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: 811-09195 |
SA FUNDS – INVESTMENT TRUST |
(Exact name of registrant as specified in charter) |
10 Almaden Blvd., 15th Floor, San Jose, CA 95113 |
(Address of principal executive offices) (zip code) |
Jeff Yorg, Esq. Chief Compliance Officer SA Funds – Investment Trust 10 Almaden Blvd., 15th Floor, San Jose, CA 95113 (Name and Address of Agent for Service) | ||
Copies to: | ||
Brian F. Link, Esq. Vice President and Managing Counsel State Street Bank and Trust Company 1 Lincoln Street, 8th Floor Boston, Massachusetts 02111 | Mark D. Perlow, Esq. Counsel to the Trust Dechert LLP One Bush Street, Suite 1600 San Francisco, California 94104-4446 |
Registrant’s telephone number, including area code: (844) 366-0905
Date of fiscal year end: June 30
Date of reporting period: June 30, 2021
Item 1. Report to Shareholders.
ANNUAL REPORT
|
TABLE OF CONTENTS
Page | ||
Management Discussion of Fund Performance | 1 | |
Portfolios of Investments | ||
SA U.S. Fixed Income Fund | 21 | |
SA Global Fixed Income Fund | 23 | |
SA U.S. Core Market Fund | 28 | |
SA U.S. Value Fund | 40 | |
SA U.S. Small Company Fund | 45 | |
SA International Value Fund | 63 | |
SA International Small Company Fund | 69 | |
SA Emerging Markets Value Fund | 70 | |
SA Real Estate Securities Fund | 90 | |
SA Worldwide Moderate Growth Fund | 92 | |
Statements of Assets and Liabilities | 94 | |
Statements of Operations | 100 | |
Statements of Changes in Net Assets | 104 | |
Financial Highlights | 118 | |
Notes to Financial Statements | 137 | |
Report of Independent Registered Public Accounting Firm | 156 | |
Proxy Voting Policies and Procedures | 157 | |
Schedules of Portfolio Holdings | 157 | |
Additional Information | 158 | |
Trustees and Officers’ Information | 158 | |
Board Approval of Investment Advisory Agreements and Sub-Advisory Agreement | 161 | |
Annual Report of Liquidity Risk Management Program Administrator | 166 | |
Tax Information Notice | 169 | |
Understanding Your Fund’s Expenses | 170 | |
Selected Financial Statements of DFA Investment Dimensions Group Inc. | ||
& The DFA Investment Trust Company | 172 | |
Report of Independent Registered Public Accounting Firm | 191 |
Any information in this shareholder report regarding market or economic trends or the factors influencing the performance of SA Funds – Investment Trust (the “Trust”) are statements of the opinion of Trust management as of the date of this report. Any such opinion is subject to change at any time based upon market or other conditions and we disclaim responsibility to update such opinions. These statements should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that stated investment objectives will be achieved.
SA U.S. Fixed Income Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA U.S. Fixed Income Fund’s goal is to achieve a generally stable return consistent with preservation of capital. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by investing primarily in obligations issued or guaranteed by the U.S. government or its agencies or instrumentalities, dollar-denominated obligations of foreign issuers issued in the United States, bank obligations, including those of U.S. banks and savings and loan associations and dollar denominated obligations of U.S. subsidiaries and branches of foreign banks, corporate debt obligations, commercial paper, obligations of supranational organizations and repurchase agreements. Generally, the Fund acquires obligations that mature within three years from the date of settlement.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of -0.48% and -0.18%, respectively, compared to a return of 0.54% for the Fund’s benchmark index, the ICE BofA 1-3 Year U.S. Corporate & Government Index. The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class underperformed the benchmark during the fiscal year by 1.02% and 0.72%, respectively, after deducting the share classes’ net operating expenses for the year. The Fund underperformed the benchmark index for the fiscal year primarily due to the Fund’s maturity allocation choices. During the fiscal year, the Fund maintained a significant fraction of its assets in money market securities with maturities of less than one year. The benchmark index, however, holds only securities with maturities ranging from one year to three years. The returns over the fiscal year for the 1-3 year securities found in the benchmark index were higher, on average, than were the securities of less than one year in maturity that were held in the Fund, resulting in the Fund’s underperformance relative to its benchmark.
1
SA U.S. Fixed Income Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the
SA U.S. Fixed Income Fund - Investor Class vs. the ICE BofA 1-3 Year
U.S. Corporate & Government Index from June 30, 2011 through June 30, 2021
The ICE BofA 1-3 Year U.S. Corporate & Government Index is a subset of the ICE BofA Corporate & Government Index and includes U.S. dollar denominated investment grade debt securities publicly issued in the U.S. domestic market, with a remaining term to final maturity of less than 3 years but greater than one year. The index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA U.S. Fixed Income Fund – Investor Class | 1.07% | (a) | -0.48 | % | 0.75 | % | 0.45 | % | |||||
SA U.S. Fixed Income Fund – Select Class | 1.14% | (b) | -0.18 | % | N/A | N/A |
(a) | From commencement of class operations on April 2, 2007. |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Returns would have been lower if Buckingham Strategic Partners, LLC (the “Adviser”) had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain of the periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2020 of Investor Class and Select Class were 0.63% and 0.42%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
2
SA Global Fixed Income Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA Global Fixed Income Fund’s goal is to maximize total return available from a universe of higher-quality fixed income investments maturing in five years or less from the date of settlement while targeting the duration of the FTSE World Government Bond Index 1-5 Year (hedged to USD), the Fund’s benchmark index. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by investing primarily in obligations issued or guaranteed by the U.S. and foreign governments of developed countries or their agencies or instrumentalities; obligations of supranational organizations, and obligations of other U.S. and foreign issuers including corporate debt obligations; commercial paper; bank obligations; and repurchase agreements. The Fund attempts to maximize its total return by allocating assets among countries depending on prevailing interest rates while targeting the duration of the Fund’s benchmark index. Securities in which the Fund invests may be denominated in currencies other than U.S. dollars. The Fund may also enter into forward foreign currency exchange contracts to attempt to protect against uncertainty in the level of future foreign currency rates, to hedge against fluctuations in currency exchange rates or to transfer balances from one currency to another. The Fund may also lend its portfolio securities.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 0.21% and 0.43%, respectively, compared to a return of 0.11% for the Fund’s benchmark index, the FTSE World Government Bond Index 1-5 Year (hedged to USD). The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class outperformed the benchmark during the fiscal year by 0.10% and 0.32%, respectively, after deducting the share classes’ net operating expenses for the year. The Fund’s outperformance relative to the benchmark across the fiscal year was primarily the result of the Fund’s holding of securities with maturities of less than one year. The Fund’s benchmark only includes securities with maturities greater than one year but less than five years. Global fixed income securities during the fiscal year with maturities between one and five years had lower returns than global fixed income securities with maturities of less than one year, hence the Fund’s holdings of those shorter maturity securities led to the Fund’s outperformance against its benchmark.
3
SA Global Fixed Income Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the
SA Global Fixed Income Fund - Investor Class vs. the FTSE World Government
Bond Index 1-5 Years (hedged to USD) from June 30, 2011 through June 30, 2021
The FTSE World Government Bond Index 1-5 Year (hedged to USD) is a comprehensive measure of the total return performance of the fixed-rate, local-currency, investment-grade sovereign bond markets of more than 20 countries with maturities ranging from one to five years. It is hedged to the U.S. dollar. The index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021:
Since | One | Five | Ten | |||||||||
Inception | Year | Years | Years | |||||||||
SA Global Fixed Income Fund – Investor Class | 2.69% | (a) | 0.21% | 1.05 | % | 1.20 | % | |||||
SA Global Fixed Income Fund – Select Class | 1.61% | (b) | 0.43% | N/A | N/A |
(a) | From commencement of class operations on July 29, 1999. |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Return would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2020 of Investor Class and Select Class were 0.73% and 0.51%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
4
SA U.S. Core Market Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA U.S. Core Market Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by generally investing in a broad and diverse group of readily marketable equity securities of U.S. companies traded on a principal U.S. exchange or on the over-the-counter market in the United States. Currently the Sub-Adviser has narrowed the universe of eligible securities to those of companies whose market capitalizations generally are either in the highest 96% of total market capitalization, or companies whose market capitalizations are larger than the 1,500th largest U.S. company, whichever results in the higher market capitalization threshold. The Fund may also invest up to 5% of its total assets in the U.S. Micro Cap Portfolio, a portfolio of DFA Investment Dimensions Group, Inc., a separate registered investment company, to gain more efficient and cost effective exposure to securities whose market capitalizations are generally in the lowest 5% of total market capitalization or companies whose market capitalizations are smaller than the 1,500th largest U.S. company, whichever results in the higher market capitalization threshold. The Fund may also lend its portfolio securities.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 39.94% and 40.20%, respectively, compared to a return of 44.16% for the Fund’s benchmark index, the Russell 3000 Index. The benchmark index is unmanaged and does not involve fees and expenses like the Fund. After deducting the share classes’ net operating expenses for the year, the overall performance of the Fund’s Investor Class and Select Class, relative to its benchmark, was -4.22% and -3.96%, respectively. Across the fiscal year the Fund held a larger position than did the benchmark in stocks of companies with higher levels of operating profitability while also holding a smaller position than the benchmark in stocks of companies with lower levels of operating profitability. This strategy contributed to underperformance relative to the Fund’s benchmark index during the fiscal year by the Fund’s Portfolio. This underperformance was largely because during the fiscal year the stocks of companies with higher profitability (in which the Fund had a strong position) underperformed relative to the stocks of companies with lower profitability (stocks in which the Fund held smaller positions than in the benchmark).
