     Total Value
at
October 31, 2020
     Forward
Currency
Contracts (2)
     Equity
Contracts (3)
 

Large Cap International Portfolio

   $ (747      —        $ (747

International Core Equity Portfolio

     (1,861      —          (1,861

International Small Company Portfolio

     (1,275      —          (1,275

DFA International Real Estate Securities Portfolio

     (1,677      —          (1,677

DFA International Small Cap Value Portfolio

     (5,193      —          (5,193

International High Relative Profitability Portfolio

     (145      —          (145

World ex U.S. Core Equity Portfolio

     (598      —          (598

Selectively Hedged Global Equity Portfolio

     (267    $ (173      (94

Emerging Markets Core Equity Portfolio

     (7,895      —          (7,895

Emerging Markets Targeted Value Portfolio

     (13      —          (13

 

(1)

Presented on Statements of Assets and Liabilities as Unrealized Gain on Forward Currency Contracts.

(2)

Presented on Statements of Assets and Liabilities as Unrealized Loss on Forward Currency Contracts.

(3)

Presented on Statements of Assets and Liabilities as Payables: Futures Margin Variation.

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 for the year ended October 31, 2020 (amounts in thousands):

 

     Realized Gain (Loss) on
Derivatives
 
     Total      Forward
Currency
Contracts (1)
     Equity
Contracts (2)
 

Large Cap International Portfolio

   $ 16,935        —        $ 16,935  

International Core Equity Portfolio

     86,315        —          86,315  

Global Small Company Portfolio

     18        —          18

International Small Company Portfolio

     13,320        —          13,320  

DFA International Real Estate Securities Portfolio

     21,374        —          21,374  

DFA Global Real Estate Securities Portfolio

     (362      —          (362 )* 

DFA International Small Cap Value Portfolio

     35,047        —          35,047  

International Vector Equity Portfolio

     (8,170      —          (8,170 )* 

International High Relative Profitability Portfolio

     3,996        —          3,996  

World ex U.S. Value Portfolio

     100        —          100

World ex U.S. Core Equity Portfolio

     13,484        —          13,484  

World Core Equity Portfolio

     (122      —          (122

 

144


     Realized Gain (Loss) on
Derivatives
 
     Total      Forward
Currency
Contracts (1)
     Equity
Contracts (2)
 

Selectively Hedged Global Equity Portfolio

   $ (1,501    $ (1,961    $ 460  

Emerging Markets Core Equity Portfolio

     69,434        —          69,434  

Emerging Markets Targeted Value Portfolio

     (609      —          (609
     Change in Unrealized Appreciation
(Depreciation) on Derivatives
 
     Total      Forward
Currency
Contracts (3)
     Equity
Contracts (4)
 

Large Cap International Portfolio

   $ (1,346      —        $ (1,346

International Core Equity Portfolio

     (6,655      —          (6,655

International Small Company Portfolio

     (2,575      —          (2,575

DFA International Real Estate Securities Portfolio

     (2,070      —          (2,070

DFA International Small Cap Value Portfolio

     (7,947      —          (7,947

International High Relative Profitability Portfolio

     (145      —          (145

World ex U.S. Core Equity Portfolio

     (598      —          (598

Selectively Hedged Global Equity Portfolio

     564      $ 710        (146

Emerging Markets Core Equity Portfolio

     (12,657      —          (12,657

Emerging Markets Targeted Value Portfolio

     (13      —          (13

 

(1)

Presented on Statements of Operations as Net Realized Gain (Loss) on: Forward Currency Contracts.

(2)

Presented on Statements of Operations as Net Realized Gain (Loss) on: Futures.

(3)

Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) of: Forward Currency Contracts.

(4)

Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) of: Futures.

*

As of October 31, 2020, there were no futures contracts outstanding. During the year ended October 31, 2020, the Portfolio had limited activity in futures contracts.

Offsetting of Derivative Assets and Derivative Liabilities

In order to better define its contractual rights and to secure rights that will help a Portfolio mitigate its counterparty risk, the Fund on behalf of applicable Portfolios 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, on behalf of a Portfolio, and a counterparty that governs over-the-counter (OTC) derivatives and forward currency 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, a Portfolio 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 Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

 

145


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, 2020 (amounts in thousands):

 

Description

  Gross
Amounts of
Recognized
Assets

(a)
    Net
Amounts
of

Assets
Presented
in the
Statements
of Assets
and
Liabilities
    Gross Amounts Not
Offset in the
Statements of Assets
and Liabilities
    Net
Amount
(c)
          Net
Amounts
of
Liabilities
Presented
in the
Statements
of Assets
and
Liabilities
    Gross Amounts Not
Offset in the
Statements of Assets
and Liabilities
    Net
Amount
(e)
 
  Financial
Instruments

(b)
    Cash
Collateral
Received
    Gross
Amounts of
Recognized

Liabilities
(a)
    Financial
Instruments
(d)
    Cash
Collateral
Pledged
 
    Assets     Liabilities  

Selectively Hedged Global Equity Portfolio

                   

JP Morgan

  $ 102     $ 102       —         —       $ 102       —         —         —         —         —    

Bank of America Corp.

    51       51     $ (51     —         —       $ 85     $ 85     $ (51     —       $ 34  

Citibank, N.A.

    59       59       (50     —         9       50       50       (50     —         —    

Goldman Sachs International

    21       21       —         —         21       —         —         —         —         —    

Bank of New York Mellon Corp.

    —         —         —         —         —         10       10       —         —         10  

Barclays Capital

    165       165       —         —         165       —         —         —         —         —    

UBS AG

    —         —         —         —         —         20       20       —         —         20  

Societe Generale

    —         —         —         —         —         7       7       —         —         7  

State Street Bank and Trust

    1       1       (1     —         —         1       1       (1     —         —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 399     $ 399     $ (102     —       $ 297     $ 173     $ 173     $ (102     —       $ 71  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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.

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 April 8, 2020, with its domestic custodian bank. A line of credit with similar terms was in effect through April 8, 2020. 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 April 7, 2021.

The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective January 2, 2020. A line of credit with similar terms was in effect through January 2, 2020. 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 $700 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 1, 2021.

 

146


For the year ended October 31, 2020, borrowings by the following Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):

 

     Weighted
Average
Interest Rate
    Weighted
Average
Loan Balance
     Number of
Days
Outstanding*
   Interest
Expense
Incurred
     Maximum Amount
Borrowed During
the Period
     Outstanding
Borrowings
as of 10/31/2020
 

Large Cap International Portfolio

     0.97   $ 9,946      12    $ 3      $ 25,463      $ 4,045  

International Core Equity Portfolio

     1.34     19,892      6      5        79,001        —    

Global Small Company Portfolio

     1.34     122      83      —          972        —    

International Small Company Portfolio

     0.85     11,561      7      2        24,436        —    

DFA International Real Estate Securities Portfolio

     1.08     3,124      6      1        6,670        —    

DFA Global Real Estate Securities Portfolio

     0.96     4,312      47      7        30,384        —    

DFA International Small Cap Value Portfolio

     1.19     7,969      21      6        44,630        —    

International Vector Equity Portfolio

     1.20     6,265      69      10        43,388        —    

World ex U.S. Value Portfolio

     1.27     680      93      2        14,256        —    

World ex U.S. Core Equity Portfolio

     1.29     6,802      36      8        44,717        —    

World Core Equity Portfolio

     1.30     1,256      74      4        17,666        —    

Selectively Hedged Global Equity Portfolio

     0.87     1,410      2      —          2,211        —    

Emerging Markets Core Equity Portfolio

     1.54     21,264      12      21        53,464        —    

Emerging Markets Targeted Value Portfolio

     1.75     1,846      21      2        8,922        —    

 

*

Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2020, that each Portfolio’s available line of credit was used.

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.

 

147


For the year ended October 31, 2020, activity by the Portfolios under the interfund lending program was as follows (amounts in thousands, except percentages and days):

 

    Borrower or
Lender
    Weighted
Average
Interest Rate
    Weighted
Average Loan
Balance
    Number of
Days
Outstanding*
    Interest
Expense/
Income
    Maximum Amount
Borrowed/Loaned
During the Period
    Outstanding
Borrowings
as of 10/31/2020
 

Emerging Markets Core Equity Portfolio

    Borrower       0.47   $ 81,907       11     $ 11     $ 108,542       —    

 

*

Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2020 that the Portfolio utilized the interfund lending program.

J. Affiliated Trades:

Cross trades for the year ended October 31, 2020, 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 advisor (or affiliated investment advisors), common Directors and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Portfolios complied with the Rule 17a-7 Procedures adopted by the Board of Directors of the Fund.

For the year ended October 31, 2020, cross trades by the Portfolios under Rule 17a-7 were as follows (amounts in thousands):

 

Portfolio

   Purchases      Sales      Realized Gain (Loss)  

Large Cap International Portfolio

   $ 70,870      $ 67,043      $ (37,989

International Core Equity Portfolio

     27,829        115,477        (52,835

DFA Global Real Estate Securities Portfolio

     11,373        391        (434

DFA International Small Cap Value Portfolio

     171,870        103,486        (2,411

International Vector Equity Portfolio

     24,945        28,410        (8,167

International High Relative Profitability Portfolio

     64,993        20,552        (5,280

World ex U.S. Core Equity Portfolio

     8,745        35,441        (8,764

Emerging Markets Core Equity Portfolio

     532        6,753        (728

Emerging Markets Targeted Value Portfolio

     238        109        (10

K. Securities Lending:

As of October 31, 2020, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. The Portfolios also received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):

 

     Non-Cash
Collateral
Market
Value
 

Large Cap International Portfolio

   $ 30,293  

International Core Equity Portfolio

     271,148  

 

148


     Non-Cash
Collateral
Market
Value
 

DFA International Real Estate Securities Portfolio

   $ 129,526  

DFA International Small Cap Value Portfolio

     103,655  

International Vector Equity Portfolio

     28,092  

International High Relative Profitability Portfolio

     10,630  

World ex U.S. Core Equity Portfolio

     42,544  

Emerging Markets Core Equity Portfolio

     613,389  

Emerging Markets Targeted Value Portfolio

     1,200  

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 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, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and 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 with securities on loan 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. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. 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 or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, 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 for taxation 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, 2020 (amounts in thousands):

 

     Remaining Contractual Maturity of the Agreements
As of October 31, 2020
 
     Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions Large Cap International Portfolio

              

Common Stocks

   $ 174,377        —          —          —        $ 174,377  

 

149


     Remaining Contractual Maturity of the Agreements
As of October 31, 2020
 
     Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions International Core Equity Portfolio

              

Common Stocks, Rights/Warrants

   $ 1,094,979        —          —          —        $ 1,094,979  

DFA International Real Estate Securities Portfolio

              

Common Stocks

     379,377        —          —          —          379,377  

DFA Global Real Estate Securities Portfolio

              

Common Stocks

     72,198        —          —          —          72,198  

DFA International Small Cap Value Portfolio

              

Common Stocks

     419,715        —          —          —          419,715  

International Vector Equity Portfolio

              

Common Stocks, Rights/Warrants

     123,757        —          —          —          123,757  

International High Relative Profitability Portfolio

              

Common Stocks

     48,092        —          —          —          48,092  

World ex U.S. Core Equity Portfolio

              

Common Stocks

     119,101        —          —          —          119,101  

Emerging Markets Core Equity Portfolio

              

Common Stocks

     447,327        —          —          —          447,327  

Emerging Markets Targeted Value Portfolio

              

Common Stocks

     2,037        —          —          —          2,037  

L. 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 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. Recently Issued Accounting Standards:

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Fund’s adoption of ASU 2017-08 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020 and management has concluded that the change in accounting principle does not materially impact the financial statement amounts.

 

150


In August 2018, the FASB issued ASU No. 2018-13, “Fair Value Measurements” (“ASU 2018-13”). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurement. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Portfolios’ early adoption of all of the ASU 2018-13 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020.

On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced the intention to phase out the use of London Interbank Offered Rate (“LIBOR”) by the end of 2021. In the interim, there remains uncertainty regarding the impact the transition to replacement rates may have on the value of LIBOR-based investments. In March 2020, the FASB issued ASU 2020-04 which provides optional guidance to ease the potential accounting burden associated with transitioning away from the LIBOR and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.

O. Coronavirus (COVID-19) Pandemic:

The continued worldwide spread of novel coronavirus (COVID-19) and its impact on international business operations, supply chains, travel, commodity prices, consumer confidence and business forecasts, and the associated impact on domestic and international equity markets and fixed income yields, has caused uncertainty for the global economy and financial markets. If market expectations regarding the impact of COVID-19 worsen, or if expected returns change because investors demand higher returns to invest in these uncertain times, there may be a detrimental impact on returns in the near term.

P. Other:

As of October 31, 2020, 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.

 

     Number of
Shareholders
   Approximate
Percentage
of Outstanding
Shares
 

Large Cap International Portfolio-Institutional Class

   4      73

International Core Equity Portfolio-Institutional Class

   4      71

Global Small Company Portfolio-Institutional Class

   5      97

International Small Company Portfolio-Institutional Class

   3      65

Japanese Small Company Portfolio-Institutional Class

   3      91

Asia Pacific Small Company Portfolio-Institutional Class

   2      95

United Kingdom Small Company Portfolio-Institutional Class

   3      92

Continental Small Company Portfolio-Institutional Class

   2      95

DFA International Real Estate Securities Portfolio-Institutional Class

   4      90

DFA Global Real Estate Securities Portfolio-Institutional Class

   3      67

DFA International Small Cap Value Portfolio-Institutional Class

   4      72

International Vector Equity Portfolio-Institutional Class

   3      81

International High Relative Profitability Portfolio-Institutional Class

   3      87

World ex U.S. Value Portfolio-Institutional Class

   6      90

World ex U.S. Core Equity Portfolio-Institutional Class

   3      74

World Core Equity Portfolio-Institutional Class

   5      82

Selectively Hedged Global Equity Portfolio-Institutional Class

   3      94

Emerging Markets Portfolio-Institutional Class

   3      59

 

151


     Number of
Shareholders
   Approximate
Percentage
of Outstanding
Shares
 

Emerging Markets Small Cap Portfolio-Institutional Class

   5      63

Emerging Markets Value Portfolio-Class R2

   1      93

Emerging Markets Value Portfolio-Institutional Class

   2      36

Emerging Markets Core Equity Portfolio-Institutional Class

   3      61

Emerging Markets Targeted Value Portfolio-Institutional Class

   3      91

The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when The Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against the Portfolios, individually or in aggregate, will not have a material adverse impact on the Portfolios’ financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.

Q. Subsequent Event Evaluations:

On November 12, 2020, President Trump issued an Executive Order titled “Addressing the Threat from Securities Investments that Finance Communist Chinese Military Companies” (the “Order”). Beginning January 11, 2021, the Order will prohibit U.S. entities from participating in certain types of transactions involving securities of Chinese companies known to be associated with the Chinese military. Management is currently evaluating the Order’s effect on the Funds.

As described in a November 2, 2020 Supplement to the Funds’ Prospectuses, effective February 28, 2021, the Advisor will reduce its investment management fees for certain Portfolios. Please refer to the Funds’ Prospectuses for additional information regarding fees and expenses of the Portfolios.

 

152


Report of Independent Registered Public Accounting Firm

To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of each of the twenty-two portfolios listed in the table below

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments or summary schedules of portfolio holdings, of each of the portfolios indicated in the table below (twenty-two of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter collectively referred to as the “Portfolios”) as of October 31, 2020, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of October 31, 2020, the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

 

Portfolio

  

Statement of

operations

  

Statement of

changes in net assets

  

Financial

highlights

Large Cap International Portfolio (1)

International Core Equity Portfolio (1)

Global Small Company Portfolio (2)

International Small Company Portfolio (2)

Japanese Small Company Portfolio (2)

Asia Pacific Small Company Portfolio (2)

United Kingdom Small Company Portfolio

Continental Small Company Portfolio (2)

DFA International Real Estate Securities Portfolio (1)

DFA Global Real Estate Securities Portfolio (1)

DFA International Small Cap Value Portfolio (1)

International Vector Equity Portfolio (1)

International High Relative Profitability Portfolio (1)

World ex U.S. Value Portfolio (2)

World ex U.S. Core Equity Portfolio (1)

World Core Equity Portfolio (2)

Selectively Hedged Global Equity Portfolio (2)

Emerging Markets Portfolio (2)

Emerging Markets Small Cap Portfolio (2)

Emerging Markets Value Portfolio (2)

Emerging Markets Core Equity Portfolio (1)

   For the year ended October 31, 2020    For the years ended October 31, 2020 and 2019    For each of the periods indicated therein
Emerging Markets Targeted Value Portfolio (1)    For the year ended October 31, 2020    For the year ended October 31, 2020 and the period November 14, 2018 (commencement of operations) to October 31, 2019

 

(1)

Summary schedule of portfolio holdings

(2)

Schedule of investments

Basis for Opinions

These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.


Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodians, brokers and transfer agents of the investee funds; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania
December 18, 2020

We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.


NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO

RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940

As noted in the table provided below, the following Portfolios paid distributions to shareholders of record, a portion of which is estimated to be in excess of a Portfolio’s current and accumulated undistributed net income. 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. The amounts and sources of distributions reported in this 19(a) Notice are only estimates, are likely to change over time, and are not being provided for tax reporting purposes. A final determination of the tax character of distributions paid by the Fund will not be known until the completion of the fiscal year. The actual amounts and sources of the amounts for accounting and tax reporting purposes will depend upon the Fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The final determination of the tax character of the distributions paid in 2020 will be reported to shareholders in early 2021 on Form 1099-DIV.

 

Portfolio Name

   Total
Distribution per
Share
     Net Investment
Income
     Proceeds from
the sales of
securities
     Return of Capital  

International Small Company Portfolio
Institutional Class

           

Payable Date: June 30, 2020

   $ 0.03918      $ 0.00000      $ 0.00000      $ 0.03918  

Continental Small Company Portfolio
Institutional Class

           

Payable Date: June 30, 2020

   $ 0.13135      $ 0.11321      $ 0.00000      $ 0.01814  

DFA International Small Cap Value Portfolio Institutional Class

           

Payable Date: June 30, 2020

   $ 0.03699      $ 0.00758      $ 0.00000      $ 0.02941  

International Vector Equity Portfolio
Institutional Class

           

Payable Date: June 30, 2020

   $ 0.09401      $ 0.09103      $ 0.00000      $ 0.00298  

Emerging Markets Small Cap Portfolio
Institutional Class

           

Payable Date: June 30, 2020

   $ 0.05412      $ 0.00019      $ 0.00000      $ 0.05393  

 

155


DIMENSIONAL INVESTMENT GROUP INC.

PERFORMANCE CHARTS

(Unaudited)

 

 

DFA International Value Portfolio — Class R2 vs.

MSCI World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

DFA International Value Portfolio — Institutional Class vs.

MSCI World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

156


MANAGEMENT’S DISCUSSION AND ANALYSIS

 

International Equity Market Review    12 Months Ended October 31, 2020

Performance of non-U.S. developed markets was mostly negative for the period. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI World ex USA indices.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI World ex USA Index

     -6.79

MSCI World ex USA Mid Cap Index

     -3.83

MSCI World ex USA Small Cap Index

     -0.65

MSCI World ex USA Value Index

     -18.72

MSCI World ex USA Growth Index

     5.65

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against most non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.

12 Months Ended October 31, 2020

 

Ten Largest Foreign Developed Markets by Market Cap

   Local Return     Return in U.S. Dollars  

Japan

     -2.97     0.33

United Kingdom

     -22.19     -22.25

France

     -17.43     -13.79

Switzerland

     -4.37     2.95

Canada

     -4.70     -6.05

Germany

     -10.77     -6.84

Australia

     -11.01     -9.29

Netherlands

     4.14     8.62

Hong Kong

     -8.06     -7.15

Sweden

     0.79     9.10

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

Emerging markets had mostly positive performance for the period, outperforming non-U.S. developed markets but underperforming the U.S. As measured by the MSCI Emerging Markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, underperformed large-cap stocks and small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI Emerging Markets indices.

 

157


12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI Emerging Markets Index

     8.25

MSCI Emerging Markets Mid Cap Index

     -3.22

MSCI Emerging Markets Small Cap Index

     2.39

MSCI Emerging Markets Value Index

     -8.47

MSCI Emerging Markets Growth Index

     25.97

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against some emerging markets currencies and appreciated against others. Overall, currency movements had a negative impact on the U.S. dollar denominated returns of emerging markets.

12 Months Ended October 31, 2020

 

Ten Largest Emerging Markets by Market Cap

   Local Return     Return in U.S.  

Dollars

            

China

     33.57     35.19

Taiwan

     18.86     26.49

Korea

     11.33     14.15

India

     1.83     -2.54

Brazil

     -11.13     -38.13

South Africa

     -6.49     -13.31

Saudi Arabia

     -0.90     -0.90

Russia

     -14.17     -29.27

Thailand

     -28.54     -30.77

Malaysia

     -6.02     -5.49

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios 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, 2020, these differences generally contributed positively to the Portfolios’ relative performance.

 

158


DFA International Value Portfolio

The DFA International Value Portfolio invests in 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. The investment strategy is process driven, emphasizing broad diversification, with increased exposure to stocks with smaller total market capitalizations, lower relative price (value), and higher-profitability within the large-cap value segment of developed ex U.S. markets. As of October 31, 2020, the Master Fund held approximately 540 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Master Fund’s assets.

For the 12 months ended October 31, 2020, total returns were -19.08% for the Portfolio’s Class R2 shares, -18.87% for the Portfolio’s Institutional Class shares, and -6.79% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. With low relative price (value) stocks underperforming high relative price (growth) stocks for the period, the Master Fund’s focus on value stocks detracted from performance relative to the style-neutral benchmark.

 

159


DIMENSIONAL INVESTMENT GROUP INC.

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 and 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” reflects the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

Hypothetical Example for Comparison Purposes

This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.

 

160


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

Six Months Ended October 31, 2020

EXPENSE TABLE

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

DFA International Value Portfolio (2)

          

Actual Fund Return

          

Class R2 Shares

   $ 1,000.00      $ 1,071.30        0.65   $ 3.38  

Institutional Class Shares

   $ 1,000.00      $ 1,072.40        0.40   $ 2.08  

Hypothetical 5% Annual Return

          

Class R2 Shares

   $ 1,000.00      $ 1,021.87        0.65   $ 3.30  

Institutional Class Shares

   $ 1,000.00      $ 1,023.13        0.40   $ 2.03  

 

(1)

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.

(2)

The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the allocation of the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company).

 

161


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 as an exhibit to their reports on Form N-PORT. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-PORT with the SEC on September 29, 2020. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this requirement.

The categories of industry classification for the Affiliated Investment Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere in 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

 

162


DFA INTERNATIONAL VALUE PORTFOLIO

SCHEDULE OF INVESTMENTS

October 31, 2020

 

     Value†  

AFFILIATED INVESTMENT COMPANIES — (100.0%)

  

Investment in The DFA International Value Series of The DFA Investment Trust Company

   $ 6,563,439,183  
  

 

 

 

TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

   $ 6,563,439,183  
  

 

 

 

Summary of the Portfolio’s Master Fund’s investments as of October 31, 2020, based on their valuation inputs, is located in this report (See Security Valuation Note).

See accompanying Notes to Financial Statements.

 

163


DIMENSIONAL INVESTMENT GROUP INC.

STATEMENT OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands, except share and per share amounts)

 

     DFA
International
Value Portfolio
 

ASSETS:

  

Investments in Affiliated Investment Company at Value

   $ 6,563,439  

Receivables:

  

Fund Shares Sold

     7,083  

Prepaid Expenses and Other Assets

     120  
  

 

 

 

Total Assets

     6,570,642  
  

 

 

 

LIABILITIES:

  

Payables:

  

Fund Shares Redeemed

     10,620  

Due to Advisor

     878  

Accrued Expenses and Other Liabilities

     821  
  

 

 

 

Total Liabilities

     12,319  
  

 

 

 

NET ASSETS

   $ 6,558,323  
  

 

 

 

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:

  

Class R2 Shares — based on net assets of $835 and shares outstanding of 61,878

   $ 13.50  
  

 

 

 

NUMBER OF SHARES AUTHORIZED

     100,000,000  
  

 

 

 

Institutional Class Shares — based on net assets of $6,557,488 and shares outstanding of 484,348,842

   $ 13.54  
  

 

 

 

NUMBER OF SHARES AUTHORIZED

     1,500,000,000  
  

 

 

 

NET ASSETS CONSIST OF:

  

Paid-In Capital

   $ 8,357,374  

Total Distributable Earnings (Loss)

     (1,799,051
  

 

 

 

NET ASSETS

   $ 6,558,323  
  

 

 

 

See accompanying Notes to Financial Statements.

 

164


DIMENSIONAL INVESTMENT GROUP INC.

STATEMENT OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     DFA
International
Value Portfolio*
 

Investment Income

  

Net Investment Income Allocated from Affiliated Investment Companies:

  

Dividends (Net of Foreign Taxes Withheld of $23,861)

   $ 225,098  

Income from Securities Lending

     4,110  

Expenses Allocated from Affiliated Investment Companies

     (16,196
  

 

 

 

Total Net Investment Income Allocated and/or Distributions Received from Affiliated Investment Companies

     213,012  
  

 

 

 

Fund Expenses

  

Investment Management Fees

     28,521  

Accounting & Transfer Agent Fees

     1,061  

Shareholder Servicing Fees

  

Class R2 Shares

     3  

Filing Fees

     215  

Shareholders’ Reports

     400  

Directors’/Trustees’ Fees & Expenses

     61  

Professional Fees

     87  

Other

     49  
  

 

 

 

Total Fund Expenses

     30,397  
  

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note C)

  

Class R2 Shares

     2  

Institutional Class Shares

     15,435  
  

 

 

 

Net Expenses

     14,960  
  

 

 

 

Net Investment Income (Loss)

     198,052  
  

 

 

 

Realized and Unrealized Gain (Loss)

  

Net Realized Gain (Loss) on:

  

Transactions Allocated from Affiliated Investment Company**

     (316,959

Change in Unrealized Appreciation (Depreciation) of:

  

Transactions Allocated from Affiliated Investment Company

     (1,563,162
  

 

 

 

Net Realized and Unrealized Gain (Loss)

     (1,880,121
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations.

   $ (1,682,069
  

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0.

*

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

See accompanying Notes to Financial Statements.

 

165


DIMENSIONAL INVESTMENT GROUP INC.

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     DFA International Value
Portfolio***
 
     Year
Ended
Oct 31,

2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

    

Operations:

    

Net Investment Income (Loss)

   $ 198,052     $ 339,362  

Net Realized Gain (Loss) on:

    

Transactions Allocated from Affiliated Investment Company*,**

     (316,959     (12,764

Change in Unrealized Appreciation (Depreciation) of:

    

Transactions Allocated from Affiliated Investment Company

     (1,563,162     (37,240
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (1,682,069     289,358  
  

 

 

   

 

 

 

Distributions:

    

Class R2 Shares

     (29     (83

Institutional Class Shares

     (226,414     (576,705
  

 

 

   

 

 

 

Total Distributions

     (226,443     (576,788
  

 

 

   

 

 

 

Capital Share Transactions (1):

    

Shares Issued

     2,636,246       2,071,367  

Shares Issued in Lieu of Cash Distributions

     222,167       562,384  

Shares Redeemed

     (3,566,247     (2,595,094
  

 

 

   

 

 

 

Net Increase (Decrease) from Capital Share Transactions

     (707,834     38,657  
  

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (2,616,346     (248,773

Net Assets

    

Beginning of Year

     9,174,669       9,423,442  
  

 

 

   

 

 

 

End of Year

   $ 6,558,323     $ 9,174,669  
  

 

 

   

 

 

 

(1) Shares Issued and Redeemed:

    

Shares Issued

     194,702       123,536  

Shares Issued in Lieu of Cash Distributions

     14,542       34,167  

Shares Redeemed

     (258,909     (154,773
  

 

 

   

 

 

 

Net Increase (Decrease) from Shares Issued and Redeemed

     (49,665     2,930  
  

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0.

***

Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company).

See accompanying Notes to Financial Statements.

 

166


DIMENSIONAL INVESTMENT GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     DFA International Value Portfolio-Class R2 Shares  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

   $ 17.13     $ 17.68     $ 19.89     $ 16.27     $ 16.93  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from Investment Operations (A)

          

Net Investment Income (Loss)

     0.38       0.58       0.54       0.55       0.53  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (3.61     (0.10     (2.21     3.61       (0.65
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (3.23     0.48       (1.67     4.16       (0.12
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

          

Net Investment Income

     (0.40     (0.51     (0.54     (0.54     (0.54

Net Realized Gains

     —         (0.52     —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.40     (1.03     (0.54     (0.54     (0.54
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

   $ 13.50     $ 17.13     $ 17.68     $ 19.89     $ 16.27  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return

     (19.08 %)      3.13     (8.59 %)      25.99     (0.43 %) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 835     $ 1,191     $ 1,477     $ 3,508     $ 3,308  

Ratio of Expenses to Average Net Assets (F)

     0.65     0.69     0.68     0.68     0.68

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

     0.85     0.89     0.88     0.88     0.88

Ratio of Net Investment Income to Average Net Assets

     2.56     3.43     2.72     3.07     3.4
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

          

 

See accompanying Notes to Financial Statements.

167


DIMENSIONAL INVESTMENT GROUP INC.

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     DFA International Value Portfolio-Institutional Class Shares  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Net Asset Value, Beginning of Year

   $ 17.18     $ 17.74     $ 19.94     $ 16.30     $ 16.92  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income (loss) from Investment Operations (A)

          

Net Investment Income (Loss)

     0.38       0.63       0.60       0.56       0.55  

Net Gains (Losses) on Securities (Realized and Unrealized)

     (3.58     (0.11     (2.21     3.66       (0.63
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (3.20     0.52       (1.61     4.22       (0.08
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

          

Net Investment Income

     (0.44     (0.56     (0.59     (0.58     (0.54

Net Realized Gains

     —         (0.52     —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.44     (1.08     (0.59     (0.58     (0.54
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

   $ 13.54     $ 17.18     $ 17.74     $ 19.94     $ 16.30  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

168 Total Return

     (18.87 %)      3.37     (8.32 %)      26.36     (0.20 %) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 6,557,488     $ 9,173,478     $ 9,421,965     $ 9,837,631     $ 7,270,665  

Ratio of Expenses to Average Net Assets (F)

     0.40     0.44     0.43     0.43     0.43

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed by Advisor) (F)

     0.60     0.64     0.63     0.63     0.63

Ratio of Net Investment Income to Average Net Assets

     2.57     3.70     3.01     3.12     3.51
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes

          

 

See accompanying Notes to Financial Statements.

168


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 eleven portfolios, one of which, the DFA International Value Portfolio (the “Portfolio”), is presented 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 the Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”), Topic 946, “Financial Services-Investment Companies.”

The Portfolio invests substantially all of its assets in The DFA International Value Series (the “Series”), a corresponding series of The DFA Investment Trust Company. As of October 31, 2020, the Portfolio owned 69% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio.

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, the 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 uses 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, and 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)

The Portfolio’s investment reflects its proportionate interests in the net assets of the Series. The valuation is classified 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 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.

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 methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

169


2. Deferred Compensation Plan: Each eligible Director of the Fund may elect to participate 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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ Trustees’ Fees & Expenses.

The Directors may receive their distributions of proceeds by 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. The 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, 2020, none of the Directors have requested or received a distribution of proceeds of a deferred fee account.

3. Other: The Portfolio 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 Portfolio estimates the character of received distributions that may be considered return of capital distributions. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund or the Portfolio 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 Portfolio. Income, gains and losses, and common expenses of the 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.

C. Investment Advisor:

The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolio. For the year ended October 31, 2020, the Portfolio’s investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:

 

DFA International Value Portfolio

     0.37 %* 

 

*

Effective as of February 28, 2020, the management fee payable by the Portfolio was reduced from 0.40% to 0.35%.

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 Portfolio, as described in the notes below. A portion of the Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2021, 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 Portfolio, as described in the notes below, will remain in effect permanently, unless terminated by the Portfolio. During the year ended October 31, 2020, the Portfolio had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or assumed expenses (amounts in thousands), as listed below. The net amount of waived fees/expenses assumed (recovered previously waived fees/expenses assumed) during the year ended October 31, 2020, and the previously waived fees/expenses assumed subject to future recovery by the

 

170


Advisor as of October 31, 2020, are also reflected below (amounts in thousands). At any time that the Annualized Expense Ratio (defined below) of the Class R2 shares of the Portfolio are less than the Expense Limitation Amount listed below, the Advisor retains the right to recover fees previously waived and/or expenses previously assumed to the extent that the expense ratio following such recovery would be less than the Expense Limitation Amount that was in place when such prior year fees were waived and/or expenses assumed, and less than the current Expense Limitation Amount for the Portfolio. The Advisor, however, will not be reimbursed by the Portfolio in connection with its Permanent Fee Waiver. The Fund, on behalf of the Portfolio, is also 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.

 

Institutional Class Shares

   Expense
Limitation
Amount
    Total
Management
Fee Limit
    Recovery
of Previously
Waived Fees/
Expenses Assumed
     Waived Fees/
Expenses
Assumed
     Previously
Waived Fees/
Expenses Assumed
Subject to Future
Recovery
 

DFA International Value
Portfolio (1)

     —         0.35     —        $ 15,435        —    

Class R2 Shares

                                

DFA International
Value Portfolio (2)

     0.79     0.35     —          2        —    

 

(1)

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, except for the fees paid indirectly through its investment of securities lending cash collateral in the DFA Short Term Investment Fund, to the rate listed above as a percentage of the average net assets of the Institutional Class of the Portfolio on an annualized basis.

(2)

Effective February 28, 2020, 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, except for the fees paid indirectly through its investment of securities lending cash collateral in The DFA Short Term Investment Fund, to 0.35% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). From July 21, 2015 to February 27, 2020, the Permanent Fee Waiver Limit was 0.40%. 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”).

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, 2020, the total related amounts paid by the Fund to the CCO were $30 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations.

D. Deferred Compensation:

As of October 31, 2020, 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 (amount in thousands):

 

DFA International Value Portfolio

   $ 306  

E. 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 its shareholders. Accordingly, no provision has been made for federal income taxes.

 

171


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 that these differences are permanent, they are charged or credited to paid-in capital or distributable earnings, undistributed net investment income, accumulated net realized gains or losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the permanent differences as of October 31, 2020, can occur as a result of realized gains on securities considered to be “passive foreign investment companies”, net foreign currency gains/losses, and foreign capital gains tax reclass, and were reclassified to the accounts mentioned above. These reclassifications had no effect on net assets or net asset value per share.

The tax character of dividends and distributions declared and paid during the years ended October 31, 2019, and October 31, 2020, were as follows (amounts in thousands):

 

     Net Investment
Income and
Short-Term
Capital Gains
     Long-Term
Capital Gains
     Tax Exempt
Income
     Total  

DFA International Value Portfolio

           

2019

   $ 302,955      $ 273,833        —        $ 576,788  

2020

     226,443        —          —          226,443  

As of October 31, 2020, the Portfolios did not have any net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes due to the use of accumulated earnings and profits distributed to shareholders upon redemption of shares.

As of October 31, 2020, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):

 

     Undistributed
Net Investment
Income and
Short-Term
Capital Gains
     Undistributed
Long-Term
Capital Gains
     Capital Loss
Carryforwards
    Unrealized
Appreciation
(Depreciation)
    Total Net
Distributable
Earnings
(Accumulated
Losses)
 

DFA International Value Portfolio

   $ 32,903        —        $ (349,326   $ (1,482,114   $ (1,798,537

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. As of October 31, 2020, the Portfolio had the following capital loss carryforwards available to offset future realized capital gains with no expiration date (amounts in thousands):

 

     Unlimited      Total  

DFA International Value Portfolio

   $ 349,326      $ 349,326  

As of October 31, 2020, 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):

 

     Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net
Unrealized
Appreciation
(Depreciation)
 

DFA International Value Portfolio

   $ 8,046,971        —        $ (1,483,144    $ (1,483,144

 

172


The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales and net mark to market gains (losses) on regulated futures contracts, net mark-to-market gain/loss on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments.

ASC 740 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.

F. Capital Share Transactions:

The capital share transactions by class were as follows (amounts in thousands):

 

     Year Ended
October 31, 2020
     Year Ended
October 31, 2019
 
     Amount      Shares      Amount      Shares  

DFA International Value Portfolio

           

Class R2 Shares

           

Shares Issued

   $ 354        23      $ 409        25  

Shares Issued in Lieu of Cash Distributions

     29        2        83        5  

Shares Redeemed

     (473      (32      (766      (44
  

 

 

    

 

 

    

 

 

    

 

 

 

Net Increase (Decrease) — Class R2 Shares

   $ (90      (7    $ (274      (14
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Class Shares

           

Shares Issued

   $ 2,635,892        194,679      $ 2,070,958        123,511  

Shares Issued in Lieu of Cash Distributions

     222,138        14,540        562,301        34,162  

Shares Redeemed

     (3,565,774      (258,877      (2,594,328      (154,729
  

 

 

    

 

 

    

 

 

    

 

 

 

Net Increase (Decrease) — Institutional Class Shares

   $ (707,744      (49,658    $ 38,931        2,944  
  

 

 

    

 

 

    

 

 

    

 

 

 

G. 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.

H. 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.

I. Recently Issued Accounting Standards:

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those

 

173


annual periods. The Fund’s adoption of ASU 2017-08 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020 and management has concluded that the change in accounting principle does not materially impact the financial statement amounts.

In August 2018, the FASB issued ASU No. 2018-13, “Fair Value Measurements” (“ASU 2018-13”). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurement. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Portfolio’s early adoption of all of the ASU 2018-13 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020.

On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced the intention to phase out the use of London Interbank Offered Rate (“LIBOR”) by the end of 2021. In the interim, there remains uncertainty regarding the impact the transition to replacement rates may have on the value of LIBOR-based investments. In March 2020, the FASB issued ASU 2020-04 which provides optional guidance to ease the potential accounting burden associated with transitioning away from the LIBOR and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.

J. Coronavirus (COVID-19) Pandemic:

The continued worldwide spread of novel coronavirus (COVID-19) and its impact on international business operations, supply chains, travel, commodity prices, consumer confidence and business forecasts, and the associated impact on domestic and international equity markets and fixed income yields, has caused uncertainty for the global economy and financial markets. If market expectations regarding the impact of COVID-19 worsen, or if expected returns change because investors demand higher returns to invest in these uncertain times, there may be a detrimental impact on returns in the near term.

K. Other:

As of October 31, 2020, the following number of shareholders held the following approximate percentages of the Portfolio’s outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.

 

     Number of
Shareholders
     Approximate
Percentage
of Outstanding
Shares
 

DFA International Value Portfolio-Class R2

     5        95

DFA International Value Portfolio-Institutional Class

     3        67

The Portfolio is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when The Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against the Portfolio, individually or in aggregate, will not have a material adverse impact on the Portfolio’s financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.

L. Subsequent Event Evaluations:

As described in a November 2, 2020 Supplement to the Funds’ Prospectuses, effective February 28, 2021, the Advisor will reduce its investment management fees for certain Portfolios. Please refer to the Funds’ Prospectuses for additional information regarding fees and expenses of the Portfolios.

 

174


Report of Independent Registered Public Accounting Firm

To the Board of Directors of Dimensional Investment Group Inc. and Shareholders of DFA International Value Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of DFA International Value Portfolio (one of the portfolios constituting Dimensional Investment Group Inc., hereafter referred to as the “Portfolio”) as of October 31, 2020, the related statement of operations for the year ended October 31, 2020, the statement of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of October 31, 2020, 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 ended October 31, 2020 and the financial highlights for each of the five years in the period ended October 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of the security owned as of October 31, 2020 by correspondence with the transfer agent of the investee fund. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

December 18, 2020

We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.


THE DFA INVESTMENT TRUST COMPANY

PERFORMANCE CHARTS

(Unaudited)

 

 

The DFA International Value Series vs.

MSCI World ex USA Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

The Japanese Small Company Series vs.

MSCI Japan Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

176


THE DFA INVESTMENT TRUST COMPANY

PERFORMANCE CHARTS

(Unaudited)

 

 

The Asia Pacific Small Company Series vs.

MSCI Pacific ex Japan Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

The United Kingdom Small Company Series vs.

MSCI United Kingdom Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

177


THE DFA INVESTMENT TRUST COMPANY

PERFORMANCE CHARTS

(Unaudited)

 

 

The Continental Small Company Series vs.

MSCI Europe ex UK Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

The Canadian Small Company Series vs.

MSCI Canada Small Cap Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

178


THE DFA INVESTMENT TRUST COMPANY

PERFORMANCE CHARTS

(Unaudited)

 

 

The Emerging Markets Series vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

The Emerging Markets Small Cap Series vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

179


MANAGEMENT’S DISCUSSION AND ANALYSIS

 

International Equity Market Review    12 Months Ended October 31, 2020

Performance of non-U.S. developed markets was mostly negative for the period. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI World ex USA indices.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI World ex USA Index

     -6.79

MSCI World ex USA Mid Cap Index

     -3.83

MSCI World ex USA Small Cap Index

     -0.65

MSCI World ex USA Value Index

     -18.72

MSCI World ex USA Growth Index

     5.65

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against most non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.

12 Months Ended October 31, 2020

 

Ten Largest Foreign Developed Markets by Market Cap

   Local Return     Return in U.S. Dollars  

Japan

     -2.97     0.33

United Kingdom

     -22.19     -22.25

France

     -17.43     -13.79

Switzerland

     -4.37     2.95

Canada

     -4.70     -6.05

Germany

     -10.77     -6.84

Australia

     -11.01     -9.29

Netherlands

     4.14     8.62

Hong Kong

     -8.06     -7.15

Sweden

     0.79     9.10

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

Emerging markets had mostly positive performance for the period, outperforming non-U.S. developed markets but underperforming the U.S. As measured by the MSCI Emerging Markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, underperformed large-cap stocks and small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI Emerging Markets indices.

 

180


12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI Emerging Markets Index

     8.25

MSCI Emerging Markets Mid Cap Index

     -3.22

MSCI Emerging Markets Small Cap Index

     2.39

MSCI Emerging Markets Value Index

     -8.47

MSCI Emerging Markets Growth Index

     25.97

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against some emerging markets currencies and appreciated against others. Overall, currency movements had a negative impact on the U.S. dollar denominated returns of emerging markets.

12 Months Ended October 31, 2020

 

Ten Largest Emerging Markets by Market Cap

   Local Return     Return in U.S.  

Dollars

            

China

     33.57     35.19

Taiwan

     18.86     26.49

Korea

     11.33     14.15

India

     1.83     -2.54

Brazil

     -11.13     -38.13

South Africa

     -6.49     -13.31

Saudi Arabia

     -0.90     -0.90

Russia

     -14.17     -29.27

Thailand

     -28.54     -30.77

Malaysia

     -6.02     -5.49

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios 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, 2020, these differences generally contributed positively to the Portfolios’ relative performance.

The DFA International Value Series

The DFA International Value Series invests in developed ex U.S. large company value stocks. The investment strategy is process driven, emphasizing broad diversification, with increased exposure to stocks with smaller total market capitalizations, lower relative price (value), and higher-profitability

 

181


within the large-cap value segment of developed ex U.S. markets. As of October 31, 2020, the Series held approximately 540 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were -18.68% for the Series and -6.79% for the MSCI World ex USA Index (net dividends), the Series’ benchmark. With low relative price (value) stocks underperforming high relative price (growth) stocks for the period, the Series’ focus on value stocks detracted from performance relative to the style-neutral benchmark.

The Japanese Small Company Series

The Japanese Small Company Series invests in Japanese small company stocks. The Series generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Series held approximately 1,710 securities. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were -1.93% for the Series and -1.46% for the MSCI Japan Small Cap Index (net dividends), the Series’ benchmark. The Series’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Series’ exclusion of stocks with the lowest profitability and highest relative price had a negative impact on performance relative to the benchmark, as those stocks outperformed. Conversely, the Series’ exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in Japan.

The Asia Pacific Small Company Series

The Asia Pacific Small Company Series invests in small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The Series generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Series held approximately 750 securities in 4 eligible countries. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were 0.14% for the Series and 3.00% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Series’ benchmark. The Series’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Series’ exclusion of stocks with the lowest profitability and highest relative price had a negative impact on performance relative to the benchmark, as those securities outperformed. Conversely, the Series’ exclusion of real estate investment trusts (REITs) contributed to relative performance, as REITs generally underperformed in Asia Pacific (ex Japan) markets.

The United Kingdom Small Company Series

The United Kingdom Small Company Series invests in small company stocks in the U.K. The Series generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Series held approximately 330 securities. Average cash exposure throughout the year was less than 1% of the Series’ assets.

 

182


For the 12 months ended October 31, 2020, total returns were -14.87% for the Series and - 14.04% for the MSCI United Kingdom Small Cap Index (net dividends), the Series’ benchmark. The Series’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Series’ exclusion of stocks with the lowest profitability and highest relative price detracted from performance relative to the benchmark, as those securities outperformed for the period. Conversely, the Series’ exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in the U.K.

The Continental Small Company Series

The Continental Small Company Series invests in small company stocks in the developed markets of Europe (excluding the U.K.) and Israel. The Series generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Series held approximately 1,090 securities in 15 eligible countries. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were -2.23% for the Series and 3.14% for the MSCI Europe ex U.K. Small Cap Index (net dividends), the Series’ benchmark. The Series and its benchmark use different methodologies to determine which small-cap stocks are eligible for purchase or to hold. This methodology variance led to country-by-country differences between the maximum market capitalization of small-cap stocks bought and held by the Series relative to the benchmark, which in turn led to differences in holdings between the Series and the benchmark. These holdings differences detracted from the Series’ performance relative to the benchmark. The Series’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Series’ exclusion of stocks with the lowest profitability and highest relative price also detracted from relative performance, as those securities outperformed for the period. Conversely, the Series’ exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in eligible markets.

The Canadian Small Company Series

The Canadian Small Company Series invests in small company stocks in Canada. The Series generally excluded stocks with the lowest profitability and highest relative price. The investment strategy is process-driven, emphasizing broad diversification. As of October 31, 2020, the Series held approximately 320 securities. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were 6.02% for the Series and 7.61% for the MSCI Canada Small Cap Index (net dividends), the Series’ benchmark. The Series’ greater emphasis on stocks with smaller market capitalizations had a negative impact on performance relative to the benchmark, as these stocks underperformed. The Series’ exclusion of stocks with the lowest profitability and highest relative price detracted from performance relative to the benchmark, as those securities outperformed for the period. Conversely, the Series’ exclusion of real estate investment trusts (REITs) contributed positively to relative performance, as REITs generally underperformed in Canada.

The Emerging Markets Series

The Emerging Markets Series invests in large-cap stocks in emerging markets. The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with

 

183


smaller market capitalizations, lower relative price (value), and higher-profitability within the large-cap segment of emerging markets. As of October 31, 2020, the Series held approximately 1,610 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were 2.67% for the Series and 8.25% for the MSCI Emerging Markets Index (net dividends), the Series’ benchmark. The Series’ greater emphasis on low relative price (value) stocks had a negative impact on performance relative to the benchmark, as value stocks underperformed high relative price (growth) stocks in emerging markets for the period. The Series’ greater allocation to stocks with smaller market capitalizations within the large cap universe also detracted from relative performance, as these stocks underperformed their larger counterparts for the period.

The Emerging Markets Small Cap Series

The Emerging Markets Small Cap Series invests in small company stocks in emerging markets. The Portfolio generally excludes stocks with the lowest profitability and highest relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2020, the Series held approximately 4,550 securities in 21 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Series’ assets.

For the 12 months ended October 31, 2020, total returns were 1.25% for the Series and 8.25% for the MSCI Emerging Markets Index (net dividends), the Series’ benchmark. With small-cap stocks underperforming large-cap stocks in emerging markets, the Series’ inclusion of stocks with smaller market capitalizations detracted from performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.

 

184


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 and 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” reflects 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, 2020

EXPENSE TABLES

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

The DFA International Value Series

          

Actual Fund Return

   $ 1,000.00      $ 1,073.80        0.21   $ 1.09  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,024.08        0.21   $ 1.07  

The Japanese Small Company Series

          

Actual Fund Return

   $ 1,000.00      $ 1,138.60        0.13   $ 0.70  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,024.48        0.13   $ 0.66  

 

185


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

The Asia Pacific Small Company Series

          

Actual Fund Return

   $ 1,000.00      $ 1,221.40        0.13   $ 0.73  

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      $ 1,077.90        0.12   $ 0.63  

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      $ 1,160.00        0.12   $ 0.65  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,024.53        0.12   $ 0.61  

The Canadian Small Company Series

          

Actual Fund Return

   $ 1,000.00      $ 1,239.90        0.12   $ 0.68  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,024.53        0.12   $ 0.61  

The Emerging Markets Series

          

Actual Fund Return

   $ 1,000.00      $ 1,195.80        0.13   $ 0.72  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,024.48        0.13   $ 0.66  

The Emerging Markets Small Cap Series

          

Actual Fund Return

   $ 1,000.00      $ 1,222.50        0.25   $ 1.40  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.88        0.25   $ 1.27  

 

(1)

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.

 

186


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 as an exhibit to their reports on Form N-PORT. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-PORT with the SEC on September 29, 2020. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

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; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

INTERNATIONAL EQUITY PORTFOLIOS

 

The DFA International Value Series  

Communication Services

     4.4

Consumer Discretionary

     17.6

Consumer Staples

     4.9

Energy

     8.8

Financials

     27.2

Health Care

     5.8

Industrials

     11.9

Information Technology

     2.0

Materials

     13.3

Real Estate

     2.8

Utilities

     1.3
  

 

 

 
     100.0
The Japanese Small Company Series  

Communication Services

     2.9

Consumer Discretionary

     16.6

Consumer Staples

     8.0

Energy

     1.3

Financials

     8.8

Health Care

     4.5

Industrials

     29.7

Information Technology

     13.7

Materials

     10.8

Real Estate

     2.0

Utilities

     1.7
  

 

 

 
     100.0
The Asia Pacific Small Company Series  

Communication Services

     8.3

Consumer Discretionary

     18.1

Consumer Staples

     7.6

Energy

     1.9

Financials

     11.6

Health Care

     5.7

Industrials

     13.1

Information Technology

     8.2

Materials

     15.9

Real Estate

     6.6

Utilities

     3.0
  

 

 

 
     100.0
 

 

187


DISCLOSURE OF PORTFOLIO HOLDINGS

CONTINUED

 

The United Kingdom Small Company Series  

Communication Services

     2.5

Consumer Discretionary

     19.2

Consumer Staples

     6.6

Energy

     1.9

Financials

     14.7

Health Care

     3.7

Industrials

     30.4

Information Technology

     8.1

Materials

     7.2

Real Estate

     4.2

Utilities

     1.5
  

 

 

 
     100.0

 

The Emerging Markets Series  

Communication Services

     11.9

Consumer Discretionary

     15.6

Consumer Staples

     7.3

Energy

     4.7

Financials

     16.8

Health Care

     3.7

Industrials

     5.9

Information Technology

     19.7

Materials

     8.9

Real Estate

     3.2

Utilities

     2.3
  

 

 

 
     100.0
The Continental Small Company Series  

Communication Services

     5.7

Consumer Discretionary

     9.8

Consumer Staples

     5.0

Energy

     2.2

Financials

     13.1

Health Care

     6.2

Industrials

     26.6

Information Technology

     11.9

Materials

     8.3

Real Estate

     6.9

Utilities

     4.3
  

 

 

 
     100.0

 

The Emerging Markets Small Cap Series  

Communication Services

     4.0

Consumer Discretionary

     13.5

Consumer Staples

     6.6

Energy

     1.6

Financials

     7.0

Health Care

     8.6

Industrials

     15.3

Information Technology

     17.9

Materials

     13.5

Real Estate

     7.5

Utilities

     4.5
  

 

 

 
     100.0
The Canadian Small Company Series  

Communication Services

     1.3

Consumer Discretionary

     6.3

Consumer Staples

     6.0

Energy

     13.1

Financials

     10.5

Health Care

     1.1

Industrials

     13.1

Information Technology

     6.2

Materials

     29.8

Real Estate

     4.2

Utilities

     8.4
  

 

 

 
     100.0
 

 

188


THE DFA INTERNATIONAL VALUE SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

     Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (95.9%)

        

AUSTRALIA — (5.9%)

        
  

Australia & New Zealand Banking Group, Ltd.

     6,888,410      $ 91,413,550        1.0
  

Fortescue Metals Group, Ltd.

     3,858,031        47,197,184        0.5
  

National Australia Bank, Ltd.

     6,504,106        85,093,076        0.9
  

Westpac Banking Corp.

     7,945,749        100,568,235        1.1
  

Other Securities

        244,177,886        2.5
        

 

 

    

 

 

 

TOTAL AUSTRALIA

        568,449,931        6.0
        

 

 

    

 

 

 

AUSTRIA — (0.0%)

        
  

Other Security

        100,701        0.0
        

 

 

    

 

 

 

BELGIUM — (0.8%)

        
  

Other Securities

        74,612,067        0.8
        

 

 

    

 

 

 

CANADA — (7.9%)

        

#

  

Bank of Montreal

     351,836        20,949,598        0.2
  

Bank of Montreal

     1,441,562        85,729,692        0.9

#

  

Bank of Nova Scotia (The)

     1,681,875        69,898,725        0.7

#

  

Canadian Imperial Bank of Commerce

     811,294        60,516,699        0.6
  

Canadian Natural Resources, Ltd.

     3,417,479        54,508,790        0.6
  

Magna International, Inc.

     1,443,051        73,754,337        0.8
  

Other Securities

        389,247,461        4.2
        

 

 

    

 

 

 

TOTAL CANADA

        754,605,302        8.0
        

 

 

    

 

 

 

DENMARK — (2.9%)

        
  

DSV Panalpina A.S.

     300,849        48,810,172        0.5

#

  

Vestas Wind Systems A.S.

     648,241        111,214,830        1.2
  

Other Securities

        117,828,228        1.2
        

 

 

    

 

 

 

TOTAL DENMARK

        277,853,230        2.9
        

 

 

    

 

 

 

FINLAND — (1.0%)

        
  

Other Securities

        96,376,631        1.0
        

 

 

    

 

 

 

FRANCE — (9.1%)

        

*

  

BNP Paribas SA

     1,948,140        67,940,925        0.7

*

  

Cie de Saint-Gobain

     2,006,077        78,143,737        0.8
  

Cie Generale des Etablissements Michelin SCA

     664,554        71,772,475        0.8
  

Orange SA

     5,978,647        67,137,941        0.7

*

  

Peugeot SA

     3,133,702        56,294,471        0.6
  

Total SE

     6,874,996        208,289,750        2.2
  

Other Securities

        325,344,909        3.4
        

 

 

    

 

 

 

TOTAL FRANCE

        874,924,208        9.2
        

 

 

    

 

 

 

GERMANY — (6.7%)

        
  

Allianz SE

     415,799        73,244,904        0.8
  

BASF SE

     1,039,248        56,907,335        0.6
  

Bayer AG

     1,103,211        51,840,454        0.5
  

Bayerische Motoren Werke AG

     1,138,372        77,794,893        0.8
  

Daimler AG

     3,237,994        167,367,009        1.8
  

Volkswagen AG

     125,075        19,456,967        0.2

 

189


THE DFA INTERNATIONAL VALUE SERIES

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

GERMANY — (Continued)

        
  

Other Securities

      $ 197,549,481        2.1
        

 

 

    

 

 

 

TOTAL GERMANY

        644,161,043        6.8
        

 

 

    

 

 

 

HONG KONG — (2.5%)

        
  

Other Securities

        242,062,056        2.6
        

 

 

    

 

 

 

IRELAND — (0.5%)

        
  

Other Securities

        51,864,566        0.5
        

 

 

    

 

 

 

ISRAEL — (0.4%)

        
  

Other Securities

        35,298,492        0.4
        

 

 

    

 

 

 

ITALY — (1.8%)

        
  

Other Securities

        171,182,101        1.8
        

 

 

    

 

 

 

JAPAN — (23.3%)

        
  

Hitachi, Ltd.