5
SA U.S. Core Market Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA U.S. Core Market Fund -
Investor Class vs. the Russell 3000 Index from June 30, 2011 through June 30, 2021
The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | |||||||||
Inception | Year | Years | Years | |||||||||
SA U.S. Core Market Fund – Investor Class | 7.65% | (a) | 39.94% | 17.29 | % | 13.96 | % | |||||
SA U.S. Core Market Fund – Select Class | 17.41% | (b) | 40.20% | N/A | N/A |
(a) | From commencement of class operations on August 5, 1999. |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Return would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2020 of Investor Class and Select Class were 0.90% and 0.69%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
6
SA U.S. Value Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA U.S. Value Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by generally investing in a broad and diverse group of readily marketable equity securities of large and mid-cap U.S. companies traded on a principal U.S. exchange or on the over-the-counter market in the United States that the Sub-Adviser believes are “value” stocks at the time of investment. The Sub-Adviser considers value stocks primarily to be those of companies with high book values (values that are derived from a company’s balance sheet) in relation to their market values (values that are derived by multiplying the market price per share of a company’s stock by the number of outstanding shares of that stock). Currently the Sub-Adviser considers large and mid-capitalization companies to be companies whose market capitalizations generally are either in the highest 90% of total market capitalization or companies whose market capitalizations are larger than the 1,000th largest U.S. company, whichever results in the higher market capitalization threshold. The Fund may also lend its portfolio securities.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 49.17% and 49.58%, respectively, compared to a return of 43.68% for the Fund’s benchmark index, the Russell 1000 Value Index. The benchmark index is unmanaged and does not involve fees and expenses like the Fund. Across the fiscal year the Fund maintained a larger position than that of the benchmark in the stocks of companies whose ratio of price-to-book-value was well below average in the marketplace (known as “deeper value stocks”). The Fund also maintained a smaller position than that of the benchmark in the stocks of companies in its investable universe which were not considered the deeper value stocks the Fund generally seeks to hold. During the fiscal year, deeper value stocks performed well overall relative to the other stocks in the Fund’s benchmark, both in the marketplace and in the Fund. Due to the Fund’s positioning in favor of the deeper value stocks found in the benchmark, the Fund’s Investor Class and Select Class outperformed the benchmark during the fiscal year by 5.49% and 5.90%, respectively, after deducting the share classes’ net operating expenses for the year.
7
SA U.S. Value Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA U.S. Value
Fund - Investor Class vs. the Russell 1000 Value Index from June 30, 2011
through June 30, 2021
The Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower ratios of price-to-book-value. The Russell 1000 Value Index is constructed to provide a comprehensive representation of the large-cap value segment of the U.S. stock market. The Index is completely reconstituted annually to ensure newly qualifying equities are included and that the represented companies continue to reflect value characteristics. The Index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA U.S. Value Fund – Investor Class | 6.72% | (a) | 49.17 | % | 11.84 | % | 11.02 | % | |||||
SA U.S. Value Fund – Select Class | 9.83% | (b) | 49.58 | % | N/A | N/A |
(a) | From commencement of class operations on August 5, 1999. | |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Return would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratio for fiscal year 2020 of Investor Class and Select Class were 0.95% and 0.74%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
8
SA U.S. Small Company Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA U.S. Small Company Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by generally investing in a broad and diverse group of readily marketable equity securities of small capitalization companies traded on a principal U.S. exchange or on the over-the-counter market in the United States. Currently the Sub-Adviser considers small capitalization companies to be companies whose market capitalizations generally are either in the lowest 12.5% of total market capitalization, or companies whose market capitalizations are smaller than the 1,000th largest U.S. company, whichever results in the higher market capitalization threshold. The Fund may also lend its portfolio securities.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 58.84% and 59.18%, respectively, compared to a return of 62.03% for the Fund’s benchmark index, the Russell 2000 Index. The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class underperformed the benchmark during the fiscal year by 3.19% and 2.85%, respectively, after deducting the share classes’ net operating expenses for the year. The Fund’s underperformance relative to the benchmark index over the fiscal year in both the Investor Class and in the Select Class was primarily the result of the Fund’s lower holdings of stocks (relative to the holding levels within the benchmark) with the very smallest market capitalizations within the Fund’s investable universe. Stocks with the smallest market capitalizations over the course of the fiscal year had higher returns than stocks with larger market capitalizations, hence the Fund’s lower exposure (relative to the exposure in the benchmark) to those smaller capitalization stocks contributed to the fiscal year underperformance relative to the benchmark.
9
SA U.S. Small Company Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA U.S. Small Company Fund -
Investor Class vs. the Russell 2000 Index from June 30, 2011 through June 30, 2021
The Russell 2000 Index measures the performance of the small capitalization segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 2000 of the smallest securities based on a combination of their market capitalization and current membership in the Russell 3000 Index. The Index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA U.S. Small Company Fund – Investor Class | 9.40% | (a) | 58.84 | % | 13.57 | % | 11.19 | % | |||||
SA U.S. Small Company Fund – Select Class | 11.87% | (b) | 59.18 | % | N/A | N/A |
(a) | From commencement of class operations on August 5, 1999. | |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Return would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2020 of Investor Class and Select Class were 1.14% and 0.92%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
10
SA International Value Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA International Value Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by generally investing in a broad and diverse group of readily marketable equity securities of large- and mid-cap non-U.S. companies that the Sub-Adviser believes are “value” stocks at the time of investment. The Fund’s Sub-Adviser considers value stocks primarily to be those of companies with high book values (values that are derived from a company’s balance sheet) in relation to their market values (values that are derived by multiplying the market price per share of a company’s stock by the number of outstanding shares of that stock). The Fund invests in companies in countries with developed markets, designated by the Sub-Adviser as approved markets. Under normal market conditions, the Fund invests in companies organized or having a majority of their operating income from sources in at least three non-U.S. countries. The Fund may also lend its portfolio securities.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 43.64% and 44.00%, respectively, compared to a return of 35.85% for the Fund’s benchmark index, the MSCI World Ex. U.S. Value Index (net div.). The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class outperformed the benchmark during the fiscal year by 7.79% and 8.15%, respectively, after deducting the share classes’ net operating expenses for the year. The outperformance of the Fund relative to the benchmark index was largely due to the Fund’s greater holding of stocks with the lowest ratios of price-to-book-value than the benchmark, commonly called “deep value” stocks. Such deep value stocks had returns during the fiscal year that were higher than the overall return of the benchmark, hence the Fund’s emphasis on those stocks contributed to the Fund outperforming the benchmark.
11
SA International Value Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA International
Value Fund - Investor Class vs. the MSCI World Ex. U.S. Value Index (net div.)
from June 30, 2011 through June 30, 2021
The MSCI World Ex. U.S. Value Index (net div.) is composed of companies within the MSCI World Ex. U.S. Index having characteristics such as lower market-to-book value ratios. The MSCI World Ex. U.S. Index is an index of securities listed on the stock exchanges of 22 of 23 developed market countries (excluding the United States), covering approximately 85% of the equity market capitalization of those countries. The Index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. The Index reflects the impact of any withholding taxes applied to foreign investors in any of the component countries. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA International Value Fund – Investor Class | 4.47% | (a) | 43.64 | % | 8.76 | % | 3.23 | % | |||||
SA International Value Fund – Select Class | 4.95% | (b) | 44.00 | % | N/A | N/A |
(a) | From commencement of class operations on August 5, 1999. | |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Return would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2020 of Investor Class and Select Class were 1.11% and 0.90%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
12
SA International Small Company Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA International Small Company Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by investing substantially all its assets in the International Small Company Portfolio of DFA Investment Dimensions Group Inc. (the “DFA Portfolio”), a separate registered investment company with the same investment objective and investment policies as the Fund. The DFA Portfolio invests substantially all of its assets in the following series of The DFA Investment Trust Company: The Japanese Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Asia Pacific Small Company Series and The Canadian Small Company Series (each a “Series”). Each Series invests in small companies using a market capitalization weighted approach in each country or region designated by the Fund’s Sub-Adviser as an approved market for investments. The DFA Portfolio may also have some exposure to small capitalization equity securities associated with other countries or regions but does not invest in emerging market countries. Each Series may also lend its portfolio securities.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 43.94% and 44.25%, respectively, compared to a return of 42.28% for the Fund’s benchmark index, the MSCI World ex USA Small Cap Index (net div.). The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class outperformed the benchmark during the fiscal year by 1.66% and 1.97%, respectively, after deducting the share classes’ net operating expenses for the year. The Fund’s outperformance relative to its benchmark index across the fiscal year was due to three factors: first, the Fund’s larger positioning to the very smallest stocks in the benchmark contributed positively during a year when the smallest stocks outperformed the benchmark’s overall performance. Second, the Fund’s avoidance of REIT securities in the benchmark also contributed positively, as REIT performance during the year was much lower than that of the overall benchmark. And finally, the Fund’s limited exposure to stocks of companies with high ratios of price-to-book value (which underperformed the overall benchmark during the fiscal year) also contributed positively to performance.
13
SA International Small Company Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA International Small
Company Fund - Investor Class vs. the MSCI World Ex. U.S. Small Cap Index (net div.)
from June 30, 2011 through June 30, 2021
The MSCI World ex USA Small Cap Index (net div.) is a market capitalization weighted index designed to measure equity performance in 22 of 23 developed market countries (excluding the United States), covering approximately 14% of the market capitalization of those countries, and is composed of stocks which are categorized by MSCI as small capitalization stocks. The index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. The Index reflects the impact of any withholding taxes applied to foreign investors in any of the component countries. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA International Small Company Fund – Investor Class | 7.59% | (a) | 43.94 | % | 10.32 | % | 6.52 | % | |||||
SA International Small Company Fund – Select Class | 7.75% | (b) | 44.25 | % | N/A | N/A |
(a) | From commencement of class operations on August 5, 1999. | |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Return would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios including acquired fund fees for fiscal year 2020 of Investor Class and Select Class were 1.28% and 1.06%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
14
SA Emerging Markets Value Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA Emerging Markets Value Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by generally investing in a broad and diverse group of equity securities of companies in emerging markets, which may include frontier markets (i.e., emerging market countries in an earlier stage of development). The Fund intends to purchase securities of companies with small, medium and large market capitalizations in their respective markets that the Sub-Adviser considers to be “value” stocks at the time of investment. The Sub-Adviser considers value stocks primarily to be those of companies with high book values (values that are derived from a company’s balance sheet) in relation to their market values (values that are derived by multiplying the market price per share of a company’s stock by the number of outstanding shares of that stock).
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 46.51% and 46.98%, respectively, compared to a return of 41.59% for the Fund’s benchmark index, the MSCI Emerging Markets Value Index (net div.). The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class outperformed the benchmark during the fiscal year by 4.92% and 5.39%, respectively, after deducting the share classes’ net operating expenses for the year. The Fund’s outperformance relative to its benchmark index over the fiscal year was largely due to the Fund’s inclusion of and emphasis on smaller capitalization stocks, as smaller cap stocks outperformed larger cap stocks in the emerging markets in which the Fund invested during the fiscal year.
15
SA Emerging Markets Value Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA Emerging Markets Value Fund -
Investor Class vs. the MSCI Emerging Markets Value Index (net div.) from June 30, 2011
through June 30, 2021
The MSCI Emerging Markets Value Index (net div.) is comprised of companies within the 27 countries in the MSCI Emerging Markets Index having value characteristics, such as low price-to-book-value ratios. The Index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. The Index reflects the impact of any withholding taxes applied to foreign investors in any of the component countries. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA Emerging Markets Value Fund – Investor Class | 2.70% | (a) | 46.51 | % | 9.26 | % | 0.67 | % | |||||
SA Emerging Markets Value Fund – Select Class | 5.86% | (b) | 46.98 | % | N/A | N/A |
(a) | From commencement of class operations on April 2, 2007. |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Returns would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain of the periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2020 of Investor Class and Select Class were 1.60% and 1.36%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
16
SA Real Estate Securities Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA Real Estate Securities Fund’s goal is to achieve long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser and Dimensional Fund Advisors LP (the “Sub-Adviser”) serves as the Fund’s investment sub-adviser. The Fund pursues its goal by generally investing in readily marketable equity securities of companies, the principal activities of which include development, ownership, management, construction or sale of residential, commercial or industrial real estate. Investments include, principally, equity securities of companies in the following sectors of the real estate industry: certain real estate investment trusts (“REITS”), companies engaged in residential construction and firms, excluding partnerships, the principal business of which is to develop commercial property. The Fund will make equity investments only in securities traded in the U.S. securities markets.
For the fiscal year ended June 30, 2021, the Fund’s Investor Class and Select Class had a net return of 31.57% and 31.91%, respectively, compared to a return of 39.98% for the Fund’s benchmark index, the Dow Jones U.S. Select REIT Index. The benchmark index is unmanaged and does not involve fees and expenses like the Fund. The Fund’s Investor Class and Select Class underperformed the benchmark during the fiscal year by 8.41% and 8.07%, respectively, after deducting the share classes’ net operating expenses for the year. The Fund’s underperformance over the fiscal year was due primarily to the Fund’s investment in specialty REIT stocks not found in the benchmark, most notably cell tower REITs. Across the fiscal year, cell tower REITs on average had lower performance than any of the other major categories of REITs held within the benchmark, hence the Fund’s exposure to cell tower REITs contributed to the Fund’s underperformance relative to the benchmark.
17
SA Real Estate Securities Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Comparison of Change in Value of a $10,000 Investment in the SA Real Estate Securities Fund -
Investor Class vs. the Dow Jones U.S. Select REIT Index from June 30, 2011 through June 30, 2021
The Dow Jones U.S. Select REIT Index is a float-adjusted market capitalization weighted index designed to measure the performance of publicly traded real estate companies that have a minimum total market capitalization of at least $200 million, at least 75% of total revenues of which are derived from ownership and operation of real estate assets, and the liquidity of company stock commensurate with that of other institutionally held real estate securities. The index is unmanaged and reflects reinvested dividends and/or other distributions, but does not reflect sales charges, commissions, expenses or taxes. You cannot invest directly in an index.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | Ten | ||||||||||
Inception | Year | Years | Years | ||||||||||
SA Real Estate Securities Fund – Investor Class | 5.12% | (a) | 31.57 | % | 6.66 | % | 9.08 | % | |||||
SA Real Estate Securities Fund – Select Class | 9.10% | (b) | 31.91 | % | N/A | N/A |
(a) | From commencement of class operations on April 2, 2007. |
(b) | From commencement of class operations on July 3, 2017. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Returns would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain of the periods shown. As stated in the Fund’s most recent prospectuses, the total annual operating expense ratios for fiscal year 2019 of Investor Class and Select Class were 1.02% and 0.79%, respectively (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
18
SA Worldwide Moderate Growth Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The SA Worldwide Moderate Growth Fund’s goal is to achieve long-term capital appreciation and current income with a greater emphasis on long-term capital appreciation. Buckingham Strategic Partners, LLC (the “Adviser”) serves as the Fund’s investment adviser. The Fund pursues its goal by investing in other mutual funds (“Underlying SA Funds”) managed by the Adviser comprising various asset categories and strategies. Under normal market conditions, the Fund invested approximately 75% of its assets in equity investments and approximately 25% of its assets in fixed income investments as represented by the holdings of the Underlying SA Funds in which the Fund invests. Effectively July 1, 2021, the Fund will expect to invest approximately 70% of its assets in equity investments and approximately 30% of its assets in fixed income investments as represented by the holdings of the Underlying SA Funds. Actual allocations to fixed income investments or equity investments can deviate by up to 10%.
For the fiscal year ended June 30, 2021, the Fund had a net return of 33.71%, compared to a return of 29.73% for the Fund’s benchmark index, the Worldwide Moderate Growth Composite Index. Since the Fund invests only in Underlying SA Funds, the performance of the Fund across the fiscal year was primarily the result of the performance of its Underlying SA Funds. Most notably, the SA U.S. Small Company Fund, the SA U.S. Value Fund and the SA Emerging Markets Value Fund most outperformed the equity portion of the Fund’s benchmark Index, significantly contributing to the Fund’s 3.98% outperformance for the fiscal year relative to its benchmark index.
Comparison of Change in Value of a $10,000 Investment in the SA Worldwide
Moderate Growth Fund vs. the Benchmark since Commencement of Fund
Operations from July 1, 2015 through June 30, 2021
19
SA Worldwide Moderate Growth Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
The MSCI ACWI Investable Market Index (IMI) (net div.) captures large, mid and small cap representation across 23 Developed Markets and 26 Emerging Markets countries. With more than 8,000 constituent securities, the index is comprehensive, covering approximately 99% of the global equity investment opportunity set. The ICE BofA 1-3 Year U.S. Corporate & Government Index tracks the performance of U.S. dollar-denominated investment grade debt publicly issued in the U.S. domestic market, including U.S. Treasury, U.S. agency, foreign government, supranational and corporate securities with a remaining term to final maturity less than 3 years. The Worldwide Moderate Growth Composite Index is a weighted blend of the following indexes: 75% MSCI ACWI Investable Market Index (net div.) and 25% ICE BofA 1-3 Year U.S. Corporate & Government Index. Effective July 1, 2021, the Worldwide Moderate Growth Composite Index will be a weighted blend of the following indexes: 70% MSCI ACWI IMI (net div.) and 30% ICE BofA 1-3 Year U.S. Corporate & Government Index. The Worldwide Moderate Growth Composite Index is rebalanced on an annual basis in January of each year. Investors cannot invest directly in an index. Indexes are unmanaged and reflect reinvested dividends and/or distributions, but do not reflect sales charges, commissions, expenses or taxes. The Index reflects the impact of any withholding taxes applied to foreign investors in any of the component countries that impose such withholding taxes.