     1,579,000        53,219,083        0.6
  

Honda Motor Co., Ltd.

     4,590,300        108,574,060        1.1
  

Honda Motor Co., Ltd., Sponsored ADR

     26,040        615,065        0.0
  

Mitsubishi UFJ Financial Group, Inc.

     11,934,650        47,045,252        0.5
  

Sumitomo Mitsui Financial Group, Inc.

     1,921,900        53,201,841        0.6
  

Toyota Motor Corp.

     3,715,890        243,936,611        2.6

#

  

Toyota Motor Corp., Sponsored ADR

     208,099        27,321,318        0.3
  

Other Securities

        1,702,340,630        17.9
        

 

 

    

 

 

 

TOTAL JAPAN

        2,236,253,860        23.6
        

 

 

    

 

 

 

NETHERLANDS — (4.5%)

        
  

Koninklijke Ahold Delhaize NV

     4,984,523        136,654,529        1.4
  

Koninklijke DSM NV

     596,336        95,370,511        1.0
  

Other Securities

        199,416,701        2.2
        

 

 

    

 

 

 

TOTAL NETHERLANDS

        431,441,741        4.6
        

 

 

    

 

 

 

NEW ZEALAND — (0.2%)

        
  

Other Securities

        22,507,812        0.2
        

 

 

    

 

 

 

NORWAY — (0.8%)

        
  

Other Securities

        76,530,313        0.8
        

 

 

    

 

 

 

PORTUGAL — (0.1%)

        
  

Other Securities

        11,536,966        0.1
        

 

 

    

 

 

 

SINGAPORE — (1.0%)

        
  

Other Securities

        93,149,536        1.0
        

 

 

    

 

 

 

SPAIN — (1.3%)

        

#*

  

Banco Santander SA

     40,951,091        82,006,822        0.9
  

Other Securities

        42,258,088        0.4
        

 

 

    

 

 

 

TOTAL SPAIN

        124,264,910        1.3
        

 

 

    

 

 

 

SWEDEN — (3.1%)

        

*

  

Volvo AB, Class B

     2,416,322        46,966,507        0.5

 

190


THE DFA INTERNATIONAL VALUE SERIES

CONTINUED

 

     Shares      Value»      Percentage
of Net Assets‡
 

SWEDEN — (Continued)

        
  

Other Securities

      $ 247,271,384        2.6
        

 

 

    

 

 

 

TOTAL SWEDEN

        294,237,891        3.1
        

 

 

    

 

 

 

SWITZERLAND — (10.4%)

        
  

ABB, Ltd

     3,432,303        83,284,859        0.9

#

  

Cie Financiere Richemont SA

     1,165,784        72,865,902        0.8
  

Lonza Group AG

     145,001        87,857,559        0.9
  

Novartis AG

     1,817,557        141,628,729        1.5
  

Novartis AG, Sponsored ADR

     723,453        56,487,210        0.6
  

UBS Group AG

     6,275,625        73,060,635        0.8
  

Zurich Insurance Group AG

     444,872        147,762,264        1.6
  

Other Securities

        334,120,482        3.4
        

 

 

    

 

 

 

TOTAL SWITZERLAND

        997,067,640        10.5
        

 

 

    

 

 

 

UNITED KINGDOM — (11.7%)

        
  

Anglo American P.L.C.

     2,846,495        66,787,802        0.7
  

Aviva P.L.C.

     16,319,347        54,434,377        0.6
  

BP P.L.C., Sponsored ADR

     5,009,282        77,543,685        0.8
  

British American Tobacco P.L.C.

     3,024,009        95,847,087        1.0

#

  

British American Tobacco P.L.C., Sponsored ADR

     838,885        26,743,654        0.3

*

  

Glencore P.L.C.

     26,692,936        53,845,933        0.6
  

HSBC Holdings P.L.C.

     13,949,143        58,455,175        0.6

#

  

HSBC Holdings P.L.C., Sponsored ADR

     2,590,482        54,348,312        0.6

*

  

Lloyds Banking Group P.L.C.

     181,694,609        66,156,212        0.7
  

Royal Dutch Shell P.L.C., Class B.

     283,225        3,415,504        0.0
  

Royal Dutch Shell P.L.C., Sponsored ADR, Class B

     7,267,547        175,511,260        1.9
  

Vodafone Group P.L.C.

     58,351,986        77,839,689        0.8

#

  

Vodafone Group P.L.C., Sponsored ADR

     4,011,201        54,191,329        0.6
  

Other Securities

        256,528,572        2.6
        

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        1,121,648,591        11.8
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        9,200,129,588        97.0
        

 

 

    

 

 

 

PREFERRED STOCKS — (1.3%)

        

GERMANY — (1.3%)

        
  

Volkswagen AG

     701,336        102,159,454        1.1
  

Other Securities

        25,125,926        0.3
        

 

 

    

 

 

 

TOTAL GERMANY

        127,285,380        1.4
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $11,119,510,563)

        9,327,414,968     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (2.8%)

        

  

The DFA Short Term Investment Fund

     22,816,650        264,011,461        2.8
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $11,383,404,927)

      $ 9,591,426,429        101.2
        

 

 

    

 

 

 

 

191


THE DFA INTERNATIONAL VALUE SERIES

CONTINUED

 

As of October 31, 2020, The DFA International Value Series had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

S&P 500® Emini Index

     526        12/18/20      $ 88,097,893      $ 85,861,610      $ (2,236,283
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 88,097,893      $ 85,861,610      $ (2,236,283
        

 

 

    

 

 

    

 

 

 

Summary of the Series’ investments as of October 31, 2020, 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

     —        $ 568,449,931        —        $ 568,449,931  

Austria

     —          100,701        —          100,701  

Belgium

     —          74,612,067        —          74,612,067  

Canada

   $ 754,605,302               —          754,605,302  

Denmark

     —          277,853,230        —          277,853,230  

Finland

     —          96,376,631        —          96,376,631  

France

     —          874,924,208        —          874,924,208  

Germany

     15,533,044        628,627,999        —          644,161,043  

Hong Kong

     —          242,062,056        —          242,062,056  

Ireland

     14,317,368        37,547,198        —          51,864,566  

Israel

     6,943,405        28,355,087        —          35,298,492  

Italy

     27,912,392        143,269,709        —          171,182,101  

Japan

     47,057,395        2,189,196,465        —          2,236,253,860  

Netherlands

     15,884,061        415,557,680        —          431,441,741  

New Zealand

     —          22,507,812        —          22,507,812  

Norway

     —          76,530,313        —          76,530,313  

Portugal

     —          11,536,966        —          11,536,966  

Singapore

     —          93,149,536        —          93,149,536  

Spain

     2,776,007        121,488,903        —          124,264,910  

Sweden

     —          294,237,891        —          294,237,891  

Switzerland

     84,409,679        912,657,961        —          997,067,640  

United Kingdom

     446,924,683        674,723,908        —          1,121,648,591  

Preferred Stocks

           

Germany

     —          127,285,380        —          127,285,380  

Securities Lending Collateral

     —          264,011,461        —          264,011,461  

Futures Contracts**

     (2,236,283      —          —          (2,236,283
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 1,414,127,053      $ 8,175,063,093        —        $ 9,589,190,146  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

192


THE JAPANESE SMALL COMPANY SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (98.1%)

        

COMMUNICATION SERVICES — (2.9%)

        
  

Other Securities

      $ 86,241,533        2.9
        

 

 

    

 

 

 

CONSUMER DISCRETIONARY — (16.2%)

        
  

DCM Holdings Co., Ltd.

     713,300        8,838,267        0.3
  

Shimachu Co., Ltd.

     256,900        13,578,995        0.5
  

Other Securities

        460,985,971        15.6
        

 

 

    

 

 

 

TOTAL CONSUMER DISCRETIONARY

        483,403,233        16.4
        

 

 

    

 

 

 

CONSUMER STAPLES — (7.8%)

        
  

cocokara fine, Inc.

     128,360        8,432,779        0.3
  

Milbon Co., Ltd.

     154,752        7,939,785        0.3
  

Nippon Suisan Kaisha, Ltd.

     1,794,300        6,911,990        0.2
  

Other Securities

        208,970,547        7.1
        

 

 

    

 

 

 

TOTAL CONSUMER STAPLES

        232,255,101        7.9
        

 

 

    

 

 

 

ENERGY — (1.3%)

        
  

Iwatani Corp.

     222,900        10,113,538        0.4
  

Other Securities

        27,369,276        0.9
        

 

 

    

 

 

 

TOTAL ENERGY

        37,482,814        1.3
        

 

 

    

 

 

 

FINANCIALS — (8.6%)

        
  

Fuyo General Lease Co., Ltd.

     116,000        6,660,495        0.2
  

Hirogin Holdings, Inc.

     1,301,600        7,084,132        0.2
  

Hokuhoku Financial Group, Inc.

     834,800        7,921,727        0.3
  

Jafco Group Co., Ltd.

     204,100        9,230,625        0.3
  

Shiga Bank, Ltd. (The)

     307,600        6,642,879        0.2
  

Yamaguchi Financial Group, Inc.

     1,109,872        7,219,681        0.3
  

Other Securities

        211,870,416        7.2
        

 

 

    

 

 

 

TOTAL FINANCIALS

        256,629,955        8.7
        

 

 

    

 

 

 

HEALTH CARE — (4.4%)

        

#

  

H.U. Group Holdings, Inc.

     336,700        8,566,416        0.3
  

Jeol, Ltd.

     243,000        7,744,954        0.3
  

Other Securities

        113,901,457        3.8
        

 

 

    

 

 

 

TOTAL HEALTH CARE

        130,212,827        4.4
        

 

 

    

 

 

 

INDUSTRIALS — (29.1%)

        
  

BayCurrent Consulting, Inc.

     61,500        7,957,504        0.3

#

  

DMG Mori Co., Ltd.

     673,200        9,000,973        0.3
  

Duskin Co., Ltd.

     289,200        7,382,247        0.3

#

  

Fuji Corp.

     422,100        8,485,887        0.3
  

Furukawa Electric Co., Ltd.

     401,200        10,054,193        0.3
  

GS Yuasa Corp.

     390,883        6,822,713        0.2
  

Hazama Ando Corp.

     1,302,400        8,091,329        0.3
  

Inaba Denki Sangyo Co., Ltd.

     353,300        8,505,149        0.3

#

  

Japan Steel Works, Ltd. (The)

     389,300        8,322,588        0.3
  

Meitec Corp.

     169,000        8,378,202        0.3
  

Mirait Holdings Corp.

     524,835        7,471,621        0.3
  

Nichias Corp.

     392,400        8,498,721        0.3

#

  

Nikkon Holdings Co., Ltd.

     385,300        7,374,127        0.3

 

193


THE JAPANESE SMALL COMPANY SERIES

CONTINUED

 

         Shares      Value»      Percentage
of Net Assets‡
 

INDUSTRIALS — (Continued)

        
 

Nishimatsu Construction Co., Ltd.

     345,000      $ 6,701,641        0.2
 

OKUMA Corp.

     137,100        6,654,537        0.2
 

Outsourcing, Inc.

     732,300        6,791,351        0.2
 

Penta-Ocean Construction Co., Ltd.

     1,716,400        10,884,002        0.4
 

Ushio, Inc.

     660,300        7,375,978        0.3
 

Other Securities

        722,986,204        24.4
       

 

 

    

 

 

 

TOTAL INDUSTRIALS

        867,738,967        29.5
       

 

 

    

 

 

 

INFORMATION TECHNOLOGY — (13.5%)

        
 

Daiwabo Holdings Co., Ltd.

     117,500        7,692,034        0.3
 

Nippon Electric Glass Co., Ltd.

     431,236        8,481,534        0.3
 

NSD Co., Ltd.

     513,760        9,024,017        0.3
 

Systena Corp.

     402,100        7,296,298        0.3
 

Tokyo Seimitsu Co., Ltd.

     257,200        8,678,304        0.3
 

Topcon Corp.

     691,700        6,895,912        0.2
 

Ulvac, Inc.

     264,700        9,695,804        0.3
 

Other Securities

        343,510,881        11.7
       

 

 

    

 

 

 

TOTAL INFORMATION TECHNOLOGY

        401,274,784        13.7
       

 

 

    

 

 

 

MATERIALS — (10.6%)

        
 

ADEKA Corp.

     607,100        7,850,888        0.3
 

Asahi Holdings, Inc.

     227,850        7,430,158        0.3

*

 

Kobe Steel, Ltd.

     1,878,500        7,334,448        0.3
 

Mitsui Mining & Smelting Co., Ltd.

     379,600        9,582,034        0.3
 

Sumitomo Osaka Cement Co., Ltd.

     234,099        7,119,777        0.3
 

Toagosei Co., Ltd.

     758,400        8,029,619        0.3
 

Tokuyama Corp.

     385,498        8,591,460        0.3
 

Toyobo Co., Ltd.

     531,900        7,091,528        0.2
 

Other Securities

        252,544,871        8.4
       

 

 

    

 

 

 

TOTAL MATERIALS

        315,574,783        10.7
       

 

 

    

 

 

 

REAL ESTATE — (2.0%)

        
 

Heiwa Real Estate Co., Ltd.

     229,900        6,711,838        0.2
 

Kenedix, Inc.

     1,442,000        7,472,555        0.3
 

Other Securities

        45,146,783        1.5
       

 

 

    

 

 

 

TOTAL REAL ESTATE

        59,331,176        2.0
       

 

 

    

 

 

 

UTILITIES — (1.7%)

        
 

Nippon Gas Co., Ltd.

     210,300        10,030,620        0.3
 

Other Securities

        39,127,903        1.4
       

 

 

    

 

 

 

TOTAL UTILITIES

        49,158,523        1.7
       

 

 

    

 

 

 

TOTAL COMMON STOCKS
(Cost $2,621,667,169)

        2,919,303,696        99.2
       

 

 

    

 

 

 
            Value†         

SECURITIES LENDING COLLATERAL — (1.9%)

        

 

The DFA Short Term Investment Fund

     4,999,517        57,849,414        2.0
       

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $2,679,495,864)

      $ 2,977,153,110        101.2
       

 

 

    

 

 

 

 

194


THE JAPANESE SMALL COMPANY SERIES

CONTINUED

 

Summary of the Series’ investments as of October 31, 2020, 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

           

Communication Services

     —        $ 86,241,533        —        $ 86,241,533  

Consumer Discretionary

     —          483,403,233        —          483,403,233  

Consumer Staples

     —          232,255,101        —          232,255,101  

Energy

     —          37,482,814        —          37,482,814  

Financials

     —          256,629,955        —          256,629,955  

Health Care

     —          130,212,827        —          130,212,827  

Industrials

     —          867,738,967        —          867,738,967  

Information Technology

     —          401,274,784        —          401,274,784  

Materials

     —          315,574,783        —          315,574,783  

Real Estate

     —          59,331,176        —          59,331,176  

Utilities

     —          49,158,523        —          49,158,523  

Securities Lending Collateral

     —          57,849,414        —          57,849,414  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

     —        $ 2,977,153,110        —        $ 2,977,153,110  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

195


THE ASIA PACIFIC SMALL COMPANY SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

         Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (97.3%)

        

AUSTRALIA — (56.7%)

        
 

ALS, Ltd.

     1,761,709      $ 11,657,630        0.8
 

Ansell, Ltd.

     524,737        14,838,028        1.0
 

ARB Corp., Ltd.

     533,754        11,561,661        0.8

#

 

Bank of Queensland, Ltd.

     2,458,045        11,089,381        0.7
 

Bapcor, Ltd.

     2,252,217        12,138,948        0.8
 

Breville Group, Ltd.

     821,653        15,223,025        1.0
 

Carsales.com, Ltd.

     1,200,481        17,538,761        1.2
 

CSR, Ltd.

     3,273,096        10,132,649        0.7
 

Downer EDI, Ltd.

     2,594,034        8,020,528        0.5
 

Elders, Ltd.

     1,232,076        9,714,962        0.6
 

Healius, Ltd.

     4,144,191        9,821,402        0.7
 

IGO, Ltd.

     3,070,006        9,595,397        0.6
 

IRESS, Ltd.

     1,225,060        7,926,997        0.5
 

JB Hi-Fi, Ltd.

     237,242        7,927,553        0.5

#*

 

Lynas Corp., Ltd.

     6,066,989        12,070,586        0.8
 

Metcash, Ltd.

     7,963,936        16,519,341        1.1
 

Mineral Resources, Ltd.

     951,983        16,716,625        1.1

*

 

NEXTDC, Ltd.

     1,796,439        16,085,040        1.1
 

nib holdings, Ltd.

     3,098,293        9,066,675        0.6
 

Nine Entertainment Co. Holdings, Ltd.

     9,297,395        13,590,846        0.9
 

Orora, Ltd.

     6,339,374        11,488,974        0.8
 

OZ Minerals, Ltd.

     2,218,981        23,180,326        1.5
 

Pendal Group, Ltd.

     1,950,282        8,872,828        0.6

*

 

Perseus Mining, Ltd.

     9,066,296        7,841,297        0.5
 

Premier Investments, Ltd.

     622,552        9,337,094        0.6
 

Regis Resources, Ltd.

     3,239,807        9,509,237        0.6
 

Reliance Worldwide Corp., Ltd.

     4,342,033        12,534,300        0.8

*

 

Saracen Mineral Holdings, Ltd.

     5,077,306        20,291,051        1.3

*

 

Silver Lake Resources, Ltd.

     6,142,732        9,198,884        0.6
 

Spark Infrastructure Group

     11,558,934        16,130,112        1.1
 

St Barbara, Ltd.

     5,221,239        9,818,297        0.7
 

Star Entertainment Grp, Ltd. (The)

     3,693,648        8,511,988        0.6
 

Steadfast Group, Ltd.

     5,683,479        14,249,839        0.9
 

Super Retail Group, Ltd.

     1,139,326        8,966,593        0.6
 

Technology One, Ltd.

     1,748,272        11,036,395        0.7

*

 

Vocus Group, Ltd.

     4,091,642        9,909,009        0.7
 

Other Securities

        451,602,563        29.3
       

 

 

    

 

 

 

TOTAL AUSTRALIA

        883,714,822        57.9
       

 

 

    

 

 

 

HONG KONG — (22.5%)

        

#

 

IGG, Inc.

     9,421,000        10,198,134        0.7
 

Kerry Logistics Network, Ltd.

     4,063,500        8,486,558        0.6
 

Luk Fook Holdings International, Ltd.

     3,704,000        9,056,888        0.6
 

Man Wah Holdings, Ltd.

     12,205,200        17,034,026        1.1
 

SITC International Holdings Co., Ltd.

     6,142,000        9,487,271        0.6

#

 

Vitasoy International Holdings, Ltd.

     2,143,000        8,668,231        0.6
 

VTech Holdings, Ltd.

     1,438,200        9,542,489        0.6
 

Other Securities

        278,624,321        18.2
       

 

 

    

 

 

 

TOTAL HONG KONG

        351,097,918        23.0
       

 

 

    

 

 

 

 

196


THE ASIA PACIFIC SMALL COMPANY SERIES

CONTINUED

 

         Shares      Value»      Percentage
of Net Assets‡
 

NEW ZEALAND — (7.1%)

        
 

Chorus, Ltd.

     3,152,349      $ 17,529,495        1.2
 

Infratil, Ltd.

     3,949,779        14,144,121        0.9
 

Mainfreight, Ltd.

     289,611        10,326,649        0.7
 

SKYCITY Entertainment Group, Ltd.

     5,101,527        9,439,519        0.6
 

Summerset Group Holdings, Ltd.

     1,378,955        9,475,546        0.6
 

Other Securities

        49,527,979        3.2
       

 

 

    

 

 

 

TOTAL NEW ZEALAND

        110,443,309        7.2
       

 

 

    

 

 

 

SINGAPORE — (11.0%)

        
 

ComfortDelGro Corp., Ltd.

     8,950,800        8,852,888        0.6
 

Sembcorp Industries, Ltd.

     7,106,600        8,225,582        0.5
 

Other Securities

        154,789,717        10.2
       

 

 

    

 

 

 

TOTAL SINGAPORE

        171,868,187        11.3
       

 

 

    

 

 

 

TOTAL COMMON STOCKS

        1,517,124,236        99.4
       

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

SINGAPORE — (0.0%)

        
 

Other Securities

        26,083        0.0
       

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $1,623,607,351)

        1,517,150,319     
       

 

 

    
                Value†         

SECURITIES LENDING COLLATERAL — (2.7%)

        

 

The DFA Short Term Investment Fund

     3,633,899        42,047,846        2.7
       

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $1,665,649,023)

      $ 1,559,198,165        102.1
       

 

 

    

 

 

 

Summary of the Series’ investments as of October 31, 2020, 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

   $ 4,882,708      $ 878,832,114        —        $ 883,714,822  

Hong Kong

     740,917        350,357,001        —          351,097,918  

New Zealand

     —          110,443,309        —          110,443,309  

Singapore

     —          171,868,187        —          171,868,187  

Rights/Warrants

           

Singapore

     —          26,083        —          26,083  

Securities Lending Collateral

     —          42,047,846        —          42,047,846  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 5,623,625      $ 1,553,574,540        —        $ 1,559,198,165  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

197


THE UNITED KINGDOM SMALL COMPANY SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

         Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (97.9%)

        

COMMUNICATION SERVICES — (2.4%)

        
 

Other Securities

      $ 36,178,617        2.5
       

 

 

    

 

 

 

CONSUMER DISCRETIONARY — (18.8%)

        
 

Bellway P.L.C.

     514,084        15,553,702        1.1
 

Countryside Properties P.L.C.

     2,813,575        12,288,663        0.8
 

Domino’s Pizza Group P.L.C.

     3,580,555        15,373,097        1.0
 

Dunelm Group P.L.C.

     685,419        11,587,636        0.8
 

Games Workshop Group P.L.C.

     205,563        27,635,151        1.9

*

 

Inchcape P.L.C.

     2,472,981        15,863,472        1.1
 

Moneysupermarket.com Group P.L.C.

     3,466,544        10,948,861        0.7
 

Pets at Home Group P.L.C.

     3,218,903        16,165,286        1.1
 

William Hill P.L.C.

     5,240,138        18,610,224        1.3
 

Other Securities

        138,358,373        9.3
       

 

 

    

 

 

 

TOTAL CONSUMER DISCRETIONARY

        282,384,465        19.1
       

 

 

    

 

 

 

CONSUMER STAPLES — (6.4%)

        
 

Britvic P.L.C.

     1,585,438        15,149,864        1.0
 

Cranswick P.L.C.

     379,748        15,829,814        1.1
 

Fevertree Drinks P.L.C.

     610,255        15,921,225        1.1
 

Tate & Lyle P.L.C.

     2,442,033        18,825,087        1.3
 

Other Securities

        31,238,431        2.1
       

 

 

    

 

 

 

TOTAL CONSUMER STAPLES

        96,964,421        6.6
       

 

 

    

 

 

 

ENERGY — (1.8%)

        
 

Other Securities

        27,319,053        1.9
       

 

 

    

 

 

 

FINANCIALS — (14.4%)

        
 

Beazley P.L.C.

     2,964,842        11,302,783        0.8
 

Close Brothers Group P.L.C.

     1,007,674        14,051,166        1.0

*

 

Hiscox, Ltd.

     1,268,750        13,560,668        0.9
 

IG Group Holdings P.L.C.

     2,561,656        25,279,706        1.7
 

Lancashire Holdings, Ltd.

     1,430,682        11,806,704        0.8
 

Man Group P.L.C.

     10,338,145        14,426,511        1.0
 

Quilter P.L.C.

     10,292,590        16,341,140        1.1
 

Other Securities

        109,440,649        7.3
       

 

 

    

 

 

 

TOTAL FINANCIALS

        216,209,327        14.6
       

 

 

    

 

 

 

HEALTH CARE — (3.6%)

        
 

Other Securities

        54,517,955        3.7
       

 

 

    

 

 

 

INDUSTRIALS — (29.8%)

        
 

Avon Rubber P.L.C.

     210,277        10,711,700        0.7

*

 

Balfour Beatty P.L.C.

     4,677,048        12,925,786        0.9
 

Bodycote P.L.C.

     1,288,277        10,863,830        0.7
 

Diploma P.L.C.

     775,767        22,338,566        1.5
 

Electrocomponents P.L.C.

     2,625,523        23,051,598        1.6

*

 

G4S P.L.C.

     9,287,044        24,489,186        1.7

*

 

Grafton Group P.L.C.

     1,582,491        13,757,361        0.9

*

 

Hays P.L.C.

     9,080,700        12,539,176        0.9

*

 

Howden Joinery Group P.L.C.

     1,721,333        14,211,059        1.0
 

IMI P.L.C.

     1,740,984        23,344,076        1.6

 

198


THE UNITED KINGDOM SMALL COMPANY SERIES

CONTINUED

 

         Shares      Value»      Percentage
of Net Assets‡
 

INDUSTRIALS — (Continued)

        
 

QinetiQ Group P.L.C.

     3,957,841      $ 12,122,109        0.8
 

Rotork P.L.C.

     5,397,898        19,667,000        1.3
 

Royal Mail P.L.C.

     5,277,907        15,535,071        1.1
 

Signature Aviation P.L.C.

     5,602,723        17,156,548        1.2

*

 

Travis Perkins P.L.C.

     1,545,039        21,219,992        1.4
 

Ultra Electronics Holdings P.L.C.

     588,864        14,367,628        1.0

*

 

Weir Group P.L.C (The)

     852,580        15,839,014        1.1
 

Other Securities

        162,848,813        10.9
       

 

 

    

 

 

 

TOTAL INDUSTRIALS

        446,988,513        30.3
       

 

 

    

 

 

 

INFORMATION TECHNOLOGY — (7.9%)

        
 

Computacenter P.L.C.

     542,204        16,015,027        1.1

*

 

Renishaw P.L.C.

     149,386        10,838,164        0.7
 

Softcat P.L.C.

     810,023        11,808,219        0.8
 

Spectris P.L.C.

     668,518        21,456,266        1.5
 

Spirent Communications P.L.C.

     4,124,361        15,483,840        1.0
 

Other Securities

        42,857,076        2.9
       

 

 

    

 

 

 

TOTAL INFORMATION TECHNOLOGY

        118,458,592        8.0
       

 

 

    

 

 

 

MATERIALS — (7.1%)

        
 

Centamin P.L.C.

     8,142,932        13,095,860        0.9

#

 

KAZ Minerals P.L.C.

     1,557,504        12,707,831        0.9

*

 

Marshalls P.L.C.

     1,446,763        12,534,531        0.8
 

Synthomer P.L.C.

     2,272,816        11,106,463        0.8
 

Victrex P.L.C.

     601,744        14,378,852        1.0
 

Other Securities

        42,534,863        2.8
       

 

 

    

 

 

 

TOTAL MATERIALS

        106,358,400        7.2
       

 

 

    

 

 

 

REAL ESTATE — (4.2%)

        
 

Grainger P.L.C.

     4,445,647        16,105,781        1.1

*

 

IWG P.L.C.

     4,189,134        13,741,153        0.9
 

St. Modwen Properties P.L.C.

     2,715,246        11,661,984        0.8
 

Other Securities

        21,024,004        1.4
       

 

 

    

 

 

 

TOTAL REAL ESTATE

        62,532,922        4.2
       

 

 

    

 

 

 

UTILITIES — (1.5%)

        
 

Other Securities

        21,934,035        1.5
       

 

 

    

 

 

 

TOTAL COMMON STOCKS

        1,469,846,300        99.6
       

 

 

    

 

 

 

PREFERRED STOCKS — (0.0%)

        

CONSUMER STAPLES — (0.0%)

        
 

Other Security

        11,081        0.0
       

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        11,081        0.0
       

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $1,646,994,406)

        1,469,857,381     
       

 

 

    

 

199


THE UNITED KINGDOM SMALL COMPANY SERIES

CONTINUED

 

         Shares      Value†      Percentage
of Net Assets‡
 

SECURITIES LENDING COLLATERAL — (2.1%)

        

 

The DFA Short Term Investment Fund

     2,700,372      $ 31,246,001        2.1
       

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $1,678,233,510)

      $ 1,501,103,382        101.7
       

 

 

    

 

 

 

Summary of the Series’ investments as of October 31, 2020, 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

           

Communication Services

     —        $ 36,178,617        —        $ 36,178,617  

Consumer Discretionary

     —          282,384,465        —          282,384,465  

Consumer Staples

     —          96,964,421        —          96,964,421  

Energy

     —          27,319,053        —          27,319,053  

Financials

     —          216,209,327        —          216,209,327  

Health Care

     —          54,517,955        —          54,517,955  

Industrials

     —          446,988,513        —          446,988,513  

Information Technology

     —          118,458,592        —          118,458,592  

Materials

     —          106,358,400        —          106,358,400  

Real Estate

     —          62,532,922        —          62,532,922  

Utilities

     —          21,934,035        —          21,934,035  

Preferred Stocks

           

Consumer Staples

     —          11,081        —          11,081  

Securities Lending Collateral

     —          31,246,001        —          31,246,001  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

     —        $ 1,501,103,382        —        $ 1,501,103,382  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

200


THE CONTINENTAL SMALL COMPANY SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

         Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (92.5%)

        

AUSTRIA — (3.1%)

        
 

voestalpine AG

     640,995      $ 17,824,068        0.4
 

Other Securities

        133,545,143        2.9
       

 

 

    

 

 

 

TOTAL AUSTRIA

        151,369,211        3.3
       

 

 

    

 

 

 

BELGIUM — (3.1%)

        

*

 

Ackermans & van Haaren NV

     171,330        21,089,598        0.5
 

Other Securities

        131,799,418        2.8
       

 

 

    

 

 

 

TOTAL BELGIUM

        152,889,016        3.3
       

 

 

    

 

 

 

DENMARK — (5.8%)

        
 

Pandora A.S.

     469,106        37,213,911        0.8
 

Royal Unibrew A.S.

     345,044        33,644,924        0.7
 

SimCorp A.S.

     278,224        33,184,785        0.7
 

Topdanmark A.S.

     464,847        18,203,120        0.4
 

Other Securities

        161,749,400        3.6
       

 

 

    

 

 

 

TOTAL DENMARK

        283,996,140        6.2
       

 

 

    

 

 

 

FINLAND — (6.5%)

        
 

Huhtamaki Oyj

     684,659        33,443,893        0.7
 

Metso Outotec Oyj

     3,973,290        28,009,583        0.6

#

 

Nokian Renkaat Oyj

     542,115        16,658,068        0.4
 

Orion Oyj, Class B

     515,971        22,083,355        0.5
 

Valmet Oyj

     889,683        21,233,990        0.5
 

Other Securities

        197,584,214        4.2
       

 

 

    

 

 

 

TOTAL FINLAND

        319,013,103        6.9
       

 

 

    

 

 

 

FRANCE — (10.1%)

        

W

 

Euronext NV

     256,149        26,670,617        0.6

#*

 

Ingenico Group SA

     410,246        58,983,247        1.3

*

 

Rexel SA

     2,168,743        22,833,968        0.5
 

Rubis SCA

     510,543        16,786,552        0.4

*

 

SOITEC

     131,953        18,718,831        0.4
 

Other Securities

        352,308,189        7.6
       

 

 

    

 

 

 

TOTAL FRANCE

        496,301,404        10.8
       

 

 

    

 

 

 

GERMANY — (14.0%)

        
 

Aurubis AG

     296,684        18,979,902        0.4

#*

 

CTS Eventim AG & Co. KGaA

     411,788        18,253,469        0.4

*

 

Dialog Semiconductor P.L.C.

     601,965        22,949,251        0.5
 

GEA Group AG

     847,030        28,209,232        0.6
 

Gerresheimer AG

     254,880        25,621,653        0.6
 

Grand City Properties SA

     803,479        18,237,829        0.4
 

Lanxess AG

     597,294        30,293,412        0.7
 

Rheinmetall AG

     313,337        22,899,837        0.5

#

 

TAG Immobilien AG

     954,559        28,130,494        0.6
 

Other Securities

        475,069,955        10.3
       

 

 

    

 

 

 

TOTAL GERMANY

        688,645,034        15.0
       

 

 

    

 

 

 

 

201


THE CONTINENTAL SMALL COMPANY SERIES

CONTINUED

 

         Shares      Value»      Percentage
of Net Assets‡
 

IRELAND — (0.5%)

        
 

Other Securities

      $ 25,606,129        0.6
       

 

 

    

 

 

 

ISRAEL — (3.2%)

        
 

Other Securities

        157,034,907        3.4
       

 

 

    

 

 

 

ITALY — (7.9%)

        

#*

 

Banco BPM SpA

     9,217,317        16,697,140        0.4
 

Italgas SpA

     3,402,703        19,663,311        0.4
 

Prysmian SpA

     614,980        16,735,081        0.4
 

Other Securities

        334,298,213        7.2
       

 

 

    

 

 

 

TOTAL ITALY

        387,393,745        8.4
       

 

 

    

 

 

 

NETHERLANDS — (6.6%)

        
 

Aalberts NV

     714,897        23,984,157        0.5

#*

 

Altice Europe NV

     3,929,414        19,319,574        0.4
 

ASR Nederland NV

     873,857        26,517,609        0.6
 

BE Semiconductor Industries NV

     529,783        21,346,926        0.5
 

Corbion NV

     416,939        18,936,387        0.4
 

IMCD NV

     357,089        41,329,836        0.9
 

SBM Offshore NV

     1,312,499        21,210,222        0.5

*W

 

Signify NV

     780,137        27,691,217        0.6
 

Other Securities

        121,329,142        2.6
       

 

 

    

 

 

 

TOTAL NETHERLANDS

        321,665,070        7.0
       

 

 

    

 

 

 

NORWAY — (2.0%)

        
 

Other Securities

        100,529,778        2.2
       

 

 

    

 

 

 

PORTUGAL — (0.7%)

        
 

Other Securities

        32,924,492        0.7
       

 

 

    

 

 

 

SPAIN — (5.2%)

        
 

Acciona SA

     173,951        17,575,410        0.4
 

Viscofan SA

     280,336        18,926,325        0.4
 

Other Securities

        216,653,904        4.7
       

 

 

    

 

 

 

TOTAL SPAIN

        253,155,639        5.5
       

 

 

    

 

 

 

SWEDEN — (8.6%)

        
 

Other Securities

        419,952,966        9.1
       

 

 

    

 

 

 

SWITZERLAND — (15.2%)

        
 

Allreal Holding AG

     113,917        24,127,535        0.5

*

 

ams AG

     1,516,165        32,463,632        0.7
 

Belimo Holding AG

     3,028        22,518,341        0.5
 

Bucher Industries AG

     54,197        20,894,138        0.5
 

Cembra Money Bank AG

     187,433        20,824,503        0.5

*

 

Flughafen Zurich AG

     126,351        17,051,491        0.4
 

Georg Fischer AG

     31,470        31,786,184        0.7
 

Helvetia Holding AG

     218,900        17,164,641        0.4
 

PSP Swiss Property AG

     326,804        39,519,077        0.9
 

Siegfried Holding AG

     30,001        18,993,894        0.4

*

 

Sunrise Communications Group AG

     271,523        32,543,081        0.7

W

 

VAT Group AG

     205,035        38,467,620        0.8

 

202


THE CONTINENTAL SMALL COMPANY SERIES

CONTINUED

 

         Shares      Value»      Percentage
of Net Assets‡
 

SWITZERLAND — (Continued)

        
 

Other Securities

      $ 427,003,922        9.1
       

 

 

    

 

 

 

TOTAL SWITZERLAND

        743,358,059        16.1
       

 

 

    

 

 

 

TOTAL COMMON STOCKS

        4,533,834,693        98.5
       

 

 

    

 

 

 

PREFERRED STOCKS — (0.9%)

        

GERMANY — (0.9%)

        
 

Other Securities

        43,263,406        1.0
       

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

FRANCE — (0.0%)

        
 

Other Security

        4,394        0.0
       

 

 

    

 

 

 

SPAIN — (0.0%)

        
 

Other Security

        560,562        0.0
       

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        564,956        0.0
       

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $4,362,167,478)

        4,577,663,055     
       

 

 

    
                Value†         

SECURITIES LENDING COLLATERAL — (6.6%)

        

 

The DFA Short Term Investment Fund

     28,037,153        324,417,899        7.0
       

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $4,686,535,113)

      $ 4,902,080,954        106.5
       

 

 

    

 

 

 

Summary of the Series’ investments as of October 31, 2020, 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

     —        $ 151,369,211        —        $ 151,369,211  

Belgium

     —          152,889,016        —          152,889,016  

Denmark

     —          283,996,140        —          283,996,140  

Finland

     —          319,013,103        —          319,013,103  

France

     —          496,301,404        —          496,301,404  

Germany

   $ 10,245,361        678,399,673        —          688,645,034  

Ireland

     —          25,606,129        —          25,606,129  

Israel

     588,399        156,446,508        —          157,034,907  

Italy

     —          387,393,745        —          387,393,745  

Netherlands

     —          321,665,070        —          321,665,070  

Norway

     82,679        100,447,099        —          100,529,778  

Portugal

     —          32,924,492        —          32,924,492  

Spain

     —          253,155,639        —          253,155,639  

Sweden

     1,529,715        418,423,251        —          419,952,966  

Switzerland

     32,543,081        710,814,978        —          743,358,059  

 

203


THE CONTINENTAL SMALL COMPANY SERIES

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Preferred Stocks

           

Germany

     —        $ 43,263,406        —        $ 43,263,406  

Rights/Warrants

           

France

     —          4,394        —          4,394  

Spain

     —          560,562        —          560,562  

Securities Lending Collateral

     —          324,417,899        —          324,417,899  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 44,989,235      $ 4,857,091,719        —        $ 4,902,080,954  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

204


THE CANADIAN SMALL COMPANY SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (86.8%)

        

COMMUNICATION SERVICES — (1.1%)

        
  

Other Securities

      $ 12,808,291        1.3
        

 

 

    

 

 

 

CONSUMER DISCRETIONARY — (5.5%)

        

*

  

Aritzia, Inc.

     427,638        6,458,062        0.7

#

  

BRP, Inc.

     133,511        7,211,177        0.7

#*

  

Great Canadian Gaming Corp.

     428,062        7,309,473        0.8
  

Linamar Corp.

     216,634        7,081,296        0.7
  

Other Securities

        33,270,140        3.4
        

 

 

    

 

 

 

TOTAL CONSUMER DISCRETIONARY

        61,330,148        6.3
        

 

 

    

 

 

 

CONSUMER STAPLES — (5.2%)

        

#

  

Jamieson Wellness, Inc.

     275,646        7,973,727        0.8

#

  

Maple Leaf Foods, Inc.

     355,793        6,478,675        0.7

#

  

North West Co., Inc. (The)

     319,480        7,877,293        0.8

#

  

Premium Brands Holdings Corp.

     182,482        13,017,405        1.3
  

Primo Water Corp.

     96,682        1,211,426        0.1
  

Primo Water Corp.

     813,424        10,196,038        1.1
  

Other Securities

        11,076,713        1.2
        

 

 

    

 

 

 

TOTAL CONSUMER STAPLES

        57,831,277        6.0
        

 

 

    

 

 

 

ENERGY — (11.4%)

        
  

ARC Resources, Ltd.

     2,215,726        10,909,827        1.1

#

  

Cameco Corp.

     682,775        6,493,190        0.7

#

  

Gibson Energy, Inc.

     940,791        13,854,477        1.4

*

  

Parex Resources, Inc.

     786,291        7,654,578        0.8
  

Tourmaline Oil Corp.

     1,090,347        14,125,489        1.5
  

Other Securities

        73,459,246        7.5
        

 

 

    

 

 

 

TOTAL ENERGY

        126,496,807        13.0
        

 

 

    

 

 

 

FINANCIALS — (9.1%)

        

#

  

Canadian Western Bank

     456,902        8,402,086        0.9
  

CI Financial Corp.

     672,201        7,835,534        0.8
  

ECN Capital Corp.

     2,488,693        9,862,868        1.0

#

  

Element Fleet Management Corp.

     1,490,738        14,042,454        1.5
  

Genworth MI Canada, Inc.

     234,684        7,785,809        0.8
  

iA Financial Corp., Inc.

     234,884        8,183,829        0.8

#

  

Laurentian Bank of Canada

     412,090        8,106,942        0.8
  

Other Securities

        37,425,337        3.9
        

 

 

    

 

 

 

TOTAL FINANCIALS

        101,644,859        10.5
        

 

 

    

 

 

 

HEALTH CARE — (0.9%)

        
  

Other Securities

        10,336,878        1.1
        

 

 

    

 

 

 

INDUSTRIALS — (11.4%)

        

#

  

Finning International, Inc.

     885,513        13,465,806        1.4

#

  

Morneau Shepell, Inc.

     401,948        8,034,133        0.8

#

  

Richelieu Hardware, Ltd.

     361,973        9,731,947        1.0

#

  

Stantec, Inc.

     507,094        14,562,348        1.5

#

  

TFI International, Inc.

     481,820        21,452,798        2.2

 

205


THE CANADIAN SMALL COMPANY SERIES

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

INDUSTRIALS — (Continued)

        
  

Other Securities

      $ 59,373,391        6.1
        

 

 

    

 

 

 

TOTAL INDUSTRIALS

        126,620,423        13.0
        

 

 

    

 

 

 

INFORMATION TECHNOLOGY — (5.4%)

        

#*

  

BlackBerry, Ltd.

     977,994        4,389,705        0.5

#*

  

BlackBerry, Ltd.

     1,540,551        6,917,074        0.7
  

Enghouse Systems, Ltd.

     263,395        13,069,912        1.3

#*

  

Kinaxis, Inc.

     141,544        21,607,160        2.2
  

Other Securities

        13,953,819        1.5
        

 

 

    

 

 

 

TOTAL INFORMATION TECHNOLOGY

        59,937,670        6.2
        

 

 

    

 

 

 

MATERIALS — (25.8%)

        

#

  

Alamos Gold, Inc., Class A

     2,003,290        18,299,207        1.9
  

Centerra Gold, Inc.

     1,270,606        11,100,996        1.1

*

  

Eldorado Gold Corp.

     664,263        8,326,345        0.9

*

  

Eldorado Gold Corp.

     74,100        928,473        0.1

#*

  

Endeavour Mining Corp.

     675,295        16,564,312        1.7

*

  

IAMGOLD Corp.

     2,197,656        8,049,659        0.8

*

  

IAMGOLD Corp.

     599,837        2,201,402        0.2

#*

  

Ivanhoe Mines, Ltd., Class A

     2,965,148        11,662,070        1.2

*

  

New Gold, Inc.

     3,469,405        7,030,994        0.7
  

Pan American Silver Corp.

     274,369        8,719,342        0.9

#*

  

Pretium Resources, Inc.

     293,903        3,579,739        0.4

#*

  

Pretium Resources, Inc.

     455,178        5,551,785        0.6

#*

  

SSR Mining, Inc.

     1,130,996        20,933,991        2.2
  

Stella-Jones, Inc.

     207,304        6,746,755        0.7

*

  

Teranga Gold Corp.

     618,863        6,438,069        0.7

#

  

West Fraser Timber Co., Ltd.

     221,992        10,295,643        1.1
  

Yamana Gold, Inc.

     3,304,447        18,378,708        1.9
  

Other Securities

        122,108,748        12.4
        

 

 

    

 

 

 

TOTAL MATERIALS

        286,916,238        29.5
        

 

 

    

 

 

 

REAL ESTATE — (3.7%)

        

#

  

Altus Group, Ltd.

     261,893        10,715,145        1.1

#

  

Colliers International Group, Inc.

     165,544        11,724,635        1.2
  

Colliers International Group, Inc.

     4,163        295,073        0.0
  

Other Securities

        18,263,649        1.9
        

 

 

    

 

 

 

TOTAL REAL ESTATE

        40,998,502        4.2
        

 

 

    

 

 

 

UTILITIES — (7.3%)

        

#

  

Boralex, Inc., Class A

     549,954        15,995,435        1.6

#

  

Capital Power Corp.

     771,649        17,004,890        1.8

#

  

Innergex Renewable Energy, Inc.

     800,557        14,433,219        1.5

#

  

Superior Plus Corp.

     781,510        6,951,057        0.7
  

TransAlta Corp.

     1,784,708        10,582,596        1.1
  

TransAlta Corp.

     16,789        99,559        0.0

#

  

TransAlta Renewables, Inc.

     614,934        7,708,022        0.8
  

Other Securities

        8,651,855        0.9
        

 

 

    

 

 

 

TOTAL UTILITIES

        81,426,633        8.4
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        966,347,726        99.5
        

 

 

    

 

 

 

 

206


THE CANADIAN SMALL COMPANY SERIES

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

RIGHTS/WARRANTS — (0.1%)

        

MATERIALS — (0.1%)

        
  

Other Security

      $ 1,351,019        0.1
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        1,351,019        0.1
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $979,047,177)

        967,698,745     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (13.1%)

        

  

The DFA Short Term Investment Fund

     12,646,413        146,331,640        15.1
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $1,125,355,991)

      $ 1,114,030,385        114.7
        

 

 

    

 

 

 

Summary of the Series’ investments as of October 31, 2020, 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

           

Communication Services

   $ 12,808,291        —          —        $ 12,808,291  

Consumer Discretionary

     60,698,059      $ 632,089        —          61,330,148  

Consumer Staple

     57,831,277        —          —          57,831,277  

Energy

     126,496,807        —          —          126,496,807  

Financials

     101,644,859        —          —          101,644,859  

Health Care

     10,336,878        —          —          10,336,878  

Industrials

     126,620,423        —          —          126,620,423  

Information Technology

     59,937,670        —          —          59,937,670  

Materials

     286,883,757        32,481        —          286,916,238  

Real Estate

     40,998,502        —          —          40,998,502  

Utilities

     81,426,633        —          —          81,426,633  

Rights/Warrants

           

Materials

     —          1,351,019        —          1,351,019  

Securities Lending Collateral

     —          146,331,640        —          146,331,640  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 965,683,156      $ 148,347,229        —        $ 1,114,030,385  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

207


THE EMERGING MARKETS SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (97.8%)

        

BRAZIL — (3.5%)

        
  

Vale SA

     3,260,013      $ 34,401,443        0.6
  

Other Securities

        167,323,796        2.9
        

 

 

    

 

 

 

TOTAL BRAZIL

        201,725,239        3.5
        

 

 

    

 

 

 

CHILE — (0.6%)

        
  

Other Securities

        34,802,860        0.6
        

 

 

    

 

 

 

CHINA — (37.9%)

        

*

  

Alibaba Group Holding Ltd.

     531,400        20,136,789        0.4

*

  

Alibaba Group Holding, Ltd., Sponsored ADR

     929,746        283,284,309        5.0

*

  

Baidu, Inc., Sponsored ADR

     256,028        34,064,525        0.6
  

BYD Co., Ltd., Class H

     1,095,886        22,153,115        0.4
  

China Construction Bank Corp., Class H

     90,026,590        62,038,499        1.1
  

China Mengniu Dairy Co., Ltd.

     3,900,000        18,385,826        0.3
  

China Merchants Bank Co., Ltd., Class H

     3,814,554        19,869,756        0.4
  

China Mobile, Ltd., Sponsored ADR

     985,751        30,292,128        0.5
  

China Overseas Land & Investment, Ltd.

     8,252,500        20,728,548        0.4
  

China Pacific Insurance Group Co., Ltd., Class H

     4,718,600        14,766,684        0.3
  

China Resources Land, Ltd.

     5,456,666        22,315,938        0.4
  

CNOOC, Ltd.

     21,810,000        19,955,184        0.4
  

Country Garden Holdings Co., Ltd.

     14,905,519        18,421,149        0.3
  

CSPC Pharmaceutical Group, Ltd.

     15,713,200        16,686,241        0.3
  

Geely Automobile Holdings, Ltd.

     10,164,000        20,885,552        0.4
  

Industrial & Commercial Bank of China, Ltd., Class H

     53,639,185        30,459,764        0.5

*

  

JD.com, Inc., ADR

     375,265        30,591,603        0.5
  

Li Ning Co., Ltd.

     2,852,000        14,864,451        0.3

W

  

Longfor Group Holdings, Ltd.

     3,028,500        16,593,483        0.3

*

  

Meituan Dianping, Class B

     1,349,300        50,300,768        0.9
  

NetEase, Inc., ADR

     334,090        28,995,671        0.5

*

  

New Oriental Education & Technology Group, Inc., Sponsored ADR

     93,806        15,044,606        0.3
  

Ping An Insurance Group Co. of China, Ltd., Class H

     5,805,000        60,021,804        1.1
  

Sino Biopharmaceutical, Ltd.

     20,119,500        20,380,930        0.4

#

  

Sunac China Holdings, Ltd.

     5,686,000        21,073,171        0.4
  

Sunny Optical Technology Group Co., Ltd.

     983,200        16,324,179        0.3
  

Tencent Holdings, Ltd.

     4,259,000        325,411,486        5.7

*

  

Vipshop Holdings, Ltd., ADR

     978,073        20,930,762        0.4
  

Yum China Holdings, Inc.

     495,373        26,368,705        0.5
  

Other Securities

        884,618,737        14.9
        

 

 

    

 

 

 

TOTAL CHINA

        2,185,964,363        38.2
        

 

 

    

 

 

 

COLOMBIA — (0.2%)

        
  

Other Securities

        12,542,296        0.2
        

 

 

    

 

 

 

CZECH REPUBLIC — (0.1%)

        
  

Other Securities

        4,863,295        0.1
        

 

 

    

 

 

 

EGYPT — (0.1%)

        
  

Other Securities

        4,967,481        0.1
        

 

 

    

 

 

 

GREECE — (0.2%)

        
  

Other Securities

        11,392,080        0.2
        

 

 

    

 

 

 

 

208


THE EMERGING MARKETS SERIES

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

HONG KONG — (0.3%)

        
  

Shenzhou International Group Holdings, Ltd.

     1,090,300      $ 18,970,528        0.3
        

 

 

    

 

 

 

HUNGARY — (0.3%)

        
  

Other Securities

        16,303,330        0.3
        

 

 

    

 

 

 

INDIA — (10.2%)

        

*

  

HDFC Bank, Ltd.

     2,413,140        38,500,245        0.7
  

Hindustan Unilever, Ltd.

     707,479        19,816,710        0.4
  

Housing Development Finance Corp., Ltd.

     751,775        19,477,620        0.4
  

Infosys, Ltd.

     2,138,472        30,632,413        0.5
  

Infosys, Ltd., Sponsored ADR

     1,345,607        19,201,812        0.3
  

Reliance Industries, Ltd.

     2,124,250        59,176,691        1.0
  

Tata Consultancy Services, Ltd.

     789,149        28,427,406        0.5
  

Other Securities

        372,127,710        6.5
        

 

 

    

 

 

 

TOTAL INDIA

        587,360,607        10.3
        

 

 

    

 

 

 

INDONESIA — (1.6%)

        
  

Other Securities

        93,889,203        1.7
        

 

 

    

 

 

 

MALAYSIA — (2.0%)

        
  

Other Securities

        114,863,184        2.0
        

 

 

    

 

 

 

MEXICO — (2.3%)

        

#

  

America Movil S.A.B. de C.V.

     30,206,745        18,356,313        0.3

*

  

Grupo Financiero Banorte S.A.B. de C.V., Class O

     3,719,595        16,588,817        0.3
  

Other Securities

        97,357,142        1.7
        

 

 

    

 

 

 

TOTAL MEXICO

        132,302,272        2.3
        

 

 

    

 

 

 

PERU — (0.1%)

        
  

Other Securities

        7,481,034        0.1
        

 

 

    

 

 

 

PHILIPPINES — (0.9%)

        
  

Other Securities

        52,952,150        0.9
        

 

 

    

 

 

 

POLAND — (0.6%)

        
  

Other Securities

        34,538,730        0.6
        

 

 

    

 

 

 

QATAR — (0.2%)

        
  

Other Securities

        12,874,411        0.2
        

 

 

    

 

 

 

RUSSIA — (1.1%)

        
  

Other Securities

        59,468,156        1.0
        

 

 

    

 

 

 

SAUDI ARABIA — (1.7%)

        
  

Other Securities

        99,441,875        1.7
        

 

 

    

 

 

 

SOUTH AFRICA — (4.2%)

        
  

Gold Fields, Ltd., Sponsored ADR

     2,253,137        24,626,787        0.4
  

Naspers, Ltd., Class N

     149,803        29,245,654        0.5
  

Other Securities

        186,680,460        3.3
        

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        240,552,901        4.2
        

 

 

    

 

 

 

SOUTH KOREA — (13.5%)

        
  

Kia Motors Corp.

     342,300        15,351,859        0.3

 

209


THE EMERGING MARKETS SERIES

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

SOUTH KOREA — (Continued)

        
  

LG Electronics, Inc.

     320,927      $ 23,857,535        0.4
  

Samsung Electronics Co., Ltd.

     4,886,904        245,643,203        4.3
  

Samsung Electronics Co., Ltd., GDR

     15,174        19,143,068        0.3
  

SK Hynix, Inc.

     649,088        46,048,152        0.8
  

Other Securities

        426,339,230        7.5
        

 

 

    

 

 

 

TOTAL SOUTH KOREA

        776,383,047        13.6
        

 

 

    

 

 

 

TAIWAN — (13.8%)

        
  

E.Sun Financial Holding Co., Ltd.

     17,382,049        14,778,493        0.3
  

Hon Hai Precision Industry Co., Ltd.

     6,081,322        16,493,336        0.3
  

Taiwan Semiconductor Manufacturing Co., Ltd.