PERFORMANCE INFORMATION – Average Annual Total Returns as of June 30, 2021
Since | One | Five | ||||||||
Inception | Year | Year | ||||||||
SA Worldwide Moderate Growth Fund | 7.21% | (a) | 33.71 | % | 9.58 | % |
(a) | From commencement of Fund operations on July 1, 2015. |
All returns include the reinvestment of income dividends and other distributions. Results represent past performance and do not indicate future results. Both the value of an investment in the Fund and the return on investment will fluctuate, so that redemption proceeds may be higher or lower than an investor’s original cost. The returns shown do not reflect the deduction of taxes that an investor would pay on Fund distributions or the redemption of Fund shares. Returns would have been lower if the Adviser had not reimbursed certain expenses and/or waived a portion of the Advisory fees during certain of the periods shown. As stated in the Fund’s most recent prospectus, the total annual operating expense ratio including acquired fund fees for fiscal year 2020 was 1.30% (before expense reimbursement and/or fee waivers, if any). Updated Fund performance information can be obtained by visiting http://www.sa-funds.com.
20
SA U.S. Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
FACE | ||||||||
AMOUNT | VALUE† | |||||||
CORPORATE BONDS AND NOTES — 9.2% | ||||||||
Basic Material — 0.3% | ||||||||
Westlake Chemical Corp., | ||||||||
3.600%, 7/15/22 | $ | 1,500,000 | $ | 1,535,033 | ||||
Communication — 0.6% | ||||||||
NTT Finance Corp., | ||||||||
0.583%, 3/01/24 ± | 3,500,000 | 3,496,895 | ||||||
Consumer, Cyclical — 0.2% | ||||||||
Toyota Motor Corp., | ||||||||
0.681%, 3/25/24 | 1,000,000 | 1,001,738 | ||||||
Consumer, Non-cyclical — 1.2% | ||||||||
Anthem, Inc., | ||||||||
3.300%, 1/15/23 | 4,000,000 | 4,174,342 | ||||||
Gilead Sciences, Inc., | ||||||||
3.700%, 4/01/24 | 1,001,000 | 1,076,384 | ||||||
Mylan, Inc., | ||||||||
3.125%, 1/15/23 ± | 1,100,000 | 1,140,136 | ||||||
6,390,862 | ||||||||
Financial — 3.7% | ||||||||
Canadian Imperial Bank of Commerce, | ||||||||
3.100%, 4/02/24 | 1,500,000 | 1,594,929 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
3.200%, 2/23/23 | 4,000,000 | 4,174,121 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
3.407%, 3/07/24 | 3,946,000 | 4,230,196 | ||||||
Morgan Stanley, | ||||||||
3.875%, 4/29/24 | 4,800,000 | 5,223,408 | ||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||
0.850%, 3/25/24 ± | 5,000,000 | 5,009,559 | ||||||
Wells Fargo & Co. MTN, | ||||||||
3.500%, 3/08/22 | 167,000 | 170,736 | ||||||
20,402,949 | ||||||||
Industrial — 1.1% | ||||||||
CNH Industrial Capital LLC, | ||||||||
3.875%, 10/15/21 | 500,000 | 504,730 | ||||||
Penske Truck Leasing Co. LP / PTL | ||||||||
Finance Corp., | ||||||||
4.250%, 1/17/23 ± | 2,500,000 | 2,637,310 | ||||||
Raytheon Technologies Corp., | ||||||||
3.200%, 3/15/24 | 2,695,000 | 2,866,059 | ||||||
6,008,099 | ||||||||
Technology — 2.0% | ||||||||
International Business Machines Corp., | ||||||||
3.000%, 5/15/24 | 4,000,000 | 4,265,008 | ||||||
Micron Technology, Inc., | ||||||||
2.497%, 4/24/23 | 2,600,000 | 2,689,406 | ||||||
VMware, Inc., | ||||||||
2.950%, 8/21/22 | 3,983,000 | 4,086,722 | ||||||
11,041,136 | ||||||||
Utility — 0.1% | ||||||||
Edison International, | ||||||||
2.950%, 3/15/23 | 681,000 | 703,343 | ||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Identified Cost $50,134,935) | 50,580,055 | |||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 88.0% | ||||||||
U.S. Treasury Securities — 88.0% | ||||||||
U.S. Treasury Note, | ||||||||
0.125%, 2/15/24 | 4,000,000 | 3,974,688 | ||||||
U.S. Treasury Note, | ||||||||
0.250%, 3/15/24 | 53,500,000 | 53,295,196 | ||||||
U.S. Treasury Note, | ||||||||
0.250%, 5/15/24 | 54,000,000 | 53,713,125 | ||||||
U.S. Treasury Note, | ||||||||
0.250%, 6/15/24 | 54,000,000 | 53,677,266 | ||||||
U.S. Treasury Note, | ||||||||
0.375%, 4/15/24 | 54,000,000 | 53,936,718 | ||||||
U.S. Treasury Note, | ||||||||
2.000%, 4/30/24 | 50,500,000 | 52,755,732 | ||||||
U.S. Treasury Note, | ||||||||
2.000%, 5/31/24 | 51,500,000 | 53,833,594 | ||||||
U.S. Treasury Note, | ||||||||
2.125%, 3/31/24 | 51,500,000 | 53,926,133 | ||||||
U.S. Treasury Note, | ||||||||
2.250%, 4/30/24 | 50,000,000 | 52,576,172 | ||||||
U.S. Treasury Note, | ||||||||
2.375%, 2/29/24 | 50,000,000 | 52,644,531 | ||||||
484,333,155 | ||||||||
TOTAL U.S. GOVERNMENT & | ||||||||
AGENCY OBLIGATIONS | ||||||||
(Identified Cost $485,431,352) | 484,333,155 | |||||||
SHORT-TERM INVESTMENTS — 2.4% | ||||||||
Certificate of Deposits — 0.8% | ||||||||
Bank of Montreal, (SOFR + 0.200%), | ||||||||
0.250%, 2/11/22 ‡ | 3,000,000 | 3,001,221 | ||||||
Bank of Montreal, (3-mo. USD LIBOR | ||||||||
+ 0.040%), | ||||||||
0.168%, 3/10/22 ‡ | 1,500,000 | 1,500,104 | ||||||
4,501,325 | ||||||||
Commercial Paper — 1.3% | ||||||||
Svenska Handelsbanken AB, (3-mo. | ||||||||
USD LIBOR), | ||||||||
0.188%, 10/12/21 ±‡ | 4,000,000 | 4,000,000 | ||||||
Westpac Banking Corp., (3-mo. USD | ||||||||
LIBOR + 0.010%), | ||||||||
0.180%, 2/07/22 ±‡ | 3,000,000 | 2,999,819 | ||||||
6,999,819 |
The accompanying notes are an integral part of these financial statements.
21
SA U.S. Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
SHORT-TERM INVESTMENTS (Continued) | |||||||
Investment Company — 0.3% | |||||||
State Street Institutional U.S. | |||||||
Government Money Market Fund | |||||||
0.025% | 1,674,541 | $ | 1,674,541 | ||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Identified Cost $13,174,541) | 13,175,685 | ||||||
Total Investments — 99.6% | |||||||
(Identified Cost $548,740,828) | 548,088,895 | ||||||
Cash and Other Assets, | |||||||
Less Liabilities — 0.4% | 2,133,806 | ||||||
Net Assets — 100.0% | $ | 550,222,701 |
† | See Note 1 | ||
± | 144A Securities. Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities have been deemed by the Fund to be liquid and at June 30, 2021 amounted to $19,283,719 or 3.50% of the net assets of the Fund. | ||
‡ | Floating rate or variable rate note. Rate shown is as of June 30, 2021. |
Key to abbreviations:
LIBOR — London Interbank Offer Rate
MTN — Medium Term Note
SOFR — Secured Overnight Financing Rate
USD — U.S. Dollar
Portfolio Sectors as of June 30, 2021
(As a percentage of total investments (excluding
short-term money market investment)) (Unaudited)
The accompanying notes are an integral part of these financial statements.