     18,986,808        287,264,205        5.0
  

Other Securities

        475,431,205        8.3
        

 

 

    

 

 

 

TOTAL TAIWAN

        793,967,239        13.9
        

 

 

    

 

 

 

THAILAND — (1.8%)

        
  

Other Securities

        102,358,960        1.8
        

 

 

    

 

 

 

TURKEY — (0.4%)

        
  

Other Securities

        23,041,102        0.4
        

 

 

    

 

 

 

UNITED ARAB EMIRATES — (0.2%)

        
  

Other Securities

        10,706,415        0.2
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        5,633,712,758        98.4
        

 

 

    

 

 

 

PREFERRED STOCKS — (0.7%)

        

BRAZIL — (0.7%)

        
  

Other Securities

        39,615,119        0.7
        

 

 

    

 

 

 

CHILE — (0.0%)

        
  

Other Security

        898,604        0.0
        

 

 

    

 

 

 

COLOMBIA — (0.0%)

        
  

Other Securities

        2,129,608        0.1
        

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        
  

Other Security

        34,939        0.0
        

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        42,678,270        0.8
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

SOUTH KOREA — (0.0%)

        
  

Other Securities

        542,505        0.0
        

 

 

    

 

 

 

THAILAND — (0.0%)

        
  

Other Security

        19,192        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        561,697        0.0
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $3,825,169,035)

        5,676,952,725     
        

 

 

    

 

210


THE EMERGING MARKETS SERIES

CONTINUED

 

          Shares      Value†      Percentage
of Net Assets‡
 

SECURITIES LENDING COLLATERAL — (1.5%)

        

  

The DFA Short Term Investment Fund

     7,504,709      $ 86,836,989        1.5
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $3,911,982,853)

      $ 5,763,789,714        100.7
        

 

 

    

 

 

 

As of October 31, 2020, The Emerging Markets Series had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

E-Mini MSCI Emerging Markets Index

     650        12/18/20      $ 35,489,791      $ 35,811,750      $ 321,959  

S&P 500® Emini Index

     25        12/18/20        4,365,618        4,080,875        (284,743
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 39,855,409      $ 39,892,625      $ 37,216  

Summary of the Series’ investments as of October 31, 2020, 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

   $ 201,725,239        —          —        $ 201,725,239  

Chile

     18,460,290      $ 16,342,570        —          34,802,860  

China

     565,124,620        1,620,839,743        —          2,185,964,363  

Colombia

     12,542,296        —          —          12,542,296  

Czech Republic

     —          4,863,295        —          4,863,295  

Egypt

     2,976        4,964,505        —          4,967,481  

Greece

     16,925        11,375,155        —          11,392,080  

Hong Kong

     —          18,970,528        —          18,970,528  

Hungary

     —          16,303,330        —          16,303,330  

India

     37,978,024        549,382,583        —          587,360,607  

Indonesia

     1,480,028        92,409,175        —          93,889,203  

Malaysia

     —          114,863,184        —          114,863,184  

Mexico

     132,302,272        —          —          132,302,272  

Peru

     7,481,034        —          —          7,481,034  

Philippines

     2,416,364        50,535,786        —          52,952,150  

Poland

     —          34,538,730        —          34,538,730  

Qatar

     —          12,874,411        —          12,874,411  

Russia

     11,010,692        48,457,464        —          59,468,156  

Saudi Arabia

     —          99,441,875        —          99,441,875  

South Africa

     44,310,917        196,241,984        —          240,552,901  

South Korea

     11,623,692        764,759,355        —          776,383,047  

Taiwan

     6,455,067        787,512,172        —          793,967,239  

Thailand

     102,358,960        —          —          102,358,960  

Turkey

     —          23,041,102        —          23,041,102  

United Arab Emirates

     —          10,706,415        —          10,706,415  

Preferred Stocks

           

Brazil

     39,615,119        —          —          39,615,119  

Chile

     —          898,604        —          898,604  

Colombia

     2,129,608        —          —          2,129,608  

South Korea

     —          34,939        —          34,939  

 

211


THE EMERGING MARKETS SERIES

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Rights/Warrants

           

South Korea

     —        $ 542,505        —        $ 542,505  

Thailand

     —          19,192        —          19,192  

Securities Lending Collateral

     —          86,836,989        —          86,836,989  

Futures Contracts**

   $ 37,216        —          —          37,216  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 1,197,071,339      $ 4,566,755,591        —        $ 5,763,826,930  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

212


THE EMERGING MARKETS SMALL CAP SERIES

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (96.8%)

        

BRAZIL — (4.1%)

        
  

Cia Siderurgica Nacional SA

     2,655,451      $ 9,505,653        0.2
  

Transmissora Alianca de Energia Eletrica SA

     1,819,323        8,925,477        0.2

*

  

Via Varejo SA

     3,476,519        10,396,930        0.2
  

Other Securities

        174,253,501        3.5
        

 

 

    

 

 

 

TOTAL BRAZIL

        203,081,561        4.1
        

 

 

    

 

 

 

CHILE — (0.9%)

        
  

Other Securities

        46,095,554        0.9
        

 

 

    

 

 

 

CHINA — (25.7%)

        

*

  

51job, Inc., ADR

     134,562        9,432,796        0.2
  

AAC Technologies Holdings, Inc.

     1,838,000        9,661,225        0.2

W

  

A-Living Services Co., Ltd., Class H

     2,091,000        8,805,784        0.2
  

AviChina Industry & Technology Co., Ltd., Class H

     15,708,000        8,103,387        0.2

#*

  

Baozun, Inc., Sponsored ADR

     283,293        10,365,691        0.2
  

China Communications Services Corp., Ltd., Class H

     15,760,000        9,182,659        0.2
  

China Everbright, Ltd.

     6,592,000        8,721,824        0.2
  

China Lesso Group Holdings, Ltd.

     7,027,000        11,392,353        0.3
  

China Longyuan Power Group Corp., Ltd., Class H

     13,255,000        9,085,111        0.2
  

China Medical System Holdings, Ltd.

     8,971,500        9,434,232        0.2
  

China Meidong Auto Holdings, Ltd.

     2,816,000        11,531,433        0.3
  

China Taiping Insurance Holdings Co., Ltd.

     5,606,600        8,466,786        0.2

#

  

Chinasoft International, Ltd.

     13,960,000        10,134,099        0.2
  

Far East Horizon, Ltd.

     13,190,000        13,009,803        0.3
  

Greentown China Holdings, Ltd.

     5,068,148        8,236,836        0.2
  

Greentown Service Group Co., Ltd.

     7,644,000        8,391,637        0.2
  

Haitian International Holdings, Ltd.

     4,178,000        10,355,412        0.2
  

Hopson Development Holdings, Ltd.

     4,368,000        11,174,533        0.2

#*W

  

Hua Hong Semiconductor, Ltd.

     2,940,000        10,831,253        0.2

#*

  

JinkoSolar Holding Co., Ltd., ADR

     245,329        14,302,681        0.3
  

JOYY, Inc., ADR

     129,276        11,813,241        0.3
  

Kingboard Holdings, Ltd.

     4,656,921        15,773,212        0.3
  

Kingboard Laminates Holdings, Ltd.

     7,133,000        11,400,647        0.3
  

KWG Group Holdings, Ltd.

     7,630,450        10,118,660        0.2
  

Minth Group, Ltd.

     4,765,000        19,717,546        0.4
  

Nine Dragons Paper Holdings, Ltd.

     10,794,000        14,397,393        0.3
  

Shenzhen International Holdings, Ltd.

     7,166,552        11,159,477        0.2

*

  

SINA Corp.

     269,727        11,557,802        0.3

W

  

Yadea Group Holdings, Ltd.

     6,576,000        9,415,748        0.2
  

Yuexiu Property Co., Ltd.

     49,556,284        9,621,398        0.2
  

Other Securities

        953,354,290        19.0
        

 

 

    

 

 

 

TOTAL CHINA

        1,278,948,949        26.1
        

 

 

    

 

 

 

COLOMBIA — (0.2%)

        
  

Other Securities

        7,789,489        0.2
        

 

 

    

 

 

 

GREECE — (0.4%)

        
  

Other Securities

        19,440,598        0.4
        

 

 

    

 

 

 

HONG KONG — (0.3%)

        
  

Other Securities

        15,768,756        0.3
        

 

 

    

 

 

 

 

213


THE EMERGING MARKETS SMALL CAP SERIES

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

HUNGARY — (0.1%)

        
  

Other Securities

      $ 4,787,201        0.1
        

 

 

    

 

 

 

INDIA — (11.9%)

        

*

  

Adani Green Energy, Ltd.

     797,969        9,216,821        0.2
  

Apollo Hospitals Enterprise, Ltd.

     394,040        11,280,248        0.2

*

  

Crompton Greaves Consumer Electricals, Ltd.

     2,653,591        10,680,053        0.2
  

Ipca Laboratories, Ltd.

     297,184        9,360,780        0.2
  

Jubilant Foodworks, Ltd.

     334,741        9,840,938        0.2
  

Mphasis, Ltd.

     542,471        10,152,916        0.2
  

PI Industries, Ltd.

     382,902        11,353,576        0.2
  

Tata Consumer Products, Ltd.

     2,082,187        13,867,642        0.3
  

Other Securities

        505,418,376        10.4
        

 

 

    

 

 

 

TOTAL INDIA

        591,171,350        12.1
        

 

 

    

 

 

 

INDONESIA — (1.7%)

        
  

Other Securities

        83,714,683        1.7
        

 

 

    

 

 

 

MALAYSIA — (2.2%)

        
  

Other Securities

        107,591,478        2.2
        

 

 

    

 

 

 

MEXICO — (2.5%)

        

#*

  

Grupo Aeroportuario del Centro Norte S.A.B. de C.V.

     1,882,745        8,503,263        0.2
  

Megacable Holdings S.A.B. de C.V.

     2,955,539        9,363,422        0.2
  

Other Securities

        105,017,997        2.1
        

 

 

    

 

 

 

TOTAL MEXICO

        122,884,682        2.5
        

 

 

    

 

 

 

PHILIPPINES — (1.1%)

        
  

Other Securities

        55,570,858        1.1
        

 

 

    

 

 

 

POLAND — (0.9%)

        
  

Other Securities

        45,068,775        0.9
        

 

 

    

 

 

 

QATAR — (0.4%)

        
  

Other Securities

        18,794,492        0.4
        

 

 

    

 

 

 

RUSSIA — (0.3%)

        
  

Other Securities

        16,905,276        0.3
        

 

 

    

 

 

 

SAUDI ARABIA — (1.1%)

        
  

Other Securities

        55,924,923        1.1
        

 

 

    

 

 

 

SOUTH AFRICA — (3.8%)

        
  

Gold Fields, Ltd., Sponsored ADR

     1,266,996        13,848,266        0.3

#*

  

Harmony Gold Mining Co., Ltd., Sponsored ADR

     1,937,941        9,515,290        0.2

#

  

Impala Platinum Holdings, Ltd.

     1,297,780        11,550,658        0.2

*

  

Northam Platinum, Ltd.

     1,057,434        10,159,750        0.2
  

Sibanye Stillwater, Ltd.

     3,593,907        10,597,423        0.2
  

SPAR Group, Ltd. (The)

     830,715        8,806,484        0.2
  

Other Securities

        122,568,067        2.5
        

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        187,045,938        3.8
        

 

 

    

 

 

 

SOUTH KOREA — (15.1%)

        
  

Seegene, Inc.

     65,372        14,970,889        0.3

 

214


THE EMERGING MARKETS SMALL CAP SERIES

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

SOUTH KOREA — (Continued)

        
  

Other Securities

      $ 734,033,610        15.0
        

 

 

    

 

 

 

TOTAL SOUTH KOREA

        749,004,499        15.3
        

 

 

    

 

 

 

TAIWAN — (19.7%)

        
  

Other Securities

        980,232,112        20.0
        

 

 

    

 

 

 

THAILAND — (3.0%)

        
  

Other Securities

        150,837,256        3.1
        

 

 

    

 

 

 

TURKEY — (1.2%)

        
  

Other Securities

        60,971,820        1.2
        

 

 

    

 

 

 

UNITED ARAB EMIRATES — (0.2%)

        
  

Other Securities

        9,004,400        0.2
        

 

 

    

 

 

 

UNITED STATES — (0.0%)

        
  

Other Security

        23,524        0.0
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        4,810,658,174        98.0
        

 

 

    

 

 

 

PREFERRED STOCKS — (0.7%)

        

BRAZIL — (0.7%)

        
  

Other Securities

        35,939,297        0.8
        

 

 

    

 

 

 

CHILE — (0.0%)

        
  

Other Security

        799,564        0.0
        

 

 

    

 

 

 

COLOMBIA — (0.0%)

        
  

Other Security

        19,862        0.0
        

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        36,758,723        0.8
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

BRAZIL — (0.0%)

        
  

Other Securities

        15,562        0.0
        

 

 

    

 

 

 

MALAYSIA — (0.0%)

        
  

Other Securities

        230,564        0.0
        

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        
  

Other Security

        1,824        0.0
        

 

 

    

 

 

 

TAIWAN — (0.0%)

        
  

Other Securities

        58,128        0.0
        

 

 

    

 

 

 

THAILAND — (0.0%)

        
  

Other Securities

        56,475        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        362,553        0.0
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $4,637,948,288)

        4,847,779,450     
        

 

 

    

 

215


THE EMERGING MARKETS SMALL CAP SERIES

CONTINUED

 

          Shares      Value†      Percentage
of Net Assets‡
 

SECURITIES LENDING COLLATERAL — (2.5%)

        

  

The DFA Short Term Investment Fund

     10,596,378      $ 122,610,691        2.5
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $4,760,537,239)

      $ 4,970,390,141        101.3
        

 

 

    

 

 

 

As of October 31, 2020, The Emerging Markets Small Cap Series had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

E-Mini MSCI Emerging Markets Index

     282        12/18/20      $ 15,350,175      $ 15,536,790      $ 186,615  

S&P 500® Emini Index

     53        12/18/20        8,592,769        8,651,455        58,686  
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 23,942,944      $ 24,188,245      $ 245,301  
        

 

 

    

 

 

    

 

 

 

Summary of the Series’ investments as of October 31, 2020, 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

   $ 203,081,561        —          —        $ 203,081,561  

Chile

     92,526      $ 46,003,028        —          46,095,554  

China

     101,370,733        1,177,578,216        —          1,278,948,949  

Colombia

     7,789,489        —          —          7,789,489  

Greece

     —          19,440,598        —          19,440,598  

Hong Kong

     4,820,053        10,948,703        —          15,768,756  

Hungary

     —          4,787,201        —          4,787,201  

India

     1,522,030        589,649,320        —          591,171,350  

Indonesia

     838,960        82,875,723        —          83,714,683  

Malaysia

     —          107,591,478        —          107,591,478  

Mexico

     122,868,785        15,897        —          122,884,682  

Philippines

     —          55,570,858        —          55,570,858  

Poland

     —          45,068,775        —          45,068,775  

Qatar

     —          18,794,492        —          18,794,492  

Russia

     16,905,276        —          —          16,905,276  

Saudi Arabia

     638,560        55,286,363        —          55,924,923  

South Africa

     23,596,920        163,449,018        —          187,045,938  

South Korea

     5,519,634        743,484,865        —          749,004,499  

Taiwan

     69,564        980,162,548        —          980,232,112  

Thailand

     150,837,256        —          —          150,837,256  

Turkey

     —          60,971,820        —          60,971,820  

United Arab Emirates

     —          9,004,400        —          9,004,400  

United States

     —          23,524        —          23,524  

Preferred Stocks

           

Brazil

     35,939,297        —          —          35,939,297  

Chile

     —          799,564        —          799,564  

Colombia

     19,862        —          —          19,862  

Rights/Warrants

           

Brazil

     —          15,562        —          15,562  

Malaysia

     —          230,564        —          230,564  

 

216


THE EMERGING MARKETS SMALL CAP SERIES

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

South Korea

     —        $ 1,824        —        $ 1,824  

Taiwan

     —          58,128        —          58,128  

Thailand

     —          56,475        —          56,475  

Securities Lending Collateral

     —          122,610,691        —          122,610,691  

Futures Contracts**

   $ 245,301        —          —          245,301  
  

 

 

    

 

 

    

 

 

    

 

 

 

TOTAL

   $ 676,155,807      $ 4,294,479,635        —        $ 4,970,635,442  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

217


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands)

 

     The DFA
International
Value Series*
     The Japanese
Small
Company
Series*
     The Asia
Pacific Small
Company
Series*
     The United
Kingdom Small
Company
Series*
 

ASSETS:

           

Investment Securities at Value (including $255,131, $123,065, $117,829 and $29,285 of securities on loan, respectively)

   $ 9,327,415      $ 2,919,304      $ 1,517,150      $ 1,469,857  

Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $263,894, $57,829, $42,042 and $31,239, respectively)

     264,011        57,849        42,048        31,246  

Segregated Cash for Futures Contracts

     6,312        —          —          —    

Foreign Currencies at Value

     78,986        903        5,766        47  

Cash

     3,081        1,309        201        608  

Receivables:

           

Investment Securities Sold

     15,422        2,619        2,354        2,741  

Dividends, Interest and Tax Reclaims

     59,766        19,483        3,861        2,834  

Securities Lending Income

     100        261        281        28  

Unrealized Gain on Foreign Currency Contracts

     18        5        1        1  

Prepaid Expenses and Other Assets

     1        —          —          1  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

     9,755,112        3,001,733        1,571,662        1,507,363  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES:

           

Payables:

           

Upon Return of Securities Loaned

     263,837        57,878        42,044        31,244  

Investment Securities Purchased

     5,880        —          2,257        —    

Due to Advisor

     1,689        259        134        131  

Futures Margin Variation

     989        —          —          —    

Unrealized Loss on Foreign Currency Contracts

     5        —          —          —    

Accrued Expenses and Other Liabilities

     1,162        443        213        206  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

     273,562        58,580        44,648        31,581  
  

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

   $ 9,481,550      $ 2,943,153      $ 1,527,014      $ 1,475,782  
  

 

 

    

 

 

    

 

 

    

 

 

 

Investment Securities at Cost

   $ 11,119,511      $ 2,621,667      $ 1,623,607      $ 1,646,994  
  

 

 

    

 

 

    

 

 

    

 

 

 

Foreign Currencies at Cost

   $ 79,598      $ 905      $ 5,771      $ 47  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

See Note J in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

218


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands)

 

     The
Continental
Small
Company
Series*
    The Canadian
Small
Company
Series*
     The Emerging
Markets
Series*
     The Emerging
Markets Small
Cap Series*
 

ASSETS:

          

Investment Securities at Value (including $311,792, $168,651,
$143,862 and $408,590 of securities on loan, respectively)

   $ 4,577,663     $ 967,699      $ 5,676,953      $ 4,847,779  

Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $324,368, $146,309, $86,814 and $122,589, respectively)

     324,418       146,332        86,837        122,611  

Segregated Cash for Futures Contracts

     —         —          3,400        1,981  

Foreign Currencies at Value

     —         1,204        21,390        27,927  

Cash

     1,156       2        13,853        729  

Receivables:

          

Investment Securities Sold

     6,885       1,592        23,006        28,920  

Dividends, Interest and Tax Reclaims

     16,682       383        5,438        4,757  

Securities Lending Income

     914       197        188        1,347  

Futures Margin Variation

     —         —          —          408  

Unrealized Gain on Foreign Currency Contracts

     13       —          11        40  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Assets

     4,927,731       1,117,409        5,831,076        5,036,499  
  

 

 

   

 

 

    

 

 

    

 

 

 

LIABILITIES:

          

Payables:

          

Due to Custodian

     253       —          —          —    

Upon Return of Securities Loaned

     324,448       146,315        86,841        122,565  

Investment Securities Purchased

     104       —          5,592        5,049  

Due to Advisor

     420       86        496        858  

Futures Margin Variation

     —         —          495        —    

Unrealized Loss on Foreign Currency Contracts

     —         —          3        —    

Deferred Taxes Payable

     —         —          12,536        —    

Accrued Expenses and Other Liabilities

     561       125        788        1,073  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities

     325,786       146,526        106,751        129,545  
  

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS

   $ 4,601,945     $ 970,883      $ 5,724,325      $ 4,906,954  
  

 

 

   

 

 

    

 

 

    

 

 

 

Investment Securities at Cost

   $ 4,362,167     $ 979,047      $ 3,825,169      $ 4,637,948  
  

 

 

   

 

 

    

 

 

    

 

 

 

Foreign Currencies at Cost

   $ (249   $ 1,203      $ 20,836      $ 27,823  
  

 

 

   

 

 

    

 

 

    

 

 

 

 

*

See Note J in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

219


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     The DFA
International
Value Series#
    The Japanese
Small
Company
Series#
    The Asia
Pacific Small
Company
Series#
    The United
Kingdom Small
Company
Series#
 

Investment Income

        

Dividends (Net of Foreign Taxes Withheld of $33,423, $7,633, $703 and $419, respectively)

   $ 314,389     $ 68,798     $ 60,440     $ 43,863  

Income from Securities Lending

     5,774       4,338       4,128       613  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investment Income

     320,163       73,136       64,568       44,476  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Investment Management Fees

     21,518       3,240       1,488       1,781  

Accounting & Transfer Agent Fees

     491       151       79       89  

Custodian Fees

     610       465       208       65  

Shareholders’ Reports

     44       31       29       29  

Directors’/Trustees’ Fees & Expenses

     87       29       12       13  

Professional Fees

     215       57       28       34  

Other

     428       138       58       73  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Expenses

     23,393       4,111       1,902       2,084  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fees Paid Indirectly (Note C)

     815       55       33       15  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Expenses

     22,578       4,056       1,869       2,069  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     297,585       69,080       62,699       42,407  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

        

Net Realized Gain (Loss) on:

        

Investment Securities Sold**

     (566,996     (64,936     (77,003     (34,350

Affiliated Investment Companies Shares Sold

     72       (9     (11     (1

Futures

     40,717       —         608       (394

Foreign Currency Transactions

     3,123       228       (267     (444

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     (2,004,930     (116,647     (1,299     (329,338

Affiliated Investment Companies Shares

     85       9       1       4  

Futures

     (3,281     —         —         —    

Translation of Foreign Currency-Denominated Amounts

     1,379       182       1       (381
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (2,529,831     (181,173     (77,970     (364,904
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (2,232,246   $ (112,093   $ (15,271   $ (322,497
  

 

 

   

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.

#

Portion of income is from investment in affiliated fund.

See accompanying Notes to Financial Statements.

 

220


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     The
Continental
Small
Company
Series#
    The Canadian
Small
Company
Series#
    The Emerging
Markets
Series#
    The Emerging
Markets Small
Cap Series#
 

Investment Income

        

Dividends (Net of Foreign Taxes Withheld of $14,486, $3,388, $19,423 and $15,959, respectively)

   $ 103,850     $ 19,653     $ 142,518     $ 135,751  

Income from Securities Lending

     11,592       2,427       3,313       23,661  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investment Income

     115,442       22,080       145,831       159,412  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Investment Management Fees

     5,081       1,004       5,796       10,989  

Accounting & Transfer Agent Fees

     234       52       264       252  

Custodian Fees

     545       60       1,438       2,540  

Shareholders’ Reports

     35       28       37       37  

Directors’/Trustees’ Fees & Expenses

     39       8       50       43  

Professional Fees

     111       17       311       195  

Other

     208       35       556       477  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Expenses

     6,253       1,204       8,452       14,533  
  

 

 

   

 

 

   

 

 

   

 

 

 

Fees Paid Indirectly (Note C)

     87       6       456       276  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Expenses

     6,166       1,198       7,996       14,257  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Investment Income (Loss)

     109,276       20,882       137,835       145,155  
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

        

Net Realized Gain (Loss) on:

        

Investment Securities Sold**

     92,887       (221,703     52,822       (389,082

Affiliated Investment Companies Shares Sold

     (26     (8     (9     (5

Futures

     (260     —         20,410       16,698  

Foreign Currency Transactions

     1,299       (151     (3,976     (4,808

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     (384,869     206,814       21,823       127,570  

Affiliated Investment Companies Shares

     (9     3       3       (2

Futures

     —         —         (366     (512

Translation of Foreign Currency-Denominated Amounts

     825       (2     (16     (103
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     (290,153     (15,047     90,691       (250,244
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (180,877   $ 5,835     $ 228,526     $ (105,089
  

 

 

   

 

 

   

 

 

   

 

 

 

 

**

Net of foreign capital gain taxes withheld of $0, $0, $163 and $163, respectively.

#

Portion of income is from investment in affiliated fund.

See accompanying Notes to Financial Statements.

 

221


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     The DFA International
Value Series
    The Japanese Small
Company Series
    The Asia Pacific Small
Company Series
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 297,585     $ 472,464     $ 69,080     $ 81,603     $ 62,699     $ 68,215  

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     (566,996     (46,440     (64,936     63,546       (77,003     28,597  

Affiliated Investment Companies Shares Sold

     72       14       (9     —         (11     3  

Futures

     40,717       3,070       —         —         608       (97

Foreign Currency Transactions

     3,123       928       228       893       (267     (572

Change in Unrealized Appreciation (Depreciation) of:

            

Investment Securities and Foreign Currency

     (2,004,930     (6,446     (116,647     2,479       (1,299     (10,141

Affiliated Investment Companies Shares

     85       (10     9       10       1       4  

Futures

     (3,281     7,836       —         —         —         —    

Translation of Foreign Currency-Denominated Amounts

     1,379       652       182       9       1       16  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (2,232,246     432,068       (112,093     148,540       (15,271     86,025  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Transactions in Interest:

            

Contributions

     1,038,679       903,879       71,736       105,276       82,954       84,771  

Withdrawals

     (1,745,733     (1,068,437     (764,667     (339,736     (182,512     (259,324
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Transactions in Interest

     (707,054     (164,558     (692,931     (234,460     (99,558     (174,553
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (2,939,300     267,510       (805,024     (85,920     (114,829     (88,528

Net Assets

            

Beginning of Year

     12,420,850       12,153,340       3,748,177       3,834,097       1,641,843       1,730,371  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 9,481,550     $ 12,420,850     $ 2,943,153     $ 3,748,177     $ 1,527,014     $ 1,641,843  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

See accompanying Notes to Financial Statements.

 

222


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     The United Kingdom Small
Company Series
    The Continental Small
Company Series
    The Canadian Small
Company Series
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

            

Operations:

            

Net Investment Income (Loss)

   $ 42,407     $ 76,252     $ 109,276     $ 146,906     $ 20,882     $ 26,482  

Net Realized Gain (Loss) on:

            

Investment Securities Sold*,**

     (34,350     45,398       92,887       271,616       (221,703     (81,417

Affiliated Investment Companies Shares Sold

     (1     2       (26     7       (8     (6

Futures

     (394     —         (260     —         —         —    

Foreign Currency Transactions

     (444     (1,016     1,299       (101     (151     172  

Change in Unrealized Appreciation (Depreciation) of:

            

Investment Securities and Foreign Currency

     (329,338     105,943       (384,869     20,336       206,814       60,948  

Affiliated Investment Companies Shares

     4       1       (9     46       3       16  

Translation of Foreign Currency-Denominated Amounts

     (381     552       825       63       (2     6  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (322,497     227,132       (180,877     438,873       5,835       6,201  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Transactions in Interest:

            

Contributions

     5,810       92,887       135,156       223,410       6,817       99,460  

Withdrawals

     (484,982     (231,393     (959,829     (477,048     (190,384     (103,857
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Transactions in Interest

     (479,172     (138,506     (824,673     (253,638     (183,567     (4,397
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (801,669     88,626       (1,005,550     185,235       (177,732     1,804  

Net Assets

            

Beginning of Year

     2,277,451       2,188,825       5,607,495       5,422,260       1,148,615       1,146,811  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 1,475,782     $ 2,277,451     $ 4,601,945     $ 5,607,495     $ 970,883     $ 1,148,615  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0 and $0, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0 and $0, respectively.

See accompanying Notes to Financial Statements.

 

223


THE DFA INVESTMENT TRUST COMPANY

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     The Emerging Markets
Series
    The Emerging Markets
Small Cap Series
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

        

Operations:

        

Net Investment Income (Loss)

   $ 137,835     $ 177,871     $ 145,155     $ 192,591  

Net Realized Gain (Loss) on:

        

Investment Securities Sold*,**

     52,822       (58,802     (389,082     60,673  

Affiliated Investment Companies Shares Sold

     (9     (6     (5     3  

Futures

     20,410       1,845       16,698       (614

Foreign Currency Transactions

     (3,976     (438     (4,808     (2,493

Change in Unrealized Appreciation (Depreciation) of:

        

Investment Securities and Foreign Currency

     21,823       502,945       127,570       564,555  

Affiliated Investment Companies Shares

     3       9       (2     19  

Futures

     (366     3,110       (512     3,854  

Translation of Foreign Currency-Denominated Amounts

     (16     21       (103     42  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     228,526       626,555       (105,089     818,630  
  

 

 

   

 

 

   

 

 

   

 

 

 

Transactions in Interest:

        

Contributions

     607,207       437,177       184,927       324,046  

Withdrawals

     (1,145,570     (499,219     (1,603,251     (1,018,611
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) from Transactions in Interest

     (538,363     (62,042     (1,418,324     (694,565
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (309,837     564,513       (1,523,413     124,065  

Net Assets

        

Beginning of Year

     6,034,162       5,469,649       6,430,367       6,306,302  
  

 

 

   

 

 

   

 

 

   

 

 

 

End of Year

   $ 5,724,325     $ 6,034,162     $ 4,906,954     $ 6,430,367  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $163 and $163, respectively.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0 and $0, respectively.

 

See accompanying Notes to Financial Statements.

224


THE DFA INVESTMENT TRUST COMPANY

FINANCIAL HIGHLIGHTS

 

 

    The DFA International Value Series     The Japanese Small Company Series  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Total Return

    (18.68 %)      3.60     (8.10 %)      26.53     (0.10 %)      (1.93 %)      4.47     (7.46 %)      27.10     14.53
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 9,481,550     $ 12,420,850     $ 12,153,340     $ 12,732,150     $ 9,729,540     $ 2,943,153     $ 3,748,177     $ 3,834,097     $ 3,989,049     $ 3,132,594  

Ratio of Expenses to Average Net Assets

    0.21     0.21     0.22     0.22     0.22     0.13     0.12     0.12     0.13     0.13

Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)

    0.22     0.22     0.22     0.22     0.22     0.13     0.12     0.12     0.13     0.13

Ratio of Net Investment Income to Average Net Assets

    2.77     3.92     3.21     3.33     3.72     2.13     2.32     1.90     1.90     1.99

Portfolio Turnover Rate

    12     16     20     17     17     5     12     17     13     10

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

225


THE DFA INVESTMENT TRUST COMPANY

FINANCIAL HIGHLIGHTS

 

 

    The Asia Pacific Small Company Series     The United Kingdom Small Company Series  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Total Return

    0.14     5.27     (8.14 %)      16.21     16.69     (14.87 %)      10.67     (8.90 %)      29.87     (15.82 %) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 1,527,014     $ 1,641,843     $ 1,730,371     $ 1,815,705     $ 1,555,736     $ 1,475,782     $ 2,277,451     $ 2,188,825     $ 2,329,912     $ 1,683,465  

Ratio of Expenses to Average Net Assets

    0.13     0.13     0.13     0.13     0.13     0.12     0.11     0.11     0.12     0.12

Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)

    0.13     0.13     0.13     0.13     0.13     0.12     0.12     0.11     0.12     0.12

Ratio of Net Investment Income to Average Net Assets

    4.21     4.11     3.96     3.82     4.00     2.38     3.43     3.23     3.40     4.36

Portfolio Turnover Rate

    18     18     18     14     10     9     18     14     9     15

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

226


THE DFA INVESTMENT TRUST COMPANY

FINANCIAL HIGHLIGHTS

 

 

    The Continental Small Company Series     The Canadian Small Company Series  
    Year
Ended
Oct 31,

2020
    Year
Ended
Oct 31,

2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,

2017
    Year
Ended
Oct 31,
2016
    Year
Ended

Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,

2017
    Year
Ended

Oct 31,
2016
 

Total Return

    (2.23 %)      8.43     (10.78 %)      34.27     6.10     6.02     1.00     (10.44 %)      12.10     20.77
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 4,601,945     $ 5,607,495     $ 5,422,260     $ 5,751,059     $ 4,147,925     $ 970,883     $ 1,148,615     $ 1,146,811     $ 1,190,222     $ 933,264  

Ratio of Expenses to Average Net Assets

    0.12     0.12     0.12     0.13     0.13     0.12     0.12     0.12     0.12     0.12

Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)

    0.12     0.13     0.12     0.13     0.13     0.12     0.12     0.12     0.12     0.12

Ratio of Net Investment Income to Average Net Assets

    2.15     2.74     2.51     2.33     2.49     2.08     2.37     2.11     2.14     2.52

Portfolio Turnover Rate

    8     17     15     13     9     18     12     14     22     8

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

227


THE DFA INVESTMENT TRUST COMPANY

FINANCIAL HIGHLIGHTS

 

 

    The Emerging Markets Series     The Emerging Markets Small Cap Series  
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,

2017
    Year
Ended
Oct 31,
2016
    Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,

2017
    Year
Ended
Oct 31,
2016
 

Total Return

    2.67     11.40     (11.83 %)      25.26     11.44     1.25     13.47     (16.06 %)      21.55     14.45
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

  $ 5,724,325     $ 6,034,162     $ 5,469,649     $ 6,723,207     $ 4,997,731     $ 4,906,954     $ 6,430,367     $ 6,306,302     $ 7,253,457     $ 5,515,647  

Ratio of Expenses to Average Net Assets

    0.13     0.14     0.14     0.15     0.15     0.25     0.24     0.24     0.27     0.26

Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)

    0.14     0.15     0.14     0.15     0.15     0.26     0.25     0.24     0.27     0.26

Ratio of Net Investment Income to Average Net Assets

    2.38     3.04     2.40     2.23     2.45     2.64     2.90     2.77     2.78     2.89

Portfolio Turnover Rate

    22     9     12     8     5     18     12     12     15     18

See page 1-2 for the Definitions of Abbreviations and Footnotes.

 

See accompanying Notes to Financial Statements.

228


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, eight of which, 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 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 the Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”), Topic 946, “Financial Services-Investment Companies.”

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, the 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 use 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, and 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 Series, 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 Series 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 Series value the securities within the range of the most recent quoted bid and ask 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 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 Series 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 Series 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.

 

229


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 Series are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Series price their shares at the close of the NYSE, the Series 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 Series’ 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 Series 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 Series uses data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When a Series uses fair value pricing, the values assigned to the Series’ 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 methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

2. Foreign Currency Translation: Securities and other assets and liabilities of the Series, whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and ask prices for the U.S. dollar as quoted by generally recognized reliable sources. To facilitate the translation, the Series enter into foreign currency contracts. A foreign currency contract is a spot agreement between two parties to buy and sell currencies at current market exchange rates, for settlement generally within two business days. 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 Series do not isolate the effect of foreign currency rate fluctuations 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 of securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the Series and the U.S. dollar equivalent amounts actually received or paid.

3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect to participate 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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ Trustees’ Fees & Expenses.

The Trustees may receive their distributions of proceeds by 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. The date may not be sooner than the earlier of: (i)

 

230


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, 2020, 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 and 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 received distributions 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, using 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 Series 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. Additionally, 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 tax on short-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.

C. Investment Advisor:

The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Series. For the year ended October 31, 2020, 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 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

 

231


Earned Income Credit:

Additionally, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the 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, 2020, expenses reduced were as follows (amounts in thousands):

 

     Fees Paid
Indirectly
 

The DFA International Value Series

   $ 815  

The Japanese Small Company Series

     55  

The Asia Pacific Small Company Series

     33  

The United Kingdom Small Company Series

     15  

The Continental Small Company Series

     87  

The Canadian Small Company Series

     6  

The Emerging Markets Series

     456  

The Emerging Markets Small Cap Series

     276  

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, 2020, the total related amounts paid by the Trust to the CCO were $63 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statements of Operations.

D. Deferred Compensation:

As of October 31, 2020, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statements of Assets and Liabilities as follows (amounts in thousands):

 

The DFA International Value Series

   $ 418  

The Japanese Small Company Series

     108  

The Asia Pacific Small Company Series

     54  

The United Kingdom Small Company Series

     66  

The Continental Small Company Series

     139  

The Canadian Small Company Series

     32  

The Emerging Markets Series

     179  

The Emerging Markets Small Cap Series

     155  

E. Purchases and Sales of Securities:

For the year ended October 31, 2020, the Series’ transactions related to investment securities, other than short-term securities, in-kind redemptions and U.S. Government securities (amounts in thousands), were as follows:

 

     Purchases      Sales  

The DFA International Value Series

   $ 1,238,662      $ 1,565,966  

The Japanese Small Company Series

   $ 159,950      $ 767,401  

The Asia Pacific Small Company Series

   $ 265,357      $ 285,151  

The United Kingdom Small Company Series

   $ 166,368      $ 438,701  

The Continental Small Company Series

   $ 391,305      $ 1,070,561  

The Canadian Small Company Series

   $ 184,348      $ 341,667  

 

232


     Purchases      Sales  

The Emerging Markets Series

   $ 1,257,893      $ 1,636,494  

The Emerging Markets Small Cap Series

   $ 945,108      $ 2,159,526  

There were no purchases or sales of long-term U.S. government securities.

For the year ended October 31, 2020, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, are presented below.

The amounts presented below may differ from the respective amounts presented in the corresponding Summary Schedule of Portfolio Holdings, Statement of Assets and Liabilities or Statement of Operations due to rounding. The amounts are as follows (amounts in thousands):

 

    Balance at
October 31,
2019
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain/(Loss)
on Sales
    Change in
Unrealized
Appreciation/
Depreciation
    Balance at
October 31,
2020
    Shares as of
October 31,
2020
    Dividend
Income
    Capital Gain
Distributions
 

The DFA International Value Series

                 

The DFA Short Term Investment Fund

  $ 257,592     $ 4,172,345     $ 4,166,083     $ 72     $ 85     $ 264,011       22,817     $ 3,330       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 257,592     $ 4,172,345     $ 4,166,083     $ 72     $ 85     $ 264,011       22,817     $ 3,330       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The Japanese Small Company Series

                 

The DFA Short Term Investment Fund

  $ 91,203     $ 476,281     $ 509,635     $ (9   $ 9     $ 57,849       5,000     $ 636       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 91,203     $ 476,281     $ 509,635     $ (9   $ 9     $ 57,849       5,000     $ 636       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The Asia Pacific Small Company Series

                 

The DFA Short Term Investment Fund

  $ 48,848     $ 244,129     $ 250,919     $ (11   $ 1     $ 42,048       3,634     $ 581       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 48,848     $ 244,129     $ 250,919     $ (11   $ 1     $ 42,048       3,634     $ 581       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The United Kingdom Small Company Series

                 

The DFA Short Term Investment Fund

  $ 18,814     $ 169,994     $ 157,565     $ (1   $ 4     $ 31,246       2,700     $ 230       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 18,814     $ 169,994     $ 157,565     $ (1   $ 4     $ 31,246       2,700     $ 230       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The Continental Small Company Series

                 

The DFA Short Term Investment Fund

  $ 514,886     $ 1,149,359     $ 1,339,792     $ (26   $ (9   $ 324,418       28,037     $ 3,554       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 514,886     $ 1,149,359     $ 1,339,792     $ (26   $ (9   $ 324,418       28,037     $ 3,554       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The Canadian Small Company Series

                 

The DFA Short Term Investment Fund

  $ 181,292     $ 677,886     $ 712,841     $ (8   $ 3     $ 146,332       12,646     $ 1,201       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 181,292     $ 677,886     $ 712,841     $ (8   $ 3     $ 146,332       12,646     $ 1,201       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

233


    Balance at
October 31,
2019
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain/(Loss)
on Sales
    Change in
Unrealized
Appreciation/
Depreciation
    Balance at
October 31,
2020
    Shares as of
October 31,
2020
    Dividend
Income
    Capital Gain
Distributions
 

The Emerging Markets Series

                 

The DFA Short Term Investment Fund

 

$

133,344

 

 

$

643,133

 

 

$

689,634

 

 

$

(9

 

$

3

 

 

$

86,837

 

 

 

7,505

 

 

$

998

 

 

 

—  

 

 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 133,344     $ 643,133     $ 689,634     $ (9   $ 3     $ 86,837       7,505     $ 998       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The Emerging Markets Small Cap Series

                 

The DFA Short Term Investment Fund

 

$

226,780

 

 

$

545,784

 

 

$

649,946

 

 

$

(5

 

$

(2

 

$

122,611

 

 

 

10,596

 

 

$

1,791

 

 

 

—  

 

 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 226,780     $ 545,784     $ 649,946     $ (5   $ (2   $ 122,611       10,596     $ 1,791       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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.

As of October 31, 2020, 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):

 

     Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net
Unrealized
Appreciation
(Depreciation)
 

The DFA International Value Series

   $ 11,412,254      $ 988,071      $ (2,808,885    $ (1,820,814

The Japanese Small Company Series

     2,746,556        657,118        (426,516      230,602  

The Asia Pacific Small Company Series

     1,697,873        345,260        (483,934      (138,674

The United Kingdom Small Company Series

     1,697,627        308,178        (504,701      (196,523

The Continental Small Company Series

     4,718,799        1,262,762        (1,079,467      183,295  

The Canadian Small Company Series

     1,151,361        251,770        (289,101      (37,331

The Emerging Markets Series

     3,937,373        2,325,868        (499,442      1,826,426  

The Emerging Markets Small Cap Series

     4,852,942        1,222,216        (1,104,728      117,488  

The difference between GAAP-basis and tax-basis unrealized gains (losses) is can occur as a result of wash sales and net mark to market gains (losses) on regulated futures contracts, net mark-to-market gain/loss on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments.

ASC 740 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.

 

234


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.

Series that have significant exposure to certain countries, such as The United Kingdom Small Company Series that concentrates investments in the United Kingdom, can be expected to be impacted by the political and economic conditions within such countries. For example, there is continuing uncertainty around the future of the euro and the European Union (EU) following the United Kingdom’s (UK) exit from the EU (referred to as “Brexit”). Brexit may cause greater market volatility and illiquidity, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and increased likelihood of a recession in the UK. While it is not possible to determine the precise impact these events may have on the Series, during this period and beyond, the impact on the UK, EU countries, other countries or parties that transact with the UK and EU, and the broader global economy could be significant and could adversely affect the value and liquidity of the Series’ investments.

Derivative Financial Instruments:

Summarized below are the specific types of derivative instruments used by the Series.

2. Futures Contracts: The Series listed below 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, a Series deposits cash or pledges U.S. Government securities to a broker in an amount 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 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 entrance 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. Entering into stock index futures subjects the Series 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.

Securities have been segregated as collateral for open futures contracts.

The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2020 was as follows (amounts in thousands):

 

     Futures*  

The DFA International Value Series

   $ 109,918  

The Asia Pacific Small Company Series

     1,427  

The United Kingdom Small Company Series

     465  

 

235


     Futures*  

The Emerging Markets Series

   $ 54,034  

The Emerging Markets Small Cap Series

     38,684  

 

*

Average Notional Value of contracts

The following is a summary of the Series’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2020 (amounts in thousands):

 

     Asset Derivatives Value  
     Total Value
at
October 31, 2020
     Equity
Contracts*,(1)
 

The Emerging Markets Series

   $ 322      $ 322  

The Emerging Markets Small Cap Series

     245        245  
     Liability Derivatives Value  
     Total Value
at
October 31, 2020
     Equity
Contracts (2)
 

The DFA International Value Series

   $ (2,236    $ (2,236

The Emerging Markets Series

     (285      (285

 

(1)

Presented on Statements of Assets and Liabilities as Receivables: Futures Margin Variation.

(2)

Presented on Statements of Assets and Liabilities as Payables: Futures Margin Variation.

*

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 realized and change in unrealized gains and losses from the Series’ derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2020 (amounts in thousands):

 

     Realized Gain (Loss) on
Derivatives
 
     Total      Equity
Contracts (1)
 

The DFA International Value Series

   $ 40,717      $ 40,717  

The Asia Pacific Small Company Series

     608        608

The United Kingdom Small Company Series

     (394      (394 )* 

The Continental Small Company Series

     (260      (260 )* 

The Emerging Markets Series

     20,410        20,410  

The Emerging Markets Small Cap Series

     16,698        16,698  

 

     Change in Unrealized Appreciation
(Depreciation) on Derivatives
 
     Total      Equity
Contracts (2)
 

The DFA International Value Series

   $ (3,281    $ (3,281

The Emerging Markets Series

     (366      (366

 

236


     Change in Unrealized
Appreciation

(Depreciation) on Derivatives
 
     Total      Equity
Contracts (2)
 

The Emerging Markets Small Cap Series

   $ (512    $ (512

 

(1)

Presented on Statements of Operations as Net Realized Gain (Loss) on: Futures.

(2)

Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) of: Futures.

*

As of October 31, 2020, there were no futures contracts outstanding. During the year ended October 31, 2020, the Series had limited activity in futures contracts.

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 April 8, 2020, with its domestic custodian bank. A line of credit with similar terms was in effect through April 8, 2020. 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 April 7, 2021.

The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective January 2, 2020. A line of credit with similar terms was in effect through January 2, 2020. 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 $700 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit agreement expires on January 1, 2021.

For the year ended October 31, 2020, borrowings by the following Series under the lines of credit were as follows (amounts in thousands, except percentages and days):

 

     Weighted
Average
Interest Rate
    Weighted
Average
Loan Balance
     Number of
Days
Outstanding*
     Interest
Expense
Incurred
     Maximum Amount
Borrowed During
the Period
     Outstanding
Borrowings
as of 10/31/2020
 

The DFA International Value Series

     1.05   $ 5,051        27      $ 4      $ 26,672        —    

The Japanese Small Company Series

     1.29     10,351        25        9        39,665        —    

The Asia Pacific Small Company Series

     1.18     120        37        —          1,588        —    

The United Kingdom Small Company Series

     1.88     117        12        —          278        —    

The Continental Small Company Series

     1.22     5,962        8        1        36,080        —    

The Canadian Small Company Series

     1.22     243        19        —          2,070        —    

 

237


     Weighted
Average
Interest Rate
    Weighted
Average
Loan Balance
     Number of
Days
Outstanding*
     Interest
Expense
Incurred
     Maximum Amount
Borrowed During
the Period
     Outstanding
Borrowings
as of 10/31/2020
 

The Emerging Markets Series

     1.00   $  6,009        9      $ 1      $ 23,073        —    

The Emerging Markets Small Cap Series

     1.18     9,458        37        10        39,369        —    

 

*

Number of Days Outstanding represents the total single or consecutive days during the year ended October 31, 2020, that each Series’ available line of credit was used.

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. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.

The Series did not use the interfund lending program during the year ended October 31, 2020.

I. Affiliated Trades:

Cross trades for the year ended October 31, 2020, 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 a common investment advisor (or affiliated investment advisors), common Trustees and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Series complied with the Rule 17a-7 Procedures adopted by the Board of Trustees of the Trust.

For the year ended October 31, 2020, cross trades by the Series under Rule 17a-7 were as follows (amounts in thousands):

 

Series

   Purchases      Sales      Realized Gain (Loss)  

The DFA International Value Series

   $ 74,530      $ 141,663      $ (89,237

The Japanese Small Company Series

     28,652        26,969        802  

The Asia Pacific Small Company Series

     30,308        33,449        3,587  

The United Kingdom Small Company Series

     14,591        13,013        (11,437

The Continental Small Company Series

     24,868        51,077        (2,895

The Canadian Small Company Series

     38,671        17,745        (12,151

The Emerging Markets Series

     1,169        2,421        (1,126

The Emerging Markets Small Cap Series

     3,427        3,807        (751

 

238


J. Securities Lending:

As of October 31, 2020, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. The Series also received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):

 

     Non-Cash
Collateral
Market
Value
 

The DFA International Value Series

   $ 9,145  

The Japanese Small Company Series

     76,030  

The Asia Pacific Small Company Series

     88,424  

The United Kingdom Small Company Series

     105  

The Continental Small Company Series

     12,013  

The Canadian Small Company Series

     31,442  

The Emerging Markets Series

     67,242  

The Emerging Markets Small Cap Series

     321,403  

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, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and 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, the Series could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.

Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. The 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 or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, 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 for taxation at qualified dividend income rates.

 

239


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, 2020 (amounts in thousands):

 

     Remaining Contractual Maturity of the Agreements
As of October 31, 2020
 
     Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions

              

The DFA International Value Series

              

Common Stocks

   $ 263,837        —          —          —        $ 263,837  

The Japanese Small Company Series

              

Common Stocks

     57,878        —          —          —          57,878  

The Asia Pacific Small Company Series

              

Common Stocks

     42,044        —          —          —          42,044  

The United Kingdom Small Company Series

              

Common Stocks

     31,244        —          —          —          31,244  

The Continental Small Company Series

              

Common Stocks, Rights/Warrants

     324,448        —          —          —          324,448  

The Canadian Small Company Series

              

Common Stocks, Rights/Warrants

     146,315        —          —          —          146,315  

The Emerging Markets Series

              

Common Stocks

     86,841        —          —          —          86,841  

The Emerging Markets Small Cap Series

              

Common Stocks

     122,565        —          —          —          122,565  

K. Indemnitees; Contractual Obligations:

Under the Trust’s organizational documents, its Officers and Trustees 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. Recently Issued Accounting Standards:

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Trust’s adoption of ASU 2017-08 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020 and management has concluded that the change in accounting principle does not materially impact the financial statement amounts.

In August 2018, the FASB issued ASU No. 2018-13, “Fair Value Measurements” (“ASU 2018-13”). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurement. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Series’ early adoption of all of the ASU 2018-13 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020.

 

240


On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced the intention to phase out the use of London Interbank Offered Rate (“LIBOR”) by the end of 2021. In the interim, there remains uncertainty regarding the impact the transition to replacement rates may have on the value of LIBOR-based investments. In March 2020, the FASB issued ASU 2020-04 which provides optional guidance to ease the potential accounting burden associated with transitioning away from the LIBOR and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.

M. Coronavirus (COVID-19) Pandemic:

The continued worldwide spread of novel coronavirus (COVID-19) and its impact on international business operations, supply chains, travel, commodity prices, consumer confidence and business forecasts, and the associated impact on domestic and international equity markets and fixed income yields, has caused uncertainty for the global economy and financial markets. If market expectations regarding the impact of COVID-19 worsen, or if expected returns change because investors demand higher returns to invest in these uncertain times, there may be a detrimental impact on returns in the near term.

N. Other:

The Series and the Trust are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when The Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against the Series and the Trust, individually or in aggregate, will not have a material adverse impact on the Series’ and the Trust’s financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.

O. Subsequent Event Evaluations:

On November 12, 2020, President Trump issued an Executive Order titled “Addressing the Threat from Securities Investments that Finance Communist Chinese Military Companies” (the “Order”). Beginning January 11, 2021, the Order will prohibit U.S. entities from participating in certain types of transactions involving securities of Chinese companies known to be associated with the Chinese military. Management is currently evaluating the Order’s effect on the Funds.

 

241


Report of Independent Registered Public Accounting Firm

To the Board of Trustees of The DFA Investment Trust Company and Shareholders of 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

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, of 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 (eight of the series constituting The DFA Investment Trust Company, hereafter collectively referred to as the “Series”) as of October 31, 2020, the related statements of operations for the year ended October 31, 2020, the statements of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Series as of October 31, 2020, 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 ended October 31, 2020, and each of the financial highlights for each of the five years in the period ended October 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on the Series’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Series in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

December 18, 2020

We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.


DIMENSIONAL EMERGING MARKETS VALUE FUND

PERFORMANCE CHARTS

(Unaudited)

 

 

Dimensional Emerging Markets Value Fund vs.

MSCI Emerging Markets Index (net dividends)

October 31, 2010-October 31, 2020

 

LOGO   

Past performance is not predictive of future performance.

 

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

MSCI data © MSCI 2020, all rights reserved.

 

 

 

243


MANAGEMENT’S DISCUSSION AND ANALYSIS

 

International Equity Market Review    12 Months Ended October 31, 2020

Performance of non-U.S. developed markets was mostly negative for the period. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI World ex USA indices.

12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI World ex USA Index

     -6.79

MSCI World ex USA Mid Cap Index

     -3.83

MSCI World ex USA Small Cap Index

     -0.65

MSCI World ex USA Value Index

     -18.72

MSCI World ex USA Growth Index

     5.65

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against most non-U.S. developed markets currencies. Overall, currency movements had a positive impact on the U.S. dollar-denominated returns of developed markets.

12 Months Ended October 31, 2020

 

Ten Largest Foreign Developed Markets by Market Cap

   Local Return     Return in U.S. Dollars  

Japan

     -2.97     0.33

United Kingdom

     -22.19     -22.25

France

     -17.43     -13.79

Switzerland

     -4.37     2.95

Canada

     -4.70     -6.05

Germany

     -10.77     -6.84

Australia

     -11.01     -9.29

Netherlands

     4.14     8.62

Hong Kong

     -8.06     -7.15

Sweden

     0.79     9.10

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

Emerging markets had mostly positive performance for the period, outperforming non-U.S. developed markets but underperforming the U.S. As measured by the MSCI Emerging Markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, underperformed large-cap stocks and small-cap stocks. Value stocks underperformed growth stocks as measured by the MSCI Emerging Markets indices.

 

244


12 Months Ended October 31, 2020

 

     Return in U.S. Dollars  

MSCI Emerging Markets Index

     8.25

MSCI Emerging Markets Mid Cap Index

     -3.22

MSCI Emerging Markets Small Cap Index

     2.39

MSCI Emerging Markets Value Index

     -8.47

MSCI Emerging Markets Growth Index

     25.97

For the 12 Months Ended October 31, 2020, the U.S. dollar depreciated against some emerging markets currencies and appreciated against others. Overall, currency movements had a negative impact on the U.S. dollar denominated returns of emerging markets.

12 Months Ended October 31, 2020

 

Ten Largest Emerging Markets by Market Cap

   Local Return     Return in U.S.  

Dollars

            

China

     33.57     35.19

Taiwan

     18.86     26.49

Korea

     11.33     14.15

India

     1.83     -2.54

Brazil

     -11.13     -38.13

South Africa

     -6.49     -13.31

Saudi Arabia

     -0.90     -0.90

Russia

     -14.17     -29.27

Thailand

     -28.54     -30.77

Malaysia

     -6.02     -5.49

Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2020, all rights reserved.

For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios 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, 2020, these differences generally contributed positively to the Portfolios’ relative performance.

 

245


Dimensional Emerging Markets Value Fund

The Dimensional Emerging Markets Value Fund invests in value stocks of large and small companies in emerging markets. The investment strategy is process driven, emphasizing broad diversification with increased exposure to stocks with smaller market capitalizations, lower relative price (value), and higher-profitability within the value segment of emerging markets. As of October 31, 2020, the Fund held approximately 2,870 securities in 22 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the Fund’s assets.

For the 12 months ended October 31, 2020, total returns were -9.41% for the Fund and 8.25% for the MSCI Emerging Markets Index (net dividends), the Fund’s benchmark. The Fund’s focus on low relative price (value) stocks had a negative impact on performance relative to the style-neutral benchmark, as value stocks underperformed high relative price (growth) stocks in emerging markets for the period. With small-cap stocks underperforming large-cap stocks, the Fund’s inclusion of small-caps also detracted from performance relative to the benchmark, which is composed primarily of large- and mid-cap stocks.

 

246


DIMENSIONAL EMERGING MARKETS VALUE FUND

DISCLOSURE OF FUND EXPENSES

(Unaudited)

The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses and 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” reflects the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

Hypothetical Example for Comparison Purposes

This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.

 

247


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

Six Months Ended October 31, 2020

EXPENSE TABLE

 

     Beginning
Account
Value
05/01/20
     Ending
Account
Value
10/31/20
     Annualized
Expense
Ratio (1)
    Expenses
Paid
During
Period (1)
 

Dimensional Emerging Markets Value Fund

          

Actual Fund Return Institutional Class Shares

   $ 1,000.00      $ 1,119.80        0.14   $ 0.75  

Hypothetical 5% Annual Return Institutional Class Shares

   $ 1,000.00      $ 1,024.43        0.14   $ 0.71  

 

(1)

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.

 

248


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 as an exhibit to their reports on Form N-PORT. For the Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-PORT with the SEC on September 29, 2020. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; by visiting the SEC’s website at http://www.sec.gov; or by visiting 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; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

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 used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this 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
 

Communication Services

     6.1

Consumer Discretionary

     8.3

Consumer Staples

     2.5

Energy

     11.8

Financials

     26.8

Health Care

     2.2

Industrials

     9.0

Information Technology

     10.6

Materials

     14.2

Real Estate

     7.0

Utilities

     1.5
  

 

 

 
     100.0

 

249


DIMENSIONAL EMERGING MARKETS VALUE FUND

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2020

 

          Shares      Value»      Percentage
of Net Assets‡
 

COMMON STOCKS — (97.7%)

        

BRAZIL — (3.8%)

        
   Petroleo Brasileiro SA      13,010,994      $ 43,083,137        0.3

#

   Petroleo Brasileiro SA, Sponsored ADR      10,919,479        72,177,756        0.6

#

   Petroleo Brasileiro SA, Sponsored ADR      7,354,006        48,757,060        0.4
   Vale SA      19,189,949        202,502,886        1.6
   Other Securities         120,277,212        0.9
        

 

 

    

 

 

 

TOTAL BRAZIL

        486,798,051        3.8
        

 

 

    

 

 

 

CHILE — (0.8%)

        
   Other Securities         105,259,000        0.8
        

 

 

    

 

 

 

CHINA — (34.1%)

        
   Agricultural Bank of China, Ltd., Class H      168,975,000        57,488,052        0.5

*

   Baidu, Inc., Sponsored ADR      850,256        113,126,561        0.9
   Bank of China, Ltd., Class H      429,401,817        135,631,320        1.1
   China Construction Bank Corp., Class H      536,266,101        369,547,974        2.9
   China Merchants Bank Co., Ltd., Class H      9,899,500        51,565,831        0.4
   China Mobile, Ltd.      47,016,500        287,578,277        2.3

#

   China Mobile, Ltd., Sponsored ADR      1,828,857        56,200,776        0.5
   China National Building Material Co., Ltd., Class H      39,005,250        44,897,440        0.4
   China Overseas Land & Investment, Ltd.      35,908,000        90,193,360        0.7
   China Resources Land, Ltd.      27,684,000        113,218,297        0.9
   China Shenhua Energy Co., Ltd., Class H      30,249,000        52,410,637        0.4
   CNOOC, Ltd.      135,780,000        124,232,684        1.0

#

   CNOOC, Ltd., Sponsored ADR      251,574        23,174,997        0.2
   Industrial & Commercial Bank of China, Ltd., Class H      388,008,996        220,336,358        1.7
   PetroChina Co., Ltd., Class H      176,780,000        49,646,414        0.4

*

   Trip.com Group, Ltd., ADR      2,378,359        68,401,605        0.5
   Other Securities         2,553,703,914        19.5
        

 

 

    

 

 

 

TOTAL CHINA

        4,411,354,497        34.3
        

 

 

    

 

 

 

COLOMBIA — (0.1%)

        
   Other Securities         13,754,828        0.1
        

 

 

    

 

 

 

CZECH REPUBLIC — (0.2%)

        
   Other Security         21,954,944        0.2
        

 

 

    

 

 

 

GREECE — (0.2%)

        
   Other Securities         19,330,083        0.2
        

 

 

    

 

 

 

HONG KONG — (0.1%)

        
   Other Securities         11,047,184        0.1
        

 

 

    

 

 

 

HUNGARY — (0.2%)

        
   Other Securities         22,221,112        0.2
        

 

 

    

 

 

 

INDIA — (11.2%)

        

*

   Axis Bank, Ltd.      8,523,857        56,329,366        0.5
   Bharti Airtel, Ltd.      8,859,463        51,682,131        0.4

#*

   ICICI Bank, Ltd., Sponsored ADR      5,868,831        61,916,166        0.5
   Reliance Industries, Ltd.      17,062,685        475,326,938        3.7
   Wipro, Ltd.      9,688,471        44,470,377        0.4

 

250


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

INDIA — (Continued)

        
   Other Securities       $ 765,601,726        5.8
        

 

 

    

 

 

 

TOTAL INDIA

        1,455,326,704        11.3
        

 

 

    

 

 

 

INDONESIA — (1.7%)

        
   Other Securities         222,498,298        1.7
        

 

 

    

 

 

 

MALAYSIA — (2.0%)

        
   Other Securities         263,749,256        2.0
        

 

 

    

 

 

 

MEXICO — (2.6%)

        

*

   Grupo Financiero Banorte S.A.B. de C.V., Class O      13,470,783        60,077,605        0.5

#

   Grupo Mexico S.A.B. de C.V., Class B      26,674,348        76,056,128        0.6
   Other Securities         202,392,250        1.5
        

 

 

    

 

 

 

TOTAL MEXICO

        338,525,983        2.6
        

 

 

    

 

 

 

PHILIPPINES — (1.1%)

        
   Other Securities         137,610,706        1.1
        

 

 

    

 

 

 

POLAND — (0.6%)

        
   Other Securities         83,612,237        0.6
        

 

 

    

 

 

 

QATAR — (0.1%)

        
   Other Securities         18,397,840        0.1
        

 

 

    

 

 

 

RUSSIA — (1.2%)

        
   Gazprom PJSC, Sponsored ADR      13,197,152        50,559,042        0.4
   Lukoil PJSC, Sponsored ADR      1,567,520        80,199,247        0.6
   Other Securities         22,795,935        0.2
        

 

 

    

 

 

 

TOTAL RUSSIA

        153,554,224        1.2
        

 

 

    

 

 

 

SAUDI ARABIA — (1.4%)

        
   Other Securities         181,979,535        1.4
        

 

 

    

 

 

 

SOUTH AFRICA — (3.6%)

        
   Gold Fields, Ltd., Sponsored ADR      4,043,915        44,199,991        0.4

#

   MTN Group, Ltd.      17,362,155        61,991,752        0.5

#

   Standard Bank Group, Ltd.      8,692,029        56,836,235        0.5
   Other Securities         309,122,180        2.3
        

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        472,150,158        3.7
        

 

 

    

 

 

 

SOUTH KOREA — (13.3%)

        
   Hana Financial Group, Inc.      2,258,552        61,009,048        0.5
   Hyundai Mobis Co., Ltd.      283,243        56,751,564        0.5
   Hyundai Motor Co.      625,316        91,531,258        0.7

#

   KB Financial Group, Inc., ADR      2,791,178        99,728,790        0.8
   Kia Motors Corp.      1,464,704        65,690,709        0.5
   LG Electronics, Inc.      1,110,054        82,520,798        0.7

#

   POSCO, Sponsored ADR      1,001,387        46,374,232        0.4
   Samsung Electronics Co., Ltd.      1,859,363        93,462,013        0.7
   Other Securities         1,129,694,320        8.6
        

 

 

    

 

 

 

TOTAL SOUTH KOREA

        1,726,762,732        13.4
        

 

 

    

 

 

 

 

251


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

TAIWAN — (16.8%)

        
  

Cathay Financial Holding Co., Ltd.

     60,483,459      $ 81,273,650        0.7
  

China Steel Corp.

     95,778,320        68,037,274        0.5
  

CTBC Financial Holding Co., Ltd.

     128,423,073        81,100,440        0.6
  

E.Sun Financial Holding Co., Ltd.

     77,915,310        66,244,829        0.5
  

First Financial Holding Co., Ltd.

     71,961,241        50,493,024        0.4
  

Fubon Financial Holding Co., Ltd.

     44,449,471        63,320,705        0.5
  

Hon Hai Precision Industry Co., Ltd.

     53,136,192        144,112,269        1.1
  

Taiwan Cement Corp.

     57,812,948        82,046,639        0.7

#

  

United Microelectronics Corp.

     78,777,681        84,666,360        0.7
  

Yuanta Financial Holding Co., Ltd.

     80,471,994        50,031,701        0.4
  

Other Securities

        1,403,433,958        10.8
        

 

 

    

 

 

 

TOTAL TAIWAN

        2,174,760,849        16.9
        

 

 

    

 

 

 

THAILAND — (2.0%)

        
  

PTT PCL

     66,812,900        66,453,835        0.5
  

Other Securities

        191,493,648        1.5
        

 

 

    

 

 

 

TOTAL THAILAND

        257,947,483        2.0
        

 

 

    

 

 

 

TURKEY — (0.5%)

        
  

Other Securities

        65,394,133        0.5
        

 

 

    

 

 

 

UNITED ARAB EMIRATES — (0.1%)

        
  

Other Securities

        14,562,437        0.1
        

 

 

    

 

 

 

UNITED STATES — (0.0%)

        
  

Other Security

        98,855        0.0
        

 

 

    

 

 

 

TOTAL COMMON STOCKS

        12,658,651,129        98.3
        

 

 

    

 

 

 

PREFERRED STOCKS — (0.5%)

        

BRAZIL — (0.5%)

        
  

Petroleo Brasileiro SA

     13,455,005        44,412,690        0.4
  

Other Securities

        15,282,263        0.1
        

 

 

    

 

 

 

TOTAL BRAZIL

        59,694,953        0.5
        

 

 

    

 

 

 

COLOMBIA — (0.0%)

        
  

Other Securities

        4,904,924        0.0
        

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        64,599,877        0.5
        

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

MALAYSIA — (0.0%)

        
  

Other Securities

        405,349        0.0
        

 

 

    

 

 

 

SOUTH KOREA — (0.0%)

        
  

Other Security

        254,155        0.0
        

 

 

    

 

 

 

 

252


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»      Percentage
of Net Assets‡
 

TAIWAN — (0.0%)

        
   Other Securities       $ 2,313        0.0
        

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        661,817        0.0
        

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $13,107,440,251)

        12,723,912,823     
        

 

 

    
                 Value†         

SECURITIES LENDING COLLATERAL — (1.8%)

        

   The DFA Short Term Investment Fund      19,810,381        229,225,917        1.8
        

 

 

    

 

 

 

TOTAL INVESTMENTS—(100.0%)
(Cost $13,336,594,488)

      $ 12,953,138,740        100.6
        

 

 

    

 

 

 

As of October 31, 2020, Dimensional Emerging Markets Value Fund had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

E-Mini MSCI Emerging Markets Index

     650        12/18/20      $ 35,377,256      $ 35,811,750      $ 434,494  

S&P 500® Emini Index

     341        12/18/20        56,486,741        55,663,135        (823,606
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 91,863,997      $ 91,474,885      $ (389,112
        

 

 

    

 

 

    

 

 

 

Summary of the Fund’s investments as of October 31, 2020, 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

   $  486,798,051        —          —        $ 486,798,051  

Chile

     22,773,370      $ 82,485,630        —          105,259,000  

China

     441,920,900        3,969,433,597        —          4,411,354,497  

Colombia

     13,754,828        —          —          13,754,828  

Czech Republic

     —          21,954,944        —          21,954,944  

Greece

     42,454        19,287,629        —          19,330,083  

Hong Kong

     6,516,246        4,530,938        —          11,047,184  

Hungary

     —          22,221,112        —          22,221,112  

India

     74,865,280        1,380,461,424        —          1,455,326,704  

Indonesia

     923,002        221,575,296        —          222,498,298  

Malaysia

     —          263,749,256        —          263,749,256  

Mexico

     338,525,983        —          —          338,525,983  

Philippines

     —          137,610,706        —          137,610,706  

Poland

     —          83,612,237        —          83,612,237  

Qatar

     —          18,397,840        —          18,397,840  

Russia

     16,978,168        136,576,056        —          153,554,224  

Saudi Arabia

     —          181,979,535        —          181,979,535  

South Africa

     96,169,700        375,980,458        —          472,150,158  

South Korea

     210,985,568        1,515,777,164        —          1,726,762,732  

Taiwan

     16,381,437        2,158,379,412        —          2,174,760,849  

Thailand

     257,947,483        —          —          257,947,483  

Turkey

     —          65,394,133        —          65,394,133  

 

253


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1     Level 2      Level 3      Total  

United Arab Emirates

     —       $ 14,562,437        —        $ 14,562,437  

United States

     —         98,855        —          98,855  

Preferred Stocks

          

Brazil

   $ 59,694,953       —          —          59,694,953  

Colombia

     4,904,924       —          —          4,904,924  

Rights/Warrants

          

Malaysia

     —         405,349        —          405,349  

South Korea

     —         254,155        —          254,155  

Taiwan

     —         2,313        —          2,313  

Securities Lending Collateral

     —         229,225,917        —          229,225,917  

Futures Contracts**

     (389,112     —          —          (389,112
  

 

 

   

 

 

    

 

 

    

 

 

 

TOTAL

   $ 2,048,793,235     $ 10,903,956,393        —        $ 12,952,749,628  
  

 

 

   

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

254


DIMENSIONAL EMERGING MARKETS VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

OCTOBER 31, 2020

(Amounts in thousands)

 

     Dimensional
Emerging
Markets
Value Fund
 

ASSETS:

  

Investment Securities at Value (including $458,438 of securities on loan)*

   $ 12,723,913  

Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $229,154)

     229,226  

Segregated Cash for Futures Contracts

     7,192  

Foreign Currencies at Value

     70,818  

Cash

     13,826  

Receivables:

  

Investment Securities Sold

     60,270  

Dividends, Interest and Tax Reclaims

     7,777  

Securities Lending Income

     880  

Unrealized Gain on Foreign Currency Contracts

     39  
  

 

 

 

Total Assets

     13,113,941  
  

 

 

 

LIABILITIES:

  

Payables:

  

Upon Return of Securities Loaned

     229,200  

Investment Securities Purchased

     5,039  

Due to Advisor

     1,122  

Futures Margin Variation

     1,090  

Unrealized Loss on Foreign Currency Contracts

     18  

Deferred Taxes Payable

     4,533  

Accrued Expenses and Other Liabilities

     2,684  
  

 

 

 

Total Liabilities

     243,686  
  

 

 

 

NET ASSETS

   $ 12,870,255  
  

 

 

 

Investment Securities at Cost

   $ 13,107,440  
  

 

 

 

Foreign Currencies at Cost

   $ 70,646  
  

 

 

 

 

*

See Note I in the Notes to Financial Statements for additional information about securities lending collateral.

See accompanying Notes to Financial Statements.

 

255


DIMENSIONAL EMERGING MARKETS VALUE FUND

STATEMENT OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2020

(Amounts in thousands)

 

     Dimensional
Emerging
Markets
Value Fund#
 

Investment Income

  

Dividends (Net of Foreign Taxes Withheld of $71,099)

   $ 493,809  

Income from Securities Lending

     10,493  
  

 

 

 

Total Investment Income

     504,302  
  

 

 

 

Expenses

  

Investment Management Fees

     14,821  

Accounting & Transfer Agent Fees

     716  

Custodian Fees

     4,267  

Shareholders’ Reports

     79  

Directors’/Trustees’ Fees & Expenses

     122  

Professional Fees

     516  

Other

     2,677  
  

 

 

 

Total Expenses

     23,198  
  

 

 

 

Fees Paid Indirectly (Note C)

     1,109  
  

 

 

 

Net Expenses

     22,089  
  

 

 

 

Net Investment Income (Loss)

     482,213  
  

 

 

 

Realized and Unrealized Gain (Loss)

  

Net Realized Gain (Loss) on:

  

Investment Securities Sold**

     (1,060,455

Futures

     32,312  

Foreign Currency Transactions

     (13,373

Change in Unrealized Appreciation (Depreciation) of:

 

Investment Securities and Foreign Currency

     (1,145,339

Affiliated Investment Companies Shares

     14  

Futures

     (3,697

Translation of Foreign Currency-Denominated Amounts

     (40
  

 

 

 

Net Realized and Unrealized Gain (Loss)

     (2,190,578
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (1,708,365
  

 

 

 

 

**

Net of foreign capital gain taxes withheld of $370.

#

Portion of income is from investment in affiliated fund.

See accompanying Notes to Financial Statements.

 

256


DIMENSIONAL EMERGING MARKETS VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     Dimensional Emerging
Markets Value Fund
 
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
 

Increase (Decrease) in Net Assets

    

Operations:

    

Net Investment Income (Loss)

   $ 482,213     $ 520,823  

Net Realized Gain (Loss) on:

    

Investment Securities Sold*,**

     (1,060,455     (179,248

Affiliated Investment Companies Shares Sold

     —         (19

Futures

     32,312       5,514  

Foreign Currency Transactions

     (13,373     (3,145

Change in Unrealized Appreciation (Depreciation) of:

    

Investment Securities and Foreign Currency

     (1,145,339     474,939  

Affiliated Investment Companies Shares

     14       35  

Futures

     (3,697     12,212  

Translation of Foreign Currency-Denominated Amounts

     (40     (50
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     (1,708,365     831,061  
  

 

 

   

 

 

 

Transactions in Interest:

    

Contributions

     916,139       1,538,030  

Withdrawals

     (3,763,616     (1,627,901
  

 

 

   

 

 

 

Net Increase (Decrease) from Transactions in Interest

     (2,847,477     (89,871
  

 

 

   

 

 

 

Total Increase (Decrease) in Net Assets

     (4,555,842     741,190  

Net Assets

    

Beginning of Year

     17,426,097       16,684,907  
  

 

 

   

 

 

 

End of Year

   $ 12,870,255     $ 17,426,097  
  

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $370.

**

Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $1.

See accompanying Notes to Financial Statements.

 

257


DIMENSIONAL EMERGING MARKETS VALUE FUND

FINANCIAL HIGHLIGHTS

 

     Dimensional Emerging Markets Value Fund  
     Year
Ended
Oct 31,
2020
    Year
Ended
Oct 31,
2019
    Year
Ended
Oct 31,
2018
    Year
Ended
Oct 31,
2017
    Year
Ended
Oct 31,
2016
 

Total Return

     (9.41 %)      5.24     (9.06 %)      24.89     15.80
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 12,870,255     $ 17,426,097     $ 16,684,907     $ 19,612,211     $ 16,647,507  

Ratio of Expenses to Average Net Assets

     0.14     0.13     0.14     0.16     0.16

Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)

     0.14     0.15     0.14     0.16     0.16

Ratio of Net Investment Income to Average Net Assets

     3.25     2.95     2.78     2.64     2.72

Portfolio Turnover Rate

     20     14     13     14     12
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See page 1-2 for the Definitions of Abbreviations and Footnotes.

See accompanying Notes to Financial Statements.

 

258


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, the 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 uses 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, and 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 ask 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 at which the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the pricing of the Fund’s shares (at the close of the NYSE), the Fund will fair-value its foreign

 

259


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 calculated closing prices of the foreign investments 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 uses data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the Fund’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy.

Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund’s investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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 ask prices for the U.S. dollar as quoted by generally recognized reliable sources. To facilitate the translation, the Fund enters into foreign currency contracts. A foreign currency contract is a spot agreement between two parties to buy and sell currencies at current market exchange rates, for settlement generally within two business days. 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 foreign exchange rate fluctuations 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 of 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 to participate 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: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ Trustees’ Fees & Expenses. As of October 31, 2020, 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 $656 (in thousands).

The Trustees may receive their distributions of proceeds by 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. The 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 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

 

260


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, 2020, 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 received distributions 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. Additionally, 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 tax on short-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.

C. Investment Advisor:

The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Fund.

For the year ended October 31, 2020, the Fund’s investment management fee was accrued daily and paid monthly to the Advisor based on the following effective annual rate of average daily net assets:

 

Dimensional Emerging Markets Value Fund

     0.10

Earned Income Credit:

Additionally, the Fund has entered into arrangements with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund’s custody expense. Custody expense in the accompanying 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, 2020, expenses reduced were the following (amount in thousands):

 

     Fees Paid
Indirectly
 

Dimensional Emerging Markets Value Fund

   $ 1,109  

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, 2020, the total related amounts paid by the Fund to the CCO were $12 (in thousands) and are included in Other Expenses on the Statement of Operations.

 

261


D. Purchases and Sales of Securities:

For the year ended October 31, 2020, the Fund’s transactions related to investment securities, other than short-term securities, in-kind redemptions and U.S. Government securities (amounts in thousands), were as follows:

 

     Purchases      Sales  

Dimensional Emerging Markets Value Fund

   $ 2,830,349      $ 5,121,116  

There were no purchases or sales of long-term U.S. government securities.

For the year ended October 31, 2020, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, are presented below.

1. The amounts presented below may differ from the respective amounts presented in the corresponding Summary Schedule of Portfolio Holdings, Statement of Assets and Liabilities or Statement of Operations due to rounding. The amounts are as follows (amounts in thousands):

 

     Balance at
October 31, 2019
     Purchases
at Cost
     Proceeds
from Sales
     Net Realized
Gain/(Loss)
on Sales
     Change in
Unrealized
Appreciation/
Depreciation
     Balance at
October 31, 2020
     Shares as of
October 31, 2020
     Dividend
Income
     Capital Gain
Distributions
 

Dimensional Emerging Markets Value Fund

                          

The DFA Short Term Investment Fund

   $ 398,290      $ 1,877,609      $ 2,046,687        —        $ 14      $ 229,226        19,810      $ 2,913        —    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 398,290      $ 1,877,609      $ 2,046,687        —        $ 14      $ 229,226        19,810      $ 2,913        —    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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.

As of October 31, 2020, 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):

 

     Federal
Tax Cost
     Unrealized
Appreciation
     Unrealized
(Depreciation)
     Net
Unrealized
Appreciation
(Depreciation)
 

Dimensional Emerging Markets Value Fund

   $ 13,449,306      $ 2,557,581      $ (3,053,725    $ (496,144

The difference between GAAP-basis and tax basis unrealized gains (losses) can occur as a result of wash sales and net mark-to-market gains (losses) on regulated futures contracts, net mark--to-market gains (losses) on foreign currency contracts, and differences in tax treatment of passive foreign investment company instruments.

ASC 740 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.

 

262


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 foreign or U.S. 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 pledges U.S. government securities to a broker in an amount equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the Statement of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks may arise upon entrance into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. Entering into stock index futures subjects the Fund to equity price risk from those futures contracts. Counterparty 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.

Securities have been segregated as collateral for open futures contracts.

The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2020 was as follows (amount in thousands):

 

     Futures*  

Dimensional Emerging Markets Value Fund

   $ 119,847  

 

*

Average Notional Value of contracts

The following is a summary of the Fund’s derivative instrument holdings categorized by primary risk exposure as of October 31, 2020 (amounts in thousands):

 

     Asset Derivatives Value  
     Total Value
at
October 31, 2020
             Equity        
Contracts *,(1)
 

Dimensional Emerging Markets Value Fund

   $ 434      $ 434  

 

263


     Liability Derivatives Value  
     Total Value
at
October 31, 2020
     Equity
Contracts (2)
 

Dimensional Emerging Markets Value Fund.

   $ (824    $ (824

 

(1)

Presented on Statement of Assets and Liabilities as Receivables: Futures Margin Variation.

(2)

Presented on Statement of Assets and Liabilities as Payables: Futures Margin Variation.

*

Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

The following is a summary of the realized and change in unrealized gains and losses from the Fund’s derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2020 (amounts in thousands):

 

     Realized Gain (Loss) on
Derivatives
 
     Total      Equity
Contracts (1)
 

Dimensional Emerging Markets Value Fund.

   $ 32,312      $ 32,312  
     Change in Unrealized Appreciation
(Depreciation) on Derivatives
 
     Total      Equity
Contracts (2)
 

Dimensional Emerging Markets Value Fund.

   $ (3,697    $ (3,697

 

(1)

Presented on Statement of Operations as Net Realized Gain (Loss) on: Futures.

(2)

Presented on Statement of Operations as Change in Unrealized Appreciation (Depreciation) of: Futures.

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 April 8, 2020, with its domestic custodian bank. A line of credit with similar terms was in effect through April 8, 2020. 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 April 7, 2021.

The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective January 2, 2020. A line of credit with similar terms was in effect through January 2, 2020. 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 $700 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit agreement expires on January 1, 2021.

 

264


For the year ended October 31, 2020, borrowings by the Fund under the lines of credit were as follows (amounts in thousands, except percentages and days):

 

     Weighted
Average
Interest Rate
    Weighted
Average
Loan Balance
     Number of
Days
Outstanding*
     Interest
Expense
Incurred
     Maximum Amount
Borrowed During
the Period
     Outstanding
Borrowings
as of 10/31/2020
 

Dimensional Emerging Markets Value Fund

     1.06   $ 19,685        19      $ 9      $ 82,821        —    

 

*

Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2020, that the Fund’s available line of credit was used.

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 use the interfund lending program during the year ended October 31, 2020.

H. Affiliated Trades:

Cross trades for the year ended October 31, 2020, if any, were executed by the Fund pursuant to procedures adopted by the Board of Trustees 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 a common investment advisor (or affiliated investment advisors), common Trustees and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Fund complied with the Rule 17a-7 Procedures adopted by the Board of Trustees of the Fund.

For the year ended October 31, 2020, cross trades by the Fund under Rule 17a-7 were as follows (amounts in thousands):

 

Portfolio

   Purchases      Sales      Realized Gain (Loss)  

Dimensional Emerging Markets Value Fund

   $ 1,000      $ 5,517      $ 270  

I. Securities Lending:

As of October 31, 2020, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. The Fund also received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amount in thousands):

 

     Non-Cash
Collateral
Market
Value
 

Dimensional Emerging Markets Value Fund.

   $ 324,063  

 

265


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, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and 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 policies, 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. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. 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 or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, 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 for taxation 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, 2020 (amounts in thousands):

 

     Remaining Contractual Maturity of the Agreements
As of October 31, 2020
 
     Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions Dimensional Emerging Markets Value Fund

              

Common Stocks.

   $ 229,200        —          —          —        $ 229,200  

J. Indemnitees; Contractual Obligations:

Under the Fund’s organizational documents, its Officers and Trustees 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. Recently Issued Accounting Standards:

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those

 

266


annual periods. The Fund’s adoption of ASU 2017-08 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020 and management has concluded that the change in accounting principle does not materially impact the financial statement amounts.

In August 2018, the FASB issued ASU No. 2018-13, “Fair Value Measurements” (“ASU 2018-13”). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurement. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Fund’s early adoption of all of the ASU 2018-13 disclosure requirements are reflected within these financial statements prepared as of October 31, 2020.

On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced the intention to phase out the use of London Interbank Offered Rate (“LIBOR”) by the end of 2021. In the interim, there remains uncertainty regarding the impact the transition to replacement rates may have on the value of LIBOR-based investments. In March 2020, the FASB issued ASU 2020-04 which provides optional guidance to ease the potential accounting burden associated with transitioning away from the LIBOR and other reference rates that are expected to be discontinued. The ASU is effective immediately upon release of the update on March 12, 2020 through December 31, 2022. At this time, management is evaluating implications of these changes on the financial statements.

L. Coronavirus (COVID-19) Pandemic:

The continued worldwide spread of novel coronavirus (COVID-19) and its impact on international business operations, supply chains, travel, commodity prices, consumer confidence and business forecasts, and the associated impact on domestic and international equity markets and fixed income yields, has caused uncertainty for the global economy and financial markets. If market expectations regarding the impact of COVID-19 worsen, or if expected returns change because investors demand higher returns to invest in these uncertain times, there may be a detrimental impact on returns in the near term.

M. Other:

The Fund is subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when The Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against the Fund, individually or in aggregate, will not have a material adverse impact on the Fund’s financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.

N. Subsequent Event Evaluations:

On November 12, 2020, President Trump issued an Executive Order titled “Addressing the Threat from Securities Investments that Finance Communist Chinese Military Companies” (the “Order”). Beginning January 11, 2021, the Order will prohibit U.S. entities from participating in certain types of transactions involving securities of Chinese companies known to be associated with the Chinese military. Management is currently evaluating the Order’s effect on the Funds.

 

267


Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, of Dimensional Emerging Markets Value Fund (the “Fund”) as of October 31, 2020, the related statement of operations for the year ended October 31, 2020, the statement of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2020, 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 ended October 31, 2020 and the financial highlights for each of the five years in the period ended October 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

December 18, 2020

We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.


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, Abbie J. Smith and Ingrid M. Werner. 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 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, 2020.

Each Board’s Nominating Committee is composed of George M. Constantinides, Roger G. Ibbotson, Myron S. Scholes, Abbie J. Smith, Douglas W. Diamond, Darrell Duffie and Ingrid M. Werner. 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 disinterested Board members and 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, 2020.

Each Board’s Strategy Committee is composed of Gerard K. O’Reilly, Douglas W. Diamond, Myron S. Scholes and Darrell Duffie. 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 (i) reviews the design of possible new series of the Fund, (ii) reviews performance of existing portfolios of the Funds and discusses and recommends possible enhancements to the portfolios’ investment strategies, (iii) reviews proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) considers issues relating to investment services for each portfolio of the Fund. There were three Strategy Committee meetings held during the fiscal year ended October 31, 2020.

Certain biographical information for each disinterested Trustee/Director and 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, TX 78746. Prospectuses are also available at http://us.dimensional.com.

 

269


Disinterested Directors

 

Name, Address

and Year of

Birth

  

Position

  

Term of
Office1 and
Length of
Service

  

Principal Occupation During Past 5 Years

  

Portfolios

within the

DFA Fund
Complex2

Overseen

  

Other Directorships
of Public Companies
Held During Past 5
Years

George M. Constantinides University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637

 

1947

   Director    DFAIDG - Since 1983; DIG & DEM – Since 1993; DFAITC – Since 1992    Leo Melamed Professor of Finance, University of Chicago Booth School of Business (since 1978).    132 portfolios in 5 investment companies    None

Douglas W. Diamond c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746

 

1953

   Director    Since 2017 for the Funds    Merton H. Miller Distinguished Service Professor of Finance, University of Chicago Booth School of Business (since 1988). Visiting Scholar, Federal Reserve Bank of Richmond (since 1990). Formerly, Fischer Black Visiting Professor of Financial Economics, Alfred P. Sloan School of Management, Massachusetts Institute of Technology (2015 to 2016).    132 portfolios in 5 investment companies    None

Darrell Duffie c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746

 

1954

   Director    Since March 2019 for the Funds    Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University (since 1984).    132 portfolios in 5 investment companies    Formerly, Director, Moody’s Corporation (financial information and information technology) (2008-April 2018).

Roger G. Ibbotson Yale School of Management 165 Whitney Avenue New Haven, CT 06511

 

1943

   Director    DFAIDG - Since 1981; DIG & DEM – Since 1993; DFAITC – Since 1992    Professor in Practice Emeritus of Finance, Yale School of Management (since 1984). Chairman and Partner, Zebra Capital Management, LLC (hedge fund and asset manager) (since 2001). Formerly, Consultant to Morningstar, Inc. (2006 - 2016).    132 portfolios in 5 investment companies    None

Myron S. Scholes c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746

 

1941

   Director    DFAIDG - Since 1981; DIG & DEM – Since 1993; DFAITC – Since 1992    Chief Investment Strategist, Janus Henderson Investors (since 2014). Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University (since 1981).    132 portfolios in 5 investment companies    Formerly, Adviser, Kuapay, Inc. (2013-2014). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980-2014).

 

270


Name, Address and

Year of Birth

  

Position

  

Term of
Office1 and
Length of
Service

  

Principal Occupation During Past 5 Years

  

Portfolios

within the

DFA Fund
Complex2
Overseen

  

Other Directorships
of Public Companies
Held During Past 5
Years

Abbie J. Smith University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637

 

1953

   Director    Since 2000 for the Funds    Boris and Irene Stern Distinguished Service Professor of Accounting, University of Chicago Booth School of Business (since 1980).    132 portfolios in 5 investment companies    Director (since 2000) and formerly, Lead Director (2014- 2017), HNI Corporation (office furniture); Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003); and Trustee, UBS Funds (3 investment companies within the fund complex) (19 portfolios) (since 2009).

Ingrid M. Werner c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746

 

1961

   Director    Since March 2019 for the Funds    Martin and Andrew Murrer Professor of Finance, Fisher College of Business, The Ohio State University (since 1998). Adjunct Member, the Prize Committee for the Swedish Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (annual award for significant scientific research contribution) (since January 2018). President, Western Finance Association (global association of academic researchers and practitioners in finance) (since June 2018). Director, American Finance Association (global association of academic researchers and practitioners in finance) (since January 2019). Member, Economic Advisory Committee, FINRA (since 2017). Chairman, Scientific Advisory Board, Swedish House of Finance (institute supporting academic research in finance) (since 2014). Member, Scientific Board, Danish Finance Institute (institute supporting academic research in finance) (since 2017). Member, Academic Board, Mistra Financial Systems (organization funding academic research on environment, governance and climate/sustainability in finance) (since 2016). Fellow, Center for Analytical Finance (academic research) (since 2015). Associate Editor, Journal of Finance (since 2016).    132 portfolios in 5 investment companies    Director, Fourth Swedish AP Fund (pension fund asset management) (since 2017).

 

271


Interested Director

The following interested Director is described as such because he is deemed to be an “interested person,” as that term is defined under the 1940 Act, due to his position with the Advisor.

 

Name, Address

and Year of

Birth

  

Position

  

Term of
Office1 and
Length of
Service

  

Principal Occupation During Past 5 Years

  

Portfolios within
the DFA Fund
Complex2
Overseen

  

Other Directorships
of Public Companies
Held During Past 5
Years

David G. Booth 6300 Bee Cave Road, Building One Austin, TX 78746

 

1946

   Chairman and Director    DFAIDG - Since 1981; DIG & DFAITC – Since 1992; DEM – Since 1993    Chairman, Director/Trustee, and formerly, President and Co-Chief Executive Officer (each until March 2017) of “DEM, DFAIDG, “DIG and DFAITC. Executive Chairman, and formerly, President and Co- Chief Executive Officer (each until February 2017) of Dimensional Holdings Inc., Dimensional Fund Advisors LP, Dimensional Investment LLC and DFA Securities LLC (collectively with DEM, DFAIDG, DIG and DFAITC, the “DFA Entities”). Formerly, Chairman and Director (2009-2018) and Co-Chief Executive Officer (2010 – June 2017) of Dimensional Fund Advisors Canada ULC. Trustee, University of Chicago (since 2002). Trustee, University of Kansas Endowment Association (since 2005). Member of Hoover Institution Board (since September 2019). Formerly, Director of Dimensional Fund Advisors Ltd. (2002 – July 2017), DFA Australia Limited (1994 – July 2017), Dimensional Advisors Ltd. (2012 – July 2017), Dimensional Funds plc (2006 – July 2017) and Dimensional Funds II plc (2006 – July 2017). Formerly, Director and President of Dimensional Japan Ltd. (2012 – April 2017). Formerly, President, Dimensional SmartNest (US) LLC (2009-2014); and Limited Partner, VSC Investors, LLC (2007-2015). Formerly, Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (2010-September 2017).    132 portfolios in 5 investment companies    None

 

1

Each Director holds office for an indefinite term until his or her successor is elected and qualified.

2

Each Director is a director or trustee of each of the five registered investment companies within the DFA Fund Complex, which include: DFAIDG; DIG; DFAITC; DEM; and Dimensional ETF Trust. Each disinterested Director also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by the Advisor’s affiliate, Dimensional Fund Advisors Canada ULC.

 

272


Officers

Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.

 

Name and Year of

Birth

  

Position

  

Term of Office1

and Length of

Service

  

Principal Occupation During Past 5 Years

Valerie A. Brown

1967

   Vice President and Assistant Secretary    Since 2001   

Vice President and Assistant Secretary of

 

•  all the DFA Entities (since 2001)

 

•  DFA Australia Limited (since 2002)

 

•  Dimensional Fund Advisors Ltd. (since 2002)

 

•  Dimensional Cayman Commodity Fund I Ltd. (since 2010)

 

•  Dimensional Fund Advisors Pte. Ltd. (since 2012)

 

•  Dimensional Hong Kong Limited (since 2012)

 

•  Dimensional ETF Trust (since June 2020)

 

Director, Vice President and Assistant Secretary (since 2003) of

 

•  Dimensional Fund Advisors Canada ULC

Ryan P. Buechner

1982

   Vice President and Assistant Secretary    Since September 2019   

Vice President and Assistant Secretary of

 

•  DFAIDG, DIG, DFAITC and DEM (since September 2019)

 

•  Dimensional ETF Trust (since June 2020)

 

Vice President (since January 2018) of

 

•  Dimensional Holdings Inc.

 

•  Dimensional Fund Advisors LP

 

•  Dimensional Investment LLC

 

•  DFA Securities LLC

David P. Butler

1964

   Co-Chief Executive Officer    Since 2017   

Co-Chief Executive Officer of

 

•  all the DFA entities (since 2017)

 

•  Dimensional ETF Trust (since June 2020)

 

Director (since 2017) of

 

•  Dimensional Holdings Inc.

 

•  Dimensional Fund Advisors Canada ULC

 

•  Dimensional Japan Ltd.

 

•  Dimensional Advisors Ltd.

 

•  Dimensional Fund Advisors Ltd.

 

•  DFA Australia Limited

 

Director and Co-Chief Executive Officer (since 2017) of

•  Dimensional Cayman Commodity Fund I Ltd.

 

Head of Global Financial Advisor Services (since 2007) for

 

•  Dimensional Fund Advisors LP

 

Formerly, Vice President (2007 – 2017) of

 

•  all the DFA Entities

Stephen A. Clark

1972

   Executive Vice President    Since 2017   

Executive Vice President of

 

•  all the DFA entities (since 2017)

 

•  Dimensional ETF Trust (since June 2020)

 

Director and Vice President (since 2016) of

 

•  Dimensional Japan Ltd.

 

President and Director (since 2016) of

 

•  Dimensional Fund Advisors Canada ULC

 

Vice President (since 2008) and Director (since 2016) of

 

•  DFA Australia Limited

 

Director (since 2016) of

 

•  Dimensional Advisors Ltd.

 

273


Name and Year of

Birth

  

Position

  

Term of Office1

and Length of

Service

  

Principal Occupation During Past 5 Years

        

 

•  Dimensional Fund Advisors Pte. Ltd.

 

•  Dimensional Hong Kong Limited

 

Vice President (since 2016) of

 

•  Dimensional Fund Advisors Pte. Ltd.

 

Formerly, Vice President (2004 – 2017) of

 

•  all the DFA Entities

 

Formerly, Vice President (2010 – 2016) of

 

•  Dimensional Fund Advisors Canada ULC

 

Formerly, Head of Institutional, North America (2012 – 2013) and Head of Global Institutional Services (2014-2018) for

 

•  Dimensional Fund Advisors LP

Randy Olson

1980

   Chief Compliance Officer    Since August 2020   

Chief Compliance Officer (since August 2020)

 

•  DFA Investment Dimensions Group Inc.

 

•  Dimensional Investment Group Inc.

 

•  The DFA Investment Trust Company

 

•  Dimensional Emerging Markets Value Fund

 

Chief Compliance Officer (since September 2020)

 

•  Dimensional ETF Trust

 

Formerly, Vice President – Senior Compliance Officer

 

•  Dimensional Investment Advisors LP (January 2020 – August 2020 and July 2014 – March 2017)

 

Formerly, Vice President – Head of Compliance & Operations Asia Ex-Japan

 

•  Dimensional Investment Advisors LP (April 2017 – January 2020)

Lisa M. Dallmer

1972

   Vice President, Chief Financial Officer, and Treasurer    Since March 2020   

Vice President, Chief Financial Officer, and Treasurer of

 

•  the DFA Fund Complex (since March 2020)

 

•  Dimensional ETF Trust (since June 2020)

 

Executive Vice President (since January 2020)

 

•  Dimensional Holdings Inc.

 

•  Dimensional Fund Advisors LP

 

•  Dimensional Investments LLC

 

•  DFA Securities LLC

 

Chief Operating Officer (since December 2019)

 

•  Dimensional Holdings Inc.

 

•  Dimensional Fund Advisors LP

 

•  Dimensional Investments LLC

 

•  DFA Securities LLC

 

Formerly, Interim Chief Financial Officer and Treasurer (April 2020 - September 2020)

 

•  Dimensional Fund Advisors Canada ULC

Jeff J. Jeon

1973

   Vice President    Since 2004   

Vice President (since 2004) and Assistant Secretary (2017-2019) of

 

•  all the DFA Entities

 

Vice President (since June 2020)

 

•  Dimensional ETF Trust

 

Vice President and Assistant Secretary (since 2010) of

 

•  Dimensional Cayman Commodity Fund I Ltd.

Joy Lopez

1971

   Vice President and Assistant Treasurer    Vice President since 2015 and Assistant Treasurer since 2017   

Vice President (since 2015) of

 

•  all the DFA Entities

 

Assistant Treasurer (since 2017) of

 

•  the DFA Fund Complex

 

Vice President and Assistant Treasurer (since June 2020)

 

274


Name and Year of

Birth

  

Position

  

Term of Office1

and Length of

Service

  

Principal Occupation During Past 5 Years

        

 

•  Dimensional ETF Trust

 

Formerly, Senior Tax Manager (2013 – 2015) for

 

•  Dimensional Fund Advisors LP

Kenneth M. Manell

1972

   Vice President    Since 2010   

Vice President of

 

•  all the DFA Entities (since 2010)

 

•  Dimensional ETF Trust (since June 2020)

 

•  Dimensional Cayman Commodity Fund I Ltd. (since 2010)

Catherine L. Newell

1964

   President and General Counsel    President since 2017 and General Counsel since 2001   

President of

 

•  the DFA Fund Complex (since 2017)

 

•  Dimensional ETF Trust (since June 2020)

 

General Counsel (since 2001) of

 

•  all the DFA Entities (since 2001)

 

•  Dimensional ETF Trust (since June 2020)

 

Executive Vice President (since 2017) and Secretary (since 2000) of

 

•  Dimensional Fund Advisors LP

 

•  Dimensional Holdings Inc.

 

•  DFA Securities LLC

 

•  Dimensional Investment LLC

 

Director (since 2002), Vice President (since 1997) and Secretary (since 2002) of

 

•  DFA Australia Limited

 

•  Dimensional Fund Advisors Ltd.

 

Vice President and Secretary of

 

•  Dimensional Fund Advisors Canada ULC (since 2003)

 

•  Dimensional Cayman Commodity Fund I Ltd. (since 2010)

        

 

•  Dimensional Japan Ltd. (since 2012)

 

•  Dimensional Advisors Ltd (since 2012)

 

•  Dimensional Fund Advisors Pte. Ltd. (since 2012)

 

Director of

 

•  Dimensional Funds plc (since 2002)

 

•  Dimensional Funds II plc (since 2006)

 

•  Director of Dimensional Japan Ltd. (since 2012)

 

•  Dimensional Advisors Ltd. (since 2012)

 

•  Dimensional Fund Advisors Pte. Ltd. (since 2012)

 

•  Dimensional Hong Kong Limited (since 2012)

 

•  Dimensional Ireland Limited (since 2019)

 

Formerly, Vice President and Secretary (2010 – 2014) of

 

•  Dimensional SmartNest (US) LLC

 

Formerly, Vice President (1997 – 2017) and Secretary (2000 – 2017) of

 

•  the DFA Fund Complex

 

Formerly, Vice President of

 

•  Dimensional Fund Advisors LP (1997 – 2017)

 

•  Dimensional Holdings Inc. (2006 – 2017)

 

•  DFA Securities LLC (1997 – 2017)

 

•  Dimensional Investment LLC (2009 – 2017)

Carolyn L. O

1974

   Vice President and Secretary    Vice President since 2010 and Secretary since 2017   

Vice President (since 2010) and Secretary (since 2017) of

 

•  the DFA Fund Complex

 

Vice President and Secretary of

 

•  Dimensional ETF Trust (since June 2020)

 

Vice President (since 2010) and Assistant Secretary (since 2016) of

 

•  Dimensional Fund Advisors LP

 

•  Dimensional Holdings Inc.

 

•  Dimensional Investment LLC

 

275


Name and Year of

Birth

  

Position

  

Term of Office1

and Length of

Service

  

Principal Occupation During Past 5 Years

        

 

Vice President of

 

•  DFA Securities LLC (since 2010)

 

•  Dimensional Cayman Commodity Fund I Ltd. (since 2010)

 

•  Dimensional Fund Advisors Canada ULC (since 2016)

Gerard K. O’Reilly

1976

   Co-Chief Executive Officer and Chief Investment Officer    Co-Chief Executive Officer and Chief Investment Officer since 2017   

Co-Chief Executive Officer and Chief Investment Officer of

 

•  all the DFA Entities (since 2017)

 

•  Dimensional Fund Advisors Canada ULC (since 2017)

 

•  Dimensional ETF Trust (since June 2020)

 

Director, Chief Investment Officer and Vice President (since 2017) of

 

•  DFA Australia Limited

 

Chief Investment Officer (since 2017) and Vice President (since 2016) of

 

•  Dimensional Japan Ltd.

 

Director, Co-Chief Executive Officer and Chief Investment Officer (since 2017) of

 

•  Dimensional Cayman Commodity Fund I Ltd.

 

Director of

 

•  Dimensional Funds plc (since 2014)

 

•  Dimensional Fund II plc (since 2014)

 

•  Dimensional Holdings Inc. (since 2017)

 

•  Dimensional Ireland Limited (since 2019)

 

Formerly, Co-Chief Investment Officer of

 

•  Dimensional Japan Ltd. (2016 – 2017)

 

•  DFA Australia Limited (2014 – 2017)

 

Formerly, Executive Vice President (2017) and Co-Chief Investment Officer (2014 – 2017) of

 

•  all the DFA Entities

        

 

Formerly, Vice President (2007 – 2017) of

 

•  all the DFA Entities

 

Formerly, Vice President and Co-Chief Investment Officer (2014 – 2017) of

 

•  Dimensional Fund Advisors Canada ULC

 

Formerly, Director (2017 – 2018) of

 

•  Dimensional Fund Advisors Pte. Ltd.

James J. Taylor

1983

   Vice President and Assistant Treasurer    Since March 2020   

Vice President and Assistant Treasurer of

 

•  the DFA Fund Complex (since March 2020)

 

•  Dimensional ETF Trust (since June 2020)

 

Vice President (since 2016) of

 

•  Dimensional Holdings Inc.

 

•  Dimensional Fund Advisors LP

 

•  Dimensional Investment LLC

 

•  DFA Securities LLC

 

Formerly, Accounting Manager (2015-2016)

 

•  Dimensional Fund Advisors LP

 

1 

Each officer holds office for an indefinite term at the pleasure of the Boards of Directors/Trustees and until his or her successor is elected and qualified.

 

276


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.

 

277


NOTICE TO SHAREHOLDERS

(Unaudited)

For shareholders that do not have an October 31, 2020 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2020 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 01, 2019 to October 31, 2020, 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. The fund designates the maximum amount allowable as Section 199A dividends as defined in Proposed Treasury Regulation §1.199A-3(d).

 

DFA Investment

Dimensions Group Inc.

   Net
Investment
Income
Distributions
    Short-Term
Capital Gain
Distributions
    Long-Term
Capital Gain
Distributions
    Return of
Capital
     Tax-Exempt
Interest
     Total
Distributions
    Qualifying
For
Corporate
Dividends
Received
Deduction (1)
     Qualifying
Dividend
Income (2)
    U.S.
Government
Interest (3)
     Foreign
Tax
Credit (4)
    Foreign
Source
Income (5)
    Qualifying
Interest
Income (6)
     Qualifying
Short-
Term
Capital
Gain (7)
 

Large Cap International Portfolio

     100     —         —         —          —          100     —          94     —          7     100     —          —    

International Core Equity Portfolio

     100     —         —         —          —          100     —          100     —          7     100     —          —    

Global Small Company Portfolio

     100     —         —         —          —          100     —          48     —          4     53     —          —    

International Small Company Portfolio

     47     —         53     —          —          100     —          100     —          7     88     —          —    

Japanese Small Company Portfolio

     61     —         39     —          —          100     —          90     —          8     94     —          —    

Asia Pacific Small Company Portfolio

     100     —         —         —          —          100     —          28     —          1     78     —          —    

United Kingdom Small Company Portfolio

     23     16     61     —          —          100     —          100     —                97     —          —    

Continental Small Company Portfolio

     100     —         —         —          —          100     —          100     —          14     93     —          —    

DFA International Real Estate Securities Portfolio

     100     —         —         —          —          100     —                —          2     (95 %)      —          —    

DFA Global Real Estate Securities Portfolio

     85     —         15     —          —          100     —                —                      —          —    

DFA International Small Cap Value Portfolio

     52     —         48     —          —          100     —          100     —          9     91     —          —    

International Vector Equity Portfolio

     100     —         —         —          —          100     —          100     —          9     92     —          —    

International High Relative Profitability Portfolio

     100     —         —         —          —          100     —          89     —          8     100     —          —    

World ex U.S. Value Portfolio

     100     —         —         —          —          100     —          100     —          8     90     —          —    

World ex U.S. Core Equity Portfolio

     100     —         —         —          —          100     —          92     —          8     97     —          —    

World Core Equity Portfolio

     91     —         9     —          —          100     —          57     —          —         —         —          —    

Selectively Hedged Global Equity Portfolio

     100     —         —         —          —          100     —          55     —          —         —         —          —    

Emerging Markets Portfolio

     100     —         —         —          —          100     —          92     —          8     94     —          —    

Emerging Markets Small Cap Portfolio

     76     —         24     —          —          100     —          96     —          4     69     —          —    

Emerging Markets Value Portfolio

     100     —         24     —          —          100     —          100     —          8     94     —          —    

Emerging Markets Core Equity Portfolio

     100     —         —         —          —          100     —          80     —          7     96     —          —    

See accompanying Notes to Financial Statements.

 

278


DFA Investment

Dimensions Group Inc.

   Net
Investment
Income
Distributions
    Short-Term
Capital Gain
Distributions
    Long-Term
Capital Gain
Distributions
     Return of
Capital
     Tax-Exempt
Interest
     Total
Distributions
    Qualifying
For
Corporate
Dividends
Received
Deduction (1)
     Qualifying
Dividend
Income (2)
    U.S.
Government
Interest (3)
     Foreign
Tax
Credit (4)
    Foreign
Source
Income (5)
    Qualifying
Interest
Income (6)
     Qualifying
Short-
Term
Capital
Gain (7)
 

Emerging Markets Targeted Value Portfolio

     67     33     —          —          —          100     —          31     —          5     71     —          —    

Dimensional Investment Group Inc.

                                

DFA International Value Portfolio

     100     —         —          —          —          100     —          100     —          7     97     —          —    

 

(1)

Qualifying Dividends represents dividends that 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).

See accompanying Notes to Financial Statements.

 

279


 

LOGO   

DFA103120-001AI

00253043


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 Co-Principal Executive Officers 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, 2020: $21,254

Fiscal Year Ended October 31, 2019: $21,167

 

  (b)

Audit-Related Fees

 

Fees for Registrant

   Fiscal Year Ended October 31, 2020: $1,728
   Fiscal Year Ended October 31, 2019: $1,742

For fiscal years ended October 31, 2020 and October 31, 2019, 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, 2020: $215,000
   Fiscal Year Ended October 31, 2019: $210,000

For the fiscal years ended October 31, 2020 and October 31, 2019, 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, 2020: $0
   Fiscal Year Ended October 31, 2019: $0

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, 2020: $0
   Fiscal Year Ended October 31, 2019: $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, 2020 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, 2020: $1,295,854

Fiscal Year Ended October 31, 2019: $1,257,804

 

  (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, 2020

 

          Shares      Value»  

COMMON STOCKS — (97.7%)

     

BRAZIL — (3.8%)

     
  

Alliar Medicos A Frente SA

     200,100      $ 337,571  

#

  

Banco Bradesco SA, ADR

     993,591        3,477,568  
  

Banco Bradesco SA

     839,815        2,659,388  
  

Banco do Brasil SA

     3,882,886        20,165,739  
  

Banco Santander Brasil SA

     1,784,006        9,964,777  
  

BrasilAgro - Co. Brasileira de Propriedades Agricolas

     248,284        945,461  
  

Camil Alimentos SA

     625,691        1,318,346  
  

Cia Brasileira de Distribuicao

     765,758        8,267,536  
  

Cogna Educacao

     10,627,610        7,945,773  
  

Cosan SA

     68,601        776,999  
  

CSU Cardsystem SA

     189,200        430,303  
  

Direcional Engenharia SA

     694,257        1,363,601  
  

Duratex SA

     855,561        2,858,356  

*

  

Embraer SA, Sponsored ADR

     679,399        2,799,124  
  

Enauta Participacoes SA

     796,973        1,315,336  
  

Even Construtora e Incorporadora SA

     823,256        1,479,234  
  

Fras-Le SA

     22,500        23,724  

*

  

Gafisa SA, ADR

     164,984        267,274  
  

Gerdau SA, Sponsored ADR

     6,102,238        23,249,527  
  

Gerdau SA

     823,066        2,596,310  

*

  

Helbor Empreendimentos SA

     271,940        424,169  
  

Industrias Romi SA

     248,266        530,891  

*

  

International Meal Co. Alimentacao SA, Class A

     464,842        233,314  
  

Iochpe-Maxion SA

     967,506        2,239,211  
  

JBS SA

     622,630        2,110,537  
  

JHSF Participacoes SA

     1,753,405        1,964,882  
  

Kepler Weber SA

     7,000        47,419  

*

  

Marisa Lojas SA

     951,350        1,022,984  

*

  

Petro Rio SA

     87,499        477,604  

#

  

Petroleo Brasileiro SA, Sponsored ADR

     10,919,479        72,177,756  

#

  

Petroleo Brasileiro SA, Sponsored ADR

     7,354,006        48,757,060  
  

Petroleo Brasileiro SA

     13,010,994        43,083,137  
  

Positivo Tecnologia SA

     33,500        23,645  
  

Sao Carlos Empreendimentos e Participacoes SA

     58,500        372,128  
  

Sao Martinho SA

     29,200        107,122  
  

SLC Agricola SA

     936,523        4,173,423  
  

Sul America SA

     750,006        5,227,083  

# *

  

Suzano SA, Sponsored ADR

     541,108        4,685,993  

*

  

Tecnisa SA

     200,248        276,050  
  

Trisul SA

     290,805        533,671  

*

  

Tupy SA

     617,802        2,031,723  
  

Usinas Siderurgicas de Minas Gerais SA Usiminas

     549,500        1,129,080  
  

Vale SA

     19,189,949        202,502,886  
  

Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA

     333,537        424,336  
        

 

 

 

TOTAL BRAZIL

        486,798,051  
        

 

 

 

CHILE — (0.8%)

     
  

Besalco SA

     530,993        230,670  
  

Camanchaca SA

     1,334,309        92,928  
  

CAP SA

     903,279        7,462,829  
  

Cementos BIO BIO SA

     665,307        626,568  
  

Cencosud SA

     11,265,168        15,685,834  

*

  

Cia Sud Americana de Vapores SA

     48,651,513        1,417,161  
  

Cristalerias de Chile SA

     264,624        1,297,353  
  

Empresa Nacional de Telecomunicaciones SA

     712,006        4,021,677  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHILE — (Continued)

     
  

Empresas CMPC SA

     6,897,137      $ 14,352,035  
  

Empresas COPEC SA

     1,981,546        15,109,213  
  

Empresas Hites SA

     1,895,532        255,405  

*

  

Empresas La Polar SA

     15,891,479        138,287  

#

  

Enel Americas SA, ADR

     3,027,895        19,681,318  
  

Enel Americas SA

     29,056,374        3,854,856  
  

Enel Chile SA, ADR

     928,544        3,092,052  
  

Grupo Security SA

     3,945,934        619,749  
  

Inversiones Aguas Metropolitanas SA

     2,482,882        1,675,535  
  

Itau CorpBanca Chile SA

     729,259,638        1,924,855  

*

  

Latam Airlines Group SA

     1,238,786        1,868,467  

*

  

Masisa SA

     22,028,318        282,013  
  

PAZ Corp. SA

     1,916,910        1,160,815  
  

Ripley Corp. SA

     8,147,517        2,003,229  
  

Salfacorp SA

     2,541,060        1,222,588  
  

Sigdo Koppers SA

     187,924        180,236  
  

SMU SA

     449,171        59,079  
  

Sociedad Matriz SAAM SA

     52,799,470        3,426,552  
  

Socovesa SA

     4,847,319        1,091,278  
  

SONDA SA

     53,757        34,132  
  

Vina Concha y Toro SA

     1,498,720        2,392,286  
        

 

 

 

TOTAL CHILE

        105,259,000  
        

 

 

 

CHINA — (34.1%)

     
  

361 Degrees International, Ltd.

     7,811,000        959,054  

W

  

3SBio, Inc.

     318,500        297,064  
  

AAC Technologies Holdings, Inc.

     856,000        4,499,461  

W

  

AAG Energy Holdings, Ltd.