22
SA Global Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
FACE | |||||||||
AMOUNT | VALUE† | ||||||||
BONDS AND NOTES — 98.7% | |||||||||
Australia — 7.1% | |||||||||
Australia & New Zealand Banking | |||||||||
Group Ltd. MTN, | |||||||||
(3-mo. Swap + 0.760%), | |||||||||
0.802%, 1/16/25 ‡ | AUD | 10,000,000 | $ | 7,615,595 | |||||
Australia & New Zealand Banking | |||||||||
Group Ltd. MTN, | |||||||||
(3-mo. Swap + 0.770%), | |||||||||
0.806%, 8/29/24 ‡ | AUD | 500,000 | 381,132 | ||||||
Australia & New Zealand Banking | |||||||||
Group Ltd. MTN, | |||||||||
(3-mo. Swap + 1.100%), | |||||||||
1.144%, 2/08/24 ‡ | AUD | 2,000,000 | 1,535,012 | ||||||
Australia Government Bond, | |||||||||
0.250%, 11/21/25 | AUD | 6,000,000 | 4,421,267 | ||||||
Australia Government Bond, | |||||||||
4.250%, 4/21/26 | AUD | 3,300,000 | 2,886,764 | ||||||
Commonwealth Bank of Australia | |||||||||
MTN, (3-mo. Swap + 0.800%), | |||||||||
0.840%, 4/25/23 ‡ | AUD | 2,500,000 | 1,897,674 | ||||||
National Australia Bank Ltd., | |||||||||
(3-mo. Swap + 0.900%), | |||||||||
0.939%, 5/16/23 ‡ | AUD | 1,000,000 | 760,645 | ||||||
National Australia Bank Ltd. | |||||||||
MTN, (3-mo. Swap + 0.770%), | |||||||||
0.810%, 1/21/25 ‡ | AUD | 3,100,000 | 2,361,798 | ||||||
National Australia Bank Ltd. | |||||||||
MTN, (3-mo. Swap + 0.920%), | |||||||||
0.948%, 6/19/24 ‡ | AUD | 2,000,000 | 1,530,546 | ||||||
National Australia Bank Ltd. | |||||||||
MTN, (3-mo. Swap + 0.930%), | |||||||||
0.960%, 9/26/23 ‡ | AUD | 5,000,000 | 3,813,459 | ||||||
New South Wales Treasury Corp., | |||||||||
4.000%, 5/20/26 | AUD | 8,800,000 | 7,558,494 | ||||||
Toyota Finance Australia Ltd., | |||||||||
0.500%, 4/06/23 | EUR | 2,000,000 | 2,405,700 | ||||||
Treasury Corp. of Victoria MTN, | |||||||||
0.500%, 11/20/25 | AUD | 2,900,000 | 2,145,377 | ||||||
Westpac Banking Corp., | |||||||||
1.150%, 6/03/26 | USD | 5,860,000 | 5,868,517 | ||||||
Westpac Banking Corp. MTN, | |||||||||
(3-mo. Swap + 0.880%), | |||||||||
0.919%, 8/16/24 ‡ | AUD | 2,500,000 | 1,912,281 | ||||||
Westpac Banking Corp. MTN, | |||||||||
(3-mo. Swap + 0.950%), | |||||||||
0.989%, 11/16/23 ‡ | AUD | 1,000,000 | 763,656 | ||||||
Westpac Banking Corp. MTN, | |||||||||
(3-mo. Swap + 1.140%), | |||||||||
1.180%, 4/24/24 ‡ | AUD | 5,500,000 | 4,232,441 | ||||||
Westpac Banking Corp. MTN, | |||||||||
4.125%, 6/04/26 | AUD | 500,000 | 425,357 | ||||||
52,515,715 | |||||||||
Austria — 0.9% | |||||||||
Oesterreichische Kontrollbank | |||||||||
AG GMTN, 0.500%, 2/02/26 @ | USD | 6,400,000 | 6,299,184 | ||||||
Canada — 14.1% | |||||||||
Bank of Montreal MTN, (3-mo. | |||||||||
Swap + 0.990%), | |||||||||
1.015%, 9/07/23 ‡ | AUD | 3,500,000 | 2,666,455 | ||||||
Bank of Nova Scotia (The), | |||||||||
1.750%, 12/23/22 | GBP | 1,000,000 | 1,411,057 | ||||||
Canada Government | |||||||||
International Bond, | |||||||||
0.750%, 5/19/26 @ | USD | 21,600,000 | 21,484,167 | ||||||
Canadian Imperial Bank of | |||||||||
Commerce, | |||||||||
2.300%, 7/11/22 | CAD | 1,000,000 | 822,189 | ||||||
Hydro-Quebec, (CDOR + | |||||||||
0.200%), | |||||||||
0.635%, 4/14/23 ‡ | CAD | 3,000,000 | 2,435,961 | ||||||
Province of Alberta Canada, | |||||||||
2.200%, 6/01/26 | CAD | 10,100,000 | 8,494,250 | ||||||
Province of British | |||||||||
Columbia Canada, | |||||||||
2.300%, 6/18/26 | CAD | 4,000,000 | 3,390,778 | ||||||
Province of Manitoba Canada, | |||||||||
1.500%, 12/15/22 | GBP | 825,000 | 1,159,760 | ||||||
Province of Manitoba Canada, | |||||||||
2.550%, 6/02/26 | CAD | 3,500,000 | 2,990,809 | ||||||
Province of Ontario Canada, | |||||||||
(CDOR + 0.050%), | |||||||||
0.485%, 8/21/23 ‡ | CAD | 3,750,000 | 3,041,112 | ||||||
Province of Ontario Canada, | |||||||||
0.625%, 1/21/26 | USD | 7,000,000 | 6,910,486 | ||||||
Province of Ontario Canada, | |||||||||
1.050%, 4/14/26 | USD | 10,500,000 | 10,542,530 | ||||||
Province of Ontario Canada, | |||||||||
2.400%, 6/02/26 | CAD | 1,000,000 | 848,904 | ||||||
Province of Quebec Canada, | |||||||||
(CDOR + 0.405%), | |||||||||
0.840%, 10/13/24 ‡ | CAD | 12,500,000 | 10,291,697 | ||||||
PSP Capital, Inc., | |||||||||
0.900%, 6/15/26 | CAD | 1,800,000 | 1,425,633 | ||||||
PSP Capital, Inc., | |||||||||
1.000%, 6/29/26 ± | USD | 4,693,000 | 4,697,607 | ||||||
Toronto-Dominion Bank (The), | |||||||||
(3-mo. Swap + 1.000%), | |||||||||
1.040%, 7/10/24 ‡ | AUD | 2,000,000 | 1,526,902 | ||||||
Toronto-Dominion Bank (The), | |||||||||
1.128%, 12/09/25 | CAD | 6,100,000 | 4,834,092 | ||||||
Toronto-Dominion Bank (The), | |||||||||
3.005%, 5/30/23 | CAD | 15,000,000 | 12,611,713 | ||||||
Toronto-Dominion Bank (The) | |||||||||
MTN, 0.750%, 9/11/25 | USD | 500,000 | 495,780 | ||||||
Toronto-Dominion Bank (The) | |||||||||
MTN, 0.750%, 1/06/26 | USD | 1,500,000 | 1,483,204 | ||||||
Toronto-Dominion Bank (The) | |||||||||
MTN, 1.200%, 6/03/26 | USD | 38,000 | 38,092 | ||||||
103,603,178 | |||||||||
Denmark — 0.6% | |||||||||
Kommunekredit, | |||||||||
0.500%, 1/28/26 | USD | 4,625,000 | 4,550,191 |
The accompanying notes are an integral part of these financial statements.