     308,000        40,211  

*

  

Advanced Technology & Materials Co., Ltd., Class A

     226,600        217,754  
  

AECC Aero-Engine Control Co., Ltd., Class A

     244,300        653,078  
  

AECC Aviation Power Co., Ltd., Class A

     596,525        3,260,373  
  

Aerospace CH UAV Co., Ltd.

     225,100        797,218  
  

Aerospace Hi-Tech Holdings Grp, Ltd., Class A

     310,223        455,421  
  

Agile Group Holdings, Ltd.

     13,074,999        17,941,012  
  

Agricultural Bank of China, Ltd., Class H

     168,975,000        57,488,052  

#

  

Air China, Ltd., Class H

     20,148,000        13,034,099  
  

Aisino Corp., Class A

     596,467        1,385,754  
  

Ajisen China Holdings, Ltd.

     3,251,000        411,886  

*

  

Alpha Group, Class A

     286,500        275,463  

*

  

Aluminum Corp. of China, Ltd., Class H

     22,526,000        4,920,146  
  

AMVIG Holdings, Ltd.

     3,169,100        883,989  
  

Angang Steel Co., Ltd., Class H

     15,485,632        4,546,915  
  

Anhui Conch Cement Co., Ltd., Class H

     4,782,000        29,913,748  
  

Anhui Construction Engineering Group Co., Ltd., Class A

     341,900        200,488  

*

  

Anhui Guangxin Agrochemical Co., Ltd., Class A

     89,500        253,266  
  

Anhui Hengyuan Coal Industry and Electricity Power Co., Ltd., Class A

     400,340        292,825  
  

Anhui Jiangnan Chemical Industry Co., Ltd., Class A

     240,100        233,844  
  

Anhui Truchum Advanced Materials & Technology Co., Ltd., Class A

     237,000        332,610  
  

Anhui Xinhua Media Co., Ltd., Class A

     359,300        275,623  
  

Anhui Zhongding Sealing Parts Co., Ltd., Class A

     450,000        743,237  

# *

  

Anton Oilfield Services Group

     21,022,000        898,611  
  

APT Satellite Holdings, Ltd.

     68,000        16,797  
  

Asia Cement China Holdings Corp.

     4,854,000        4,454,767  

W

  

AsiaInfo Technologies, Ltd.

     121,600        167,912  

# *

  

Asian Citrus Holdings, Ltd.

     4,633,000        140,439  
  

Avic Capital Co., Ltd., Class A

     2,732,900        1,788,542  
  

AVIC Electromechanical Systems Co., Ltd., Class A

     27,400        43,326  
  

Avic Heavy Machinery Co., Ltd., Class A

     194,489        418,049  
  

AviChina Industry & Technology Co., Ltd., Class H

     12,969,000        6,690,401  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

*

  

BAIC BluePark New Energy Technology Co., Ltd., Class A

     593,700      $ 590,450  

W

  

BAIC Motor Corp., Ltd., Class H

     16,660,500        6,161,570  

*

  

Baidu, Inc., Sponsored ADR

     850,256        113,126,561  

W

  

BAIOO Family Interactive, Ltd.

     972,000        103,265  
  

Bank of Beijing Co., Ltd., Class A

     4,195,822        2,927,487  
  

Bank of Changsha Co., Ltd., Class A

     1,118,100        1,505,487  
  

Bank of Chengdu Co., Ltd., Class A

     1,252,328        1,937,971  
  

Bank of China, Ltd., Class H

     429,401,817        135,631,320  
  

Bank of Chongqing Co., Ltd., Class H

     3,051,500        1,710,315  

#

  

Bank of Communications Co., Ltd., Class H

     51,954,574        25,560,746  
  

Bank of Hangzhou Co., Ltd., Class A

     930,600        1,804,516  
  

Bank of Jiangsu Co., Ltd., Class A

     3,681,927        3,306,571  
  

Bank of Nanjing Co., Ltd., Class A

     3,191,619        3,649,953  
  

Bank of Ningbo Co., Ltd., Class A

     1,418,429        7,207,116  
  

Bank of Shanghai Co., Ltd., Class A

     3,689,247        4,328,070  
  

Bank of Tianjin Co., Ltd., Class A

     1,284,700        755,595  
  

Bank of Tianjin Co., Ltd., Class H

     29,000        10,486  

W

  

Bank of Zhengzhou Co., Ltd., Class H

     402,599        95,169  
  

Baoshan Iron & Steel Co., Ltd., Class A

     7,814,777        6,240,739  
  

Baosheng Science and Technology Innovation Co., Ltd., Class A

     196,050        130,006  

*

  

Baoye Group Co., Ltd., Class H

     1,699,120        987,791  
  

BBMG Corp., Class H

     20,114,000        3,795,790  
  

Befar Group Co., Ltd., Class A

     254,600        201,564  
  

Beibuwan Port Co., Ltd., Class A

     71,900        107,533  
  

Beijing Capital Co., Ltd., Class A

     2,583,360        1,125,330  
  

Beijing Capital Development Co., Ltd., Class A

     425,200        392,325  
  

Beijing Capital International Airport Co., Ltd., Class H

     14,170,000        8,657,982  
  

Beijing Capital Land, Ltd., Class H

     9,430,589        1,622,726  

*

  

Beijing Enterprises Clean Energy Group, Ltd.

     4,880,000        25,199  
  

Beijing Enterprises Holdings, Ltd.

     3,421,500        10,308,132  

# *

  

Beijing Enterprises Medical & Health Group, Ltd.

     3,048,000        46,051  
  

Beijing Enterprises Water Group, Ltd.

     17,900,000        6,809,135  
  

Beijing GeoEnviron Engineering & Technology, Inc., Class A

     174,800        371,676  

*

  

Beijing Jetsen Technology Co., Ltd., Class A

     87,500        67,265  
  

Beijing Konruns Pharmaceutical Co., Ltd., Class A

     23,200        133,206  
  

Beijing New Building Materials P.L.C., Class A

     9,100        47,045  

#

  

Beijing North Star Co., Ltd., Class H

     7,206,000        1,444,265  

*

  

Beijing Orient Landscape & Environment Co., Ltd., Class A

     447,500        324,914  
  

Beijing Orient National Communication Science & Technology Co., Ltd., Class A

     344,100        623,478  
  

Beijing Originwater Technology Co., Ltd., Class A

     775,200        899,975  
  

Beijing Sanju Environmental Protection and New Material Co., Ltd., Class A

     81,200        88,956  

*

  

Beijing Shougang Co., Ltd., Class A

     669,900        367,540  
  

Beijing Shuzhi Technology Co., Ltd., Class A

     407,600        427,341  
  

Beijing SL Pharmaceutical Co., Ltd., Class A

     427,200        711,735  
  

Beijing SPC Environment Protection Tech Co., Ltd., Class A

     277,635        222,078  
  

Beijing Thunisoft Corp., Ltd., Class A

     128,534        448,904  

W

  

Beijing Urban Construction Design & Development Group Co., Ltd., Class H

     246,000        62,860  
  

Beijing Yanjing Brewery Co., Ltd., Class A

     1,169,329        1,520,016  
  

Beijing Zhong Ke San Huan High-Tech Co., Ltd., Class A

     238,300        323,822  
  

Best Pacific International Holdings, Ltd.

     396,000        67,479  
  

Bestsun Energy Co., Ltd., Class A

     173,200        132,743  

W

  

Bestway Global Holding, Inc.

     71,000        17,026  
  

Better Life Commercial Chain Share Co., Ltd., Class A

     296,530        500,556  
  

Blue Sail Medical Co., Ltd., Class A

     446,800        1,590,635  

*

  

Bluefocus Intelligent Communications Group Co., Ltd., Class A

     971,800        997,428  
  

BOE Technology Group Co., Ltd., Class A

     9,819,857        6,955,562  

*

  

Bohai Leasing Co., Ltd., Class A

     1,754,000        666,562  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

#

  

Bosideng International Holdings, Ltd.

     6,852,000      $ 3,010,022  

*

  

Boyaa Interactive International, Ltd.

     1,548,000        110,302  
  

Brilliance China Automotive Holdings, Ltd.

     16,650,000        14,372,471  
  

BTG Hotels Group Co., Ltd., Class A

     392,100        1,015,999  

#

  

BYD Electronic International Co., Ltd.

     5,746,500        24,764,782  
  

C C Land Holdings, Ltd.

     17,979,429        4,271,101  
  

C&D International Investment Group, Ltd.

     50,000        81,378  
  

Cabbeen Fashion, Ltd.

     1,368,000        516,239  
  

Caitong Securities Co., Ltd., Class A

     518,700        997,901  
  

Camel Group Co., Ltd., Class A

     216,320        267,435  

*

  

Capital Environment Holdings, Ltd.

     12,116,000        185,051  

# *

  

CAR, Inc.

     3,563,000        1,141,147  
  

Carrianna Group Holdings Co., Ltd.

     3,478,391        219,808  

*

  

CCOOP Group Co., Ltd., Class A

     1,282,900        568,090  

*

  

CECEP COSTIN New Materials Group, Ltd.

     132,000        1,916  
  

CECEP Solar Energy Co., Ltd., Class A

     1,009,900        681,154  
  

CECEP Wind-Power Corp., Class A

     941,500        381,664  
  

Central China Real Estate, Ltd.

     6,516,350        3,506,201  

*

  

Century Sunshine Group Holdings, Ltd.

     6,980,000        39,613  

*

  

CGN New Energy Holdings Co., Ltd.

     14,816,000        1,954,722  
  

CGN Nuclear Technology Development Co., Ltd., Class A

     179,700        236,901  
  

Changchun Faway Automobile Components Co., Ltd., Class A

     87,620        154,317  
  

Changjiang Securities Co., Ltd., Class A

     1,098,790        1,238,150  

*

  

Changshouhua Food Co., Ltd.

     95,000        49,664  
  

Chanjet Information Technology Co., Ltd., Class H

     14,000        23,673  
  

Chaowei Power Holdings, Ltd.

     4,898,000        1,685,827  
  

Cheetah Mobile, Inc., ADR

     218,633        417,589  
  

Chengdu Fusen Noble-House Industrial Co., Ltd., Class A

     146,408        297,362  
  

China Aerospace International Holdings, Ltd.

     12,534,000        631,804  
  

China Aerospace Times Electronics Co., Ltd., Class A

     515,400        509,936  

#

  

China Aircraft Leasing Group Holdings, Ltd.

     841,000        679,442  
  

China Aoyuan Group, Ltd.

     5,650,000        5,313,337  
  

China Beststudy Education Group

     62,000        23,187  
  

China BlueChemical, Ltd., Class H

     17,626,878        2,507,166  
  

China CAMC Engineering Co., Ltd., Class A

     173,100        179,433  
  

China Cinda Asset Management Co., Ltd., Class H

     53,481,000        10,032,822  
  

China CITIC Bank Corp., Ltd., Class H

     52,953,112        21,552,296  

#

  

China Coal Energy Co., Ltd., Class H

     13,890,000        3,392,935  
  

China Common Rich Renewable Energy Investments, Ltd.

     14,642,000        1,770,639  

#

  

China Communications Construction Co., Ltd., Class H

     29,025,327        15,198,268  
  

China Communications Services Corp., Ltd., Class H

     18,879,071        11,000,005  
  

China Conch Venture Holdings, Ltd.

     1,898,000        8,451,418  
  

China Construction Bank Corp., Class H

     536,266,101        369,547,974  

*

  

China CSSC Holdings, Ltd., Class A

     375,700        1,001,526  
  

China CYTS Tours Holding Co., Ltd., Class A

     282,500        416,207  

# *

  

China Dili Group

     4,137,899        951,785  

#

  

China Dongxiang Group Co., Ltd.

     19,415,000        2,405,867  
  

China Eastern Airlines Corp., Ltd., ADR

     5,953        116,976  

#

  

China Eastern Airlines Corp., Ltd., Class H

     13,416,000        5,345,173  
  

China Education Group Holdings, Ltd.

     444,000        740,159  
  

China Electronics Optics Valley Union Holding Co., Ltd.

     3,112,000        174,905  
  

China Energy Engineering Corp., Ltd., Class H

     2,124,000        200,410  
  

China Everbright Bank Co., Ltd., Class H

     18,885,000        6,544,600  

W

  

China Everbright Greentech, Ltd.

     3,443,000        1,367,376  
  

China Everbright, Ltd.

     8,999,869        11,907,656  

#

  

China Evergrande Group

     13,269,000        26,461,265  
  

China Film Co., Ltd., Class A

     305,100        577,427  

*

  

China Financial Services Holdings, Ltd.

     1,884,000        24,006  
  

China Foods, Ltd.

     1,640,000        561,575  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     
   China Fortune Land Development Co., Ltd., Class A      1,418,346      $ 2,989,091  
   China Galaxy Securities Co., Ltd., Class H      18,660,000        10,241,048  
   China Gas Holdings, Ltd.      2,950,800        9,067,954  
   China Gezhouba Group Co., Ltd., Class A      1,666,290        1,733,671  

*

   China Glass Holdings, Ltd.      4,496,000        223,550  

*

   China Grand Automotive Services Group Co., Ltd., Class A      217,500        113,848  
   China Grand Pharmaceutical and Healthcare Holdings, Ltd., Class A      912,000        742,348  

#

   China Harmony Auto Holding, Ltd.      7,047,500        2,770,566  

*

   China High Precision Automation Group, Ltd      429,000        12,658  
   China High Speed Railway Technology Co., Ltd., Class A      489,200        196,882  
   China High Speed Transmission Equipment Group Co., Ltd.      1,889,000        1,401,480  
   China Hongqiao Group, Ltd.      10,475,000        7,579,091  

W

   China Huarong Asset Management Co., Ltd., Class H      62,368,000        6,534,638  

*

   China Huiyuan Juice Group, Ltd.      4,269,983        193,106  

#*W

   China International Capital Corp., Ltd., Class H      6,975,600        16,299,101  

#

   China International Marine Containers Group Co., Ltd., Class H      3,417,680        4,644,820  
   China Isotope & Radiation Corp      8,000        25,300  

#

   China Jinmao Holdings Group, Ltd.      30,378,580        15,391,374  
   China Jushi Co., Ltd., Class A      1,646,149        3,437,085  
   China Kepei Education Group, Ltd.      308,000        212,455  
   China Lesso Group Holdings, Ltd.      9,373,000        15,195,748  
   China Lilang, Ltd.      1,131,000        716,512  

* W

   China Literature, Ltd.      391,400        3,215,519  

*

   China Longevity Group Co., Ltd.      1,152,649        38,211  

# *

   China Lumena New Materials Corp      1,315,048        0  
   China Machinery Engineering Corp., Class H      7,481,000        1,440,716  
   China Maple Leaf Educational Systems, Ltd.      5,586,000        1,517,663  
   China Medical System Holdings, Ltd.      856,000        900,151  
   China Meheco Co., Ltd., Class A      303,800        683,776  
   China Mengniu Dairy Co., Ltd.      202,000        952,292  
   China Merchants Bank Co., Ltd., Class H      9,899,500        51,565,831  
   China Merchants Land, Ltd.      12,682,000        1,839,666  
   China Merchants Port Holdings Co., Ltd.      8,291,903        8,814,086  

* W

   China Merchants Securities Co., Ltd., Class H      446,420        553,699  
   China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A      1,361,110        2,865,088  

# *

   China Metal Recycling Holdings, Ltd.      3,259,800        0  
   China Minsheng Banking Corp., Ltd., Class H      44,873,400        24,558,666  
   China Mobile, Ltd.      47,016,500        287,578,277  

#

   China Mobile, Ltd., Sponsored ADR      1,828,857        56,200,776  

# *

   China Modern Dairy Holdings, Ltd.      4,440,000        592,023  
   China Molybdenum Co., Ltd., Class H      693,000        252,215  
   China National Accord Medicines Corp., Ltd., Class A      233,806        1,738,768  
   China National Building Material Co., Ltd., Class H      39,005,250        44,897,440  
   China National Chemical Engineering Co., Ltd., Class A      1,397,000        1,106,540  
   China National Medicines Corp., Ltd., Class A      402,700        2,582,734  
   China National Nuclear Power Co., Ltd., Class A      5,075,483        3,363,869  

#

   China New Town Development Co., Ltd.      11,705,522        185,402  

*

   China Oil & Gas Group, Ltd.      18,900,000        758,357  
   China Oilfield Services, Ltd., Class H      8,924,000        5,389,036  
   China Oriental Group Co., Ltd.      12,586,000        2,848,873  
   China Overseas Grand Oceans Group, Ltd.      14,626,500        8,538,188  
   China Overseas Land & Investment, Ltd.      35,908,000        90,193,360  
   China Pacific Insurance Group Co., Ltd., Class H      7,849,400        24,564,407  

#

   China Petroleum & Chemical Corp., ADR      896,827        35,272,237  
   China Petroleum & Chemical Corp., Class H      102,987,575        40,213,656  
   China Pioneer Pharma Holdings, Ltd.      1,142,000        144,668  

*

   China Properties Group, Ltd.      3,380,000        196,373  
   China Publishing & Media Co., Ltd., Class A      159,200        120,617  
   China Railway Construction Corp., Ltd., Class H      17,902,514        12,127,284  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     
   China Railway Group, Ltd., Class H      30,684,000      $ 14,124,242  

# W

   China Railway Signal & Communication Corp., Ltd., Class H      3,560,000        1,174,091  
   China Railway Tielong Container Logistics Co., Ltd., Class A      251,400        187,692  

*

   China Rare Earth Holdings, Ltd.      4,650,600        219,297  
   China Reinsurance Group Corp., Class H      24,824,000        2,375,928  
   China Resources Cement Holdings, Ltd.      20,380,000        26,686,170  
   China Resources Double Crane Pharmaceutical Co., Ltd., Class A      675,381        1,272,208  
   China Resources Gas Group, Ltd.      814,000        3,537,002  
   China Resources Land, Ltd.      27,684,000        113,218,297  
   China Resources Medical Holdings Co., Ltd.      5,256,500        3,129,292  

# W

   China Resources Pharmaceutical Group, Ltd.      7,509,500        3,754,213  
   China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A      467,836        1,894,518  

#

   China Sanjiang Fine Chemicals Co., Ltd.      5,510,000        1,516,317  
   China SCE Group Holdings, Ltd.      21,229,000        9,124,171  
   China Science Publishing & Media, Ltd., Class A      141,600        226,630  

#*W

   China Shengmu Organic Milk, Ltd.      729,000        49,000  
   China Shenhua Energy Co., Ltd., Class H      30,249,000        52,410,637  
   China Shineway Pharmaceutical Group, Ltd.      2,735,000        1,721,447  

*

   China Silver Group, Ltd.      9,914,000        940,002  
   China South City Holdings, Ltd.      42,120,000        4,250,157  
   China South Publishing & Media Group Co., Ltd., Class A      456,000        715,229  

*

   China Southern Airlines Co., Ltd., Sponsored ADR      2,931        78,609  

# *

   China Southern Airlines Co., Ltd., Class H      16,482,000        8,633,015  
   China Starch Holdings, Ltd.      13,595,000        221,478  
   China State Construction Engineering Corp., Ltd., Class A      18,749,406        14,333,054  
   China State Construction International Holdings, Ltd.      11,584,000        8,036,003  

*

   China Sunshine Paper Holdings Co., Ltd.      1,513,500        260,402  
   China Taiping Insurance Holdings Co., Ltd.      12,586,200        19,007,003  

# *

   China Tianrui Group Cement Co., Ltd.      45,000        42,735  

*

   China Tianying, Inc., Class A      948,700        621,734  

W

   China Tower Corp., Ltd., Class H      46,060,000        7,208,139  
   China Traditional Chinese Medicine Holdings Co., Ltd.      23,106,000        9,233,134  

# *

   China Travel International Investment Hong Kong, Ltd.      23,899,631        3,058,536  
   China Unicom Hong Kong, Ltd.      1,400,000        862,945  

#

   China Unicom Hong Kong, Ltd., ADR      5,655,954        35,010,355  
   China United Network Communications, Ltd., Class A      11,996,200        8,560,263  
   China Vanke Co., Ltd., Class H      7,733,400        24,004,194  

W

   China Vast Industrial Urban Development Co., Ltd.      1,411,000        564,400  
   China West Construction Group Co., Ltd., Class A      358,900        489,781  

W

   China Xinhua Education Group, Ltd.      188,000        60,540  
   China XLX Fertiliser, Ltd.      1,738,000        505,386  
   China Yongda Automobiles Services Holdings, Ltd.      3,742,500        5,332,488  

*

   China Yurun Food Group, Ltd.      2,690,000        243,598  

# *

   China ZhengTong Auto Services Holdings, Ltd.      13,179,000        1,835,965  
   China Zhenhua Group Science & Technology Co., Ltd., Class A      168,319        1,052,999  
   China Zhonghua Geotechnical Engineering Group Co., Ltd., Class A      270,700        135,285  

# *

   China Zhongwang Holdings, Ltd.      15,888,154        3,243,864  
   Chinasoft International, Ltd.      6,242,000        4,531,307  
   Chinese Universe Publishing and Media Group Co., Ltd., Class A      536,800        928,917  

*

   Chongqing Changan Automobile Co., Ltd., Class A      1,267,924        3,137,673  
   Chongqing Department Store Co., Ltd., Class A.      151,400        815,472  
   Chongqing Machinery & Electric Co., Ltd., Class H      1,022,000        55,508  
   Chongqing Rural Commercial Bank Co., Ltd., Class H      21,660,000        8,648,969  
   Chongqing Zongshen Power Machinery Co., Ltd., Class A      478,900        567,629  
   Chu Kong Shipping Enterprise Group Co., Ltd.      526,000        64,570  
   CIFI Holdings Group Co., Ltd.      18,714,758        12,965,227  

#

   CIMC Enric Holdings, Ltd.      5,248,000        2,471,166  
   Cisen Pharmaceutical Co., Ltd., Class A      102,300        222,857  

*

   CITIC Dameng Holdings, Ltd.      910,000        47,540  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

*

   CITIC Guoan Information Industry Co., Ltd., Class A      546,700      $ 210,392  

*

   CITIC Resources Holdings, Ltd.      15,150,000        598,068  
   CITIC Securities Co., Ltd., Class H      815,000        1,767,083  

#

   CITIC, Ltd.      35,026,483        25,041,769  

*

   Citychamp Watch & Jewellery Group, Ltd.      476,000        95,836  

*

   CMST Development Co., Ltd., Class A      304,400        203,099  
   CNHTC Jinan Truck Co., Ltd., Class A      190,800        998,449  
   CNNC Hua Yuan Titanium Dioxide Co., Ltd., Class A      408,600        340,033  
   CNOOC, Ltd.      135,780,000        124,232,684  

#

   CNOOC, Ltd., Sponsored ADR      251,574        23,174,997  
   COFCO Biotechnology Co., Ltd., Class A      469,400        574,527  

* W

   Cogobuy Group      713,000        152,052  

#

   Colour Life Services Group Co., Ltd.      2,857,548        1,384,250  

#

   Comba Telecom Systems Holdings, Ltd.      1,318,000        422,757  
   Concord New Energy Group, Ltd.      41,650,000        2,205,105  

#

   Consun Pharmaceutical Group, Ltd.      2,314,000        913,285  

*

   Coolpad Group, Ltd.      4,336,053        94,014  
   COSCO SHIPPING Development Co., Ltd., Class H      9,275,000        1,031,552  

#

   COSCO SHIPPING Energy Transportation Co., Ltd., Class H      11,542,000        4,552,917  

*

   COSCO SHIPPING Holdings Co., Ltd., Class H      2,063,500        1,320,402  
   COSCO SHIPPING International Hong Kong Co., Ltd.      4,000,000        1,204,256  
   COSCO SHIPPING Ports, Ltd.      15,041,761        8,809,689  

* W

   Cosmo Lady China Holdings Co., Ltd.      642,000        88,584  
   Country Garden Holdings Co., Ltd.      34,442,799        42,566,510  
   CP Pokphand Co., Ltd.      2,626,000        224,034  
   CPMC Holdings, Ltd.      5,119,000        2,257,341  
   CQ Pharmaceutical Holding Co., Ltd., Class A      388,600        311,518  
   CRCC High-Tech Equipment Corp., Ltd., Class H      717,500        68,631  
   CRRC Corp., Ltd., Class H      17,960,000        6,966,342  
   CSG Holding Co., Ltd., Class A      567,849        506,629  

# *

   CT Environmental Group, Ltd.      9,748,000        80,222  
   CTS International Logistics Corp., Ltd., Class A      337,870        355,327  
   D&O Home Collection Co., Ltd., Class A      79,000        274,428  
   DaFa Properties Group, Ltd.      20,000        17,895  

W

   Dali Foods Group Co., Ltd.      836,000        519,041  
   Dalian Huarui Heavy Industry Group Co., Ltd., Class A      495,831        258,039  
   Daqin Railway Co., Ltd., Class A      6,459,961        6,187,341  
   Dare Power Dekor Home Co., Ltd., Class A      112,300        268,801  
   Dashang Co., Ltd., Class A      86,000        290,856  

*

   Datong Coal Industry Co., Ltd., Class A      670,614        470,594  
   Dawnrays Pharmaceutical Holdings, Ltd.      248,000        28,247  
   Dazhong Transportation Group Co., Ltd., Class A      196,950        103,649  
   Dazzle Fashion Co., Ltd., Class A      96,400        311,696  

#

   Dexin China Holdings Co., Ltd.      101,000        39,886  
   DHC Software Co., Ltd., Class A      663,300        906,705  

# *

   Differ Group Holding Co., Ltd.      5,778,000        537,047  
   Digital China Group Co., Ltd., Class A      115,400        442,398  
   Digital China Holdings, Ltd.      1,973,000        1,452,564  
   Digital China Information Service Co., Ltd., Class A      316,700        825,208  
   Dong-E-E-Jiao Co Ltd, Class A      249,813        1,430,055  
   Dongfang Electric Corp., Ltd., Class H      2,220,000        1,548,727  
   Dongfang Electronics Co., Ltd., Class A.      136,200        97,612  
   Dongfeng Motor Group Co., Ltd., Class H      16,428,000        11,572,301  
   Dongxing Securities Co., Ltd., Class A      438,500        801,198  
   Dongyue Group, Ltd.      11,746,000        4,481,671  

*

   Easysight Supply Chain Management Co., Ltd., Class A      186,200        264,326  

*

   E-Commodities Holdings, Ltd.      5,880,000        168,840  
   Elion Clean Energy Co., Ltd., Class A      621,153        293,614  
   Embry Holdings, Ltd.      45,000        5,823  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     
   ENN Ecological Holdings Co., Ltd., Class A      219,900      $ 422,267  
   Essex Bio-technology, Ltd.      31,000        17,761  
   EVA Precision Industrial Holdings, Ltd      3,856,000        239,308  

# W

   Everbright Securities Co., Ltd., Class H      1,371,200        1,115,284  

*

   Fang Holdings, Ltd., ADR      3,666        36,438  

*

   Fangda Carbon New Material Co., Ltd., Class A      1,551,694        1,457,300  

*

   Fangda Special Steel Technology Co., Ltd., Class A      631,970        577,751  
   Fantasia Holdings Group Co., Ltd.      17,986,015        3,401,817  

#

   Far East Horizon, Ltd.      7,898,000        7,790,100  

*

   FAW Jiefang Group Co., Ltd.      724,752        1,343,293  
   Fiberhome Telecommunication Technologies Co., Ltd., Class A      288,678        1,018,754  
   Financial Street Holdings Co., Ltd., Class A      444,674        443,507  

*

   Focused Photonics Hangzhou, Inc., Class A      26,500        53,634  
   Foshan Nationstar Optoelectronics Co., Ltd., Class A      184,500        275,877  

#

   Fosun International, Ltd.      15,011,683        18,127,098  

*

   Founder Securities Co., Ltd., Class A      1,689,907        2,352,774  
   Fu Shou Yuan International Group, Ltd.      600,000        618,039  
   Fuan Pharmaceutical Group Co., Ltd., Class A      445,500        409,355  
   Fufeng Group, Ltd.      11,674,000        3,698,338  
   Fujian Longking Co., Ltd., Class A      228,200        344,444  
   Fujian Sunner Development Co., Ltd., Class A      581,694        1,919,081  

W

   Fuyao Glass Industry Group Co., Ltd., Class H      540,400        2,292,782  
   Gansu Qilianshan Cement Group Co., Ltd., Class A      220,700        478,004  

# *

   GCL-Poly Energy Holdings, Ltd.      147,580,000        6,777,182  
   Geely Automobile Holdings, Ltd.      21,395,000        43,963,635  
   GEM Co., Ltd., Class A      1,020,200        734,501  
   Gemdale Corp., Class A      1,289,977        2,576,887  
   Gemdale Properties & Investment Corp., Ltd.      30,442,000        4,728,007  

W

   Genertec Universal Medical Group Co., Ltd.      5,727,000        3,988,405  
   Genimous Technology Co., Ltd., Class A      451,500        396,145  
   GF Securities Co., Ltd., Class H      8,874,000        11,474,886  

*

   Glorious Property Holdings, Ltd.      24,004,000        745,469  
   Goldcard Smart Group Co., Ltd.      63,000        143,755  
   Golden Eagle Retail Group, Ltd.      12,000        10,998  

*

   Goldenmax International Technology, Ltd., Class A      47,700        55,044  
   Goldlion Holdings, Ltd.      1,887,000        392,762  
   Goldpac Group, Ltd.      1,240,000        227,577  

# *

   GOME Retail Holdings, Ltd.      45,077,000        5,007,777  

*

   Gosuncn Technology Group Co., Ltd., Class A      333,100        241,044  

*

   Grand Baoxin Auto Group, Ltd.      6,390,500        794,705  
   Grandjoy Holdings Group Co., Ltd., Class A      695,800        474,806  
   Great Wall Motor Co., Ltd., Class H      16,628,500        26,922,699  
   Greattown Holdings, Ltd., Class A      730,200        574,113  
   Greatview Aseptic Packaging Co., Ltd.      1,049,000        449,464  
   Gree Electric Appliances, Inc., Class A      1,066,200        9,347,388  
   Greenland Holdings Corp., Ltd., Class A      3,344,800        3,099,791  
   Greenland Hong Kong Holdings, Ltd.      8,146,575        2,648,375  
   Greentown China Holdings, Ltd.      7,869,091        12,788,975  
   GRG Banking Equipment Co., Ltd., Class A      537,900        930,856  

*

   Guangdong Dongfang Precision Science & Technology Co., Ltd., Class A      390,300        272,248  
   Guangdong Ellington Electronics Technology Co., Ltd., Class A      304,356        369,046  

*

   Guangdong HEC Technology Holding Co., Ltd., Class A      508,800        433,247  

*

   Guangdong Huatie Tongda High-speed Railway Equipment Corp., Class A      331,700        283,551  

*

   Guangdong Shirongzhaoye Co., Ltd., Class A      56,000        54,469  
   Guangdong Tapai Group Co., Ltd., Class A      353,173        694,229  
   Guangdong Zhongsheng Pharmaceutical Co., Ltd., Class A      143,100        265,463  

*

   Guanghui Energy Co., Ltd., Class A      2,447,238        1,054,378  
   Guangshen Railway Co., Ltd., Sponsored ADR.      278,446        2,297,179  
   Guangshen Railway Co., Ltd., Class H      212,000        35,330  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     
  

Guangxi Liugong Machinery Co., Ltd., Class A

     311,090      $ 327,572  
  

Guangxi Liuzhou Pharmaceutical Co., Ltd., Class A

     115,471        404,718  
  

Guangxi Wuzhou Zhongheng Group Co., Ltd., Class A

     2,136,800        1,014,855  
  

Guangzhou Automobile Group Co., Ltd., Class H

     17,298,000        17,783,785  
  

Guangzhou Baiyun International Airport Co., Ltd., Class A

     716,300        1,345,266  
  

Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class H

     300,000        713,261  
  

Guangzhou Haige Communications Group, Inc. Co., Class A

     449,600        752,712  
  

Guangzhou R&F Properties Co., Ltd., Class H

     12,141,914        15,440,615  
  

Guangzhou Yuexiu Financial Holdings Group Co., Ltd., Class A

     383,900        898,594  
  

Guangzhou Zhujiang Brewery Co., Ltd., Class A

     447,200        656,238  
  

Guizhou Broadcasting & TV Information Network Co., Ltd., Class A

     285,000        280,020  
  

Guizhou Panjiang Refined Coal Co., Ltd., Class A

     475,300        426,380  

*

  

Guizhou Xinbang Pharmaceutical Co., Ltd., Class A

     926,400        886,973  
  

Guomai Technologies, Inc., Class A

     336,300        406,207  
  

Guorui Properties, Ltd.

     7,620,000        837,482  
  

Guosen Securities Co., Ltd., Class A

     944,027        1,886,677  

*

  

Guosheng Financial Holding, Inc., Class A

     257,924        342,077  

W

  

Guotai Junan Securities Co., Ltd., Class H

     2,155,000        2,809,019  
  

Guoyuan Securities Co., Ltd., Class A

     593,500        744,192  

* W

  

Haichang Ocean Park Holdings, Ltd.

     558,000        28,849  
  

Haier Electronics Group Co., Ltd.

     352,000        1,341,904  
  

Haier Smart Home Co., Ltd., Class A

     2,528,488        9,408,336  
  

Hailir Pesticides and Chemicals Group Co., Ltd., Class A

     11,800        36,774  

*

  

Hainan Meilan International Airport Co., Ltd., Class H

     796,000        3,401,940  
  

Haitian International Holdings, Ltd.

     356,000        882,366  

*

  

Haitong Securities Co., Ltd., Class H

     13,192,800        11,176,251  

*

  

Hang Zhou Great Star Industrial Co., Ltd., Class A

     275,500        1,073,152  
  

Hangcha Group Co., Ltd., Class A

     166,900        473,830  
  

Hangxiao Steel Structure Co., Ltd., Class A

     469,800        292,578  
  

Hangzhou Oxygen Plant Group Co., Ltd., Class A

     274,300        1,182,127  

W

  

Harbin Bank Co., Ltd., Class H

     1,611,000        193,681  

*

  

Harbin Electric Co., Ltd., Class H

     6,693,474        1,877,979  

*

  

Harbin Gloria Pharmaceuticals Co., Ltd., Class A

     370,900        165,788  
  

HBIS Resources Co., Ltd., Class A

     17,300        32,815  

# *

  

HC Group, Inc.

     2,026,000        261,433  
  

Health and Happiness H&H International Holdings, Ltd.

     99,000        394,326  
  

Hebei Hengshui Laobaigan Liquor Co., Ltd., Class A

     353,100        671,406  
  

Hebei Sitong New Metal Material Co., Ltd., Class A

     19,500        48,327  
  

Henan Lingrui Pharmaceutical Co., Class A

     400,000        560,382  
  

Henan Pinggao Electric Co., Ltd., Class A

     301,900        300,835  

*

  

Henan Senyuan Electric Co., Ltd., Class A

     116,300        86,374  
  

Henan Shenhuo Coal & Power Co., Ltd., Class A

     607,600        463,082  
  

Henan Yuguang Gold & Lead Co., Ltd., Class A

     53,100        37,899  
  

Henan Zhongyuan Expressway Co., Ltd., Class A

     376,900        191,520  
  

Hengan International Group Co., Ltd.

     809,500        5,646,711  

*

  

Hengdeli Holdings, Ltd.

     14,256,000        526,675  
  

Hengdian Group DMEGC Magnetics Co., Ltd., Class A

     211,700        445,695  
  

Hengli Petrochemical Co., Ltd.,, Class A

     2,469,965        7,133,011  
  

Hengtong Optic-electric Co., Ltd., Class A

     563,648        1,235,451  
  

Hengyi Petrochemical Co., Ltd., Class A

     1,545,341        2,663,624  

*

  

Hesteel Co., Ltd., Class A

     3,844,300        1,184,162  
  

Hexing Electrical Co., Ltd., Class A

     60,900        131,056  

*

  

Hi Sun Technology China, Ltd.

     9,339,000        1,017,555  

*

  

Hilong Holding, Ltd.

     1,935,000        40,058  
  

Hisense Home Appliances Group Co., Ltd., Class H

     181,000        260,280  
  

HKC Holdings, Ltd.

     1,316,155        675,252  
  

Holitech Technology Co., Ltd., Class A

     1,226,800        813,745  
  

Hongda Xingye Co., Ltd., Class A

     498,456        268,513  

*

  

Honghua Group, Ltd.

     15,729,000        396,734  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

W

  

Honworld Group, Ltd.

     1,002,500      $ 308,514  
  

Hopson Development Holdings, Ltd.

     5,282,000        13,512,794  

*

  

Hua Han Health Industry Holdings, Ltd.

     22,700,160        291,054  

* W

  

Hua Hong Semiconductor, Ltd.

     3,479,000        12,816,983  
  

Huadong Medicine Co., Ltd., Class A

     931,918        3,890,490  
  

Huafon Microfibre Shanghai Technology Co., Ltd.

     182,100        189,988  
  

Huafu Fashion Co., Ltd., Class A

     623,698        638,353  
  

Huapont Life Sciences Co., Ltd., Class A

     469,100        365,074  

W

  

Huatai Securities Co., Ltd., Class H

     7,150,000        11,580,205  

*

  

Huawen Media Group, Class A

     347,100        147,512  
  

Huaxi Securities Co., Ltd., Class A

     67,300        116,912  
  

Huaxia Bank Co., Ltd., Class A

     2,457,700        2,225,229  
  

Huaxin Cement Co., Ltd., Class A

     691,428        2,506,093  
  

Huayu Automotive Systems Co., Ltd., Class A

     1,069,742        4,976,295  
  

Huazhong In-Vehicle Holdings Co., Ltd.

     2,410,000        189,943  
  

Hubei Biocause Pharmaceutical Co., Ltd., Class A

     1,148,897        855,694  
  

Hubei Jumpcan Pharmaceutical Co., Ltd., Class A

     299,800        990,698  

*

  

Hubei Kaile Science & Technology Co., Ltd., Class A

     310,100        574,261  
  

Hubei Xingfa Chemicals Group Co., Ltd., Class A

     202,200        340,177  

* W

  

Huifu Payment, Ltd.

     44,400        11,225  
  

Huishang Bank Corp., Ltd., Class H

     1,603,900        528,194  
  

Hunan Gold Corp., Ltd., Class A

     308,700        385,709  
  

Hunan Valin Steel Co., Ltd., Class A

     1,767,160        1,341,838  
  

Huolinhe Opencut Coal Industry Corp., Ltd. of Inner Mongolia, Class A

     804,437        1,165,065  

*

  

Hytera Communications Corp., Ltd., Class A

     233,200        248,593  

* W

  

iDreamSky Technology Holdings, Ltd.

     94,400        48,659  
  

IKD Co., Ltd., Class A

     142,800        289,706  

W

  

IMAX China Holding, Inc.

     25,300        41,122  
  

Industrial & Commercial Bank of China, Ltd., Class H

     388,008,996        220,336,358  
  

Industrial Bank Co., Ltd., Class A

     6,873,816        18,286,873  
  

Industrial Securities Co., Ltd., Class A

     1,722,840        1,999,772  

*

  

Inke, Ltd.

     405,000        61,701  

*

  

Inner Mongolia BaoTou Steel Union Co., Ltd., Class A

     11,650,600        1,984,747  
  

Inner Mongolia Eerduosi Resources Co., Ltd., Class A

     50,100        63,890  
  

Inner Mongolia First Machinery Group Co., Ltd., Class A

     320,203        519,585  
  

Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A

     2,364,751        2,494,883  
  

Inner Mongolia Yitai Coal Co., Ltd., Class H

     207,300        160,717  

*

  

Inner Mongolia Yuan Xing Energy Co., Ltd., Class A

     755,550        235,101  

*

  

Inspur International, Ltd.

     246,000        58,166  
  

Inspur Software Co., Ltd., Class A

     50,526        122,798  
  

Jiangling Motors Corp., Ltd., Class A

     135,729        404,826  
  

Jiangnan Group, Ltd.

     14,145,000        730,913  
  

Jiangsu Changshu Rural Commercial Bank Co., Ltd., Class A

     1,420,000        1,437,716  
  

Jiangsu Eastern Shenghong Co., Ltd., Class A

     613,600        564,089  
  

Jiangsu Guotai International Group Co., Ltd., Class A

     360,860        334,470  
  

Jiangsu Jiangyin Rural Commercial Bank Co., Ltd., Class A

     680,640        408,743  
  

Jiangsu Kanion Pharmaceutical Co., Ltd., Class A

     316,520        596,710  
  

Jiangsu Provincial Agricultural Reclamation and Development Corp.

     790,761        1,531,265  
  

Jiangsu Zhangjiagang Rural Commercial Bank Co., Ltd., Class A

     1,287,832        1,114,937  
  

Jiangsu Zhongnan Construction Group Co., Ltd., Class A

     1,522,374        2,057,038  
  

Jiangsu Zhongtian Technology Co., Ltd., Class A

     1,109,600        1,829,933  
  

Jiangxi Copper Co., Ltd., Class H

     7,602,000        9,078,215  
  

Jiangxi Wannianqing Cement Co., Ltd., Class A

     226,480        478,180  
  

Jiangzhong Pharmaceutical Co., Ltd., Class A

     237,260        410,027  
  

Jiayuan International Group, Ltd.

     3,811,776        1,628,116  
  

Jilin Aodong Pharmaceutical Group Co., Ltd., Class A

     509,256        1,281,014  
  

Jilin Jiutai Rural Commercial Bank Corp., Ltd., Class H

     40,791        13,417  

*

  

Jilin Zixin Pharmaceutical Industrial Co., Ltd., Class A

     470,200        247,866  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

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CHINA — (Continued)

     
  

Jinduicheng Molybdenum Co., Ltd., Class A

     322,700      $ 273,855  
  

Jingrui Holdings, Ltd.

     3,082,000        842,279  

# *

  

JinkoSolar Holding Co., Ltd., ADR

     431,559        25,159,890  
  

Jinneng Science&Technology Co., Ltd., Class A

     267,900        495,280  
  

Jinyuan EP Co., Ltd., Class A

     137,600        164,184  
  

Jiuzhitang Co., Ltd., Class A

     351,200        436,476  
  

Jizhong Energy Resources Co., Ltd., Class A

     1,185,500        628,081  
  

JNBY Design, Ltd.

     90,500        98,564  
  

Joincare Pharmaceutical Group Industry Co., Ltd., Class A

     1,082,416        2,443,346  

*

  

Jointown Pharmaceutical Group Co., Ltd., Class A

     867,498        2,356,723  
  

Joy City Property, Ltd.

     16,412,000        1,009,660  
  

JOYY, Inc., ADR

     315,298        28,811,931  
  

JSTI Group, Class A

     206,375        224,327  
  

Ju Teng International Holdings, Ltd.

     6,058,249        1,836,396  

*

  

Kai Yuan Holdings, Ltd.

     41,600,000        214,077  
  

Kaisa Group Holdings, Ltd.

     21,930,632        10,228,472  

* W

  

Kangda International Environmental Co., Ltd.

     4,654,000        403,553  

# *

  

Kasen International Holdings, Ltd.

     2,592,000        238,989  
  

Kingboard Holdings, Ltd.

     6,497,845        22,008,509  
  

Kingboard Laminates Holdings, Ltd.

     8,703,500        13,910,771  
  

Konka Group Co., Ltd., Class A

     271,000        236,424  
  

KPC Pharmaceuticals, Inc., Class A

     273,800        379,522  

*

  

Kuang-Chi Technologies Co., Ltd., Class A

     272,370        808,190  
  

Kunlun Energy Co., Ltd.

     32,420,000        20,988,819  
  

KWG Group Holdings, Ltd.

     13,954,500        18,504,916  

*

  

KWG Living Group Holdings, Ltd.

     6,977,250        5,472,000  

*

  

Lanzhou Minbai Shareholding Group Co., Ltd., Class A

     140,700        127,650  
  

Lao Feng Xiang Co., Ltd., Class A

     109,238        750,994  
  

Lee & Man Paper Manufacturing, Ltd.

     11,123,000        8,429,597  
  

Lee’s Pharmaceutical Holdings, Ltd.

     975,500        548,612  

# W

  

Legend Holdings Corp., Class H

     2,487,600        3,347,019  
  

Lenovo Group, Ltd.

     20,204,000        12,685,558  
  

Leo Group Co., Ltd., Class A

     1,577,300        748,151  
  

Leyard Optoelectronic Co., Ltd., Class A

     966,400        1,032,144  
  

Liaoning Cheng Da Co., Ltd., Class A

     400,300        1,351,772  
  

Liaoning Wellhope Agri-Tech JSC, Ltd., Class A

     592,288        1,094,341  

*

  

Lier Chemical Co., Ltd., Class A

     113,400        337,397  
  

LingNan Eco&Culture-Tourism Co., Ltd., Class A

     394,293        232,671  
  

Liuzhou Iron & Steel Co., Ltd., Class A

     249,200        172,538  
  

Livzon Pharmaceutical Group, Inc., Class H

     119,700        530,507  
  

Lomon Billions Group Co., Ltd., Class A

     668,233        2,474,826  
  

Loncin Motor Co., Ltd., Class A

     741,300        421,362  
  

Long Yuan Construction Group Co., Ltd., Class A

     203,300        240,574  

W

  

Longfor Group Holdings, Ltd.

     7,311,000        40,057,768  
  

Lonking Holdings, Ltd.

     20,876,000        5,559,565  
  

Luenmei Quantum Co., Ltd., Class A.

     150,300        297,025  
  

Luxi Chemical Group Co., Ltd., Class A

     608,000        914,543  

W

  

Luye Pharma Group, Ltd.

     10,525,000        6,107,887  
  

LVGEM China Real Estate Investment Co., Ltd.

     750,000        240,071  
  

Maanshan Iron & Steel Co., Ltd., Class H

     5,377,775        1,242,853  

*

  

Macrolink Culturaltainment Development Co., Ltd., Class A

     59,400        27,118  

* W

  

Maoyan Entertainment

     264,800        373,345  
  

Maoye International Holdings, Ltd.

     7,796,000        316,874  

*

  

Markor International Home Furnishings Co., Ltd., Class A

     704,000        532,785  
  

Metallurgical Corp. of China, Ltd., Class H

     13,359,000        2,158,795  
  

Min Xin Holdings, Ltd.

     708,418        342,275  
  

Ming Yang Smart Energy Group, Ltd., Class A

     376,000        911,854  

*

  

Mingfa Group International Co., Ltd.

     608,000        4,415  
  

Minmetals Land, Ltd.

     10,991,205        1,252,415  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

# W

  

Minsheng Education Group Co., Ltd.

     448,000      $ 56,688  
  

Minth Group, Ltd.

     3,230,000        13,365,724  
  

Misho Ecology & Landscape Co., Ltd., Class A

     173,200        197,335  
  

MLS Co., Ltd., Class A

     446,962        812,309  

# *

  

MMG, Ltd.

     13,464,000        3,193,197  
  

MOBI Development Co., Ltd.

     1,556,000        122,900  
  

Modern Land China Co., Ltd.

     2,977,200        385,058  
  

Momo, Inc., Sponsored ADR

     296,589        4,448,835  

*

  

Myhome Real Estate Development Group Co., Ltd., Class A

     81,500        44,930  
  

MYS Group Co., Ltd., Class A

     393,300        258,816  
  

Nanjing Iron & Steel Co., Ltd., Class A

     210,500        93,814  

*

  

Nanjing Xinjiekou Department Store Co., Ltd., Class A

     528,500        813,936  

*

  

Nanyang Topsec Technologies Group, Inc., Class A

     91,464        288,223  
  

NARI Technology Co., Ltd., Class A

     600,900        1,867,356  

*

  

Nature Home Holding Co., Ltd.

     1,901,000        240,207  
  

NetDragon Websoft Holdings, Ltd.

     709,500        1,526,348  
  

New China Life Insurance Co., Ltd., Class H

     2,143,800        8,568,457  

*

  

New World Department Store China, Ltd.

     3,486,000        525,347  
  

Newland Digital Technology Co., Ltd., Class A

     39,600        93,720  
  

Nexteer Automotive Group, Ltd.

     6,517,000        5,442,360  
  

Nine Dragons Paper Holdings, Ltd.

     16,927,000        22,577,790  
  

Ningbo Huaxiang Electronic Co., Ltd., Class A

     327,055        798,856  
  

Ningbo Joyson Electronic Corp., Class A

     553,641        1,982,522  
  

Ningbo Sanxing Medical Electric Co., Ltd., Class A

     300,400        316,493  
  

Ningbo Yunsheng Co., Ltd., Class A

     221,200        204,959  
  

Ningbo Zhoushan Port Co., Ltd., Class A

     1,959,600        1,067,390  
  

Ningxia Jiaze New Energy Co., Ltd., Class A

     104,000        47,689  
  

Norinco International Cooperation, Ltd., Class A

     92,800        100,677  
  

North Huajin Chemical Industries Co., Ltd., Class A

     431,619        321,383  

*

  

Northeast Pharmaceutical Group Co., Ltd., Class A

     369,629        298,117  

#

  

NVC Lighting Holdings, Ltd.

     5,629,000        116,603  
  

Offshore Oil Engineering Co., Ltd., Class A

     1,189,601        753,292  
  

ORG Technology Co., Ltd., Class A

     452,700        381,085  

*

  

Orient Group, Inc., Class A

     647,440        341,796  

W

  

Orient Securities Co., Ltd., Class H

     2,949,200        1,943,151  
  

Oriental Pearl Group Co., Ltd., Class A

     912,860        1,253,770  

*

  

Ourpalm Co., Ltd., Class A

     373,600        364,016  
  

Overseas Chinese Town Asia Holdings, Ltd.

     1,014,000        207,082  

*

  

Pangang Group Vanadium Titanium & Resources Co., Ltd., Class A

     1,100,200        327,641  
  

PAX Global Technology, Ltd.

     5,812,000        3,377,627  
  

People’s Insurance Co. Group of China, Ltd. (The), Class H

     32,141,000        9,563,806  

#

  

PetroChina Co., Ltd., ADR

     102,992        2,931,152  
  

PetroChina Co., Ltd., Class H

     176,780,000        49,646,414  
  

PICC Property & Casualty Co., Ltd., Class H

     45,981,000        31,207,917  
  

Ping An Bank Co., Ltd., Class A

     5,706,296        15,143,066  
  

Pingdingshan Tianan Coal Mining Co., Ltd., Class A

     730,703        569,806  
  

Poly Culture Group Corp., Ltd., Class H

     402,000        250,968  
  

Poly Property Group Co., Ltd.

     19,929,488        5,755,852  

W

  

Postal Savings Bank of China Co., Ltd., Class H

     44,883,000        22,026,932  

*

  

Pou Sheng International Holdings, Ltd.

     7,485,000        1,715,485  
  

Power Construction Corp. of China, Ltd., Class A

     5,627,420        3,234,360  
  

Powerlong Real Estate Holdings, Ltd.

     13,341,000        8,982,216  

*

  

PW Medtech Group, Ltd.

     1,439,000        367,774  

#

  

Q Technology Group Co., Ltd.

     405,000        447,589  
  

Qingdao East Steel Tower Stock Co., Ltd., Class A

     188,500        218,412  

W

  

Qingdao Port International Co., Ltd., Class H

     984,000        559,154  
  

Qingdao Topscomm Communication, Inc., Class A

     131,400        188,922  
  

Qingling Motors Co., Ltd., Class H

     6,374,000        1,144,218  
  

Qinhuangdao Port Co., Ltd., Class H

     209,000        33,461  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

# *

  

Qudian, Inc., Sponsored ADR

     362,937      $ 486,336  

*

  

Qunxing Paper Holdings Co.

     5,020,071        0  
  

Rainbow Digital Commercial Co., Ltd., Class A

     394,826        485,110  
  

Raisecom Technology Co., Ltd., Class A

     137,700        219,186  
  

Rastar Group, Class A

     400,546        243,160  

*

  

Realcan Pharmaceutical Group Co., Ltd., Class A

     467,929        389,469  

W

  

Red Star Macalline Group Corp., Ltd., Class H

     1,834,297        1,105,615  

W

  

Redco Properties Group, Ltd.

     132,000        58,450  
  

Redsun Properties Group, Ltd.

     105,000        38,105  
  

Renhe Pharmacy Co., Ltd., Class A

     454,600        437,232  

*

  

REXLot Holdings, Ltd.

     67,831,618        34,124  
  

RiseSun Real Estate Development Co., Ltd., Class A

     1,888,376        1,986,398  
  

Rongan Property Co., Ltd., Class A

     112,300        43,738  
  

Ronshine China Holdings, Ltd.

     2,398,000        1,634,850  
  

Runjian Co., Ltd., Class A

     9,800        39,924  
  

SAIC Motor Corp, Ltd., Class A

     1,795,973        6,217,522  
  

Sailun Group Co., Ltd., Class A

     1,049,300        775,849  
  

Sansteel Minguang Co., Ltd. Fujian, Class A

     951,380        936,541  
  

Sany Heavy Equipment International Holdings Co., Ltd.

     5,348,000        2,948,278  

*

  

Saurer Intelligent Technology Co., Ltd., Class A

     357,100        272,829  
  

Seazen Group, Ltd.

     604,000        452,823  
  

Seazen Holdings Co., Ltd. , Class A

     862,999        4,199,290  

*

  

Semiconductor Manufacturing International Corp.

     8,367,198        24,684,333  
  

SGIS Songshan Co., Ltd., Class A

     773,600        486,437  
  

Shaanxi Coal Industry Co., Ltd., Class A

     3,735,445        4,891,585  
  

Shandong Buchang Pharmaceuticals Co., Ltd., Class A

     583,107        2,113,543  
  

Shandong Chenming Paper Holdings, Ltd., Class H

     2,725,227        1,084,937  
  

Shandong Himile Mechanical Science & Technology Co., Ltd., Class A

     24,600        90,318  
  

Shandong Hualu Hengsheng Chemical Co., Ltd., Class A

     764,592        3,235,303  
  

Shandong Jincheng Pharmaceutical Group Co., Ltd., Class A

     84,700        292,389  
  

Shandong Linglong Tyre Co., Ltd., Class A

     445,587        1,995,236  
  

Shandong Minhe Animal Husbandry Co., Ltd., Class A

     232,600        519,769  
  

Shandong Nanshan Aluminum Co., Ltd., Class A

     2,264,850        796,013  
  

Shandong New Beiyang Information Technology Co., Ltd., Class A

     112,000        156,606  
  

Shandong Publishing & Media Co., Ltd., Class A

     187,200        169,820  
  

Shandong Sun Paper Industry JSC, Ltd., Class A

     1,227,281        2,554,482  
  

Shandong Weigao Group Medical Polymer Co., Ltd., Class H

     768,000        1,489,451  
  

Shandong Xinhua Pharmaceutical Co., Ltd., Class H

     646,000        318,175  
  

Shandong Yisheng Livestock & Poultry Breeding Co., Ltd., Class A

     247,140        400,597  
  

Shanghai 2345 Network Holding Group Co., Ltd., Class A

     1,979,100        799,895  

# *

  

Shanghai Electric Group Co., Ltd., Class H

     11,536,000        3,279,011  
  

Shanghai Environment Group Co., Ltd., Class A

     203,827        338,718  

*

  

Shanghai Fengyuzhu Culture and Technology Co., Ltd., Class A

     21,200        67,588  
  

Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H

     1,114,000        4,597,473  

#

  

Shanghai Industrial Holdings, Ltd.

     3,937,918        5,261,752  
  

Shanghai Industrial Urban Development Group, Ltd.