23
SA Global Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
FACE | |||||||||
AMOUNT | VALUE† | ||||||||
BONDS AND NOTES (Continued) | |||||||||
Finland — 0.7% | |||||||||
Kuntarahoitus Oyj, | |||||||||
0.625%, 3/20/26 | USD | 5,200,000 | $ | 5,141,890 | |||||
France — 6.0% | |||||||||
Agence Francaise de | |||||||||
Developpement EPIC, | |||||||||
0.625%, 1/22/26 | USD | 4,400,000 | 4,341,172 | ||||||
Caisse d’Amortissement de la | |||||||||
Dette Sociale, | |||||||||
0.625%, 2/18/26 ± | USD | 880,000 | 869,744 | ||||||
Caisse d’Amortissement de la | |||||||||
Dette Sociale, | |||||||||
0.625%, 2/18/26 @ | USD | 5,000,000 | 4,939,207 | ||||||
Dexia Credit Local SA, | |||||||||
0.250%, 6/02/22 | EUR | 2,350,000 | 2,806,879 | ||||||
Dexia Credit Local SA, | |||||||||
0.625%, 1/21/22 | EUR | 300,000 | 358,035 | ||||||
Dexia Credit Local SA, | |||||||||
0.750%, 1/25/23 | EUR | 1,100,000 | 1,330,035 | ||||||
Dexia Credit Local SA, | |||||||||
1.125%, 6/15/22 | GBP | 4,900,000 | 6,838,570 | ||||||
Dexia Credit Local SA, | |||||||||
1.125%, 4/09/26 ± | USD | 400,000 | 402,816 | ||||||
Dexia Credit Local SA, | |||||||||
1.125%, 4/09/26 | USD | 9,040,000 | 9,103,633 | ||||||
Sanofi, | |||||||||
0.500%, 3/21/23 | EUR | 2,000,000 | 2,403,764 | ||||||
SFIL SA, | |||||||||
0.625%, 2/09/26 | USD | 8,000,000 | 7,881,072 | ||||||
TotalEnergies Capital | |||||||||
International SA, | |||||||||
0.250%, 7/12/23 | EUR | 2,700,000 | 3,240,635 | ||||||
44,515,562 | |||||||||
Germany — 2.8% | |||||||||
Kreditanstalt fuer Wiederaufbau, | |||||||||
0.625%, 1/22/26 | USD | 3,500,000 | 3,471,986 | ||||||
Kreditanstalt fuer Wiederaufbau, | |||||||||
0.750%, 2/19/26 | CAD | 1,600,000 | 1,262,988 | ||||||
Kreditanstalt fuer Wiederaufbau, | |||||||||
1.625%, 4/03/24 | NOK | 19,000,000 | 2,243,431 | ||||||
Landwirtschaftliche Rentenbank, | |||||||||
0.875%, 3/30/26 | USD | 8,500,000 | 8,508,933 | ||||||
Landwirtschaftliche | |||||||||
Rentenbank MTN, | |||||||||
4.250%, 1/09/25 | AUD | 3,780,000 | 3,186,431 | ||||||
Landwirtschaftliche | |||||||||
Rentenbank MTN, | |||||||||
4.750%, 5/06/26 | AUD | 1,100,000 | 971,178 | ||||||
State of North | |||||||||
Rhine-Westphalia Germany, | |||||||||
1.000%, 4/21/26 | USD | 1,000,000 | 1,004,179 | ||||||
20,649,126 | |||||||||
Luxembourg — 2.4% | |||||||||
Nestle Finance International Ltd., | |||||||||
0.750%, 5/16/23 | EUR | 3,000,000 | 3,623,280 | ||||||
Novartis Finance SA, | |||||||||
0.125%, 9/20/23 | EUR | 3,500,000 | 4,195,113 | ||||||
Novartis Finance SA, | |||||||||
0.500%, 8/14/23 | EUR | 8,460,000 | 10,195,119 | ||||||
18,013,512 | |||||||||
Netherlands — 1.9% | |||||||||
BNG Bank NV, | |||||||||
0.875%, 5/18/26 ± | USD | 10,800,000 | 10,783,483 | ||||||
BNG Bank NV, | |||||||||
2.375%, 3/16/26 | USD | 1,000,000 | 1,068,316 | ||||||
Cooperatieve Rabobank UA, | |||||||||
(SOFR + 0.300%), | |||||||||
0.319%, 1/12/24 ‡ | USD | 1,444,000 | 1,448,321 | ||||||
Shell International Finance BV, | |||||||||
2.875%, 5/10/26 | USD | 600,000 | 648,891 | ||||||
13,949,011 | |||||||||
New Zealand — 1.0% | |||||||||
Bank of New Zealand, | |||||||||
1.000%, 3/03/26 ± | USD | 1,604,000 | 1,584,736 | ||||||
New Zealand Government Bond, | |||||||||
0.500%, 5/15/26 | NZD | 8,100,000 | 5,494,674 | ||||||
7,079,410 | |||||||||
Norway — 1.1% | |||||||||
Equinor ASA, | |||||||||
1.750%, 1/22/26 | USD | 1,900,000 | 1,958,419 | ||||||
Kommunalbanken AS, | |||||||||
0.500%, 1/13/26 | USD | 1,000,000 | 984,296 | ||||||
Norway Government Bond, | |||||||||
1.500%, 2/19/26 ± | NOK | 25,000,000 | 2,959,004 | ||||||
Norway Government Bond, | |||||||||
1.750%, 3/13/25 ± | NOK | 19,000,000 | 2,266,908 | ||||||
8,168,627 | |||||||||
Supranational — 11.1% | |||||||||
African Development Bank, | |||||||||
0.875%, 3/23/26 | USD | 12,450,000 | 12,447,540 | ||||||
Asian Development Bank GMTN, | |||||||||
0.500%, 2/04/26 | USD | 2,500,000 | 2,462,586 | ||||||
Asian Development Bank GMTN, | |||||||||
1.000%, 4/14/26 | USD | 17,900,000 | 17,969,323 | ||||||
Asian Development Bank MTN, | |||||||||
0.500%, 5/05/26 | AUD | 1,000,000 | 731,991 | ||||||
Asian Infrastructure Investment | |||||||||
Bank (The), | |||||||||
0.500%, 1/27/26 | USD | 3,979,000 | 3,918,994 | ||||||
European Bank for Reconstruction | |||||||||
& Development GMTN, | |||||||||
0.500%, 1/28/26 @ | USD | 1,353,000 | 1,332,981 | ||||||
European Investment Bank, | |||||||||
0.375%, 3/26/26 @ | USD | 14,975,000 | 14,614,376 | ||||||
European Investment Bank, | |||||||||
(SONIA + 1.000%), | |||||||||
1.050%, 9/08/25 ‡ | GBP | 2,000,000 | 2,866,961 | ||||||
Inter-American Development Bank, | |||||||||
4.400%, 1/26/26 | CAD | 554,000 | 511,355 |
The accompanying notes are an integral part of these financial statements.
24
SA Global Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
FACE | |||||||||
AMOUNT | VALUE† | ||||||||
BONDS AND NOTES (Continued) | |||||||||
Supranational (Continued) | |||||||||
Inter-American Development | |||||||||
Bank GMTN, | |||||||||
0.875%, 4/20/26 @ | USD | 14,700,000 | $ | 14,712,205 | |||||
Inter-American Development | |||||||||
Bank MTN, | |||||||||
2.750%, 10/30/25 | AUD | 300,000 | 242,869 | ||||||
Inter-American Development | |||||||||
Bank MTN, | |||||||||
4.750%, 8/27/24 | AUD | 6,500,000 | 5,512,966 | ||||||
Inter-American Investment Corp., | |||||||||
0.625%, 2/10/26 | USD | 315,000 | 310,338 | ||||||
International Bank for | |||||||||
Reconstruction & Development, | |||||||||
1.750%, 11/06/24 | NOK | 2,000,000 | 237,135 | ||||||
International Bank for | |||||||||
Reconstruction & Development | |||||||||
GMTN, 0.625%, 1/14/26 | CAD | 2,600,000 | 2,048,563 | ||||||
Nordic Investment Bank, | |||||||||
1.500%, 3/13/25 | NOK | 10,000,000 | 1,173,527 | ||||||
Nordic Investment Bank, | |||||||||
1.875%, 4/10/24 | NOK | 4,000,000 | 475,076 | ||||||
81,568,786 | |||||||||
Sweden — 0.3% | |||||||||
Kommuninvest I Sverige AB, | |||||||||
1.000%, 11/13/23 | SEK | 17,370,000 | 2,077,520 | ||||||
Skandinaviska Enskilda Banken AB, | |||||||||
0.850%, 9/02/25 ± | USD | 500,000 | 495,205 | ||||||
2,572,725 | |||||||||
United States — 48.7% | |||||||||
Amazon.com, Inc., | |||||||||
1.000%, 5/12/26 | USD | 7,548,000 | 7,555,891 | ||||||
Apple, Inc., | |||||||||
0.700%, 2/08/26 | USD | 2,575,000 | 2,548,123 | ||||||
Apple, Inc., | |||||||||
3.250%, 2/23/26 | USD | 1,192,000 | 1,309,763 | ||||||
Berkshire Hathaway, Inc., | |||||||||
1.300%, 3/15/24 | EUR | 560,000 | 688,433 | ||||||
Berkshire Hathaway, Inc., | |||||||||
3.125%, 3/15/26 | USD | 1,000,000 | 1,094,227 | ||||||
Cisco Systems, Inc., | |||||||||
2.950%, 2/28/26 | USD | 500,000 | 543,798 | ||||||
Merck & Co., Inc., | |||||||||
0.750%, 2/24/26 | USD | 4,900,000 | 4,876,751 | ||||||
National Securities Clearing Corp., | |||||||||
0.750%, 12/07/25 ± | USD | 3,855,000 | 3,806,935 | ||||||
National Securities Clearing Corp., | |||||||||
0.750%, 12/07/25 | USD | 1,000,000 | 987,532 | ||||||
Nestle Holdings, Inc., | |||||||||
0.625%, 1/15/26 ± | USD | 380,000 | 373,464 | ||||||
Procter & Gamble Co. (The), | |||||||||
1.125%, 11/02/23 | EUR | 2,000,000 | 2,454,562 | ||||||
Roche Holdings, Inc., | |||||||||
0.991%, 3/05/26 ± | USD | 1,300,000 | 1,297,736 | ||||||
Roche Holdings, Inc., | |||||||||
2.625%, 5/15/26 ± | USD | 300,000 | 320,962 | ||||||
U.S. Treasury Note, | |||||||||
0.375%, 12/31/25 | USD | 30,000,000 | 29,448,047 | ||||||
U.S. Treasury Note, | |||||||||
0.375%, 1/31/26 | USD | 45,000,000 | 44,122,851 | ||||||
U.S. Treasury Note, | |||||||||
0.500%, 2/28/26 | USD | 46,500,000 | 45,822,481 | ||||||
U.S. Treasury Note, | |||||||||
0.750%, 3/31/26 | USD | 66,000,000 | 65,744,765 | ||||||
U.S. Treasury Note, | |||||||||
0.750%, 4/30/26 | USD | 21,750,000 | 21,653,145 | ||||||
U.S. Treasury Note, | |||||||||
0.750%, 5/31/26 @ | USD | 44,000,000 | 43,773,125 | ||||||
U.S. Treasury Note, | |||||||||
1.625%, 5/15/26 | USD | 33,000,000 | 34,227,832 | ||||||
U.S. Treasury Note, | |||||||||
2.125%, 5/31/26 | USD | 7,000,000 | 7,428,750 | ||||||
U.S. Treasury Note, | |||||||||
2.250%, 3/31/26 | USD | 28,000,000 | 29,859,375 | ||||||
U.S. Treasury Note, | |||||||||
2.375%, 4/30/26 | USD | 7,000,000 | 7,509,961 | ||||||
Visa, Inc., | |||||||||
3.150%, 12/14/25 | USD | 1,000,000 | 1,095,034 | ||||||
358,543,543 | |||||||||
TOTAL BONDS AND NOTES | |||||||||
(Identified Cost | |||||||||
$720,817,088) | 727,170,460 | ||||||||
SHARES | |||||||||
SHORT-TERM INVESTMENTS — 7.4% | |||||||||
Investment Company — 1.8% | |||||||||
State Street Institutional U.S. | |||||||||
Government Money | |||||||||
Market Fund | |||||||||
0.025% | 13,187,786 | 13,187,786 | |||||||
Collateral For Securities On Loan — 5.6% | |||||||||
State Street Navigator Securities | |||||||||
Lending Government Money | |||||||||
Market Portfolio, | |||||||||
0.020% | 41,360,643 | 41,360,643 | |||||||
TOTAL SHORT-TERM | |||||||||
INVESTMENTS (Identified Cost | |||||||||
$54,548,429) | 54,548,429 | ||||||||
Total Investments — 106.1% | |||||||||
(Identified Cost | |||||||||
$775,365,517) | 781,718,889 | ||||||||
Liabilities, Less Cash and Other | |||||||||
Assets — (6.1%) | (45,080,433 | ) | |||||||
Net Assets — 100.0% | $ | 736,638,456 |
The accompanying notes are an integral part of these financial statements.