     21,592,501        2,012,909  
  

Shanghai International Port Group Co., Ltd., Class A

     2,613,716        1,633,805  

#

  

Shanghai Jin Jiang Capital Co., Ltd., Class H

     15,992,000        2,229,874  
  

Shanghai Jinjiang International Hotels Co., Ltd., Class A

     237,150        1,586,197  
  

Shanghai Lingang Holdings Corp., Ltd., Class A

     32,800        111,137  
  

Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class A

     362,058        622,551  
  

Shanghai Maling Aquarius Co., Ltd., Class A

     351,000        484,444  
  

Shanghai Mechanical and Electrical Industry Co., Ltd., Class A

     159,090        449,189  
  

Shanghai Pharmaceuticals Holding Co., Ltd., Class H

     6,598,300        10,242,577  
  

Shanghai Prime Machinery Co., Ltd., Class H

     3,892,000        763,357  
  

Shanghai Pudong Development Bank Co., Ltd., Class A

     9,573,978        13,244,044  
  

Shanghai Pudong Road & Bridge Construction Co., Ltd., Class A

     162,593        155,059  
  

Shanghai RAAS Blood Products Co., Ltd., Class A

     2,014,386        2,571,967  
  

Shanghai Rongtai Health Technology Corp., Ltd., Class A

     23,900        114,811  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     
  

Shanghai Shyndec Pharmaceutical Co., Ltd., Class A

     451,300      $ 682,030  
  

Shanghai Tongji Science & Technology Industrial Co., Ltd., Class A

     112,100        142,158  
  

Shanghai Tunnel Engineering Co., Ltd., Class A

     85,500        71,342  
  

Shanghai Waigaoqiao Free Trade Zone Group Co., Ltd., Class A

     69,800        169,632  
  

Shanghai Yuyuan Tourist Mart Group Co., Ltd., Class A

     1,055,262        1,368,290  
  

Shanghai Zijiang Enterprise Group Co., Ltd., Class A

     286,200        179,519  
  

Shanxi Blue Flame Holding Co., Ltd., Class A

     269,128        315,071  
  

Shanxi Lu’an Environmental Energy Development Co., Ltd., Class A

     1,040,880        916,271  

*

  

Shanxi Meijin Energy Co., Ltd., Class A

     1,348,132        1,204,313  
  

Shanxi Taigang Stainless Steel Co., Ltd., Class A

     1,594,900        834,984  
  

Shanxi Xishan Coal & Electricity Power Co., Ltd., Class A

     1,514,935        1,049,509  

*

  

Shanying International Holding Co., Ltd., Class A

     1,210,500        554,187  

*

  

Shenghe Resources Holding Co., Ltd., Class A

     36,360        35,814  

*W

  

Shengjing Bank Co., Ltd., Class H

     481,000        424,971  
  

Shenguan Holdings Group, Ltd.

     3,610,000        112,822  
  

Shenwan Hongyuan Group Co., Ltd.

     3,700,800        938,989  
  

Shenzhen Agricultural Products Group Co., Ltd., Class A

     1,096,504        1,156,529  
  

Shenzhen Airport Co., Ltd., Class A

     388,700        464,282  
  

Shenzhen Aisidi Co., Ltd., Class A

     142,000        171,911  

*

  

Shenzhen Bauing Construction Holding Group Co., Ltd., Class A

     198,000        117,126  
  

Shenzhen Gas Corp., Ltd., Class A

     511,200        562,664  
  

Shenzhen Gongjin Electronics Co., Ltd., Class A

     269,900        469,823  
  

Shenzhen Grandland Group Co., Ltd., Class A

     108,000        52,818  
  

Shenzhen International Holdings, Ltd.

     5,854,583        9,116,530  
  

Shenzhen Investment, Ltd.

     26,974,414        8,240,152  
  

Shenzhen Jinjia Group Co., Ltd., Class A

     705,783        947,003  

*

  

Shenzhen MTC Co., Ltd., Class A

     1,364,600        1,230,171  

*

  

Shenzhen Neptunus Bioengineering Co., Ltd., Class A

     1,094,848        661,199  
  

Shenzhen Overseas Chinese Town Co., Ltd., Class A

     3,406,961        3,342,733  
  

Shenzhen Tagen Group Co., Ltd., Class A

     553,400        566,347  
  

Shenzhen Woer Heat-Shrinkable Material Co., Ltd., Class A

     241,100        189,261  
  

Shenzhen Zhenye Group Co., Ltd., Class A

     32,700        27,993  
  

Shenzhen Zhongjin Lingnan Nonfemet Co., Ltd., Class A

     837,000        508,510  

*

  

Shijiazhuang Changshan BeiMing Technology Co., Ltd., Class A

     534,300        545,496  
  

Shimao Group Holdings, Ltd.

     11,632,035        41,204,305  
  

Shinva Medical Instrument Co., Ltd., Class A

     127,500        313,662  
  

Shougang Fushan Resources Group, Ltd.

     15,782,277        3,693,837  

*

  

Shouhang High-Tech Energy Co., Ltd., Class A

     354,500        129,977  
  

Shui On Land, Ltd.

     31,958,303        4,213,949  

*

  

Siasun Robot & Automation Co., Ltd., Class A

     75,500        151,126  

*

  

Sichuan Hebang Biotechnology Co., Ltd., Class A

     818,900        164,096  
  

Sichuan Kelun Pharmaceutical Co., Ltd., Class A

     439,355        1,538,995  
  

Sichuan Languang Development Co., Ltd., Class A

     1,225,800        904,958  
  

Sichuan Shuangma Cement Co., Ltd., Class A

     164,600        322,199  
  

Sieyuan Electric Co., Ltd., Class A

     97,100        310,757  
  

Sihuan Pharmaceutical Holdings Group, Ltd.

     12,926,000        1,490,579  

# *

  

Silver Grant International Holdings Group, Ltd.

     6,324,804        776,466  

*

  

SINA Corp.

     252,489        10,819,154  
  

Sino Biopharmaceutical, Ltd.

     3,922,000        3,972,962  
  

Sinochem International Corp., Class A

     575,231        449,861  
  

Sinofert Holdings, Ltd.

     13,934,000        1,242,954  
  

Sinolink Securities Co., Ltd., Class A

     612,600        1,372,822  

*

  

Sinolink Worldwide Holdings, Ltd.

     9,156,508        575,056  
  

Sinoma International Engineering Co., Class A

     341,200        383,966  
  

Sinoma Science & Technology Co., Ltd., Class A

     461,880        1,326,335  
  

Sinomach Automobile Co., Ltd., Class A

     298,486        267,624  
  

Sino-Ocean Group Holding, Ltd.

     26,236,602        5,018,239  

#

  

Sinopec Engineering Group Co., Ltd., Class H

     10,921,500        4,245,227  
  

Sinopec Kantons Holdings, Ltd.

     8,960,000        3,239,240  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

*

  

Sinopec Oilfield Service Corp., Class H

     24,000      $ 1,490  
  

Sinopec Shanghai Petrochemical Co., Ltd., Sponsored ADR

     13,728        255,478  

#

  

Sinopec Shanghai Petrochemical Co., Ltd., Class H

     18,028,000        3,331,772  
  

Sinopharm Group Co., Ltd., Class H

     6,789,600        15,598,714  

# *

  

Sinosoft Technology Group, Ltd.

     1,919,000        287,683  
  

Sinotrans, Ltd., Class H

     21,760,000        6,444,168  
  

Sinotruk Hong Kong, Ltd.

     6,565,335        16,793,159  
  

Skyworth Digital Co., Ltd., Class A

     390,948        510,068  

*

  

Skyworth Group, Ltd.

     9,122,116        2,389,585  

*

  

Sogou, Inc., ADR

     86,424        769,174  

*

  

SOHO China, Ltd.

     19,201,388        5,144,303  
  

SooChow Securities Co., Ltd., Class A

     771,100        1,129,506  

*

  

Sou Yu Te Group Co., Ltd., Class A

     1,430,300        483,506  
  

Spring Airlines Co., Ltd., Class A

     376,541        2,399,706  

*

  

SPT Energy Group, Inc.

     4,862,000        152,278  
  

SSY Group, Ltd.

     1,948,000        1,066,271  

*

  

Starrise Media Holdings, Ltd.

     270,000        5,052  

#

  

Sun Art Retail Group, Ltd.

     3,118,500        3,378,713  
  

Sun King Power Electronics Group

     494,000        95,040  
  

Sunac China Holdings, Ltd.

     11,608,000        43,020,994  
  

Sunflower Pharmaceutical Group Co., Ltd., Class A

     225,100        522,037  
  

Sunfly Intelligent Technology Co., Ltd., Class A

     92,200        213,145  
  

Sungrow Power Supply Co., Ltd., Class A

     310,700        1,806,863  
  

Suning Universal Co., Ltd., Class A

     105,300        48,211  
  

Suning.com Co., Ltd., Class A

     1,436,600        2,084,337  

W

  

Sunshine 100 China Holdings, Ltd.

     249,000        39,559  
  

Sunward Intelligent Equipment Co., Ltd., Class A

     279,300        331,708  
  

Sunwave Communications Co., Ltd., Class A

     210,700        233,201  

*

  

Suzhou Anjie Technology Co., Ltd., Class A

     112,900        335,871  

*

  

Suzhou Chunxing Precision Mechanical Co., Ltd., Class A

     102,400        73,726  
  

Suzhou Gold Mantis Construction Decoration Co., Ltd., Class A

     763,175        1,126,885  

*

  

Tahoe Group Co., Ltd., Class A

     803,106        450,999  
  

Tangshan Jidong Cement Co., Ltd., Class A

     476,244        1,069,753  
  

TangShan Port Group Co., Ltd., Class A

     1,213,100        435,320  
  

Tangshan Sanyou Chemical Industries Co., Ltd., Class A

     660,100        688,501  

*

  

Taung Gold International, Ltd.

     5,980,000        19,275  
  

TBEA Co., Ltd., Class A

     879,959        1,081,886  
  

TCL Electronics Holdings, Ltd.

     6,562,666        4,457,811  
  

TCL Technology Group Corp., Class A

     3,664,735        3,312,661  

# *

  

Tencent Music Entertainment Group, ADR

     514,090        7,649,659  

# *

  

Tenwow International Holdings, Ltd.

     2,993,000        146,706  

#

  

Texhong Textile Group, Ltd.

     2,055,500        1,581,814  
  

Tian An China Investment Co., Ltd.

     4,076,000        2,330,510  
  

Tian Di Science & Technology Co., Ltd., Class A

     704,800        319,537  

*W

  

Tian Ge Interactive Holdings, Ltd.

     1,433,000        105,461  
  

Tiangong International Co., Ltd.

     4,350,000        1,460,251  
  

Tianjin Chase Sun Pharmaceutical Co., Ltd., Class A

     940,811        775,971  
  

Tianjin Port Development Holdings, Ltd.

     16,671,657        1,119,993  
  

Tianjin ZhongXin Pharmaceutical Group Corp., Ltd., Class A

     175,149        419,381  
  

Tianma Microelectronics Co., Ltd., Class A

     856,224        1,828,884  

#

  

Tianneng Power International, Ltd.

     7,140,000        11,632,233  
  

Tianyun International Holdings, Ltd.

     570,000        71,456  

*

  

Tibet Summit Resources Co., Ltd., Class A

     190,200        228,065  
  

Tibet Tianlu Co., Ltd., Class A

     195,400        215,393  
  

Time Watch Investments, Ltd.

     92,000        8,791  
  

Tingyi Cayman Islands Holding Corp.

     1,846,000        3,378,035  
  

Titan Wind Energy Suzhou Co., Ltd., Class A

     526,900        564,553  
  

Tomson Group, Ltd.

     3,468,526        699,633  
  

Tong Ren Tang Technologies Co., Ltd., Class H

     1,730,000        1,015,837  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

#

  

Tongda Group Holdings, Ltd.

     46,770,000      $ 2,541,621  
  

Tongkun Group Co., Ltd., Class A

     547,222        1,239,575  
  

Tongling Jingda Special Magnet Wire Co., Ltd., Class A

     424,000        201,283  
  

Tongling Nonferrous Metals Group Co., Ltd., Class A

     2,493,900        809,647  
  

Tongwei Co., Ltd., Class A

     551,300        2,538,102  
  

Tonly Electronics Holdings, Ltd.

     15,000        19,503  

#

  

Top Spring International Holdings, Ltd.

     146,000        24,147  
  

Transfar Zhilian Co., Ltd., Class A

     771,900        625,810  
  

TravelSky Technology, Ltd., Class H

     881,000        1,857,141  

*

  

Trigiant Group, Ltd.

     4,254,000        401,553  

*

  

Trip.com Group, Ltd., ADR

     2,378,359        68,401,605  

*

  

Trony Solar Holdings Co., Ltd.

     8,775,000        0  

*

  

Tunghsu Optoelectronic Technology Co., Ltd., Class A

     1,525,000        623,872  

*

  

Tus Environmental Science And Technology Development Co., Ltd., Class A

     323,420        354,676  
  

Unilumin Group Co., Ltd., Class A

     170,800        249,448  
  

Uni-President China Holdings, Ltd.

     1,131,000        979,697  
  

Unisplendour Corp., Ltd., Class A

     747,683        2,461,435  
  

United Energy Group, Ltd.

     418,000        56,752  

*

  

V1 Group, Ltd.

     6,098,000        176,709  
  

Valiant Co., Ltd., Class A

     12,000        31,365  
  

Vatti Corp., Ltd., Class A

     202,250        270,846  
  

Vinda International Holdings, Ltd.

     321,000        851,853  

*

  

Vipshop Holdings, Ltd., ADR

     734,300        15,714,020  

*

  

Wanda Film Holding Co., Ltd., Class A

     453,334        1,042,852  
  

Wangfujing Group Co., Ltd., Class A

     99,000        595,996  
  

Wangneng Environment Co., Ltd., Class A

     81,100        199,368  
  

Wangsu Science & Technology Co., Ltd., Class A

     682,700        795,756  
  

Want Want China Holdings, Ltd.

     5,112,000        3,385,342  
  

Wanxiang Qianchao Co., Ltd., Class A

     995,460        871,710  
  

Wasion Holdings, Ltd.

     4,676,000        1,088,184  
  

Wasu Media Holding Co., Ltd., Class A

     341,086        493,109  

*

  

Weibo Corp., Sponsored ADR

     61,210        2,543,276  
  

Weichai Power Co., Ltd., Class H

     2,040,000        3,868,417  
  

Weifu High-Technology Group Co., Ltd., Class A

     168,400        647,265  
  

Weiqiao Textile Co., Class H

     3,592,500        766,153  
  

Wens Foodstuffs Group Co., Ltd., Class A

     2,190,445        6,214,414  
  

West China Cement, Ltd.

     28,230,000        4,195,606  
  

Western Securities Co., Ltd., Class A

     591,148        805,515  
  

Wisdom Education International Holdings Co., Ltd.

     446,000        145,116  
  

Wolong Electric Group Co., Ltd., Class A

     363,300        664,427  
  

Wuchan Zhongda Group Co., Ltd., Class A

     1,479,800        978,898  

*

  

Wuhan DDMC Culture & Sports Co., Ltd., Class A

     366,500        350,899  
  

Wuhan Department Store Group Co., Ltd., Class A

     401,600        782,858  

*

  

Wuhan P&S Information Technology Co., Ltd., Class A

     438,100        407,020  
  

Wuxi Taiji Industry Co., Ltd., Class A

     733,524        1,116,826  
  

XCMG Construction Machinery Co., Ltd., Class A

     3,681,900        2,952,996  
  

Xiamen C & D, Inc., Class A

     839,700        1,051,726  
  

Xiamen Comfort Science & Technology Group Co., Ltd., Class A

     118,600        251,347  
  

Xiamen International Airport Co., Ltd., Class A

     10,700        27,971  
  

Xiamen International Port Co., Ltd., Class H

     7,708,000        637,233  
  

Xiamen ITG Group Corp., Ltd., Class A

     525,902        526,497  
  

Xiamen Tungsten Co., Ltd., Class A

     299,740        602,896  
  

Xiamen Xiangyu Co., Ltd., Class A

     363,600        325,329  
  

Xiandai Investment Co., Ltd., Class A

     184,100        105,162  
  

Xilinmen Furniture Co., Ltd., Class A

     96,500        215,354  
  

Xinfengming Group Co., Ltd., Class A

     91,060        138,743  
  

Xingda International Holdings, Ltd.

     8,900,195        2,292,442  
  

Xingfa Aluminium Holdings, Ltd.

     435,000        433,121  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     
  

Xinhu Zhongbao Co., Ltd., Class A

     2,329,543      $ 1,117,091  
  

Xinhua Winshare Publishing and Media Co., Ltd., Class H

     1,351,000        820,932  

#

  

Xinjiang Goldwind Science & Technology Co., Ltd., Class H

     2,263,200        2,983,414  
  

Xinjiang Tianshan Cement Co., Ltd., Class A

     310,600        691,193  
  

Xinjiang Zhongtai Chemical Co., Ltd., Class A

     88,700        67,690  
  

Xinxing Ductile Iron Pipes Co., Ltd., Class A

     1,389,600        754,621  
  

Xinyangfeng Agricultural Technology Co., Ltd., Class A

     268,700        485,429  
  

Xinyu Iron & Steel Co., Ltd., Class A

     944,300        586,681  
  

Xinyuan Real Estate Co., Ltd., ADR

     264,887        482,094  
  

Xtep International Holdings, Ltd.

     7,729,088        2,620,684  
  

Xuji Electric Co., Ltd., Class A

     233,200        492,103  

*

  

Yanchang Petroleum International, Ltd.

     12,800,000        51,195  
  

Yang Quan Coal Industry Group Co., Ltd., Class A

     755,000        533,172  
  

Yango Group Co., Ltd., Class A

     300,400        308,500  
  

Yantai Changyu Pioneer Wine Co., Ltd., Class A

     199,900        987,069  
  

Yantai Jereh Oilfield Services Group Co., Ltd., Class A

     296,888        1,190,327  
  

Yanzhou Coal Mining Co., Ltd., Class H

     18,294,000        13,314,341  

W

  

YiChang HEC ChangJiang Pharmaceutical Co., Ltd., Class H

     769,400        949,747  
  

Yintai Gold Co., Ltd., Class A

     319,574        480,192  
  

Yip’s Chemical Holdings, Ltd.

     842,000        295,820  

*

  

Yiren Digital, Ltd., Sponsored ADR

     111,530        366,934  
  

Yotrio Group Co., Ltd., Class A

     1,017,700        631,248  
  

Youngor Group Co., Ltd., Class A

     719,074        766,214  

*

  

Youyuan International Holdings, Ltd.

     4,485,251        28,234  

*

  

YuanShengTai Dairy Farm, Ltd.

     4,212,000        331,700  
  

Yuexiu Property Co., Ltd.

     66,198,786        12,852,555  

*

  

Yunnan Aluminium Co., Ltd., Class A

     838,700        689,959  
  

Yunnan Baiyao Group Co Ltd, Class A

     263,127        4,054,401  

*

  

Yunnan Copper Co., Ltd., Class A

     483,200        898,280  

*

  

Yunnan Tin Co., Ltd., Class A

     466,300        625,819  
  

Yuzhou Group Holdings Co., Ltd.

     22,739,677        8,801,873  
  

Zhaojin Mining Industry Co., Ltd., Class H

     111,500        144,343  

*

  

Zhejiang Century Huatong Group Co., Ltd., Class A

     3,149,591        4,018,642  
  

Zhejiang Chint Electrics Co., Ltd., Class A

     1,010,503        4,431,108  
  

Zhejiang Communications Technology Co., Ltd.

     294,400        234,281  

#

  

Zhejiang Glass Co., Ltd.

     437,000        0  
  

Zhejiang Hailiang Co., Ltd., Class A

     171,980        201,869  
  

Zhejiang Hangmin Co., Ltd., Class A

     256,726        203,887  
  

Zhejiang Hisoar Pharmaceutical Co., Ltd., Class A

     1,033,800        1,200,743  
  

Zhejiang Huace Film & TV Co., Ltd., Class A

     333,832        365,938  
  

Zhejiang Huafeng Spandex Co., Ltd., Class A

     859,548        1,031,483  
  

Zhejiang Jiahua Energy Chemical Industry Co., Ltd., Class A

     395,400        585,311  
  

Zhejiang Jianfeng Group Co., Ltd., Class A

     17,100        37,509  

*

  

Zhejiang Jingu Co., Ltd., Class A

     406,400        505,391  
  

Zhejiang Jingxin Pharmaceutical Co., Ltd., Class A

     268,800        479,335  
  

Zhejiang Juhua Co., Ltd., Class A

     505,207        504,529  
  

Zhejiang Longsheng Group Co., Ltd., Class A

     1,662,033        3,306,027  
  

Zhejiang Medicine Co., Ltd., Class A

     403,200        861,420  

*

  

Zhejiang Narada Power Source Co., Ltd., Class A

     149,100        357,834  
  

Zhejiang NHU Co., Ltd., Class A

     1,126,497        4,891,958  
  

Zhejiang Orient Financial Holdings Group Co., Ltd., Class A

     789,500        819,768  
  

Zhejiang Runtu Co., Ltd., Class A

     287,230        384,359  
  

Zhejiang Satellite Petrochemical Co., Ltd., Class A

     315,600        1,047,334  
  

Zhejiang Semir Garment Co., Ltd., Class A

     538,299        671,671  
  

Zhejiang Wanfeng Auto Wheel Co., Ltd., Class A

     837,500        900,676  
  

Zhejiang Wanliyang Co., Ltd., Class A

     317,541        553,695  
  

Zhejiang Xinan Chemical Industrial Group Co., Ltd., Class A

     138,400        188,024  
  

Zhejiang Yankon Group Co., Ltd., Class A

     91,700        53,889  
  

Zhejiang Yasha Decoration Co., Ltd., Class A

     395,626        530,442  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

CHINA — (Continued)

     

*

  

Zhejiang Yongtai Technology Co., Ltd., Class A

     58,400      $ 78,306  
  

Zhengzhou Coal Mining Machinery Group Co., Ltd., Class H

     1,429,600        1,572,667  
  

Zhengzhou Yutong Bus Co., Ltd., Class A

     493,800        1,181,120  
  

Zhenro Properties Group, Ltd.

     464,000        267,765  

#

  

Zhong An Group, Ltd.

     13,233,600        530,646  
  

Zhongjin Gold Corp., Ltd., Class A

     1,419,802        1,983,586  

*

  

Zhongshan Broad Ocean Motor Co., Ltd., Class A

     567,100        330,427  
  

Zhongyuan Environment-Protection Co., Ltd., Class A

     35,800        38,457  
  

Zhuzhou CRRC Times Electric Co., Ltd., Class H

     770,500        2,372,750  
  

Zhuzhou Kibing Group Co., Ltd., Class A

     795,846        1,092,258  
  

Zibo Qixiang Tengda Chemical Co., Ltd., Class A

     485,000        597,185  
  

Zijin Mining Group Co., Ltd., Class H

     9,546,000        6,959,155  
  

Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H

     8,941,600        7,894,674  
  

ZTE Corp., Class H

     1,604,800        3,548,296  

#

  

ZTO Express Cayman, Inc., ADR

     59,945        1,737,206  
        

 

 

 

TOTAL CHINA

        4,411,354,497  
        

 

 

 

COLOMBIA — (0.1%)

     
  

Cementos Argos SA

     94,431        111,135  

*

  

Corp. Financiera Colombiana SA

     30,986        208,156  
  

Grupo Argos SA

     1,529,091        4,195,731  
  

Grupo de Inversiones Suramericana SA

     1,584,308        8,227,832  
  

Grupo Nutresa SA

     161,925        892,808  
  

Mineros SA

     128,115        119,166  
        

 

 

 

TOTAL COLOMBIA

        13,754,828  
        

 

 

 

CZECH REPUBLIC — (0.2%)

     
  

CEZ A.S.

     1,160,007        21,954,944  
        

 

 

 

GREECE — (0.2%)

     

*

  

Aegean Airlines SA

     83,136        257,460  

*

  

Alpha Bank AE

     6,617,602        3,367,541  
  

Autohellas SA

     37,423        161,665  
  

Bank of Greece

     37,213        582,021  

*

  

Cairo Mezz P.L.C.

     351,174        42,454  

*

  

Ellaktor SA

     984,918        1,547,679  

*

  

Eurobank Ergasias Services and Holdings SA, Class A

     4,214,090        1,409,232  

*

  

Fourlis Holdings SA

     42,414        163,776  

*

  

GEK Terna Holding Real Estate Construction SA

     23,558        159,369  
  

Hellenic Petroleum SA

     146,437        718,251  

*

  

Intracom Holdings SA

     437,466        316,915  

*

  

LAMDA Development SA

     67,966        401,771  
  

Motor Oil Hellas Corinth Refineries SA

     8,934        83,531  
  

Mytilineos SA

     422,906        4,640,015  

*

  

National Bank of Greece SA

     3,347,142        3,525,000  

*

  

Piraeus Bank SA

     1,707,993        1,313,860  
  

Titan Cement International SA

     51,194        639,543  
        

 

 

 

TOTAL GREECE

        19,330,083  
        

 

 

 

HONG KONG — (0.1%)

     
  

Anxin-China Holdings, Ltd.

     6,152,000        0  
  

Atlas Corp.

     755,069        6,516,246  

*

  

Beijing Energy International Holding Co., Ltd.

     4,182,000        119,473  

W

  

China New Higher Education Group, Ltd.

     816,000        425,792  
  

Fiber Optic Center, Inc.

     3,598,000        24,366  
  

K Wah International Holdings, Ltd.

     88,829        42,154  
  

Karce International Holdings Open

     640,000        0  
  

Prinx Chengshan Cayman Holding, Ltd.

     64,000        69,347  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

HONG KONG — (Continued)

     
  

Real Gold Mining, Ltd.

     3,137,500      $ 106,438  
  

Shoucheng Holdings, Ltd.

     10,423,683        3,743,368  
        

 

 

 

TOTAL HONG KONG

        11,047,184  
        

 

 

 

HUNGARY — (0.2%)

     

*

  

MOL Hungarian Oil & Gas P.L.C.

     3,692,311        17,929,567  
  

Richter Gedeon Nyrt

     210,190        4,291,545  
        

 

 

 

TOTAL HUNGARY

        22,221,112  
        

 

 

 

INDIA — (11.2%)

     
  

Aarti Drugs, Ltd.

     54,628        502,369  
  

ACC, Ltd.

     330,940        7,361,455  
  

Adani Enterprises, Ltd.

     936,724        4,253,761  
  

Adani Gas, Ltd.

     448,421        1,332,090  

*

  

Adani Green Energy, Ltd.

     1,209,937        13,975,195  
  

Adani Ports & Special Economic Zone, Ltd.

     66,956        323,110  

*

  

Adani Power, Ltd.

     2,362,845        1,138,603  

*

  

Adani Transmissions, Ltd.

     592,012        2,310,180  

*

  

Aditya Birla Capital, Ltd.

     2,879,031        2,516,519  
  

Advanced Enzyme Technologies, Ltd.

     26,799        112,923  
  

Alembic, Ltd.

     483,755        601,403  
  

Allcargo Logistics, Ltd.

     498,591        793,248  
  

Amara Raja Batteries, Ltd.

     4,029        41,774  
  

Ambuja Cements, Ltd.

     4,057,634        14,219,413  

*

  

Amtek Auto, Ltd.

     941,223        6,548  

*

  

Anant Raj Global, Ltd.

     263,703        57,824  
  

Anant Raj, Ltd.

     112,668        27,345  
  

Apar Industries, Ltd.

     83,158        322,760  
  

Apollo Tyres, Ltd.

     1,942,429        3,668,065  

*

  

Arvind Fashions, Ltd.

     455,430        753,778  

*

  

Arvind, Ltd.

     830,228        377,925  
  

Ashok Leyland, Ltd.

     5,216,139        5,548,855  
  

Aurobindo Pharma, Ltd.

     2,186,921        22,815,804  

*

  

Axis Bank, Ltd.

     8,523,857        56,329,366  

*

  

Bajaj Hindusthan Sugar, Ltd.

     872,575        55,300  
  

Bajaj Holdings & Investment, Ltd.

     340,266        10,586,936  
  

Balmer Lawrie & Co., Ltd.

     614,043        836,058  
  

Balrampur Chini Mills, Ltd.

     1,384,859        3,000,907  

*

  

Bank of Baroda

     4,804,501        2,694,977  

*

  

Bank of Maharashtra

     578,945        86,604  
  

BEML, Ltd.

     81,747        672,171  
  

Bharat Dyanamics, Ltd.

     2,665        10,415  
  

Bharat Electronics, Ltd.

     4,584,348        5,380,084  
  

Bharat Forge, Ltd.

     9,291        56,388  
  

Bharat Heavy Electricals, Ltd.

     5,700,069        2,160,610  
  

Bharti Airtel, Ltd.

     8,859,463        51,682,131  
  

Birla Corp., Ltd.

     158,657        1,370,856  

*

  

Birlasoft, Ltd.

     1,151,377        2,813,034  
  

Bodal Chemicals, Ltd.

     146,947        118,610  
  

Borosil Renewables, Ltd.

     12,105        15,116  

*

  

Borosil, Ltd.

     12,105        23,417  
  

Brigade Enterprises, Ltd.

     403,466        973,512  
  

BSE, Ltd.

     119,329        793,687  
  

Cadila Healthcare, Ltd.

     399,189        2,251,234  
  

Can Fin Homes, Ltd.

     255,634        1,575,992  

*

  

Canara Bank

     1,449,186        1,690,216  

*

  

Capacit’e Infraprojects, Ltd.

     41,710        76,308  
  

Ceat, Ltd.

     165,941        2,444,028  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDIA — (Continued)

     
  

Century Textiles & Industries, Ltd.

     12,794      $ 52,761  

*

  

CG Power and Industrial Solutions, Ltd.

     2,853,683        1,207,386  
  

Chambal Fertilizers & Chemicals, Ltd.

     960,912        2,106,573  
  

Chennai Super Kings Cricket, Ltd.

     5,080,767        28,925  

*

  

Cholamandalam Financial Holdings, Ltd.

     420,899        2,188,364  
  

Cipla, Ltd.

     896,605        9,141,181  
  

City Union Bank, Ltd.

     1,451,921        2,896,502  

W

  

Cochin Shipyard, Ltd.

     26,896        122,519  

* W

  

Coffee Day Enterprises, Ltd.

     161,329        57,363  
  

Container Corp. Of India, Ltd.

     357,502        1,886,266  
  

Cyient, Ltd.

     124,698        663,918  

*

  

Dalmia Bharat, Ltd.

     284,948        3,239,568  
  

DB Corp., Ltd.

     138,530        137,978  

*

  

DCB Bank, Ltd.

     1,226,347        1,285,434  
  

DCM Shriram, Ltd.

     361,622        1,650,923  
  

Deepak Fertilisers & Petrochemicals Corp., Ltd.

     314,938        627,176  
  

Delta Corp., Ltd.

     51,743        82,842  
  

Dhampur Sugar Mills, Ltd.

     225,896        434,863  
  

Dhani Services, Ltd.

     23,401        62,108  

W

  

Dilip Buildcon, Ltd.

     108,385        477,113  

*

  

Dish TV India, Ltd.

     2,132,040        328,045  
  

Dishman Carbogen Amcis, Ltd.

     579,097        1,184,161  
  

DLF, Ltd.

     2,412,108        5,166,176  
  

Dr Reddy’s Laboratories, Ltd., ADR

     142,947        9,264,395  
  

Dr Reddy’s Laboratories, Ltd.

     47,319        3,115,302  
  

eClerx Services, Ltd.

     13,413        126,548  

*

  

Edelweiss Financial Services, Ltd.

     1,424,853        1,075,679  

*

  

EID Parry India, Ltd.

     596,304        2,227,603  

*

  

EIH, Ltd.

     422,487        428,943  
  

Engineers India, Ltd.

     174,931        153,083  
  

EPL, Ltd.

     187,726        634,721  
  

Escorts, Ltd.

     279,042        4,530,540  
  

Excel Industries, Ltd.

     1,169        13,649  
  

Exide Industries, Ltd.

     280,804        601,333  
  

FDC, Ltd.

     69,318        320,155  

*

  

Federal Bank, Ltd.

     10,486,940        7,136,204  
  

Finolex Cables, Ltd.

     513,719        1,928,360  
  

Finolex Industries, Ltd.

     148,359        1,042,298  
  

Firstsource Solutions, Ltd.

     1,796,446        1,695,101  

*

  

Fortis Healthcare, Ltd.

     2,163,516        3,672,775  

*

  

Future Enterprises, Ltd.

     1,132,688        142,411  
  

GAIL India, Ltd.

     11,699,118        13,384,595  
  

Gateway Distriparks, Ltd.

     325,127        403,278  

* W

  

General Insurance Corp. of India

     111,280        177,819  

*

  

GFL, Ltd.

     199,658        212,933  
  

GHCL, Ltd.

     257,525        540,682  
  

Glenmark Pharmaceuticals, Ltd.

     1,101,424        7,065,631  
  

Godfrey Phillips India, Ltd.

     85,898        1,040,805  
  

Granules India, Ltd.

     883,816        4,554,368  
  

Graphite India, Ltd.

     20,799        49,358  
  

Grasim Industries, Ltd.

     1,682,798        17,695,587  
  

Great Eastern Shipping Co., Ltd. (The)

     533,214        1,625,369  

*

  

Greaves Cotton, Ltd.

     355,301        333,474  
  

Gujarat Alkalies & Chemicals, Ltd.

     176,303        761,684  
  

Gujarat Ambuja Exports, Ltd.

     280,132        434,352  

*

  

Gujarat Fluorochemicals, Ltd.

     386,472        2,501,219  
  

Gujarat Mineral Development Corp., Ltd.

     611,679        354,052  
  

Gujarat Narmada Valley Fertilizers & Chemicals, Ltd.

     383,198        1,059,228  
  

Gujarat Pipavav Port, Ltd.

     388,699        463,834  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDIA — (Continued)

     
  

Gujarat State Fertilizers & Chemicals, Ltd.

     828,894      $ 757,042  
  

Gujarat State Petronet, Ltd.

     1,388,049        3,628,879  
  

HEG, Ltd.

     12,117        110,351  
  

HeidelbergCement India, Ltd.

     345,204        858,925  
  

HFCL, Ltd.

     3,752,356        872,306  
  

Hikal, Ltd.

     308,027        678,102  
  

HIL, Ltd.

     18,294        431,889  
  

Himadri Speciality Chemical, Ltd.

     203,546        129,178  
  

Himatsingka Seide, Ltd.

     181,013        308,303  
  

Hindalco Industries, Ltd.

     12,678,607        29,331,426  
  

Hinduja Global Solutions, Ltd.

     61,407        551,431  
  

Housing Development Finance Corp., Ltd.

     277,698        7,194,834  

# *

  

ICICI Bank, Ltd., Sponsored ADR

     5,868,831        61,916,166  

*

  

ICICI Bank, Ltd.

     921,978        4,860,756  

*

  

IDFC First Bank, Ltd.

     12,428,379        5,166,976  
  

IDFC, Ltd.

     6,431,062        2,640,765  

*

  

IFCI, Ltd.

     5,203,346        406,911  
  

IIFL Finance, Ltd.

     1,847,539        1,847,966  
  

IIFL Securities, Ltd.

     2,626,942        1,386,879  
  

IIFL Wealth Management, Ltd.

     343,485        4,239,099  
  

India Cements, Ltd. (The)

     1,788,139        2,848,046  
  

India Glycols, Ltd.

     91,269        336,471  
  

Indiabulls Housing Finance, Ltd.

     1,955,323        3,710,463  

*

  

Indiabulls Real Estate, Ltd.

     1,698,066        1,093,309  

*

  

Indian Bank

     724,988        563,431  
  

Indian Hotels Co., Ltd. (The)

     1,525,929        1,962,263  
  

Indian Hume Pipe Co., Ltd. (The)

     2,945        6,312  
  

Indo Count Industries, Ltd.

     248,595        481,327  
  

Indoco Remedies, Ltd.

     18,557        64,434  

*

  

INEOS Styrolution India, Ltd.

     24,506        173,617  
  

Infibeam Avenues, Ltd.

     2,103,252        2,367,902  

*

  

Intellect Design Arena, Ltd.

     355,025        1,135,646  

W

  

IRCON International, Ltd.

     11,290        11,551  
  

ITD Cementation India, Ltd.

     187,582        123,696  
  

J Kumar Infraprojects, Ltd.

     167,631        231,969  
  

Jagran Prakashan, Ltd.

     489,592        242,974  
  

Jai Corp., Ltd.

     312,837        349,093  

*

  

Jaiprakash Associates, Ltd.

     2,045,317        107,695  

*

  

Jammu & Kashmir Bank, Ltd. (The)

     768,439        147,245  
  

JB Chemicals & Pharmaceuticals, Ltd.

     365,551        4,965,245  
  

Jindal Poly Films, Ltd.

     116,128        714,561  
  

Jindal Saw, Ltd.

     854,627        698,979  

*

  

Jindal Stainless Hisar, Ltd.

     10,311        13,703  

*

  

Jindal Stainless, Ltd.

     258,426        217,749  

*

  

Jindal Steel & Power, Ltd.

     3,034,663        7,848,318  
  

JK Cement, Ltd.

     155,248        3,843,393  
  

JK Lakshmi Cement, Ltd.

     228,271        891,392  
  

JK Paper, Ltd.

     522,303        619,905  
  

JK Tyre & Industries, Ltd.

     607,973        549,871  
  

JM Financial, Ltd.

     2,157,432        2,356,649  
  

JSW Energy, Ltd.

     3,023,679        2,451,289  
  

JSW Steel, Ltd.

     5,949,447        24,782,262  
  

Jubilant Life Sciences, Ltd.

     770,389        7,561,967  
  

Jyothy Labs, Ltd.

     26,964        49,359  
  

Kalpataru Power Transmission, Ltd.

     455,895        1,527,398  
  

Kalyani Steels, Ltd.

     76,266        215,463  

*

  

Karnataka Bank, Ltd. (The)

     847,024        486,224  

*

  

Karur Vysya Bank, Ltd. (The)

     2,259,617        984,248  

*

  

Kaveri Seed Co., Ltd.

     83,828        571,541  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDIA — (Continued)

     
  

KEC International, Ltd.

     18,601      $ 81,235  
  

Kiri Industries, Ltd.

     105,185        631,230  
  

Kirloskar Oil Engines, Ltd.

     298,653        412,609  
  

KNR Constructions, Ltd.

     203,640        687,600  
  

Kolte-Patil Developers, Ltd.

     90,777        207,474  
  

KPIT Technologies, Ltd.

     1,864,006        2,356,204  
  

KPR Mill, Ltd.

     40,882        410,726  
  

KRBL, Ltd.

     120,245        414,907  
  

L&T Finance Holdings, Ltd.

     3,671,628        3,195,550  
  

Lakshmi Machine Works, Ltd.

     1,294        69,780  
  

Larsen & Toubro, Ltd.

     2,116,577        26,556,015  

W

  

Laurus Labs, Ltd.

     247,000        1,055,929  
  

LG Balakrishnan & Bros, Ltd.

     14,177        47,703  
  

LIC Housing Finance, Ltd.

     2,220,271        8,465,254  
  

Linde India, Ltd.

     55,381        623,469  
  

LT Foods, Ltd.

     773,314        549,862  
  

Lupin, Ltd.

     1,428,720        17,496,318  

*

  

Magma Fincorp, Ltd.

     302,555        149,958  
  

Maharashtra Scooters, Ltd.

     8,085        304,528  
  

Maharashtra Seamless, Ltd.

     147,161        439,958  

*

  

Mahindra & Mahindra Financial Services, Ltd.

     4,167,224        6,882,266  
  

Mahindra & Mahindra, Ltd.

     4,540,976        36,399,157  

*

  

Mahindra CIE Automotive, Ltd.

     216,128        402,109  

*

  

Mahindra Lifespace Developers, Ltd.

     125,469        473,517  
  

Maithan Alloys, Ltd.

     1,776        11,597  
  

Majesco, Ltd.

     26,238        327,085  
  

Manappuram Finance, Ltd.

     1,288,705        2,706,014  
  

Marksans Pharma, Ltd.

     1,741,434        1,193,508  
  

Mastek, Ltd.

     81,389        929,359  

*

  

Max Healthcare Institute, Ltd.

     484,677        695,222  

*

  

Max India, Ltd.

     97,915        75,576  
  

Meghmani Organics, Ltd.

     865,589        832,062  
  

MOIL, Ltd.

     478,127        828,476  
  

Motherson Sumi Systems, Ltd.

     166,081        236,791  
  

Mphasis, Ltd.

     490,454        9,179,363  
  

MRF, Ltd.

     7,617        6,673,970  
  

Muthoot Finance, Ltd.

     319,810        5,297,665  
  

Natco Pharma, Ltd.

     25,545        308,651  
  

National Aluminium Co., Ltd.

     2,986,448        1,232,849  
  

Nava Bharat Ventures, Ltd.

     479,073        341,781  
  

Navin Fluorine International, Ltd.

     3,096        93,489  
  

NCC, Ltd.

     1,726,959        789,684  
  

NIIT, Ltd.

     590,477        1,116,233  
  

Nilkamal, Ltd.

     39,627        675,629  
  

NMDC, Ltd.

     179,947        199,465  
  

NOCIL, Ltd.

     479,016        881,750  
  

Nucleus Software Exports, Ltd.

     18,815        154,723  

*

  

Oberoi Realty, Ltd.

     494,260        2,951,968  

*

  

Omaxe, Ltd.

     315,312        281,998  
  

Orient Cement, Ltd.

     556,320        481,991  

W

  

Parag Milk Foods, Ltd.

     137,951        196,856  

*

  

PC Jeweller, Ltd.

     392,820        81,889  
  

Persistent Systems, Ltd.

     344,461        5,395,547  
  

Petronet LNG, Ltd.

     4,007,919        12,493,229  
  

Phillips Carbon Black, Ltd.

     518,512        981,816  
  

Piramal Enterprises, Ltd.

     466,543        7,922,714  

* W

  

PNB Housing Finance, Ltd.

     186,149        883,841  
  

PNC Infratech, Ltd.

     321,227        736,199  
  

Polyplex Corp., Ltd.

     101,191        1,057,428  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDIA — (Continued)

     
  

Power Finance Corp., Ltd.

     4,872,837      $ 5,744,333  
  

Praj Industries, Ltd.

     92,329        95,786  
  

Prakash Industries, Ltd.

     187,902        111,592  
  

Prestige Estates Projects, Ltd.

     647,281        2,185,174  

*

  

Procter & Gamble Health, Ltd.

     32,885        2,283,211  
  

PTC India Financial Services, Ltd.

     1,766,742        432,522  
  

PTC India, Ltd.

     919,939        584,002  

*

  

Punjab National Bank

     5,997,812        2,164,021  

* W

  

Quess Corp., Ltd.

     37,802        209,422  
  

Rain Industries, Ltd.

     736,786        1,048,968  
  

Rajesh Exports, Ltd.

     584,798        3,645,845  
  

Rallis India, Ltd.

     310,215        1,035,273  
  

Ramco Industries, Ltd.

     118,646        302,807  
  

Rashtriya Chemicals & Fertilizers, Ltd.

     1,044,190        596,566  
  

Ratnamani Metals & Tubes, Ltd.

     3,836        65,635  

*

  

Raymond, Ltd.

     213,729        787,888  

W

  

RBL Bank, Ltd.

     322,994        757,945  
  

REC, Ltd.

     5,381,994        7,468,735  
  

Redington India, Ltd.

     2,275,102        3,951,841  
  

Reliance Industries, Ltd.

     17,062,685        475,326,938  

*

  

Reliance Power, Ltd.

     925,450        44,306  
  

Repco Home Finance, Ltd.

     157,611        407,055  
  

Sadbhav Engineering, Ltd.

     65,085        42,117  

*

  

Sequent Scientific, Ltd.

     521,810        992,257  
  

Seshasayee Paper & Boards, Ltd.

     59,795        103,104  
  

Sharda Cropchem, Ltd.

     28,099        102,682  
  

Shipping Corp. of India, Ltd.

     822,610        566,460  
  

Shriram City Union Finance, Ltd.

     27,860        300,205  
  

Shriram Transport Finance Co., Ltd.

     735,109        6,838,839  
  

Sobha, Ltd.

     397,498        1,554,603  
  

Somany Ceramics, Ltd.

     14,761        41,586  
  

Somany Home Innovation, Ltd.

     460,561        468,621  

*

  

South Indian Bank, Ltd. (The)

     4,961,219        434,346  
  

SRF, Ltd.

     65,370        3,869,900  
  

Srikalahasthi Pipes, Ltd.

     69,809        114,751  

*

  

State Bank of India

     7,108,564        18,173,445  

*

  

Steel Authority of India, Ltd.

     4,592,630        2,137,242  
  

Strides Pharma Science, Ltd.

     361,129        3,350,604  
  

Sun Pharmaceutical Industries, Ltd.

     2,939,332        18,473,616  
  

Sun TV Network, Ltd.

     89,286        510,037  
  

Sunteck Realty, Ltd.

     290,750        1,041,639  
  

Surya Roshni, Ltd.

     65,033        195,145  

*

  

TAKE Solutions, Ltd.

     423,620        232,329  
  

Tata Chemicals, Ltd.

     761,327        3,289,598  
  

Tata Consumer Products, Ltd.

     2,138,209        14,240,754  
  

Tata Metaliks, Ltd.

     1,879        13,032  

*

  

Tata Motors, Ltd.

     13,087,848        23,371,071  
  

Tata Steel, Ltd.

     1,930,245        10,673,883  
  

Tech Mahindra, Ltd.

     512,811        5,631,994  

*

  

Techno Electric & Engineering Co., Ltd.

     51,972        133,823  

*

  

Teledata Marine Solutions, Ltd.

     267,258        0  
  

Texmaco Rail & Engineering, Ltd.

     235,895        77,225  
  

Tide Water Oil Co India, Ltd.

     2,390        141,850  
  

Time Technoplast, Ltd.

     635,571        322,070  
  

Tinplate Co. of India, Ltd. (The)

     217,969        378,488  
  

Transport Corp. of India, Ltd.

     154,447        467,269  
  

Trident, Ltd.

     8,544,349        847,523  
  

Triveni Engineering & Industries, Ltd.

     572,383        553,971  
  

Tube Investments of India, Ltd.

     334,852        2,981,923  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDIA — (Continued)

     
  

TV Today Network, Ltd.

     29,230      $ 78,658  

*

  

TV18 Broadcast, Ltd.

     4,443,516        1,725,295  
  

TVS Srichakra, Ltd.

     1,968        37,453  

*

  

UCO Bank

     1,814,473        283,948  
  

Uflex, Ltd.

     263,480        1,182,337  
  

Unichem Laboratories, Ltd.

     220,521        746,331  

*

  

Union Bank of India

     1,643,856        536,780  

*

  

Usha Martin, Ltd.

     368,127        104,997  

*

  

VA Tech Wabag, Ltd.

     117,627        289,493  
  

Vardhman Textiles, Ltd.

     181,028        1,875,382  
  

Vedanta, Ltd.

     15,425,200        19,994,682  
  

Vedanta, Ltd., ADR

     557,921        2,856,558  
  

Venky’s India, Ltd.

     538        10,604  
  

Vindhya Telelinks, Ltd.

     23,536        226,892  

*

  

Vodafone Idea, Ltd.

     11,609,989        1,377,037  
  

Welspun Corp., Ltd.

     646,685        932,517  
  

Welspun Enterprises, Ltd.

     545,872        554,954  
  

Welspun India, Ltd.

     1,919,926        1,804,390  
  

West Coast Paper Mills, Ltd.

     184,344        392,876  
  

Wipro, Ltd.

     9,688,471        44,470,377  

*

  

Wockhardt, Ltd.

     265,080        1,039,356  

*

  

Yes Bank, Ltd.

     19,922,354        3,341,684  
  

Zee Entertainment Enterprises, Ltd.

     158,265        399,771  
  

Zensar Technologies, Ltd.