25
SA Global Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
† | See Note 1 | ||
‡ | Floating rate or variable rate note. Rate shown is as of June 30, 2021. | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $40,520,535. | ||
± | 144A Securities. Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities have been deemed by the Fund to be liquid and at June 30, 2021 amounted to $29,858,600 or 4.05% of the net assets of the Fund. |
Key to abbreviations:
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
GBP — British Pound
GMTN — Global Medium Term Note
MTN — Medium Term Note
NOK — Norwegian Krone
NZD — New Zealand Dollar
SEK — Swedish Krona
USD — U.S. Dollar
CDOR — Canadian Dollar Offered Rate
LIBOR — London Interbank Offer Rate
SOFR — Secured Overnight Financing Rate
SONIA — Sterling Overnight Index Average
Country Weightings as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
26
SA Global Fixed Income Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
Forward Foreign Currency Exchange Contracts sold outstanding as of June 30, 2021 | |||||||||||||||||||
Settlement | Currency | Currency | Unrealized | Unrealized | |||||||||||||||
Date | Purchased | Sold | Counterparty | Total Value | Appreciation | Depreciation | |||||||||||||
07/12/21 | USD | 51,798,570 | EUR | 43,495,245 | State Street Bank and Trust Co. | $ | 51,585,474 | $ | 213,096 | $ | — | ||||||||
07/13/21 | USD | 5,602,793 | NZD | 7,864,118 | State Street Bank and Trust Co. | 5,496,953 | 105,840 | — | |||||||||||
07/15/21 | USD | 21,767,959 | GBP | 15,454,182 | Morgan Stanley & Co., Inc. | 21,378,620 | 389,339 | — | |||||||||||
07/16/21 | USD | 31,600,667 | EUR | 25,836,044 | State Street Bank and Trust Co. | 30,644,112 | 956,555 | — | |||||||||||
07/21/21 | USD | 35,660,814 | EUR | 29,190,022 | Bank of America N.A. | 34,625,790 | 1,035,024 | — | |||||||||||
07/26/21 | USD | 16,130,128 | GBP | 11,416,572 | State Street Bank and Trust Co. | 15,793,695 | 336,433 | — | |||||||||||
07/26/21 | USD | 3,283,585 | SEK | 27,314,654 | Citibank N.A. London | 3,192,384 | 91,201 | — | |||||||||||
07/29/21 | USD | 92,037,972 | CAD | 111,270,567 | State Street Bank and Trust Co. | 89,761,981 | 2,275,991 | — | |||||||||||
07/29/21 | USD | 3,939,209 | CAD | 4,886,615 | State Street Bank and Trust Co. | 3,942,033 | — | (2,824 | ) | ||||||||||
08/09/21 | USD | 56,503,489 | AUD | 75,192,386 | State Street Bank and Trust Co. | 56,400,766 | 102,723 | — | |||||||||||
08/09/21 | USD | 2,917,487 | AUD | 3,891,004 | State Street Bank and Trust Co. | 2,918,588 | — | (1,101 | ) | ||||||||||
08/13/21 | USD | 9,486,984 | NOK | 80,919,024 | Citibank N.A. London | 9,400,054 | 86,930 | — | |||||||||||
$ | 5,593,132 | $ | (3,925 | ) | |||||||||||||||
Forward Foreign Currency Exchange Contracts purchased outstanding as of June 30, 2021 | |||||||||||||||||||
Settlement | Currency | Currency | Unrealized | Unrealized | |||||||||||||||
Date | Purchased | Sold | Counterparty | Total Value | Appreciation | Depreciation | |||||||||||||
07/12/21 | EUR | 32,896,578 | USD | 39,751,962 | State Street Bank and Trust Co. | $ | 39,015,426 | $ | — | $ | (736,536 | ) | |||||||
07/15/21 | GBP | 952,134 | USD | 1,316,356 | State Street Bank and Trust Co. | 1,317,141 | 785 | — | |||||||||||
07/15/21 | GBP | 8,745,228 | USD | 12,299,831 | State Street Bank and Trust Co. | 12,097,755 | — | (202,076 | ) | ||||||||||
07/16/21 | EUR | 16,555,065 | USD | 20,265,009 | Bank of America N.A. | 19,635,951 | — | (629,058 | ) | ||||||||||
07/16/21 | EUR | 2,878,761 | USD | 3,507,158 | State Street Bank and Trust Co. | 3,414,496 | — | (92,662 | ) | ||||||||||
07/21/21 | EUR | 17,700,978 | USD | 21,286,362 | State Street Bank and Trust Co. | 20,997,254 | — | (289,108 | ) | ||||||||||
07/26/21 | GBP | 8,276,009 | USD | 11,595,215 | State Street Bank and Trust Co. | 11,449,038 | — | (146,177 | ) | ||||||||||
07/26/21 | SEK | 9,429,510 | USD | 1,115,783 | State Street Bank and Trust Co. | 1,102,068 | — | (13,715 | ) | ||||||||||
07/29/21 | CAD | 3,765,487 | USD | 3,051,181 | Bank of America N.A. | 3,037,620 | — | (13,561 | ) | ||||||||||
07/29/21 | CAD | 11,672,183 | USD | 9,591,663 | Citibank N.A. London | 9,415,952 | — | (175,711 | ) | ||||||||||
07/29/21 | CAD | 32,362,520 | USD | 26,433,365 | State Street Bank and Trust Co. | 26,106,848 | — | (326,517 | ) | ||||||||||
$ | 785 | $ | (2,625,121 | ) | |||||||||||||||
Total | $ | 5,593,917 | $ | (2,629,046 | ) |
The accompanying notes are an integral part of these financial statements.