     582,623        1,407,128  
        

 

 

 

TOTAL INDIA

        1,455,326,704  
        

 

 

 

INDONESIA — (1.7%)

     
  

Adaro Energy Tbk PT

     127,800,300        9,687,715  
  

Adhi Karya Persero Tbk PT

     11,788,800        458,140  

*

  

Adi Sarana Armada Tbk PT

     717,700        24,424  
  

AKR Corporindo Tbk PT

     563,800        101,964  

*

  

Alam Sutera Realty Tbk PT

     95,148,700        992,607  
  

Aneka Tambang Tbk

     55,792,377        3,968,174  

*

  

Asahimas Flat Glass Tbk PT

     3,497,100        559,392  
  

Astra Agro Lestari Tbk PT

     3,535,967        2,584,121  
  

Astra International Tbk PT

     13,165,400        4,807,646  

*

  

Astrindo Nusantara Infrastructure Tbk PT

     91,386,000        312,431  

*

  

Bakrie Telecom Tbk PT

     160,430,200        102,840  

*

  

Bank Bukopin Tbk

     43,316,406        719,535  
  

Bank Danamon Indonesia Tbk PT

     16,773,054        2,780,402  
  

Bank Mandiri Persero Tbk PT

     95,602,262        37,240,022  
  

Bank Negara Indonesia Persero Tbk PT

     38,665,741        12,301,459  

*

  

Bank Pan Indonesia Tbk PT

     79,890,901        4,209,422  
  

Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT

     20,371,700        1,489,040  
  

Bank Pembangunan Daerah Jawa Timur Tbk PT

     23,587,400        926,935  
  

Bank Tabungan Negara Persero Tbk PT

     29,042,627        2,703,420  

*

  

Barito Pacific Tbk PT

     61,185,500        3,707,130  

*

  

Bekasi Fajar Industrial Estate Tbk PT

     32,514,000        395,015  
  

BISI International Tbk PT

     11,206,300        688,455  

*

  

Blue Bird Tbk PT

     241,300        13,649  

*

  

Buana Lintas Lautan Tbk PT

     29,766,000        671,097  
  

Bukit Asam Tbk PT

     22,735,900        2,978,951  

*

  

Bumi Serpong Damai Tbk PT

     50,956,000        3,032,915  
  

Ciputra Development Tbk PT

     87,666,178        4,821,244  

*

  

City Retail Developments Tbk PT

     1,000,000        10,136  
  

Davomas Abadi Tbk PT

     54,906,800        0  

*

  

Delta Dunia Makmur Tbk PT

     40,018,200        647,498  

*

  

Eagle High Plantations Tbk PT

     57,990,500        375,789  
  

Elnusa Tbk PT

     21,143,600        301,922  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDONESIA — (Continued)

     

*

   Erajaya Swasembada Tbk PT      12,555,000      $ 1,478,042  

*

   Gajah Tunggal Tbk PT      15,524,400        474,627  

*

   Garuda Indonesia Persero Tbk PT      21,006,181        339,642  

*

   Global Mediacom Tbk PT      62,505,100        958,747  

*

   Hanson International Tbk PT      37,319,300        47,845  

*

   Harum Energy Tbk PT      3,046,400        450,003  
   Hexindo Adiperkasa Tbk PT.      646,644        133,370  
   Indah Kiat Pulp & Paper Corp. Tbk PT      24,686,700        15,117,999  
   Indika Energy Tbk PT      12,567,500        783,859  
   Indo Tambangraya Megah Tbk PT      3,083,000        1,688,891  
   Indofood Sukses Makmur Tbk PT      33,455,400        15,848,101  

*

   Indo-Rama Synthetics Tbk PT      180,100        26,025  

*

   Intiland Development Tbk PT      66,885,300        723,175  
   Japfa Comfeed Indonesia Tbk PT      36,228,450        2,611,766  
   Jaya Real Property Tbk PT      79,873,700        2,294,582  

*

   Kawasan Industri Jababeka Tbk PT      214,879,956        3,043,183  

*

   KMI Wire & Cable Tbk PT      11,265,200        236,941  

*

   Lippo Cikarang Tbk PT      14,721,310        796,637  

*

   Lippo Karawaci Tbk PT      454,218,662        4,120,345  

*

   Malindo Feedmill Tbk PT      6,552,300        241,240  

*

   Medco Energi Internasional Tbk PT      67,905,632        1,742,888  

*

   Media Nusantara Citra Tbk PT      36,628,800        2,043,114  
   Metrodata Electronics Tbk PT      5,922,450        647,549  

*

   MNC Investama Tbk PT      156,999,500        536,568  

*

   Multipolar Tbk PT      2,677,700        9,119  
   Pabrik Kertas Tjiwi Kimia Tbk PT      3,315,100        1,359,284  

*

   Pan Brothers Tbk PT      31,944,950        472,147  

*

   Panin Financial Tbk PT      100,243,000        1,282,218  

*

   Paninvest Tbk PT      14,685,500        688,673  
   Perusahaan Perkebunan London Sumatra Indonesia Tbk PT      25,186,784        1,652,487  
   PP Persero Tbk PT      18,241,200        1,114,928  
   Ramayana Lestari Sentosa Tbk PT      18,175,100        704,061  

*

   Salim Ivomas Pratama Tbk PT      24,516,000        542,484  

*

   Sampoerna Agro Tbk PT      10,139,641        997,960  
   Semen Indonesia Persero Tbk PT      14,874,700        9,636,010  

*

   Sentul City Tbk PT      150,614,700        514,047  

*

   Siloam International Hospitals Tbk PT      1,781,100        605,468  

*

   Sinar Mas Agro Resources & Technology Tbk PT      7,375,500        1,501,537  
   Sri Rejeki Isman Tbk PT      96,464,500        1,328,048  

*

   Summarecon Agung Tbk PT      5,342,900        235,639  

*

   Surya Esa Perkasa Tbk PT      13,264,400        124,506  
   Surya Semesta Internusa Tbk PT.      32,048,200        1,057,178  

*

   Suryainti Permata Tbk PT      17,378,000        0  
   Tempo Scan Pacific Tbk PT.      917,400        78,558  

*

   Tiga Pilar Sejahtera Food Tbk      41,727,122        610,571  

*

   Timah Tbk PT.      16,347,360        906,814  

*

   Tiphone Mobile Indonesia Tbk PT      6,628,800        41,133  

*

   Trada Alam Minera Tbk PT.      188,544,700        241,724  
   Trias Sentosa Tbk PT      336,500        8,970  

*

   Truba Alam Manuggal Engineering PT.      129,244,500        0  
   Tunas Baru Lampung Tbk PT      20,636,100        1,052,362  
   Tunas Ridean Tbk PT      33,394,000        2,937,773  
   Ultrajaya Milk Industry & Trading Co. Tbk PT.      5,078,300        572,273  
   Unggul Indah Cahaya Tbk PT      288,335        80,018  
   United Tractors Tbk PT      14,117,300        20,169,264  

*

   Vale Indonesia Tbk PT      12,137,600        3,319,765  
   Waskita Beton Precast Tbk PT.      69,243,800        727,012  
   Waskita Karya Persero Tbk PT      27,332,800        1,361,030  
   Wijaya Karya Bangunan Gedung Tbk PT      6,598,700        79,324  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

INDONESIA — (Continued)

     
   Wijaya Karya Beton Tbk PT      28,023,900      $ 457,047  
   Wijaya Karya Persero Tbk PT      23,964,300        1,938,673  
   XL Axiata Tbk PT      29,933,500        4,091,564  
        

 

 

 

TOTAL INDONESIA

        222,498,298  
        

 

 

 

MALAYSIA — (2.0%)

     
   Aeon Co. M Bhd      2,308,900        383,916  
   AFFIN Bank Bhd      9,561,821        3,149,774  

*

   AirAsia Group Bhd      12,383,100        1,639,603  
   Alliance Bank Malaysia Bhd      9,626,000        5,054,498  
   Allianz Malaysia Bhd      84,800        269,120  
   AMMB Holdings Bhd      16,072,362        11,029,930  

*

   Ann Joo Resources Bhd      932,600        139,524  
   Batu Kawan Bhd      1,768,650        6,436,626  

*

   Berjaya Assets Bhd      604,700        38,542  

*

   Berjaya Corp. Bhd      26,219,129        1,197,889  

# *

   Berjaya Land Bhd      8,569,500        361,352  
   BIMB Holdings Bhd      1,122,607        849,064  

*

   Boustead Holdings Bhd      3,917,491        537,956  

# *

   Boustead Plantations Bhd      3,159,100        357,536  

*

   Bumi Armada Bhd      18,912,300        1,006,371  
   Cahya Mata Sarawak Bhd      1,105,000        287,641  
   Can-One Bhd      47,600        28,180  

#

   CB Industrial Product Holding Bhd      1,536,600        325,169  
   CIMB Group Holdings Bhd      39,298,882        27,891,575  
   CSC Steel Holdings Bhd      821,256        161,279  

*

   Cypark Resources Bhd      822,350        160,114  

*

   Dagang NeXchange Bhd      404,500        17,107  
   DRB-Hicom Bhd      8,763,900        4,010,496  
   Eastern & Oriental Bhd      4,378,613        380,017  

*

   Eco World Development Group Bhd      5,003,200        457,832  

#

   Ekovest BHD      12,731,400        1,439,813  
   FAR East Holdings BHD      57,360        35,126  
   FGV Holdings Bhd      13,988,900        3,571,708  

#

   Gabungan AQRS Bhd      2,292,974        331,065  
   Gadang Holdings Bhd      4,117,000        367,093  
   Gamuda Bhd      10,407,933        8,341,609  

#

   Genting Bhd      12,734,100        9,077,636  
   Genting Malaysia Bhd.      17,084,200        8,225,555  

#

   George Kent Malaysia Bhd      2,629,700        424,234  
   GuocoLand Malaysia Bhd      338,980        36,758  
   HAP Seng Consolidated Bhd      2,277,482        4,016,450  
   Hap Seng Plantations Holdings Bhd      535,900        211,620  

# *

   Hengyuan Refining Co. Bhd      1,037,900        658,182  
   HeveaBoard Bhd      2,153,300        259,268  
   Hiap Teck Venture Bhd      8,346,100        371,987  

#

   Hong Leong Financial Group Bhd      2,410,534        8,192,504  
   Hong Leong Industries Bhd      129,100        231,757  

*

   IGB Bhd      2,361,905        1,415,852  
   IJM Corp. Bhd      22,664,318        7,307,963  

#

   Insas Bhd      3,408,200        606,996  

#

   IOI Properties Group Bhd      7,421,625        1,537,230  

# *

   Iskandar Waterfront City Bhd      1,951,300        223,106  

# *

   JAKS Resources Bhd      3,841,300        397,867  

*

   Jaya Tiasa Holdings Bhd      4,413,433        761,772  
   Keck Seng Malaysia Bhd      1,451,900        1,286,791  

# *

   KNM Group Bhd      16,984,090        615,327  

# *

   KSL Holdings Bhd      3,483,451        385,960  
   Kumpulan Fima BHD      783,900        273,425  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

MALAYSIA — (Continued)

     
   Land & General Bhd      15,219,720      $ 312,336  

*

   LBS Bina Group Bhd      6,260,734        549,581  

W

   Lotte Chemical Titan Holding Bhd      856,500        429,069  
   Magnum Bhd      6,054,445        2,914,617  

#

   Mah Sing Group Bhd      9,892,662        2,169,722  
   Malayan Banking Bhd      14,744,471        24,824,192  
   Malayan Flour Mills Bhd      4,779,175        662,018  
   Malaysia Airports Holdings Bhd      476,154        479,354  
   Malaysia Building Society Bhd      15,225,678        1,796,344  
   Malaysian Pacific Industries Bhd      157,675        836,193  
   Malaysian Resources Corp. Bhd      17,504,500        1,579,702  
   Matrix Concepts Holdings Bhd      794,700        304,233  
   MBM Resources BHD      1,043,603        663,776  
   Mega First Corp. Bhd      170,600        285,818  
   MISC Bhd      7,196,504        11,415,730  
   MKH Bhd      3,186,078        911,782  

#

   MMC Corp. Bhd      3,823,480        663,927  
   MNRB Holdings Bhd      2,691,179        557,767  

*

   MPHB Capital Bhd      178,400        39,143  
   Muda Holdings Bhd      1,439,500        558,510  

*

   Muhibbah Engineering M Bhd      2,467,000        433,294  

*

   Mulpha International Bhd      1,236,860        369,301  

*

   OCK Group Bhd      131,800        12,701  
   Oriental Holdings BHD      2,893,179        3,533,571  
   OSK Holdings Bhd      9,520,606        1,707,658  
   Panasonic Manufacturing Malaysia Bhd      108,080        732,491  
   Pantech Group Holdings Bhd      2,938,794        247,879  
   Paramount Corp. Bhd      2,453,655        419,633  
   Petron Malaysia Refining & Marketing Bhd      247,800        181,989  

*

   Pos Malaysia Bhd      1,980,500        448,106  
   PPB Group Bhd      2,909,239        13,169,912  
   RHB Bank Bhd      13,176,700        13,410,747  

# *

   Sapura Energy Bhd      39,709,700        961,825  

#

   Sarawak Oil Palms Bhd      694,467        587,968  
   Shangri-La Hotels Malaysia Bhd      401,500        383,917  
   Sime Darby Bhd      21,654,600        12,560,465  
   Sime Darby Property Bhd      7,330,900        952,373  
   SP Setia Bhd Group      9,325,073        1,550,368  

*

   Sumatec Resources Bhd      2,855,100        1,306  
   Sunway Bhd      10,225,386        3,299,960  
   Suria Capital Holdings Bhd      989,280        197,519  
   Ta Ann Holdings Bhd      2,441,126        1,546,761  
   TA Enterprise Bhd      13,174,400        1,950,423  

# *

   TA Global Bhd      10,522,780        670,854  
   Tan Chong Motor Holdings Bhd      1,376,900        336,750  
   TIME dotCom Bhd      735,880        2,280,190  

*

   Tropicana Corp. Bhd      6,299,061        1,235,598  

*

   Tune Protect Group Bhd      2,001,800        144,550  
   UEM Edgenta Bhd      1,204,400        544,329  

# *

   UEM Sunrise Bhd      14,541,345        1,296,672  
   United Malacca Bhd      941,000        1,074,570  
   UOA Development Bhd      8,687,000        3,114,725  

*

   Velesto Energy Bhd      18,780,227        522,398  

*

   Vivocom International Holdings Bhd      3,725,667        44,777  

*

   Vizione Holdings Bhd      1,658,571        160,204  
   VS Industry Bhd.      5,675,400        3,200,278  

#

   Wah Seong Corp. Bhd      1,853,880        174,268  

# *

   WCT Holdings Bh      5,725,965        504,125  
   Yinson Holdings Bhd      91,900        101,282  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

MALAYSIA — (Continued)

     

*

   YNH Property Bhd      3,587,550      $ 2,425,921  

*

   YTL Corp. Bhd      48,840,821        8,528,019  
        

 

 

 

TOTAL MALAYSIA

        263,749,256  
        

 

 

 

MEXICO — (2.6%)

     
   ALEATICA S.A.B. de C.V.      21,226        20,024  

#

   Alfa S.A.B. de C.V., Class A      26,137,924        17,473,340  

#

   Alpek S.A.B. de C.V.      3,347,382        2,523,378  

#

   Arca Continental S.A.B. de C.V.      1,610,444        7,022,892  

# * W

   Banco del Bajio SA      1,357,098        1,125,397  
   Becle S.A.B. de C.V.      632,403        1,334,780  
   Cemex S.A.B. de C.V.      8,135,155        3,359,685  
   Cemex S.A.B. de C.V., Sponsored ADR      6,811,714        28,268,611  

#

   Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR      61,925        2,346,338  

#

   Coca-Cola Femsa S.A.B. de C.V.      1,044,400        3,974,939  

# *

   Consorcio ARA S.A.B. de C.V.      4,761,990        574,721  

*

   Corp Interamericana de Entretenimiento S.A.B. de C.V., Class B      1,487,738        350,341  

*

   Corp. Actinver S.A.B. de C.V.      89,268        36,193  
   Corpovael S.A. de C.V.      800        230  

*

   Credito Real S.A.B. de C.V. SOFOM ER      1,447,650        750,732  
   Cydsa S.A.B. de C.V.      5,874        5,807  
   Dine S.A.B. de C.V.      1,027,267        615,057  

#

   El Puerto de Liverpool S.A.B. de C.V., Class C1      669,718        1,805,048  
   Fomento Economico Mexicano S.A.B. de C.V., Sponsored ADR      185,791        9,989,982  

*

   Genomma Lab Internacional S.A.B. de C.V., Class B      1,137,778        1,014,863  

# *

   Gentera S.A.B. de C.V.      1,801,797        424,722  

*

   Grupo Aeromexico S.A.B. de C.V.      698,553        140,294  

# *

   Grupo Carso S.A.B. de C.V.      4,089,843        7,594,886  

#

   Grupo Cementos de Chihuahua S.A.B. de C.V.      1,355,327        6,835,579  
   Grupo Comercial Chedraui S.A. de C.V.      2,935,346        3,736,386  
   Grupo Elektra S.A.B. de C.V.      202,573        11,520,155  

*

   Grupo Financiero Banorte S.A.B. de C.V., Class O      13,470,783        60,077,605  

*

   Grupo Financiero Inbursa S.A.B. de C.V., Class O      10,973,682        8,132,677  

# *

   Grupo Gigante S.A.B. de C.V.      471,076        497,471  

#

   Grupo Herdez S.A.B. de C.V.      465,520        828,923  

*

   Grupo Industrial Saltillo S.A.B. de C.V.      1,352,696        1,262,682  
   Grupo KUO S.A.B. de C.V., Class B      1,996,451        4,329,573  

#

   Grupo Mexico S.A.B. de C.V., Class B      26,674,348        76,056,128  

*

   Grupo Pochteca S.A.B. de C.V.      67,810        20,188  

*

   Grupo Posadas S.A.B. de C.V.      326,935        321,363  

*

   Grupo Qumma S.A. de C.V., Class B      5,301        0  

#

   Grupo Rotoplas S.A.B. de C.V.      190,853        166,456  
   Grupo Sanborns S.A.B. de C.V.      1,389,018        1,203,272  

#

   Grupo Simec S.A.B. de C.V., Class B      778,420        2,348,673  

*

   Grupo Sports World S.A.B. de C.V.      339,956        105,778  

*

   Grupo Televisa S.A.B., Sponsored ADR      680,759        4,329,627  

# *

   Grupo Televisa S.A.B.      2,296,479        2,923,175  

*

   Hoteles City Express S.A.B. de C.V.      296,191        75,404  
   Industrias Bachoco S.A.B. de C.V., Sponsored ADR      15,247        568,866  

#

   Industrias Bachoco S.A.B. de C.V., Class B      1,363,362        4,237,628  

#

   Industrias CH S.A.B. de C.V., Class B      1,901,723        7,620,699  

#

   Industrias Penoles S.A.B. de C.V.      515,975        8,241,394  

#

   La Comer S.A.B. de C.V.      4,471,876        8,169,398  

*

   Medica Sur S.A.B. de C.V., Class B      1,000        1,272  

# *

   Minera Frisco S.A.B. de C.V., Class A1      5,704,431        1,075,724  

# *

   Minera Frisco S.A.B. de C.V., Class A2      7,911,356        1,488,170  

W

   Nemak S.A.B. de C.V.      3,047,903        935,429  

#

   Orbia Advance Corp. S.A.B. de C.V.      8,264,250        14,684,467  

# *

   Organizacion Cultiba S.A.B. de C.V.      157,421        107,760  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

MEXICO — (Continued)

     

# *

   Organizacion Soriana S.A.B. de C.V., Class B      13,927,125      $ 10,610,392  

#

   Promotora y Operadora de Infraestructura S.A.B. de C.V.      392,215        2,587,770  
   Qualitas Controladora S.A.B. de C.V.      173,832        696,672  

# *

   Unifin Financiera S.A.B. de C.V.      703,295        610,076  

*

   Vitro S.A.B. de C.V., Class A      1,150,548        1,366,891  
        

 

 

 

TOTAL MEXICO

        338,525,983  
        

 

 

 

PHILIPPINES — (1.1%)

     
   ACR Mining Corp.      105,455        7,313  

*

   Alliance Global Group, Inc.      28,029,206        4,592,795  
   Alsons Consolidated Resources, Inc.      8,852,000        245,203  

*

   Apex Mining Co., Inc.      2,152,000        83,105  

*

   Atlas Consolidated Mining & Development Corp.      4,868,500        409,949  
   Ayala Corp.      40,180        633,277  
   Bank of the Philippine Islands      3,754,753        5,694,685  
   BDO Unibank, Inc.      12,258,278        22,446,914  
   Belle Corp.      4,041,000        116,818  

*

   Cebu Air, Inc.      1,811,820        1,452,605  

* W

   CEMEX Holdings Philippines, Inc.      23,586,719        769,623  
   Century Properties Group, Inc.      24,226,400        179,994  
   China Banking Corp.      8,550,832        3,860,187  
   Cosco Capital, Inc.      16,642,500        1,760,712  
   DMCI Holdings, Inc.      6,362,900        576,327  

*

   East West Banking Corp.      3,969,600        782,175  
   EEI Corp.      2,410,700        357,563  
   Emperador, Inc.      1,064,000        220,353  

*

   Empire East Land Holdings, Inc.      2,279,000        13,654  

*

   Export & Industry Bank, Inc., Class A      14,950        0  
   Filinvest Development Corp.      384,400        76,993  
   Filinvest Land, Inc.      98,937,031        1,981,261  
   First Philippine Holdings Corp.      3,441,870        4,465,312  
   Fwbc Holdings, Inc.      5,471,786        0  

*

   Global Ferronickel Holdings, Inc.      13,281,116        361,161  
   GT Capital Holdings, Inc.      395,527        3,510,167  

*

   Integrated Micro-Electronics, Inc.      2,190,100        291,281  
   JG Summit Holdings, Inc.      14,960,337        19,842,638  
   Lopez Holdings Corp.      17,945,500        952,100  
   LT Group, Inc.      13,889,700        3,310,678  

*

   Megaworld Corp.      77,630,300        4,856,540  
   Metropolitan Bank & Trust Co..      10,857,492        9,126,269  

*

   Mondragon International Philippines, Inc.      2,464,000        0  
   Nickel Asia Corp.      17,474,940        1,357,788  
   Petron Corp.      21,260,900        1,348,126  
   Philex Mining Corp.      4,679,000        523,686  

*

   Philippine National Bank      3,791,185        2,130,187  

*

   Philippine National Construction Corp.      398,900        7,574  
   Philippine Savings Bank      1,984,979        2,183,389  
   Philippine Townships, Inc.      226,200        0  
   Philtown Properties, Inc.      6,701        0  
   Phoenix Petroleum Philippines, Inc.      1,280,600        344,475  

*

   Pilipinas Shell Petroleum Corp.      184,030        62,692  
   Premium Leisure Corp.      6,804,000        44,999  
   RFM Corp.      762,400        74,014  
   Rizal Commercial Banking Corp.      5,324,106        1,877,610  
   Robinsons Land Corp.      28,130,708        8,711,656  
   Robinsons Retail Holdings, Inc.      380,990        504,988  
   San Miguel Corp.      5,719,466        12,042,476  
   San Miguel Food and Beverage, Inc.      29,530        38,959  
   Security Bank Corp.      1,660,234        3,298,854  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

PHILIPPINES — (Continued)

     

*

  

Top Frontier Investment Holdings, Inc.

     623,532      $ 1,621,382  
  

Union Bank of the Philippines

     4,023,799        4,602,142  
  

Vista Land & Lifescapes, Inc.

     55,472,568        3,858,057  
        

 

 

 

TOTAL PHILIPPINES

        137,610,706  
        

 

 

 

POLAND — (0.6%)

     

*

  

Agora SA

     295,999        332,354  

# *

  

Alior Bank SA

     472,300        1,355,293  
  

Amica SA

     5,928        209,820  

# *

  

Bank Millennium SA

     2,360,325        1,290,935  

*

  

Boryszew SA

     283,585        190,558  

# *

  

Ciech SA

     148,017        973,025  

#

  

Cyfrowy Polsat SA

     512,024        3,196,001  

*

  

Develia SA

     1,367,099        553,080  

# *

  

Enea SA

     2,018,919        2,308,978  
  

Firma Oponiarska Debica SA

     18,458        328,339  

*

  

Getin Noble Bank SA

     948,327        38,755  

*

  

Grupa Azoty SA

     237,054        1,229,904  
  

Grupa Kety SA

     33,122        3,435,027  
  

Grupa Lotos SA

     452,764        3,193,191  

*

  

Jastrzebska Spolka Weglowa SA

     175,136        674,561  
  

Kernel Holding SA

     478,137        4,657,062  

# *

  

KGHM Polska Miedz SA

     790,722        23,660,040  

*

  

Lubelski Wegiel Bogdanka SA

     52,381        196,447  

# *

  

mBank SA

     33,848        989,869  

# *

  

Netia SA

     913,726        1,036,890  

*

  

PGE Polska Grupa Energetyczna SA

     4,748,887        5,418,190  

*

  

PKP Cargo SA

     109,382        252,320  

#

  

Polski Koncern Naftowy Orlen SA

     2,354,020        22,688,413  

*

  

Powszechna Kasa Oszczednosci Bank Polski SA

     414,731        1,989,548  
  

Stalexport Autostrady SA

     189,773        128,575  

# *

  

Tauron Polska Energia SA

     7,474,405        3,285,062  
        

 

 

 

TOTAL POLAND

        83,612,237  
        

 

 

 

QATAR — (0.1%)

     
  

Commercial Bank PSQC (The)

     1,080,113        1,265,865  
  

Aamal Co.

     4,101,208        898,318  
  

Al Khaleej Takaful Group QSC

     920,566        479,837  
  

Al Khalij Commercial Bank PQSC

     369,365        182,779  
  

Alijarah Holding Co.

     1,863,124        584,365  
  

Barwa Real Estate Co.

     2,142,608        1,962,425  

*

  

Doha Bank QPSC

     19,376        12,941  

*

  

Gulf International Services QSC

     768,101        324,911  
  

Gulf Warehousing Co.

     130,186        178,349  
  

Industries Qatar QSC

     798,311        1,970,009  

*

  

Mazaya Qatar Real Estate Development QSC

     4,065,793        1,117,975  
  

Medicare Group

     33,751        79,657  
  

Mesaieed Petrochemical Holding Co.

     2,916,099        1,492,107  
  

Ooredoo QPSC

     950,559        1,725,077  
  

Qatar Fuel QSC

     264,396        1,248,451  
  

Qatar Insurance Co. SAQ

     508,574        319,840  
  

Qatar National Cement Co. QSC

     121,423        128,620  
  

Qatar Navigation QSC

     23,747        39,056  

*

  

Salam International Investment, Ltd. QSC

     4,845,436        741,211  
  

United Development Co. QSC

     7,079,734        2,873,252  
  

Vodafone Qatar QSC

     2,175,979        772,795  
        

 

 

 

TOTAL QATAR

        18,397,840  
        

 

 

 


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

RUSSIA — (1.2%)

     
  

Etalon Group P.L.C., GDR

     88,415      $ 142,790  
  

Gazprom PJSC, Sponsored ADR

     13,197,152        50,559,042  
  

Gazprom PJSC, Sponsored ADR

     18,140        69,839  
  

Lukoil PJSC, Sponsored ADR

     1,567,520        80,199,247  
  

Magnitogorsk Iron & Steel Works PJSC, GDR

     196,705        1,206,796  
  

Rosneft Oil Co. PJSC, GDR

     2,811,196        12,284,927  
  

RusHydro PJSC, ADR

     5,368,611        4,610,971  
  

VTB Bank PJSC, GDR

     5,770,267        4,480,612  
        

 

 

 

TOTAL RUSSIA

        153,554,224  
        

 

 

 

SAUDI ARABIA — (1.4%)

     

*

  

Abdul Mohsen Al-Hokair Tourism and Development Co.

     86,920        296,370  
  

Al Babtain Power & Telecommunication Co.

     112,333        766,700  
  

Al Etihad Cooperative Insurance

     89,653        433,001  
  

Al Jouf Agricultural Development Co.

     112,566        996,260  

*

  

Al Jouf Cement Co.

     409,163        1,136,561  
  

Al Khaleej Training and Education Co.

     124,970        616,649  

*

  

Al Yamamah Steel Industries Co.

     125,926        721,935  

*

  

AlAbdullatif Industrial Investment Co.

     238,476        863,149  

*

  

Alinma Bank

     6,638,318        26,981,586  
  

Arab National Bank

     534,657        2,699,754  
  

Arabian Cement Co.

     266,280        2,183,347  
  

Arabian Pipes Co.

     114,821        424,810  

*

  

Arabian Shield Cooperative Insurance Co.

     101,841        487,516  
  

Arriyadh Development Co.

     566,106        2,534,425  

*

  

Aseer Trading Tourism & Manufacturing Co.

     477,373        1,532,371  

*

  

Astra Industrial Group

     193,584        1,131,633  
  

Bank Al-Jazira

     2,883,522        9,985,970  
  

Banque Saudi Fransi

     529,332        4,182,492  

*

  

Basic Chemical Industries, Ltd.

     52,815        394,718  

*

  

Bawan Co.

     141,380        765,314  

*

  

City Cement Co.

     544,791        2,906,762  

*

  

Dar Al Arkan Real Estate Development Co.

     5,186,255        11,021,960  
  

Dur Hospitality Co.

     171,591        1,175,626  
  

Eastern Province Cement Co.

     204,896        1,894,002  

*

  

Electrical Industries Co.

     43,282        218,988  

*

  

Emaar Economic City

     1,244,462        2,950,850  

*

  

Etihad Etisalat Co.

     1,513,732        11,264,095  

*

  

Fawaz Abdulaziz Al Hokair & Co.

     168,161        836,423  

*

  

Fitaihi Holding Group

     77,217        313,139  

*

  

Hail Cement Co.

     370,993        1,433,948  

*

  

Jazan Energy and Development Co.

     191,128        713,547  

*

  

L’Azurde Co. for Jewelry

     80,913        332,597  

*

  

Methanol Chemicals Co.

     346,916        883,026  

*

  

Middle East Paper Co.

     132,522        566,465  

*

  

Mobile Telecommunications Co. Saudi Arabia

     163,639        536,897  
  

Najran Cement Co.

     483,225        2,022,248  

*

  

Nama Chemicals Co.

     14,897        106,240  

*

  

National Co., for Glass Manufacturing (The)

     76,533        481,452  
  

National Gypsum

     89,974        558,724  

*

  

National Industrialization Co.

     29,000        87,387  
  

National Petrochemical Co.

     47,575        343,080  
  

Northern Region Cement Co.

     476,926        1,413,960  

*

  

Rabigh Refining & Petrochemical Co.

     708,725        2,302,924  

*

  

Red Sea International Co.

     118,079        552,073  
  

Riyad Bank

     1,045,188        5,010,005  
  

Sahara International Petrochemical Co.

     1,645,301        6,391,774  
  

Samba Financial Group

     1,450,810        10,658,006  

*

  

Saudi Arabian Mining Co.

     388,487        3,874,699  


          Shares      Value»  

SAUDI ARABIA — (Continued)

     
  

Saudi Basic Industries Corp.

     585,556      $ 14,044,477  
  

Saudi British Bank (The)

     732,717        4,638,265  

*

  

Saudi Ceramic Co.

     161,820        1,672,063  

*

  

Saudi Chemical Co., Holding

     280,722        2,319,487  
  

Saudi Industrial Investment Group

     570,297        3,083,414  
  

Saudi Industrial Services Co.

     166,387        1,259,210  

*

  

Saudi Investment Bank (The)

     68,193        292,599  

*

  

Saudi Kayan Petrochemical Co.

     2,833,471        7,166,302  

*

  

Saudi Printing & Packaging Co.

     128,220        729,097  

*

  

Saudi Public Transport Co.

     352,900        1,409,446  

*

  

Saudi Re for Cooperative Reinsurance Co.

     344,091        971,261  

*

  

Seera Group Holding

     1,081,648        4,814,338  

*

  

Tabuk Cement Co.

     289,936        1,119,927  

*

  

Takween Advanced Industries Co.

     196,784        575,265  
  

Yamama Cement Co.

     669,811        4,466,831  
  

Yanbu Cement Co.

     376,549        3,318,475  

*

  

Zamil Industrial Investment Co.

     20,849        113,620  
        

 

 

 

TOTAL SAUDI ARABIA

        181,979,535  
        

 

 

 

SOUTH AFRICA — (3.6%)

     
  

Absa Group, Ltd.

     3,962,790        21,301,921  
  

Adcock Ingram Holdings, Ltd.

     34,991        87,017  

*

  

Adcorp Holdings, Ltd.

     398,415        88,761  
  

Advtech, Ltd.

     99,684        49,792  

#

  

AECI, Ltd.

     1,468,582        6,883,943  
  

African Oxygen, Ltd.

     164,182        242,966  
  

African Rainbow Minerals, Ltd.

     753,016        10,591,676  
  

Alexander Forbes Group Holdings, Ltd.

     6,589,159        1,366,684  
  

Allied Electronics Corp., Ltd., Class A

     134,145        220,390  
  

Alviva Holdings, Ltd.

     990,752        421,967  
  

Anglo American Platinum, Ltd.

     20,376        1,349,195  
  

AngloGold Ashanti, Ltd., Sponsored ADR

     1,374,436        31,804,449  

*

  

Aspen Pharmacare Holdings, Ltd.

     1,705,704        11,107,585  
  

Astral Foods, Ltd.

     134,124        951,172  
  

Barloworld, Ltd.

     2,216,456        7,787,414  
  

Bidvest Group, Ltd. (The)

     30,462        250,488  

*

  

Blue Label Telecoms, Ltd.

     3,617,676        787,132  

# *

  

Brait SE.

     6,239,473        1,356,760  
  

Caxton and CTP Publishers and Printers, Ltd.

     1,381,541        416,046  

*

  

DataTec, Ltd.

     3,873,672        5,253,176  
  

Discovery, Ltd.

     598,548        3,956,948  
  

Distell Group Holdings, Ltd.

     4,637        23,192  
  

DRDGOLD, Ltd.

     2,467,397        2,729,081  
  

Exxaro Resources, Ltd.

     1,478,254        9,972,452  
  

FirstRand, Ltd.

     264,993        615,135  
  

Foschini Group, Ltd. (The)

     74,521        396,839  
  

Gold Fields, Ltd., Sponsored ADR.

     4,043,915        44,199,991  

*

  

Grindrod Shipping Holdings, Ltd.

     80,800        299,041  
  

Grindrod, Ltd.

     4,827,524        1,113,312  

*

  

Harmony Gold Mining Co., Ltd.

     1,224,659        6,099,044  
  

Hudaco Industries, Ltd.

     171,103        831,588  
  

Impala Platinum Holdings, Ltd.

     4,096,499        36,460,154  

#

  

Imperial Logistics, Ltd.

     1,418,813        3,008,763  
  

Investec, Ltd.

     1,882,982        3,467,101  

*

  

KAP Industrial Holdings, Ltd.

     9,255,492        1,317,821  
  

Kumba Iron Ore, Ltd.

     135,811        4,032,146  
  

Lewis Group, Ltd.

     1,169,059        1,143,477  
  

Liberty Holdings, Ltd.

     963,030        3,187,116  
  

Life Healthcare Group Holdings, Ltd.

     3,293,194        3,292,790  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

        

Shares

    

Value»

 

SOUTH AFRICA — (Continued)

     

*

 

Long4Life, Ltd.

     1,383,403      $ 229,482  

*

 

Massmart Holdings, Ltd.

     44,183        89,736  
 

Merafe Resources, Ltd.

     9,299,759        264,176  

*

 

Metair Investments, Ltd.

     1,568,346        1,590,052  
 

Momentum Metropolitan Holdings

     8,313,735        6,651,124  

#

 

Motus Holdings, Ltd.

     258,290        664,961  
 

Mpact, Ltd.

     2,335,649        1,488,374  

#

 

MTN Group, Ltd.

     17,362,155        61,991,752  

*

 

Murray & Roberts Holdings, Ltd.

     6,545,395        3,274,409  

*

 

Nampak, Ltd.

     953,997        50,128  

#

 

Nedbank Group, Ltd.

     2,140,581        12,662,821  

*

 

Ninety One, Ltd.

     941,491        2,478,633  
 

Oceana Group, Ltd.

     118,408        432,749  
 

Old Mutual, Ltd.

     20,508,346        11,896,542  

*

 

Omnia Holdings, Ltd.

     1,586,384        3,714,381  

*

 

PPC, Ltd.

     10,395,993        340,485  
 

Raubex Group, Ltd.

     1,970,553        2,421,279  
 

RCL Foods, Ltd.

     159,113        72,158  
 

Reunert, Ltd.

     1,319,511        2,721,378  
 

RFG Holdings, Ltd.

     23,326        18,176  

*

 

Royal Bafokeng Platinum, Ltd.

     589,877        2,127,106  
 

Sanlam, Ltd.

     39,807        116,113  

*

 

Sappi, Ltd.

     5,016,174        7,157,369  

# *

 

Sasol, Ltd.

     2,530,797        13,216,389  
 

Sibanye Stillwater, Ltd.

     5,686,689        16,768,450  
 

Sibanye Stillwater, Ltd., ADR

     1,698,842        20,165,260  

#

 

Standard Bank Group, Ltd.

     8,692,029        56,836,235  

# *

 

Steinhoff International Holdings NV

     17,047,661        904,854  

*

 

Super Group, Ltd.

     3,883,863        4,355,315  
 

Telkom SA SOC, Ltd.

     2,561,073        4,029,882  

*

 

Tongaat Hulett, Ltd.

     1,101,558        407,457  
 

Trencor, Ltd.

     1,135,741        288,064  
 

Truworths International, Ltd.

     419,107        808,471  
 

Tsogo Sun Gaming, Ltd.

     2,917,390        624,213  
 

Wilson Bayly Holmes-Ovcon, Ltd.

     542,010        2,827,659  
       

 

 

 

TOTAL SOUTH AFRICA

        472,150,158  
       

 

 

 

SOUTH KOREA — (13.3%)

     

#

 

Aekyung Petrochemical Co., Ltd.

     98,645        631,399  

#

 

AJ Networks Co., Ltd.

     69,115        217,907  

*

 

Ajin Industrial Co., Ltd.

     303,487        781,379  
 

Aju Capital Co., Ltd.

     6,451        67,560  
 

AK Holdings, Inc.

     33,833        513,222  

#

 

Asia Cement Co., Ltd.

     11,083        544,122  
 

ASIA Holdings Co., Ltd.

     7,796        542,599  
 

Asia Paper Manufacturing Co., Ltd.

     38,917        1,061,747  
 

AUK Corp.

     205,039        425,342  

#

 

Aurora World Corp.

     19,282        148,236  
 

Austem Co., Ltd.

     168,354        423,277  
 

Avaco Co., Ltd.

     53,567        431,363  
 

BGF Co., Ltd.

     246,024        871,792  
 

Bixolon Co., Ltd.

     27,536        103,522  

*

 

Bluecom Co., Ltd.

     68,876        362,515  
 

BNK Financial Group, Inc.

     2,024,174        9,888,150  
 

Bookook Securities Co., Ltd.

     24,729        459,175  
 

Busan City Gas Co., Ltd.

     1,660        72,514  
 

BYC Co., Ltd.

     752        160,985  

# *

 

Byucksan Corp.

     327,923        529,645  

*

 

Capro Corp.

     254,341        685,703  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

        

Shares

    

Value»

 

SOUTH KOREA — (Continued)

     
 

Chinyang Holdings Corp.

     83,349      $ 198,191  
 

Chosun Refractories Co., Ltd.

     10,946        714,759  
 

CJ CheilJedang Corp.

     60,575        19,372,895  
 

CJ Corp.

     135,899        9,137,131  
 

Cosmax BTI, Inc.

     24,579        360,370  
 

CROWNHAITAI Holdings Co., Ltd.

     46,855        366,880  
 

Cuckoo Holdings Co., Ltd.

     391        31,584  
 

D.I Corp.

     176,356        607,322  

#

 

Dae Dong Industrial Co., Ltd.

     147,491        864,470  
 

Dae Han Flour Mills Co., Ltd.

     9,015        1,105,347  
 

Dae Hyun Co., Ltd.

     206,405        329,696  
 

Dae Won Kang Up Co., Ltd.

     269,186        960,984  

# *

 

Dae Young Packaging Co., Ltd.

     454,168        430,592  

#

 

Daechang Co., Ltd.

     318,178        326,346  
 

Daechang Forging Co., Ltd.

     5,125        150,007  
 

Daeduck Co., Ltd.

     146,390        796,361  

*

 

Daeduck Electronics Co., Ltd.

     253,031        2,221,391  
 

Daehan Steel Co., Ltd.

     96,113        558,608  

*

 

Dae-Il Corp.

     16,736        20,604  
 

Daekyo Co., Ltd.

     162,385        542,979  
 

Daelim B&Co Co., Ltd.

     7,997        38,674  
 

Daelim Construction Co., Ltd.

     6,643        139,967  
 

Daelim Industrial Co., Ltd.

     222,968        15,410,417  
 

Daesang Corp.

     200,898        4,272,491  
 

Daesang Holdings Co., Ltd.

     122,602        1,038,664  
 

Daewon San Up Co., Ltd.

     61,406        312,655  

*

 

Daewoo Engineering & Construction Co., Ltd.

     1,719,312        4,574,853  

*

 

Daewoo Shipbuilding & Marine Engineering Co., Ltd.

     319,791        6,074,758  

*

 

Dahaam E-Tec Co., Ltd.

     3,535        64,332  
 

Daihan Pharmaceutical Co., Ltd.

     5,749        148,206  
 

Daishin Securities Co., Ltd.

     220,640        2,626,485  
 

Daou Data Corp.

     131,065        1,253,455  
 

Daou Technology, Inc.

     209,521        3,479,234  

*

 

Dayou Automotive Seat Technology Co., Ltd.

     54,169        37,691  
 

DB Financial Investment Co., Ltd.

     260,773        888,941  
 

DB Insurance Co., Ltd.

     299,711        11,717,533  

*

 

DB, Inc.

     62,943        37,973  

# *

 

Deutsch Motors, Inc.

     66,004        326,444  

*

 

Development Advance Solution Co., Ltd.

     75,624        340,362  
 

DGB Financial Group, Inc.

     1,410,240        7,744,328  
 

DI Dong Il Corp.

     11,422        845,445  
 

Display Tech Co., Ltd.

     34,003        103,707  
 

Dong A Eltek Co., Ltd.

     63,370        437,953  
 

Dong-A Socio Holdings Co., Ltd.

     5,046        473,864  
 

Dong-Ah Geological Engineering Co., Ltd.

     30,571        390,674  

# *

 

Dongbang Transport Logistics Co., Ltd.

     251,479        423,753  

#

 

Dongbu Corp.

     36,803        364,125  

#

 

Dongil Industries Co., Ltd.

     10,975        667,933  
 

Dongkuk Industries Co., Ltd.

     334,222        991,787  

*

 

Dongkuk Steel Mill Co., Ltd.

     499,663        2,680,366  
 

DONGSUNG Corp.

     159,407        564,820  
 

Dongwon Development Co., Ltd.

     380,871        1,412,927  
 

Dongwon Industries Co., Ltd.

     11,808        2,107,617  

*

 

Dongwoo Farm To Table Co., Ltd.

     14,971        41,036  

#

 

Dongyang E&P, Inc.

     46,912        662,868  
 

Doosan Bobcat, Inc.

     314,953        8,048,405  
 

Doosan Co., Ltd.

     52,003        2,150,372  

# *

 

Doosan Fuel Cell Co., Ltd.

     279,793        10,369,840  

# *

 

Doosan Infracore Co., Ltd.

     1,484,739        10,985,453  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

SOUTH KOREA — (Continued)

     

*

   Doosan Solus Co., Ltd.      154,224      $ 4,345,379  
   DRB Holding Co., Ltd.      32,057        176,578  
   DTR Automotive Corp.      34,739        677,219  
   DY Corp.      127,648        453,180  
   DY POWER Corp.      23,114        217,486  
   e Tec E&C, Ltd.      12,441        1,163,294  
   Eagon Industrial, Ltd.      67,775        483,138  

*

   Easy Bio, Inc.      21,246        1,438,430  

#

   Easy Holdings Co., Ltd.      363,366        1,246,856  
   Elentec Co., Ltd.      30,857        151,229  
   E-MART, Inc.      93,885        11,819,929  
   Eugene Corp.      456,860        1,699,396  
   Eugene Investment & Securities Co., Ltd.      567,213        1,798,351  

*

   Eusu Holdings Co., Ltd.      64,565        303,705  
   Farmsco      26,482        108,032  
   FarmStory Co., Ltd.      325,774        312,980  
   Fursys, Inc.      26,929        700,130  
   Gaon Cable Co., Ltd.      17,158        310,236  
   Geumhwa PSC Co., Ltd.      490        12,027  
   GMB Korea Corp.      84,945        534,311  

#

   Golfzon Newdin Holdings Co., Ltd.      177,478        1,000,744  
   GS Engineering & Construction Corp.      499,370        11,848,704  

*

   GS Global Corp.      381,342        564,891  
   GS Holdings Corp.      415,700        12,150,220  
   GS Home Shopping, Inc.      6,576        806,925  
   Gwangju Shinsegae Co., Ltd.      5,156        701,224  
   Haitai Confectionery & Foods Co., Ltd.      6,605        48,319  

*

   Halla Corp.      190,923        565,305  
   Halla Holdings Corp.      64,867        1,819,767  
   Hana Financial Group, Inc.      2,258,552        61,009,048  
   Handsome Co., Ltd.      123,137        3,044,480  
   Hanil Holdings Co., Ltd.      19,608        779,375  
   Hanjin Transportation Co., Ltd.      72,813        3,039,559  
   Hankook Tire & Technology Co., Ltd.      614,306        17,209,306  
   HanmiGlobal Co., Ltd.      3,947        30,102  
   Hanshin Construction      69,201        810,619  

*

   Hansol Holdings Co., Ltd.      427,655        1,261,042  

# *

   Hansol HomeDeco Co., Ltd.      662,129        1,067,125  
   Hansol Paper Co., Ltd.      147,143        1,775,464  

*

   Hansol Technics Co., Ltd.      230,336        1,757,330  

*

   Hanwha Aerospace Co., Ltd.      310,893        6,944,138  
   Hanwha Corp.      277,222        5,912,087  

*

   Hanwha General Insurance Co., Ltd.      495,410        1,225,839  

*

   Hanwha Investment & Securities Co., Ltd.      941,656        1,442,820  
   Hanwha Life Insurance Co., Ltd.      1,941,705        2,647,215  
   Hanwha Solutions Corp.      507,247        19,717,515  
   Hanyang Eng Co., Ltd.      93,355        906,660  
   Hanyang Securities Co., Ltd.      73,699        577,446  

#

   Harim Holdings Co., Ltd.      271,764        1,561,384  
   HDC Holdings Co., Ltd.      127,823        1,130,459  
   HDC Hyundai Engineering Plastics Co., Ltd.      112,531        576,313  

*

   Heung-A Shipping Co., Ltd.      702,313        59,883  

*

   Heungkuk Fire & Marine Insurance Co., Ltd.      152,112        359,477  
   Hitejinro Holdings Co., Ltd.      58,163        752,372  
   HS R&A Co., Ltd.      308,886        531,954  

# *

   HSD Engine Co., Ltd.      62,717        254,576  

*

   Humax Co., Ltd.      127,093        520,285  

# *

   Huneed Technologies      54,858        269,326  
   Huons Global Co., Ltd.      9,850        245,669  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

SOUTH KOREA — (Continued)

     

#

   Huvis Corp.      132,039      $ 935,552  
   Hwa Shin Co., Ltd.      170,220        400,283  

#

   Hwacheon Machine Tool Co., Ltd.      9,745        261,857  

#

   Hwangkum Steel & Technology Co., Ltd.      64,314        367,579  
   HwaSung Industrial Co., Ltd.      80,683        855,997  
   Hy-Lok Corp.      63,907        592,081  
   Hyosung Chemical Corp.      1,893        212,017  
   Hyosung Corp.      57,103        3,744,951  
   Hyundai BNG Steel Co., Ltd.      74,986        485,820  

*

   Hyundai Construction Equipment Co., Ltd.      99,959        2,211,453  
   Hyundai Corp Holdings, Inc.      50,963        476,431  
   Hyundai Corp.      72,538        887,410  
   Hyundai Department Store Co., Ltd.      91,177        4,788,683  

*

   Hyundai Electric & Energy System Co., Ltd.      30,010        399,579  
   Hyundai Engineering & Construction Co., Ltd.      492,485        13,425,685  
   Hyundai Greenfood Co., Ltd.      377,581        2,428,661  
   Hyundai Heavy Industries Holdings Co., Ltd.      47,215        8,985,099  
   Hyundai Home Shopping Network Corp.      53,584        3,350,459  
   Hyundai Hy Communications & Networks Co., Ltd.      370,326        1,024,354  
   Hyundai Livart Furniture Co., Ltd.      102,652        1,399,031  
   Hyundai Marine & Fire Insurance Co., Ltd.      579,985        11,945,748  
   Hyundai Mipo Dockyard Co., Ltd.      188,985        4,702,940  
   Hyundai Mobis Co., Ltd.      283,243        56,751,564  
   Hyundai Motor Co.      625,316        91,531,258  
   Hyundai Motor Securities Co., Ltd.      128,936        1,225,843  
   Hyundai Steel Co.      430,367        11,064,121  
   Hyundai Wia Corp.      146,642        5,445,559  
   IDIS Holdings Co., Ltd.      43,273        499,602  

*

   Iljin Electric Co., Ltd.      91,487        218,781  
   Iljin Holdings Co., Ltd.      91,947        390,554  

#

   Ilshin Spinning Co., Ltd.      11,368        689,667  

#

   Ilsung Pharmaceuticals Co., Ltd.      6,673        458,377  
   iMarketKorea, Inc.      147,664        1,111,732  
   Industrial Bank of Korea      1,784,074        12,953,474  
   INITECH Co., Ltd.      31,597        118,260  
   Interpark Corp.      329,541        620,094  
   INTOPS Co., Ltd.      100,372        1,445,786  
   INZI Display Co., Ltd.      114,878        361,232  

*

   Iones Co., Ltd.      78,648        532,196  
   IS Dongseo Co., Ltd.      62,443        2,109,597  
   ISU Chemical Co., Ltd.      138,877        1,298,637  

*

   Jahwa Electronics Co., Ltd.      98,790        1,212,373  
   JB Financial Group Co., Ltd.      1,198,287        5,413,707  
   Kangnam Jevisco Co., Ltd.      21,308        301,746  
   KAON Media Co., Ltd.      60,514        310,841  
   KB Financial Group, Inc..      407,044        14,559,877  

#

   KB Financial Group, Inc., ADR      2,791,178        99,728,790  
   KC Co., Ltd      68,796        1,451,179  
   KC Green Holdings Co., Ltd.      88,975        326,275  
   KCC Corp.      37,785        5,127,727  
   KCC Engineering & Construction Co., Ltd.      57,788        360,511  

*

   KCC Glass Corp.      38,941        1,021,347  

# *

   KEC Corp.      666,655        1,189,419  

#

   Keyang Electric Machinery Co., Ltd.      148,636        379,164  
   KG Eco Technology Service Co., Ltd.      116,841        422,853  
   Kia Motors Corp.      1,464,704        65,690,709  
   KISCO Corp.      130,771        536,068  
   KISCO Holdings Co., Ltd.      66,422        680,604  
   KISWIRE, Ltd.      58,376        713,854  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

SOUTH KOREA — (Continued)

     
   KIWOOM Securities Co., Ltd.      95,942      $ 8,776,340  

*

   Kodaco Co., Ltd.      129,585        137,396  
   Kolmar Korea Holdings Co., Ltd.      19,172        402,592  
   Kolon Corp.      54,098        972,202  
   Kolon Global Corp.      41,349        643,845  
   Kolon Industries, Inc.      164,853        5,187,882  
   Komelon Corp.      29,152        215,449  

#

   Korea Alcohol Industrial Co., Ltd.      117,772        1,324,704  
   Korea Asset In Trust Co., Ltd.      256,587        836,862  
   Korea Autoglass Corp.      90,414        1,125,860  

# *

   Korea Circuit Co., Ltd.      112,791        1,262,376  
   Korea Electric Terminal Co., Ltd.      40,747        1,659,436  
   Korea Export Packaging Industrial Co., Ltd.      1,813        29,673  
   Korea Flange Co., Ltd.      159,881        273,255  
   Korea Investment Holdings Co., Ltd..      260,906        15,936,642  

*

   Korea Line Corp.      1,259,322        1,780,007  
   Korea Petrochemical Ind Co., Ltd.      28,323        4,869,035  
   Korea Real Estate Investment & Trust Co., Ltd.      1,190,727        1,891,031  

# *

   Korea Shipbuilding & Offshore Engineering Co., Ltd.      187,768        13,093,047  
   Korea Zinc Co., Ltd.      4,684        1,584,163  

*

   Korean Air Lines Co., Ltd.      701,548        12,456,928  
   Korean Reinsurance Co.      685,678        4,497,725  
   Kortek Corp.      74,788        530,456  

#

   KPX Chemical Co., Ltd.      17,577        745,458  
   KSS LINE, Ltd.      132,572        1,089,867  
   KT Skylife Co., Ltd.      203,835        1,711,692  
   KT&G Corp.      23,808        1,699,990  

#

   KTB Investment & Securities Co., Ltd.      348,773        787,003  

#

   KTCS Corp.      225,571        405,030  
   Ktis Corp.      206,085        436,216  
   Kukdo Chemical Co., Ltd.      17,860        680,325  
   Kukdong Oil & Chemicals Co., Ltd.      26,930        78,855  
   Kumho Industrial Co., Ltd.      2,178        13,514  
   Kumho Petrochemical Co., Ltd.      7,784        920,754  

# *

   Kumho Tire Co., Inc.      794,452        2,496,249  
   Kumkang Kind Co., Ltd.      96,105        364,695  

#

   Kyeryong Construction Industrial Co., Ltd.      52,424        954,110  
   Kyobo Securities Co., Ltd.      169,849        1,000,418  
   Kyungbang Co., Ltd.      88,890        843,144  

#

   Leadcorp, Inc. (The)      152,726        926,662  
   LF Corp.      171,501        2,221,422  
   LG Corp.      409,960        24,548,013  

# *

   LG Display Co., Ltd., ADR      3,857,008        24,183,440  

# *

   LG Display Co., Ltd.      164,499        2,054,018  
   LG Electronics, Inc..      1,110,054        82,520,798  
   LG Hausys, Ltd.      57,369        3,356,537  
   LG HelloVision Co., Ltd.      229,646        772,554  
   LG International Corp.      275,981        3,783,870  
   LG Uplus Corp.      1,563,860        15,309,513  
   LIG Nex1 Co., Ltd.      2,945        73,038  
   LMS Co., Ltd.      30,866        256,051  
   Lotte Chemical Corp.      76,466        15,814,250  
   Lotte Chilsung Beverage Co., Ltd.      21,352        1,625,808  
   Lotte Confectionery Co., Ltd.      538        46,783  
   Lotte Corp.      133,090        3,354,799  
   LOTTE Fine Chemical Co., Ltd.      158,067        6,789,343  
   Lotte Food Co., Ltd.      1,976        532,586  
   LOTTE Himart Co., Ltd.      87,964        2,389,859  

# *

   Lotte Non-Life Insurance Co., Ltd.      475,815        697,765  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

SOUTH KOREA — (Continued)

     

#

  

Lotte Shopping Co., Ltd.

     47,848      $ 3,543,190  
  

LS Corp.

     109,499        5,016,091  

*

  

Lumens Co., Ltd.

     322,961        473,164  

*

  

LVMC Holdings.

     274,553        741,045  
  

Maeil Holdings Co., Ltd.

     11,288        79,173  
  

Mando Corp.

     39,112        1,243,157  
  

MegaStudy Co., Ltd.

     51,341        521,289  
  

Meritz Financial Group, Inc.

     264,615        2,203,587  
  

Meritz Fire & Marine Insurance Co., Ltd.

     62,765        770,071  

#

  

Meritz Securities Co., Ltd.

     2,313,837        6,754,597  
  

Mi Chang Oil Industrial Co., Ltd.

     5,535        306,566  
  

Mirae Asset Daewoo Co., Ltd.

     2,675,229        19,931,523  
  

Mirae Asset Life Insurance Co., Ltd.

     641,531        2,148,147  
  

MK Electron Co., Ltd.

     118,182        952,985  

*

  

MNTech Co., Ltd.

     121,454        277,404  
  

Moorim P&P Co., Ltd.

     188,882        520,766  
  

Moorim Paper Co., Ltd.

     189,122        392,050  

#

  

Motonic Corp.

     83,715        840,204  

*

  

Muhak Co., Ltd.

     77,436        434,337  
  

Namyang Dairy Products Co., Ltd.

     2,446        551,304  

#

  

NEOWIZ HOLDINGS Corp.

     35,801        489,391  
  

Nexen Corp.

     198,284        702,594  
  

Nexen Tire Corp.

     328,280        1,520,814  
  

NH Investment & Securities Co., Ltd.

     653,039        5,532,710  

*

  

NHN Corp.

     70,470        4,336,720  
  

Nong Shim Holdings Co., Ltd.

     16,267        1,039,938  
  

NongShim Co., Ltd.

     17,873        4,548,995  
  

NOROO Paint & Coatings Co., Ltd.

     66,016        407,997  
  

NPC

     116,690        306,671  
  

NS Shopping Co., Ltd..

     74,291        804,485  

*

  

OCI Co., Ltd

     137,848        7,589,694  
  

Opto Device Technology Co., Ltd.

     52,020        231,497  
  

Orion Holdings Corp.

     214,348        2,350,420  

#

  

Paik Kwang Industrial Co., Ltd.

     250,824        681,029  

*

  

Pan Ocean Co., Ltd.

     1,909,107        6,078,469  
  

Pang Rim Co., Ltd.

     14,177        21,404  
  

Pan-Pacific Co., Ltd.

     113,324        155,753  
  

Paradise Co., Ltd.

     10,185        114,950  

#

  

Poongsan Corp.

     157,295        3,421,479  

#

  

Poongsan Holdings Corp.

     35,193        810,265  

#

  

POSCO, Sponsored ADR

     1,001,387        46,374,232  
  

POSCO

     172,234        31,795,115  
  

Posco International Corp.

     417,341        4,929,108  
  

Power Logics Co., Ltd.

     92,739        649,031  

#

  

Pyeong Hwa Automotive Co., Ltd.

     70,883        475,961  
  

S&T Dynamics Co., Ltd.

     163,370        752,164  
  

S&T Holdings Co., Ltd.

     51,515        630,720  

#

  

S&T Motiv Co., Ltd.

     83,737        3,742,612  
  

Sajo Industries Co., Ltd.

     15,884        398,024  
  

Sam Kwang Glass Co., Ltd.

     851        28,582  

#

  

Sam Young Electronics Co., Ltd.

     91,071        628,675  
  

Sambo Corrugated Board Co., Ltd.

     31,268        231,052  

*

  

Sambo Motors Co., Ltd.

     94,490        535,388  
  

Samho Development Co., Ltd.

     162,475        572,074  
  

SAMHWA Paints Industrial Co., Ltd.

     68,665        296,228  
  

Samick Musical Instruments Co., Ltd.

     439,019        526,610  
  

Samji Electronics Co., Ltd.

     13,939        135,198  

#

  

Samjin LND Co., Ltd.

     82,899        244,058  

*

  

Samkee Corp.

     104,071        280,699  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

SOUTH KOREA — (Continued)

     
   Sammok S-Form Co., Ltd.      66,231      $ 439,179  
   SAMPYO Cement Co., Ltd.      275,308        825,020  
   Samsung C&T Corp.      355,789        34,851,583  
   Samsung Card Co., Ltd.      180,050        4,672,753  
   Samsung Electronics Co., Ltd.      1,859,363        93,462,013  
   Samsung Electronics Co., Ltd., GDR      1,486        1,876,818  
   Samsung Fire & Marine Insurance Co., Ltd.      120,085        18,987,358  

*

   Samsung Heavy Industries Co., Ltd.      2,279,824        10,247,734  
   Samsung Life Insurance Co., Ltd.      320,040        17,913,320  
   Samsung Securities Co., Ltd.      310,841        8,854,405  
   SAMT Co., Ltd.      514,132        1,008,132  
   Samyang Corp.      29,449        1,255,237  

#

   Samyang Holdings Corp.      29,534        1,619,399  
   Samyang Tongsang Co., Ltd.      11,282        615,622  
   Sangsangin Co., Ltd.      73,576        379,962  
   SAVEZONE I&C Corp.      83,806        199,693  

*

   SBS Media Holdings Co., Ltd.      258,064        375,039  
   Seah Besteel Corp.      104,046        866,130  
   SeAH Holdings Corp.      6,180        383,927  
   SeAH Steel Corp.      12,021        873,483  
   SeAH Steel Holdings Corp.      11,870        471,108  
   Sebang Co., Ltd.      94,422        752,024  
   Sebang Global Battery Co., Ltd.      57,011        1,385,328  
   Sejong Industrial Co., Ltd.      132,978        1,016,479  

#

   Sekonix Co., Ltd.      75,642        381,324  
   S-Energy Co., Ltd.      40,484        273,857  
   Seohan Co., Ltd.      698,627        846,946  
   Seohee Construction Co., Ltd.      156,735        157,205  
   SEOWONINTECH Co., Ltd.      6,241        34,716  
   Seoyon Co., Ltd.      124,019        999,500  
   Seoyon E-Hwa Co., Ltd.      96,241        376,476  
   Sewon Precision Industry Co., Ltd.      1,457        1,948  

#

   Shindaeyang Paper Co., Ltd.      16,499        745,536  
   Shinhan Financial Group Co., Ltd      1,591,278        43,174,969  

#

   Shinhan Financial Group Co., Ltd., ADR      1,314,624        35,376,531  

#

   Shinsegae Engineering & Construction Co., Ltd.      18,197        351,670  
   Shinsegae Food Co., Ltd.      2,444        111,815  

#

   Shinsegae, Inc.      61,754        11,390,394  

*

   Shinsung Tongsang Co., Ltd.      172,621        285,987  
   Shinwha Intertek Corp.      35,678        81,543  
   Shinyoung Securities Co., Ltd.      38,991        1,579,241  

*

   Signetics Corp.      454,177        279,013  
   Silla Co., Ltd.      45,799        374,946  

#

   SIMPAC, Inc.      167,099        335,135  
   Sindoh Co., Ltd.      35,875        700,606  
   SK Discovery Co., Ltd.      90,756        5,067,907  
   SK Gas, Ltd.      397        36,984  
   SK Holdings Co., Ltd.      42,795        6,969,094  
   SK Hynix, Inc.      493,577        35,015,758  
   SK Innovation Co., Ltd.      242,855        27,144,733  
   SK Networks Co., Ltd.      2,079,015        8,339,276  

*

   SK Rent A Car Co., Ltd.      11,382        83,714  
   SK Securities Co., Ltd.      2,864,051        1,774,697  
   SL Corp.      116,004        1,489,234  
   Songwon Industrial Co., Ltd.      41,113        517,751  

# *

   Ssangyong Motor Co.      336,500        1,305,050  

#

   Sun Kwang Co., Ltd.      35,191        731,736  
   Sung Kwang Bend Co., Ltd.      145,472        759,862  

*

   Sungchang Enterprise Holdings, Ltd.      293,641        435,195  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

SOUTH KOREA — (Continued)

     
   Sungdo Engineering & Construction Co., Ltd.      99,520      $ 347,524  

#

   Sungshin Cement Co., Ltd.      157,753        914,754  
   Sungwoo Hitech Co., Ltd.      487,818        1,533,404  
   Sunjin Co., Ltd.      38,036        337,149  
   Tae Kyung Industrial Co., Ltd.      92,671        409,241  
   Taekwang Industrial Co., Ltd.      3,096        1,948,965  

*

   Taewoong Co., Ltd.      94,977        1,085,569  
   Taeyoung Engineering & Construction Co., Ltd.      199,296        1,765,722  

*

   Thinkware Systems Corp.      45,754        376,707  

# *

   TK Chemical Corp.      637,170        947,108  

#

   TK Corp.      118,108        619,924  
   Tongyang Life Insurance Co., Ltd.      394,577        1,102,057  

#

   Tongyang, Inc.      315,577        310,200  
   Top Engineering Co., Ltd.      121,279        975,784  
   Tovis Co., Ltd.      124,305        662,134  

#

   TS Corp.      35,416        578,984  

*

   T’way Holdings, Inc.      41,289        32,562  

*

   TY Holdings Co., Ltd.      192,133        3,445,757  
   UIL Co., Ltd.      74,875        251,037  
   Unid Co., Ltd.      45,974        1,764,874  

*

   Viatron Technologies, Inc.      2,049        15,572  
   Visang Education, Inc.      48,747        274,429  

# *

   WillBes & Co. (The)      462,170        479,678  

*

   Wonik Holdings Co., Ltd.      296,704        1,104,630  
   Wonik Materials Co., Ltd.      12,961        302,758  
   Woori Financial Group, Inc.      3,415,694        26,968,981  

#

   Woorison F&G Co., Ltd.      83,461        144,816  

#

   WooSung Feed Co., Ltd.      161,754        429,297  
   Y G-1 Co., Ltd.      141,659        628,686  
   Yoosung Enterprise Co., Ltd.      139,370        332,428  
   Youlchon Chemical Co., Ltd.      18,152        243,776  
   Young Poong Corp.      3,806        1,623,155  
   Young Poong Precision Corp.      86,763        581,393  
   Youngone Corp.      123,827        3,114,615  
   Youngone Holdings Co., Ltd.      26,091        822,590  

*

   Yuanta Securities Korea Co., Ltd.      811,667        1,942,535  
   YuHwa Securities Co., Ltd.      130,435        256,729  
   Zeus Co., Ltd.      57,364        901,342  
        

 

 

 

TOTAL SOUTH KOREA

        1,726,762,732  
        

 

 

 

TAIWAN — (16.8%)

     
   Ability Enterprise Co., Ltd.      1,795,330        811,987  
   AcBel Polytech, Inc.      603,000        551,286  

#

   Acer, Inc.      14,714,109        12,296,938  

#

   ACES Electronic Co., Ltd.      982,000        1,111,379  

*

   Acon Holding, Inc.      1,602,000        478,092  
   Advanced International Multitech Co., Ltd.      444,000        602,129  

# *

   Advanced Optoelectronic Technology, Inc.      500,000        359,951  

# *

   AGV Products Corp.      3,241,211        839,098  
   Airmate Cayman International Co., Ltd.      30,618        24,668  

#

   Allis Electric Co., Ltd.      1,347,580        1,337,762  
   Alpha Networks, Inc.      1,958,086        1,770,150  
   Altek Corp.      1,928,365        1,736,869  

*

   Ambassador Hotel (The)      1,615,000        1,734,070  

#

   AMPOC Far-East Co., Ltd.      745,000        869,481  

*

   AmTRAN Technology Co., Ltd.      5,922,956        2,112,819  

#

   Apacer Technology, Inc.      578,210        736,846  

#

   APCB, Inc.      1,053,000        755,356  

#

   Apex International Co., Ltd.      1,201,263        3,121,570  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     
   Apex Science & Engineering      92,536      $ 35,788  
   Ardentec Corp.      2,956,058        3,459,976  
   Asia Cement Corp.      17,297,589        24,898,630  
   Asia Electronic Material Co., Ltd.      92,000        50,914  

*

   Asia Pacific Telecom Co., Ltd.      5,141,204        1,689,086  

# *

   Asia Plastic Recycling Holding, Ltd.      1,651,942        426,459  
   Asia Polymer Corp.      3,106,971        2,065,720  
   Asia Tech Image, Inc.      62,000        110,035  

#

   Asia Vital Components Co., Ltd.      2,304,984        5,433,536  
   Asustek Computer, Inc.      3,800,000        32,285,216  

# *

   AU Optronics Corp., Sponsored ADR      3,945,215        15,701,956  

*

   AU Optronics Corp.      952,812        384,825  

#

   Audix Corp.      568,332        885,742  
   AVY Precision Technology, Inc.      1,018,364        837,883  
   Bank of Kaohsiung Co., Ltd.      3,567,897        1,254,254  

#

   BES Engineering Corp.      10,550,443        2,706,388  

#

   Bin Chuan Enterprise Co., Ltd.      226,000        214,618  

# *

   Biostar Microtech International Corp.      1,294,055        678,536  
   Bright Led Electronics Corp.      728,000        340,109  

*

   Cameo Communications, Inc.      1,589,197        427,580  
   Capital Securities Corp.      14,228,158        5,429,297  
   Career Technology MFG. Co., Ltd.      874,085        883,678  

#

   Carnival Industrial Corp.      908,007        338,162  

#

   Casetek Holdings, Ltd.      1,671,933        5,056,105  
   Catcher Technology Co., Ltd.      5,496,000        34,743,055  

#

   Cathay Chemical Works      452,000        283,700  
   Cathay Financial Holding Co., Ltd.      60,483,459        81,273,650  
   Cathay Real Estate Development Co., Ltd.      4,929,694        3,286,084  

#

   Celxpert Energy Corp.      419,000        599,624  
   Central Reinsurance Co., Ltd.      1,033,366        731,916  

*

   Chain Chon Industrial Co., Ltd.      614,000        195,466  
   ChainQui Construction Development Co., Ltd.      780,393        518,484  

*

   Champion Building Materials Co., Ltd.      2,009,828        435,781  
   Chang Hwa Commercial Bank, Ltd.      44,272,220        26,397,794  
   Channel Well Technology Co., Ltd.      457,000        623,837  

#

   CHC Healthcare Group      801,000        1,041,241  

#

   Chen Full International Co., Ltd.      266,000        371,015  
   Cheng Loong Corp.      6,338,659        7,531,080  

# *

   Cheng Mei Materials Technology Corp.      2,484,000        826,980  
   Cheng Uei Precision Industry Co., Ltd.      3,120,635        4,415,895  
   Chenming Electronic Technology Corp.      455,000        196,933  

#

   Chia Chang Co., Ltd.      824,000        1,105,927  
   Chia Hsin Cement Corp.      3,537,191        1,930,158  
   Chien Kuo Construction Co., Ltd.      1,224,797        501,353  

#

   Chilisin Electronics Corp.      1,650,000        6,098,610  

*

   China Airlines, Ltd.      23,565,353        7,216,439  
   China Bills Finance Corp.      3,514,000        1,781,879  
   China Chemical & Pharmaceutical Co., Ltd.      1,922,264        1,530,591  
   China Development Financial Holding Corp.      66,453,734        19,501,480  
   China Electric Manufacturing Corp.      1,599,432        606,798  
   China General Plastics Corp.      1,364,367        1,043,736  

#

   China Glaze Co., Ltd.      873,799        347,193  
   China Life Insurance Co., Ltd.      20,762,479        13,923,453  

*

   China Man-Made Fiber Corp.      11,297,899        3,302,792  
   China Metal Products.      2,512,969        2,926,000  

# *

   China Motor Corp.      1,758,099        2,732,149  
   China Petrochemical Development Corp.      26,152,466        7,828,224  
   China Steel Corp.      95,778,320        68,037,274  

#

   China Steel Structure Co., Ltd.      677,219        700,119  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     

#

   China Wire & Cable Co., Ltd.      695,600      $ 697,405  
   Chinese Maritime Transport, Ltd.      665,270        570,501  
   Chin-Poon Industrial Co., Ltd.      3,021,815        3,206,118  
   Chipbond Technology Corp.      1,912,000        4,188,493  
   ChipMOS Techinologies, Inc.      4,450,085        4,385,653  
   ChipMOS Technologies, Inc., ADR      34,935        679,481  
   Chun YU Works & Co., Ltd.      1,634,000        920,426  
   Chun Yuan Steel Industry Co., Ltd.      3,397,287        1,278,050  

#

   Chung Hsin Electric & Machinery Manufacturing Corp.      2,519,250        4,246,183  

# *

   Chung Hung Steel Corp.      6,730,000        2,325,256  

# *

   Chung Hwa Pulp Corp.      3,004,353        968,025  
   Chung Shing Textile Co., Ltd.      600        0  
   Chyang Sheng Dyeing & Finishing Co., Ltd.      167,000        71,730  
   Clevo Co.      1,257,000        1,271,629  

#

   CMC Magnetics Corp.      8,530,638        2,371,778  
   CoAsia Electronics Corp.      305,792        126,210  

#

   Collins Co., Ltd.      943,224        447,863  
   Compal Electronics, Inc.      32,795,332        21,366,107  

#

   Compeq Manufacturing Co., Ltd.      7,205,000        10,996,773  
   Compucase Enterprise      14,000        23,693  
   Concord Securities Co., Ltd.      2,085,489        614,276  

#

   Continental Holdings Corp.      3,010,540        2,565,726  

#

   Contrel Technology Co., Ltd.      1,010,000        469,788  
   Coretronic Corp.      3,477,800        4,167,756  

*

   Coxon Precise Industrial Co., Ltd.      724,000        302,586  
   Creative Sensor, Inc.      529,000        316,574  
   CTBC Financial Holding Co., Ltd.      128,423,073        81,100,440  

#

   CviLux Corp.      101,000        103,439  
   CyberTAN Technology, Inc.      799,000        391,540  

#

   DA CIN Construction Co., Ltd.      2,226,579        2,113,250  

*

   Danen Technology Corp.      242,931        186,143  
   Darfon Electronics Corp.      240,000        332,306  

# *

   Darwin Precisions Corp.      2,836,635        1,097,539  

#

   Delpha Construction Co., Ltd.      434,015        234,532  
   Depo Auto Parts Ind Co., Ltd.      501,000        826,427  
   Der Pao Construction Co., Ltd.      2,158,544        0  

#

   Dimerco Express Corp.      156,000        361,100  

*

   D-Link Corp.      4,530,552        2,873,251  

# *

   Dynamic Electronics Co., Ltd.      2,483,724        1,606,019  
   Dynapack International Technology Corp.      1,116,000        3,115,298  
   E.Sun Financial Holding Co., Ltd.      77,915,310        66,244,829  

#

   Edimax Technology Co., Ltd.      1,429,902        673,098  
   Edison Opto Corp.      795,000        321,514  

#

   Edom Technology Co., Ltd.      983,046        626,304  
   Elite Semiconductor Microelectronics Technology, Inc.      1,277,000        1,875,370  

*

   Elitegroup Computer Systems Co., Ltd.      2,739,395        1,625,288  
   ENG Electric Co., Ltd.      239,997        4,594  

#

   EnTie Commercial Bank Co., Ltd.      2,417,232        1,217,857  

*

   Epistar Corp.      2,102,869        2,469,866  
   Eson Precision Ind. Co., Ltd.      794,000        931,966  
   Eternal Materials Co., Ltd.      1,775,513        2,090,936  
   Eva Airways Corp.      19,992,355        7,555,506  

*

   Everest Textile Co., Ltd.      2,855,125        990,312  
   Evergreen International Storage & Transport Corp.      4,251,000        2,149,689  

*

   Evergreen Marine Corp. Taiwan, Ltd.      19,952,145        13,200,684  
   Everlight Chemical Industrial Corp.      680,950        389,712  
   Everlight Electronics Co., Ltd.      3,503,000        4,651,271  
   Excellence Opto, Inc.      96,000        110,879  
   Excelsior Medical Co., Ltd.      838,527        1,648,736  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     
   EZconn Corp.      194,250      $ 194,779  
   Far Eastern Department Stores, Ltd.      8,947,445        7,389,766  
   Far Eastern International Bank      24,066,641        8,713,050  
   Far Eastern New Century Corp.      23,634,528        21,337,480  
   Farglory F T Z Investment Holding Co., Ltd.      936,648        991,989  
   Farglory Land Development Co., Ltd.      2,206,264        3,397,638  

*

   Federal Corp.      2,747,160        1,921,745  

*

   First Copper Technology Co., Ltd.      1,086,750        356,899  
   First Financial Holding Co., Ltd.      71,961,241        50,493,024  
   First Hotel      1,238,857        569,991  

#

   First Insurance Co., Ltd. (The)      1,954,064        881,620  

#

   First Steamship Co., Ltd.      4,562,042        1,401,989  

*

   FIT Holding Co., Ltd.      185,150        231,711  
   FLEXium Interconnect, Inc.      200,000        816,568  
   FocalTech Systems Co., Ltd.      538,384        964,984  
   Forest Water Environment Engineering Co., Ltd.      20,000        29,866  
   Formosa Advanced Technologies Co., Ltd.      1,382,000        1,691,476  
   Formosa Chemicals & Fibre Corp.      659,000        1,587,201  

# *

   Formosa Laboratories, Inc.      825,478        1,390,061  

#

   Formosa Taffeta Co., Ltd.      3,835,511        4,200,079  
   Formosan Rubber Group, Inc.      1,893,957        1,332,091  
   Formosan Union Chemical      2,639,843        1,297,564  

#

   Founding Construction & Development Co., Ltd.      1,567,418        869,145  
   Foxconn Technology Co., Ltd.      4,412,142        7,737,939  

#

   Froch Enterprise Co., Ltd.      1,418,734        508,801  

#

   FSP Technology, Inc.      1,029,292        1,199,533  
   Fubon Financial Holding Co., Ltd.      44,449,471        63,320,705  
   Fullerton Technology Co., Ltd.      718,200        432,398  

# *

   Fulltech Fiber Glass Corp.      2,870,216        1,007,119  

#

   Fwusow Industry Co., Ltd.      1,258,043        831,850  

#

   G Shank Enterprise Co., Ltd.      1,186,902        770,240  
   Gemtek Technology Corp.      2,641,962        2,567,391  
   General Interface Solution Holding, Ltd.      769,000        3,057,915  
   Getac Technology Corp.      692,065        1,139,388  

#

   Giantplus Technology Co., Ltd.      2,274,100        820,207  
   Gigabyte Technology Co., Ltd.      332,287        836,104  

*

   Gigastorage Corp.      2,151,479        1,945,552  
   Global Brands Manufacture, Ltd.      2,271,951        1,722,988  
   Globe Union Industrial Corp.      1,600,625        858,868  

#

   Gloria Material Technology Corp.      4,205,116        2,268,673  

# *

   Gold Circuit Electronics, Ltd.      4,617,965        7,107,462  
   Goldsun Building Materials Co., Ltd.      7,010,171        6,433,383  
   Good Will Instrument Co., Ltd.      172,746        135,992  

#

   Grand Fortune Securities Co., Ltd.      625,000        178,733  

#

   Grand Ocean Retail Group, Ltd.      709,000        511,500  

*

   Grand Pacific Petrochemical      6,840,000        5,449,535  
   Great China Metal Industry      967,000        728,978  
   Great Wall Enterprise Co., Ltd.      4,753,169        7,480,758  

*

   Green Energy Technology, Inc.      1,424,880        2,989  
   GTM Holdings Corp.      898,900        743,981  

#

   Hannstar Board Corp.      3,343,488        4,585,956  

# *

   HannStar Display Corp.      19,949,435        6,406,614  

#

   HannsTouch Solution, Inc.      3,723,001        1,297,096  
   Hanpin Electron Co., Ltd.      286,000        286,530  

*

   Harvatek Corp.      1,172,553        548,026  

#

   Hey Song Corp.      2,574,500        2,927,951  

#

   Highwealth Construction Corp.      1,156,100        1,679,177  

#

   Hiroca Holdings, Ltd.      501,000        950,436  
   Hitron Technology, Inc.      836,098        592,988  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     
   Ho Tung Chemical Corp.      7,216,475      $ 2,665,672  

# *

   Hocheng Corp.      2,051,300        643,356  
   Hold-Key Electric Wire & Cable Co., Ltd.      34,124        14,508  
   Hon Hai Precision Industry Co., Ltd.      53,136,192        144,112,269  
   Hong Pu Real Estate Development Co., Ltd.      1,437,655        1,195,378  

#

   Hong TAI Electric Industrial      1,593,000        838,794  

#

   Hong YI Fiber Industry Co.      850,000        456,122  

#

   Horizon Securities Co., Ltd.      2,238,000        533,768  
   Hsin Kuang Steel Co., Ltd.      1,051,124        1,156,992  

#

   Hsing TA Cement Co.      1,195,614        787,742  

# *

   HTC Corp.      4,904,000        4,930,017  
   HUA ENG Wire & Cable Co., Ltd.      2,199,035        827,549  
   Hua Nan Financial Holdings Co., Ltd.      50,894,692        30,622,705  
   Huaku Development Co., Ltd.      793,000        2,404,388  
   Huang Hsiang Construction Corp.      774,000        1,048,521  

#

   Hung Ching Development & Construction Co., Ltd.      1,154,468        743,336  
   Hung Sheng Construction, Ltd.      3,930,336        2,351,959  
   Huxen Corp.      241,281        405,365  
   Hwacom Systems, Inc.      270,000        145,289  
   IBF Financial Holdings Co., Ltd.      21,995,293        9,047,872  

#

   Ichia Technologies, Inc.      1,664,260        1,028,568  

# *

   I-Chiun Precision Industry Co., Ltd.      1,317,000        604,161  
   IEI Integration Corp.      30,200        46,435  
   Infortrend Technology, Inc.      1,013,000        427,364  

#

   Innolux Corp.      38,381,544        13,321,794  

#

   Inpaq Technology Co., Ltd.      280,250        425,542  
   Integrated Service Technology, Inc.      115,570        207,956  
   International CSRC Investment Holdings Co.      5,639,166        3,868,806  
   Inventec Corp.      18,977,277        15,020,149  
   ITE Technology, Inc.      1,160,479        2,799,824  

#

   Jarllytec Co., Ltd.      482,000        1,127,694  

*

   Jean Co., Ltd.      302,000        106,827  
   Jess-Link Products Co., Ltd.      815,500        967,852  
   Jih Sun Financial Holdings Co., Ltd.      11,695,430        4,300,404  
   Jinli Group Holdings, Ltd.      889,532        255,217  

# *

   K Laser Technology, Inc.      1,038,601        556,489  
   Kaulin Manufacturing Co., Ltd.      792,656        311,933  
   KEE TAI Properties Co., Ltd.      1,804,000        608,834  
   Kenmec Mechanical Engineering Co., Ltd.      645,000        827,097  
   Kindom Development Co., Ltd.      2,451,000        2,987,031  
   King Chou Marine Technology Co., Ltd.      243,100        264,299  

#

   King Yuan Electronics Co., Ltd.      9,561,805        10,037,043  
   King’s Town Bank Co., Ltd.      6,762,012        9,165,963  

# *

   King’s Town Construction Co., Ltd.      426,380        565,000  

# *

   Kinko Optical Co., Ltd.      628,000        707,080  
   Kinpo Electronics      10,134,375        3,734,760  

#

   Kinsus Interconnect Technology Corp.      2,381,000        5,766,671  

# *

   Kung Sing Engineering Corp.      3,508,614        1,517,152  
   Kuo Toong International Co., Ltd.      1,303,808        985,103  

# *

   Kwong Fong Industries Corp.      604,649        247,129  
   Kwong Lung Enterprise Co., Ltd.      153,000        213,769  

#

   KYE Systems Corp.      1,635,909        604,104  

#

   L&K Engineering Co., Ltd.      1,157,000        1,049,068  

*

   LAN FA Textile      1,417,713        405,598  
   Leader Electronics, Inc.      347,056        103,073  

# *

   Lealea Enterprise Co., Ltd.      4,753,941        2,191,001  

#

   LEE CHI Enterprises Co., Ltd.      1,304,900        595,128  

*

   Lextar Electronics Corp.      2,384,000        1,507,462  

*

   Li Peng Enterprise Co., Ltd.      3,512,381        959,555  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     

#

   Lida Holdings, Ltd.      316,680      $ 408,318  
   Lien Hwa Industrial Holdings Corp.      1,086,650        1,520,210  

*

   Lingsen Precision Industries, Ltd.      2,836,480        1,058,946  

*

   Lite-On Semiconductor Corp.      2,650,729        3,909,377  
   Lite-On Technology Corp.      16,235,738        26,446,672  

#

   Long Bon International Co., Ltd.      1,162,880        553,486  

#

   Longchen Paper & Packaging Co., Ltd.      5,872,807        3,314,621  

#

   Lucky Cement Corp.      1,567,000        611,386  

#

   Macronix International      14,427,605        16,194,258  

#

   Materials Analysis Technology, Inc.      37,000        106,436  
   Mayer Steel Pipe Corp.      973,456        550,041  

#

   Maywufa Co., Ltd.      182,070        109,891  
   Mega Financial Holding Co., Ltd.      41,157,796        39,659,705  
   Mercuries & Associates Holding, Ltd.      3,189,465        2,320,307  

*

   Mercuries Life Insurance Co., Ltd.      9,435,999        2,805,195  

*

   MIN AIK Technology Co., Ltd.      1,022,600        485,303  
   Mitac Holdings Corp.      4,011,682        3,962,744  
   MPI Corp.      378,000        1,170,175  

#

   Nan Ren Lake Leisure Amusement Co., Ltd.      1,045,000        344,484  

#

   Nan Ya Printed Circuit Board Corp.      929,000        3,758,658  

#

   Nanya Technology Corp.      9,248,000        18,740,538  
   New Era Electronics Co., Ltd.      168,000        98,028  

*

   Nien Hsing Textile Co., Ltd.      868,061        487,948  

#

   Nishoku Technology, Inc.      264,000        943,989  
   O-Bank Co., Ltd.      1,407,604        315,624  

# *

   OptoTech Corp.      2,537,828        2,000,605  
   Orient Semiconductor Electronics, Ltd.      1,705,670        660,689  

*

   Pacific Construction Co.      2,140,452        708,317  

#

   Pan Jit International, Inc.      1,211,100        1,528,940  
   Pan-International Industrial Corp.      3,479,444        2,089,668  
   Pegatron Corp.      15,934,998        34,340,358  

# *

   Phihong Technology Co., Ltd.      2,314,882        948,435  
   Plastron Precision Co., Ltd.      38,156        18,185  

#

   Plotech Co., Ltd.      640,000        584,945  
   Pou Chen Corp.      16,265,550        14,372,016  
   President Securities Corp.      7,089,330        3,649,794  

#

   Prince Housing & Development Corp.      7,463,018        2,754,328  
   Prodisc Technology, Inc.      6,185,157        0  
   Promate Electronic Co., Ltd.      123,000        152,921  
   Qisda Corp.      13,501,171        8,845,083  

#

   Qualipoly Chemical Corp.      290,593        283,130  

*

   Quintain Steel Co., Ltd.      1,488,473        430,150  
   Radiant Opto-Electronics Corp.      845,000        3,329,313  
   Radium Life Tech Co., Ltd.      7,521,226        2,778,357  
   Rich Development Co., Ltd.      4,275,054        1,474,917  

*

   Ritek Corp.      6,209,449        2,262,406  

# *

   Rotam Global Agrosciences, Ltd.      300,693        117,861  
   Ruentex Development Co., Ltd.      4,984,980        6,893,404  

#

   Ruentex Industries, Ltd.      2,312,600        5,357,028  
   Sampo Corp.      2,480,340        2,005,246  
   San Fang Chemical Industry Co., Ltd.      23,000        16,666  

*

   San Far Property, Ltd.      1,656,876        1,150,979  
   Sanyang Motor Co., Ltd.      2,660,624        2,097,925  
   Sesoda Corp.      1,494,385        1,150,128  
   Shan-Loong Transportation Co., Ltd.      563,000        590,301  
   Sharehope Medicine Co., Ltd.      118,339        148,243  
   Sheng Yu Steel Co., Ltd.      809,000        518,476  

#

   ShenMao Technology, Inc.      582,000        492,107  
   Shih Her Technologies, Inc.      341,000        601,980  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     

*

   Shih Wei Navigation Co., Ltd.      1,905,577      $ 463,099  
   Shihlin Electric & Engineering Corp.      3,666,000        6,323,007  

#

   Shin Kong Financial Holding Co., Ltd.      65,564,023        18,262,478  
   Shin Zu Shing Co., Ltd.      1,358,842        6,757,023  

*

   Shining Building Business Co., Ltd.      1,300,368        462,259  

#

   Shinkong Insurance Co., Ltd.      1,830,412        2,304,606  
   Shinkong Synthetic Fibers Corp.      9,377,754        3,801,437  

*

   Shuttle, Inc.      2,516,015        777,816  
   Sigurd Microelectronics Corp.      3,419,231        4,518,415  

#

   Silicon Integrated Systems Corp.      4,457,043        1,752,354  

*

   Silitech Technology Corp.      49,878        47,815  
   Sincere Navigation Corp.      2,822,242        1,407,571  
   Sinher Technology, Inc.      273,000        434,002  
   Sinon Corp.      3,357,877        2,290,436  
   SinoPac Financial Holdings Co., Ltd.      68,817,595        25,762,444  
   Sirtec International Co., Ltd.      627,200        572,901  

#

   Siward Crystal Technology Co., Ltd.      1,398,875        1,011,192  

#

   Solar Applied Materials Technology Co.      1,697,919        2,546,509  

#

   Solomon Technology Corp.      488,000        310,842  
   Solteam, Inc.      39,390        52,342  
   Southeast Cement Co., Ltd.      1,588,700        945,168  

#

   Spirox Corp.      421,563        488,109  
   Sunplus Technology Co., Ltd.      3,846,620        1,900,107  

#

   Sunrex Technology Corp.      826,108        1,851,300  

#

   Sunspring Metal Corp.      662,000        551,577  
   Supreme Electronics Co., Ltd.      2,964,441        3,145,675  
   Sweeten Real Estate Development Co., Ltd.      1,308,114        979,304  
   Synnex Technology International Corp.      7,385,550        10,976,342  

#

   T3EX Global Holdings Corp.      328,499        441,279  

#

   Ta Ya Electric Wire & Cable      4,083,262        2,874,068  
   Tah Hsin Industrial Corp.      590,730        1,398,242  
   TA-I Technology Co., Ltd.      133,500        315,930  

# *

   Tai Tung Communication Co., Ltd.      451,000        242,887  
   Taichung Commercial Bank Co., Ltd.      25,499,945        9,678,046  
   Taiflex Scientific Co., Ltd.      1,607,960        2,820,472  

#

   Tainan Enterprises Co., Ltd.      705,183        434,172  

#

   Tainan Spinning Co., Ltd.      9,013,485        3,880,338  

#

   Tai-Saw Technology Co., Ltd.      158,000        119,305  
   Taishin Financial Holding Co., Ltd.      72,265,807        31,868,217  

#

   Taita Chemical Co., Ltd.      1,517,788        1,726,951  
   Taiwan Business Bank      31,318,972        10,302,927  
   Taiwan Cement Corp.      57,812,948        82,046,639  

# *

   Taiwan Chinsan Electronic Industrial Co., Ltd.      329,600        414,523  
   Taiwan Cooperative Financial Holding Co., Ltd.      48,523,182        32,594,597  
   Taiwan Fertilizer Co., Ltd.      3,897,000        6,982,744  
   Taiwan Fire & Marine Insurance Co., Ltd.      1,545,000        1,067,009  
   Taiwan FU Hsing Industrial Co., Ltd.      648,000        962,081  

*

   Taiwan Glass Industry Corp.      8,993,982        3,947,842  
   Taiwan Hon Chuan Enterprise Co., Ltd.      1,317,932        2,693,876  

#

   Taiwan Hopax Chemicals Manufacturing Co., Ltd.      1,565,000        1,295,273  
   Taiwan Kolin Co., Ltd.      5,797,000        0  

*

   Taiwan Land Development Corp.      5,258,322        1,352,743  
   Taiwan Navigation Co., Ltd.      1,533,000        895,982  
   Taiwan PCB Techvest Co., Ltd.      2,187,946        3,118,278  
   Taiwan Shin Kong Security Co., Ltd.      39,390        50,238  
   Taiwan Surface Mounting Technology Corp.      1,975,991        6,509,014  

*

   Taiwan TEA Corp.      4,434,092        2,552,532  
   Taiyen Biotech Co., Ltd.      780,217        892,606  

# *

   Tatung Co., Ltd.      3,510,000        2,593,371  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     
   Te Chang Construction Co., Ltd.      16,260      $ 16,679  
   Teco Electric and Machinery Co., Ltd.      10,890,725        11,390,182  
   Tera Autotech Corp.      24,863        20,445  
   Test-Rite International Co., Ltd.      1,269,266        1,116,179  
   Thye Ming Industrial Co., Ltd.      26,000        25,076  

*

   Ton Yi Industrial Corp.      3,768,600        1,309,066  
   Tong Yang Industry Co., Ltd.      2,384,000        3,145,397  
   Tong-Tai Machine & Tool Co., Ltd.      1,467,447        723,999  
   Topco Technologies Corp.      6,000        13,252  

#

   Topoint Technology Co., Ltd.      1,123,459        851,447  

*

   TPK Holding Co., Ltd.      2,994,000        5,283,872  
   Tripod Technology Corp.      2,604,000        10,355,265  
   Tsann Kuen Enterprise Co., Ltd.      215,000        136,212  
   TSRC Corp.      113,000        80,110  
   Tung Ho Steel Enterprise Corp.      6,345,274        6,709,410  
   TXC Corp.      1,802,000        4,860,108  
   TYC Brother Industrial Co., Ltd.      1,601,723        1,161,196  

*

   Tycoons Group Enterprise      3,184,337        577,430  
   Tyntek Corp.      2,234,097        1,369,313  
   UDE Corp.      353,000        350,459  
   U-Ming Marine Transport Corp.      2,911,000        2,954,262  

#

   Unimicron Technology Corp.      8,748,363        20,903,441  

#

   Union Bank Of Taiwan      13,772,666        4,841,968  
   Unitech Computer Co., Ltd.      798,739        687,682  

#

   Unitech Printed Circuit Board Corp.      4,662,466        3,438,127  

#

   United Microelectronics Corp.      78,777,681        84,666,360  

*

   United Renewable Energy Co., Ltd.      7,276,072        3,860,598  

*

   Unity Opto Technology Co., Ltd.      2,993,000        161,665  
   Univacco Technology, Inc.      46,000        37,107  

#

   Universal Cement Corp.      3,096,583        2,161,194  

# *

   Unizyx Holding Corp.      1,586,000        1,251,800  
   UPC Technology Corp.      6,433,598        2,926,651  
   USI Corp.      5,955,827        3,678,898  

# *

   Usun Technology Co., Ltd.      128,100        224,411  

#

   Ve Wong Corp.      1,105,806        1,367,048  

*

   Victory New Materials, Ltd. Co.      1,115,687        482,251  
   Wah Hong Industrial Corp.      531,516        581,604  
   Wah Lee Industrial Corp.      1,404,000        3,132,658  
   Walsin Lihwa Corp.      16,702,412        10,378,835  

# *

   Walton Advanced Engineering, Inc.      2,155,853        808,186  
   Wan Hai Lines, Ltd.      4,582,000        4,202,728  
   Wei Mon Industry Co., Ltd.      3,885,691        0  
   Weikeng Industrial Co., Ltd.      2,642,490        1,688,960  

#

   Well Shin Technology Co., Ltd.      644,080        1,021,974  

# *

   Wha Yu Industrial Co., Ltd.      238,000        129,509  

#

   Winbond Electronics Corp.      23,422,572        13,912,478  
   Winstek Semiconductor Co., Ltd.      247,000        201,707  

*

   Wintek Corp.      20,783,484        249,299  

#

   Wisdom Marine Lines Co., Ltd.      3,023,364        2,242,889  
   Wistron Corp.      23,046,343        23,040,382  
   WPG Holdings, Ltd.      10,420,284        14,153,240  
   WT Microelectronics Co., Ltd.      3,124,751        4,023,420  
   WUS Printed Circuit Co., Ltd.      1,276,668        1,301,239  

*

   Yang Ming Marine Transport Corp.      9,295,759        3,741,833  
   YC INOX Co., Ltd.      2,852,833        2,285,873  
   YCC Parts Manufacturing Co., Ltd.      10,000        14,977  

# *

   Yea Shin International Development Co., Ltd.      1,229,825        660,423  

#

   Yem Chio Co., Ltd.      3,306,371        1,689,072  

#

   Yeong Guan Energy Technology Group Co., Ltd.      680,820        2,184,080  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TAIWAN — (Continued)

     
   YFC-Boneagle Electric Co., Ltd.      34,000      $ 29,807  

#

   YFY, Inc.      9,836,847        6,682,852  

#

   Yi Jinn Industrial Co., Ltd.      1,524,142        741,249  

*

   Yieh Phui Enterprise Co., Ltd.      8,594,265        3,055,017  
   Young Fast Optoelectronics Co., Ltd.      670,000        483,035  

#

   Youngtek Electronics Corp.      974,047        1,789,927  
   Yuanta Financial Holding Co., Ltd.      80,471,994        50,031,701  

*

   Yulon Motor Co., Ltd.      4,684,650        5,840,633  
   Yung Chi Paint & Varnish Manufacturing Co., Ltd.      208,687        506,467  
   Zenitron Corp.      1,291,000        953,796  

#

   Zero One Technology Co., Ltd.      604,000        768,866  

#

   Zhen Ding Technology Holding, Ltd.      3,635,000        15,405,689  

# *

   Zig Sheng Industrial Co., Ltd.      2,976,352        836,564  

*

   Zinwell Corp.      701,000        445,962  

#

   ZongTai Real Estate Development Co., Ltd.      1,327,159        1,793,367  
        

 

 

 

TOTAL TAIWAN

        2,174,760,849  
        

 

 

 

THAILAND — (2.0%)

     

*

   AAPICO Hitech PCL      226,500        87,206  

*

   AAPICO Hitech PCL      816,861        314,505  
   Amata Corp. PCL      1,549,400        581,631  
   Ananda Development PCL      5,845,600        266,327  
   AP Thailand PCL      18,858,230        3,781,629  

*

   Asia Aviation PCL      4,545,600        208,557  

*

   Asia Aviation PCL      405,600        18,609  
   Asia Plus Group Holdings PCL      6,868,900        365,842  
   Bangchak Corp. PCL      6,810,700        3,168,530  
   Bangkok Airways PCL      4,493,000        717,900  
   Bangkok Bank PCL      2,241,353        6,957,597  
   Bangkok Insurance PCL      215,128        1,863,626  
   Bangkok Land PCL      86,510,096        2,692,381  

*

   Bangkok Life Assurance PCL      1,180,900        678,210  

*

   Bangkok Ranch PCL      3,615,300        196,033  
   Banpu PCL      32,925,150        6,919,379  

*

   Better World Green PCL      4,257,100        58,733  
   Cal-Comp Electronics Thailand PCL, Class F      19,136,214        1,412,153  
   Charoen Pokphand Foods PCL      20,818,700        16,866,036  
   Charoong Thai Wire & Cable PCL, Class F      538,100        94,956  
   GFPT PCL      4,052,100        1,482,119  
   Global Green Chemicals PCL, Class F      340,900        79,298  
   Hana Microelectronics PCL      106,300        153,477  

*

   ICC International PCL      2,325,900        2,052,210  
   Indorama Ventures PCL      3,657,400        2,593,360  
   IRPC PCL      49,903,500        3,234,301  

*

   Italian-Thai Development PCL      23,717,900        677,274  
   Kasikornbank PCL      7,912,701        19,358,096  
   KGI Securities Thailand PCL      3,157,500        281,635  
   Khon Kaen Sugar Industry PCL      10,656,207        779,535  
   Kiatnakin Phatra Bank PCL      1,796,900        2,277,294  
   Krung Thai Bank PCL      14,561,500        4,041,292  
   Lalin Property PCL      204,200        37,345  
   LH Financial Group PCL      17,324,546        494,709  
   LPN Development PCL      10,329,802        1,259,429  

*

   MCOT PCL      254,200        23,000  
   Millcon Steel PCL      5,155,313        112,476  

*

   Minor International PCL      1,029,726        551,742  

*

   Nawarat Patanakarn PCL      516,500        8,617  
   Origin Property PCL, Class F      568,500        120,385  
   Polyplex Thailand PCL      2,234,725        1,727,982  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

THAILAND — (Continued)

     
   Power Solution Technologies PCL, Class F      1,808,740      $ 88,790  

*

   Precious Shipping PCL      6,384,050        995,475  
   Property Perfect PCL      42,170,700        446,501  
   Pruksa Holding PCL      5,239,400        1,647,425  
   PTT Exploration & Production PCL      9,568,800        24,177,204  
   PTT Global Chemical PCL      8,285,741        10,633,822  
   PTT PCL      66,812,900        66,453,835  
   Quality Houses PCL      22,274,497        1,486,515  

*

   Regional Container Lines PCL      3,147,400        651,343  
   Rojana Industrial Park PCL      6,947,373        855,953  
   Saha Pathana Inter-Holding PCL      2,414,200        4,647,533  
   Saha Pathanapibul PCL      1,206,833        2,555,578  

*

   Sahakol Equipment PCL      1,782,300        85,777  
   Saha-Union PCL      1,983,200        2,147,525  
   Sahaviriya Steel Industries PCL      0        0  
   Samart Telcoms PCL      113,900        17,761  
   Sansiri PCL      47,327,466        880,723  
   SC Asset Corp. PCL      12,451,753        918,875  
   Sena Development PCL      1,331,366        114,480  
   Siam City Cement PCL      4,600        17,489  
   Siam Commercial Bank PCL (The)      5,725,000        11,939,520  
   Siam Future Development PCL      7,069,295        966,237  
   Singha Estate PCL      547,000        19,481  
   Somboon Advance Technology PCL      2,285,600        975,326  
   SPCG PCL      104,900        66,640  

*

   Srithai Superware PCL      11,102,100        217,287  
   Star Petroleum Refining PCL      12,491,500        2,124,166  
   STP & I PCL      5,380,400        548,959  
   Supalai PCL      10,524,500        5,301,505  
   Super Energy Corp. PCL      114,997,600        3,062,421  
   Susco PCL      126,100        10,519  
   Syntec Construction PCL      5,229,800        214,780  

*

   Tata Steel Thailand PCL      31,883,000        378,494  

*

   Thai Airways International PCL      5,543,111        512,205  
   Thai Oil PCL      5,015,100        5,511,099  
   Thai Rayon PCL      58,700        40,869  
   Thai Stanley Electric PCL      41,000        190,086  
   Thai Stanley Electric PCL, Class F      177,900        824,787  

*

   Thai Wacoal PCL      81,200        118,214  
   Thaicom PCL      4,310,300        760,621  
   Thanachart Capital PCL      1,469,100        1,296,230  
   Thitikorn PCL      1,486,800        331,540  
   Thoresen Thai Agencies PCL      6,833,078        605,095  
   TMB Bank PCL      121,237,409        3,150,792  
   TPI Polene PCL      44,653,540        1,977,120  
   TPI Polene Power PCL      1,187,900        160,076  
   True Corp. PCL      83,001,500        7,243,574  
   Unique Engineering & Construction PCL      413,600        53,877  
   Univentures PCL      5,389,300        390,786  
   Vinythai PCL      1,864,017        1,441,335  
   Workpoint Entertainment PCL      303,200        95,822  
        

 

 

 

TOTAL THAILAND

        257,947,483  
        

 

 

 

TURKEY — (0.5%)

     

# *

   Akbank T.A.S.      16,076,385        9,120,317  

*

   Albaraka Turk Katilim Bankasi A.S.      5,399,679        1,048,038  
   Anadolu Anonim Turk Sigorta Sirketi      2,740,994        2,177,048  
   Anadolu Efes Biracilik Ve Malt Sanayii A.S.      287,391        667,708  

*

   Bera Holding A.S.      1,083,355        1,163,811  


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

TURKEY — (Continued)

     

*

   Borusan Mannesmann Boru Sanayi ve Ticaret A.S.      321,463      $ 524,217  

# *

   Cimsa Cimento Sanayi VE Ticaret A.S..      487,312        724,782  

#

   Dogan Sirketler Grubu Holding A.S.      1,950,090        565,870  
   Enka Insaat ve Sanayi A.S.      4,211,765        3,637,517  
   GSD Holding A.S.      262,411        65,870  
   Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class A      772,428        482,148  
  

Selcuk Ecza Deposu Ticaret ve Sanayi A.S

     882,814        962,758  

# *

   Turk Hava Yollari AO      5,078,810        5,464,660  

# *

   Turkiye Garanti Bankasi A.S.      17,800,101        14,053,377  

# *

   Turkiye Halk Bankasi A.S.      3,642,964        2,044,670  

# *

   Turkiye Is Bankasi A.S., Class C      9,560,380        5,843,050  

# *

   Turkiye Sinai Kalkinma Bankasi A.S.      13,736,510        4,180,764  

#

   Turkiye Sise ve Cam Fabrikalari A.S.      7,809,565        5,697,811  

# *

   Turkiye Vakiflar Bankasi TAO, Class D      6,296,337        2,864,357  

# *

   Yapi ve Kredi Bankasi A.S.      15,989,164        4,105,360  
        

 

 

 

TOTAL TURKEY

        65,394,133  
        

 

 

 

UNITED ARAB EMIRATES — (0.1%)

     
   Abu Dhabi Commercial Bank PJSC      2,612,682        4,135,995  
   Air Arabia PJSC      507,121        150,784  
   Aldar Properties PJSC      6,557,778        4,842,395  
   Amanat Holdings PJSC      333,704        69,922  
   Dana Gas PJSC      1,667,532        306,663  

*

   Deyaar Development PJSC      5,265,307        386,306  
   Dubai Investments PJSC      480,234        147,425  

*

   Emaar Development PJSC      1,430,294        879,243  

*

   Emaar Malls PJSC      3,095,858        1,234,564  

*

   Emaar Properties PJSC      2,846,528        2,039,844  
   Emirates NBD Bank PJSC      37,434        95,948  

*

   Eshraq Investments PJSC      1,058,915        86,730  

*

   Manazel Real Estate PJSC      560,632        47,609  
   National Central Cooling Co. PJSC      120,382        80,799  
   RAK Properties PJSC      556,314        58,210  
        

 

 

 

TOTAL UNITED ARAB EMIRATES

        14,562,437  
        

 

 

 

UNITED STATES — (0.0%)

     
   Textainer Group Holdings, Ltd.      7,001        98,855  
        

 

 

 

TOTAL COMMON STOCKS

        12,658,651,129  
        

 

 

 

PREFERRED STOCKS — (0.5%)

     

BRAZIL — (0.5%)

     
   Banco ABC Brasil SA      691,756        1,470,808  

*

   Banco ABC Brasil SA      10,906        23,150  
   Banco Bradesco SA      973,901        3,421,752  
   Banco do Estado do Rio Grande do Sul SA, Class B      1,718,645        3,594,270  
   Cia Ferro Ligas da Bahia - FERBASA      364,538        1,154,995  

*

   Eucatex SA Industria e Comercio      262,828        338,959  
   Gerdau SA      494,320        1,878,915  
   Grazziotin SA      6,400        32,591  
   Marcopolo SA      3,087,243        1,318,196  
   Petroleo Brasileiro SA      13,455,005        44,412,690  
   Schulz SA      118,480        245,717  
   Unipar Carbocloro SA      227,048        1,196,982  
   Usinas Siderurgicas de Minas Gerais SA Usiminas, Class A      318,971        605,928  
        

 

 

 

TOTAL BRAZIL

        59,694,953  
        

 

 

 


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

          Shares      Value»  

COLOMBIA — (0.0%)

     
   Avianca Holdings SA      478,208      $ 19,584  
   Grupo Argos SA      374,078        831,209  
   Grupo de Inversiones Suramericana SA      939,013        4,054,131  
        

 

 

 

TOTAL COLOMBIA

        4,904,924  
        

 

 

 

TOTAL PREFERRED STOCKS

        64,599,877  
        

 

 

 

RIGHTS/WARRANTS — (0.0%)

     

CHINA — (0.0%)

     

*

   Legend Holdings Corp. Rights 05/23/19      65,061        0  
        

 

 

 

HONG KONG — (0.0%)

     

*

   Jiayuan International Group, Ltd. Rights 11/30/20      46,485        0  
        

 

 

 

INDIA — (0.0%)

     
   Arvind Fashions, Ltd. Rights 04/17/20      0        0  
        

 

 

 

MALAYSIA — (0.0%)

     

# *

   JAKS Resources Bhd Rights 11/12/20      6,146,080        384,592  

*

   Vizione Holdings Bhd Warrants 8/24/23      663,428        20,757  
        

 

 

 

TOTAL MALAYSIA

        405,349  
        

 

 

 

SOUTH KOREA — (0.0%)

     

*

   Doosan Fuel Cell Co., Ltd. Rights 12/8/20      36,505        254,155  
        

 

 

 

TAIWAN — (0.0%)

     

*

   Supreme Electronics Co., Ltd. Rights 10/28/20      293,706        0  

*

   Tai Tung Communication Co., Ltd. Rights 11/9/20      57,535        2,313  
        

 

 

 

TOTAL TAIWAN

        2,313  
        

 

 

 

TOTAL RIGHTS/WARRANTS

        661,817  
        

 

 

 

TOTAL INVESTMENT SECURITIES
(Cost $13,107,440,251)

        12,723,912,823  
        

 

 

 
                 Value†  

SECURITIES LENDING COLLATERAL — (1.8%)

     

@ §

   The DFA Short Term Investment Fund      19,810,381        229,225,917  
        

 

 

 

TOTAL INVESTMENTS — (100.0%)
(Cost $13,336,594,488)

      $ 12,953,138,740  
        

 

 

 

 

ADR

American Depositary Receipt

CP

Certificate Participation

GDR

Global Depositary Receipt

P.L.C.

Public Limited Company

SA

Special Assessment

»

Securities that have generally been fair value factored. See Note B to Financial Statements.

#

Total or Partial Securities on Loan.

*

Non-Income Producing Securities.

W

Rule 144A, Section 4(2), or other security that is restricted as to resale to institutional investors. This security has been deemed liquid based upon the Fund’s Liquidity Guidelines. The liquidity determination is unaudited.

See Note B to Financial Statements.

@

Security purchased with cash collateral received from Securities on Loan.

§

Affiliated Fund.


DIMENSIONAL EMERGING MARKETS VALUE FUND

CONTINUED

 

As of October 31, 2020, Dimensional Emerging Markets Value Fund had entered into the following outstanding futures contracts:

 

Description

   Number of
Contracts
     Expiration
Date
     Notional
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 

Long Position Contracts:

              

E-Mini MSCI Emerging Markets Index

     650        12/18/20      $ 35,377,256      $ 35,811,750      $ 434,494  

S&P 500® Emini Index

     341        12/18/20        56,486,741        55,663,135        (823,606
        

 

 

    

 

 

    

 

 

 

Total Futures Contracts

         $ 91,863,997      $ 91,474,885      $ (389,112
        

 

 

    

 

 

    

 

 

 

Summary of the Fund’s investments as of October 31, 2020, 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

   $ 486,798,051       —          —        $ 486,798,051  

Chile

     22,773,370     $ 82,485,630        —          105,259,000  

China

     441,920,900       3,969,433,597        —          4,411,354,497  

Colombia

     13,754,828       —          —          13,754,828  

Czech Republic

     —         21,954,944        —          21,954,944  

Greece

     42,454       19,287,629        —          19,330,083  

Hong Kong

     6,516,246       4,530,938        —          11,047,184  

Hungary

     —         22,221,112        —          22,221,112  

India

     74,865,280       1,380,461,424        —          1,455,326,704  

Indonesia

     923,002       221,575,296        —          222,498,298  

Malaysia

     —         263,749,256        —          263,749,256  

Mexico

     338,525,983       —          —          338,525,983  

Philippines

     —         137,610,706        —          137,610,706  

Poland

     —         83,612,237        —          83,612,237  

Qatar

     —         18,397,840        —          18,397,840  

Russia

     16,978,168       136,576,056        —          153,554,224  

Saudi Arabia

     —         181,979,535        —          181,979,535  

South Africa

     96,169,700       375,980,458        —          472,150,158  

South Korea

     210,985,568       1,515,777,164        —          1,726,762,732  

Taiwan

     16,381,437       2,158,379,412        —          2,174,760,849  

Thailand

     257,947,483       —          —          257,947,483  

Turkey

     —         65,394,133        —          65,394,133  

United Arab Emirates

     —         14,562,437        —          14,562,437  

United States

     —         98,855        —          98,855  

Preferred Stocks

          

Brazil

     59,694,953       —          —          59,694,953  

Colombia

     4,904,924       —          —          4,904,924  

Rights/Warrants

          

Malaysia

     —         405,349        —          405,349  

South Korea

     —         254,155        —          254,155  

Taiwan

     —         2,313        —          2,313  

Securities Lending Collateral

     —         229,225,917        —          229,225,917  

Futures Contracts**

     (389,112     —          —          (389,112
  

 

 

   

 

 

    

 

 

    

 

 

 

TOTAL

   $ 2,048,793,235     $ 10,903,956,393        —        $ 12,952,749,628  
  

 

 

   

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.


LOGO

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, of Dimensional Emerging Markets Value Fund (the “Fund”) as of October 31, 2020, the related statement of operations for the year ended October 31, 2020, the statement of changes in net assets for each of the two years in the period ended October 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2020 (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) as of October 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2020, 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 ended October 31, 2020 and the financial highlights for each of the five years in the period ended October 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2020 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

December 18, 2020

We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.

 

PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042

T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us


(b)

Not applicable.

 

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

This item is not applicable to the Registrant, which is an open-end management investment company.

 

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

This item is not applicable to the Registrant, which is an open-end management investment company.

 

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

This item is not applicable to the Registrant, which is an open-end management investment company.


ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

None.

 

ITEM 11.

CONTROLS AND PROCEDURES.

 

  (a)

Based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR (the “Report”), the Registrant’s Co-Principal Executive Officers 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 Co-Principal Executive Officers 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 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.

DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

This item is not applicable to the Registrant, which is an open-end management investment company.

 

ITEM 13.

EXHIBITS.

 

(a)(1)   Code of Ethics is filed herewith.
(a)(2)   Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith.
(a)(3)   This item is not applicable.
(b)   Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dimensional Emerging Markets Value Fund

 

By:   /s/ David P. Butler
  David P. Butler
  Co-Chief Executive Officer

Date: January 6, 2021

 

By:   /s/ Gerard K. O’Reilly
  Gerard K. O’Reilly
  Co-Chief Executive Officer and
  Chief Investment Officer

Date: January 6, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:   /s/ David P. Butler
  David P. Butler
  Co-Principal Executive Officer
  Dimensional Emerging Markets Value Fund

Date: January 6, 2021

 

By:   /s/ Gerard K. O’Reilly
  Gerard K. O’Reilly
  Co-Principal Executive Officer
  Dimensional Emerging Markets Value Fund

Date: January 6, 2021


By:   /s/ Lisa M. Dallmer
  Lisa M. Dallmer
  Principal Financial Officer
  Dimensional Emerging Markets Value Fund

Date: January 6, 2021

EX-99.CODE ETH 2 d27191dex99codeeth.htm CODE OF ETHICS Code of Ethics

Effective Date: September 18, 2020

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

DIMENSIONAL ETF TRUST

 

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., The DFA Investment Trust Company, and Dimensional ETF Trust (each a “Fund,” and together, the “Funds”) have adopted this Code of Business Ethics for Principal Executive and Financial Officers (the “Code”). The Code applies to the Funds’ principal executive officers and principal financial officers (together, the “Covered Officers”), and is adopted to promote:

 

 

honest and ethical conduct, including the ethical handling of conflicts of interest;

 

 

full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (the “SEC”), and in other public communications made by the Funds;

 

 

compliance with applicable laws and governmental rules and regulations;

 

 

the prompt internal reporting of violations of the Code to the appropriate person(s) identified in the Code; and

 

 

accountability for adherence to the Code.

 

II.

Covered Officers Should “Adhere to a High Standard of Business Ethics”

Each Covered Officer owes a duty to the Funds to adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual, as well as apparent, conflicts of interests.

Each Covered Officer shall:

 

 

observe all laws and governmental rules and regulations, accounting standards and Fund policies;

 

 

adhere to a high standard of business ethics; and

 

 

place the interests of the Funds before the Covered Officer’s own personal interests.

All activities of Covered Officers should be guided by and adhere to these fiduciary standards.

 

     

LOGO

 

      US_1052.13


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;

 

 

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;

 

   2   

LOGO

 

      US_1052.13


 

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 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.

 

   3   

LOGO

 

      US_1052.13


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;

 

 

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;

 

   4   

LOGO

 

      US_1052.13


 

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.

 

   5   

LOGO

 

      US_1052.13


Exhibit A

Persons Covered by this Code of Business Ethics

Gerard O’Reilly (Co-Principal Executive Officer of the Funds)

David P. Butler (Co-Principal Executive Officer of the Funds)

Lisa Dallmer (Principal Financial Officer of the Funds)

 

   A-1   

LOGO

 

      US_1052.13
EX-99.CERT 3 d27191dex99cert.htm CERTIFICATIONS PURSUANT TO SECTION 302 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 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 officers 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 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 officers and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: January 6, 2021

 

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, Gerard K. O’Reilly, certify that:

 

1.

I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the “Registrant”);

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

4.

The Registrant’s other certifying officers 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 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 officers and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: January 6, 2021

 

By:   /s/ Gerard K. O’Reilly
  Gerard K. O’Reilly
  Co-Principal Executive Officer
  Dimensional Emerging Markets Value Fund


CERTIFICATION PURSUANT TO SECTION 302 OF

THE SARBANES-OXLEY ACT OF 2002

I, Lisa M. Dallmer, certify that:

 

1.

I have reviewed this report on Form N-CSR of Dimensional Emerging Markets Value Fund (the “Registrant”);

 

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

4.

The Registrant’s other certifying officers 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 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 officers and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

  a)

all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

  b)

any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: January 6, 2021

 

By:   /s/ Lisa M. Dallmer
  Lisa M. Dallmer
  Principal Financial Officer
  Dimensional Emerging Markets Value Fund
EX-99.906CERT 4 d27191dex99906cert.htm CERTIFICATIONS PURSUANT TO SECTION 906 Certifications Pursuant to Section 906

CERTIFICATIONS PURSUANT TO SECTION 906 OF THE

SARBANES-OXLEY ACT OF 2002

David P. Butler and Gerard K. O’Reilly, Co-Principal Executive Officers, and Lisa M. Dallmer, Principal Financial Officer, of Dimensional Emerging Markets Value Fund, a Delaware statutory trust (the “Registrant”), each certify that:

 

  1.

The Registrant’s periodic report on Form N-CSR for the period ended October 31, 2020 (the “Report”) fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and

 

  2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

By:   /s/ David P. Butler
  David P. Butler
  Co-Principal Executive Officer
  Dimensional Emerging Markets Value Fund

Date: January 6, 2021

 

By:   /s/ Gerard K. O’Reilly
  Gerard K. O’Reilly
  Co-Principal Executive Officer
  Dimensional Emerging Markets Value Fund

Date: January 6, 2021

 

By:   /s/ Lisa M. Dallmer
  Lisa M. Dallmer
  Principal Financial Officer
  Dimensional Emerging Markets Value Fund

Date: January 6, 2021

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