27
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
COMMON STOCKS — 95.8% | |||||||
Aerospace & Defense — 1.7% | |||||||
Axon Enterprise, Inc.* | 500 | $ | 88,400 | ||||
Boeing Co. (The)* | 9,496 | 2,274,862 | |||||
BWX Technologies, Inc. | 2,913 | 169,304 | |||||
Curtiss-Wright Corp. | 847 | 100,590 | |||||
General Dynamics Corp. | 4,790 | 901,765 | |||||
HEICO Corp. | 574 | 80,027 | |||||
HEICO Corp., Class A | 1,141 | 141,689 | |||||
Huntington Ingalls Industries, Inc. | 1,027 | 216,440 | |||||
L3Harris Technologies, Inc. | 2,477 | 535,404 | |||||
Lockheed Martin Corp. | 6,768 | 2,560,673 | |||||
Mercury Systems, Inc.* | 613 | 40,630 | |||||
Northrop Grumman Corp. | 3,844 | 1,397,025 | |||||
Raytheon Technologies Corp. | 23,214 | 1,980,386 | |||||
Teledyne Technologies, Inc.* | 880 | 368,570 | |||||
Textron, Inc. | 4,852 | 333,672 | |||||
TransDigm Group, Inc.* | 1,007 | 651,821 | |||||
11,841,258 | |||||||
Air Freight & Logistics — 0.8% | |||||||
CH Robinson Worldwide, Inc. | 2,800 | 262,276 | |||||
Expeditors International of | |||||||
Washington, Inc. | 3,525 | 446,265 | |||||
FedEx Corp. | 5,009 | 1,494,335 | |||||
United Parcel Service, Inc., Class B | 15,345 | 3,191,300 | |||||
XPO Logistics, Inc.* | 1,934 | 270,547 | |||||
5,664,723 | |||||||
Airlines — 0.2% | |||||||
Alaska Air Group, Inc.* | 3,201 | 193,052 | |||||
American Airlines Group, Inc* | 4,400 | 93,324 | |||||
Delta Air Lines, Inc.* | 4,487 | 194,108 | |||||
JetBlue Airways Corp.* | 3,600 | 60,408 | |||||
Southwest Airlines Co.* | 8,856 | 470,165 | |||||
United Airlines Holdings, Inc.* | 5,620 | 293,870 | |||||
1,304,927 | |||||||
Auto Components — 0.2% | |||||||
Aptiv PLC* | 4,280 | 673,373 | |||||
Autoliv, Inc. | 1,465 | 143,218 | |||||
BorgWarner, Inc. | 3,685 | 178,870 | |||||
Dana, Inc. | 1,400 | 33,264 | |||||
Gentex Corp. | 5,624 | 186,098 | |||||
Lear Corp. | 1,257 | 220,327 | |||||
1,435,150 | |||||||
Automobiles — 1.1% | |||||||
Ford Motor Co.* | 21,768 | 323,473 | |||||
General Motors Co.* | 7,100 | 420,107 | |||||
Tesla, Inc.* | 10,040 | 6,824,188 | |||||
Thor Industries, Inc. | 1,179 | 133,227 | |||||
7,700,995 | |||||||
Beverages — 1.7% | |||||||
Boston Beer Co., Inc. (The), Class A* | 216 | 220,493 | |||||
Brown-Forman Corp., Class A | 1,202 | 84,741 | |||||
Brown-Forman Corp., Class B | 8,000 | 599,520 | |||||
Coca-Cola Co. (The) | 76,728 | 4,151,752 | |||||
Constellation Brands, Inc., Class A | 2,222 | 519,703 | |||||
Keurig Dr Pepper, Inc. | 3,375 | 118,935 | |||||
Molson Coors Brewing Co., Class B* | 1,400 | 75,166 | |||||
Monster Beverage Corp.* | 6,606 | 603,458 | |||||
PepsiCo, Inc. | 32,416 | 4,803,079 | |||||
11,176,847 | |||||||
Biotechnology — 2.0% | |||||||
AbbVie, Inc. | 35,618 | 4,012,012 | |||||
Alexion Pharmaceuticals, Inc.* | 902 | 165,706 | |||||
Alnylam Pharmaceuticals, Inc.* | 1,198 | 203,085 | |||||
Amgen, Inc. | 14,893 | 3,630,169 | |||||
Arena Pharmaceuticals, Inc.* | 1,048 | 71,474 | |||||
Biogen, Inc.* | 4,161 | 1,440,829 | |||||
BioMarin Pharmaceutical, Inc.* | 1,433 | 119,570 | |||||
Exact Sciences Corp.*@ | 1,421 | 176,645 | |||||
Exelixis, Inc.* | 3,578 | 65,191 | |||||
Gilead Sciences, Inc. | 25,935 | 1,785,884 | |||||
Horizon Therapeutics PLC* | 1,910 | 178,852 | |||||
Incyte Corp.* | 656 | 55,189 | |||||
Ionis Pharmaceuticals, Inc.* | 1,498 | 59,755 | |||||
Moderna, Inc.* | 383 | 89,997 | |||||
Neurocrine Biosciences, Inc.* | 608 | 59,171 | |||||
Regeneron Pharmaceuticals, Inc.* | 1,450 | 809,883 | |||||
Sarepta Therapeutics, Inc.* | 770 | 59,860 | |||||
Seagen, Inc.* | 1,165 | 183,930 | |||||
United Therapeutics Corp.* | 835 | 149,807 | |||||
Vertex Pharmaceuticals, Inc.* | 2,363 | 476,452 | |||||
13,793,461 | |||||||
Building Products — 0.6% | |||||||
A.O. Smith Corp. | 3,112 | 224,251 | |||||
Allegion plc | 3,064 | 426,815 | |||||
Armstrong World Industries, Inc. | 1,390 | 149,091 | |||||
Carrier Global Corp. | 12,472 | 606,139 | |||||
Fortune Brands Home & Security, Inc. | 2,930 | 291,857 | |||||
Johnson Controls International plc | 1 | 69 | |||||
Lennox International, Inc. | 835 | 292,918 | |||||
Masco Corp. | 4,882 | 287,599 | |||||
Owens Corning | 2,802 | 274,316 | |||||
Simpson Manufacturing Co., Inc. | 1,080 | 119,275 | |||||
Trane Technologies PLC | 4,386 | 807,638 | |||||
Trex Co., Inc.* | 3,457 | 353,340 | |||||
3,833,308 | |||||||
Capital Markets — 2.6% | |||||||
Affiliated Managers Group, Inc. | 600 | 92,526 | |||||
Ameriprise Financial, Inc. | 2,929 | 728,970 | |||||
Ares Management Corp., Class A | 406 | 25,818 | |||||
Artisan Partners Asset Management, | |||||||
Inc., Class A | 764 | 38,826 | |||||
Bank of New York Mellon Corp. (The) | 797 | 40,830 |
The accompanying notes are an integral part of these financial statements.
28
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Capital Markets (Continued) | |||||||
BlackRock, Inc. | 1,229 | $ | 1,075,338 | ||||
Blackstone Group, Inc. (The) | 6,683 | 649,187 | |||||
CBOE Holdings, Inc. | 2,123 | 252,743 | |||||
Charles Schwab Corp. (The) | 24,192 | 1,761,420 | |||||
CME Group, Inc. | 2,177 | 463,004 | |||||
FactSet Research Systems, Inc. | 1,171 | 392,999 | |||||
Franklin Resources, Inc. | 4,676 | 149,585 | |||||
Goldman Sachs Group, Inc. (The) | 1,169 | 443,671 | |||||
Hamilton Lane, Inc. Class A | 723 | 65,880 | |||||
Houlihan Lokey, Inc. | 1,466 | 119,904 | |||||
Interactive Brokers Group, Inc., | |||||||
Class A | 1,683 | 110,624 | |||||
Intercontinental Exchange, Inc. | 7,466 | 886,214 | |||||
Janus Henderson Group PLC | 1 | 39 | |||||
Jefferies Financial Group, Inc. | 1,620 | 55,404 | |||||
KKR & Co., Inc. | 7,268 | 430,556 | |||||
LPL Financial Holdings, Inc. | 2,331 | 314,638 | |||||
MarketAxess Holdings, Inc. | 900 | 417,231 | |||||
Moody’s Corp. | 4,462 | 1,616,895 | |||||
Morgan Stanley | 23,970 | 2,197,809 | |||||
Morningstar, Inc. | 500 | 128,555 | |||||
MSCI, Inc. | 1,585 | 844,932 | |||||
Nasdaq, Inc. | 1,912 | 336,130 | |||||
Northern Trust Corp. | 3,260 | 376,921 | |||||
Raymond James Financial, Inc. | 2,130 | 276,687 | |||||
S&P Global, Inc. | 5,301 | 2,175,795 | |||||
SEI Investments Co. | 3,132 | 194,090 | |||||
State Street Corp. | 1,628 | 133,952 | |||||
Stifel Financial Corp. | 2,529 | 164,031 | |||||
T. Rowe Price Group, Inc. | 4,878 | 965,698 | |||||
17,926,902 | |||||||
Chemicals — 1.4% | |||||||
Air Products & Chemicals, Inc. | 3,928 | 1,130,007 | |||||
Albemarle Corp. | 956 | 161,048 | |||||
Ashland Global Holdings, Inc. | 970 | 84,875 | |||||
Balchem Corp. | 893 | 117,215 | |||||
Celanese Corp. | 1,968 | 298,349 | |||||
CF Industries Holdings, Inc. | 2,192 | 112,778 | |||||
Corteva, Inc. | 4,128 | 183,077 | |||||
Dow, Inc. | 5,563 | 352,027 | |||||
DuPont de Nemours, Inc. | 1,400 | 108,374 | |||||
Eastman Chemical Co. | 2,800 | 326,900 | |||||
Ecolab, Inc. | 4,800 | 988,656 | |||||
FMC Corp. | 1,483 | 160,461 | |||||
Huntsman Corp. | 4,705 | 124,777 | |||||
International Flavors & | |||||||
Fragrances, Inc. | 2,270 | 339,138 | |||||
Linde PLC | 4,843 | 1,400,111 | |||||
LyondellBasell Industries NV, | |||||||
Class A | 6,211 | 638,925 | |||||
NewMarket Corp. | 200 | 64,396 | |||||
PPG Industries, Inc. | 4,454 | 756,155 | |||||
RPM International, Inc. | 3,184 | 282,357 | |||||
Scotts Miracle-Gro Co. (The) | 1,264 | 242,587 | |||||
Sherwin Williams Co. (The) | 6,715 | 1,829,502 | |||||
Valvoline, Inc. | 2,246 | 72,905 | |||||
9,774,620 | |||||||
Commercial Banks — 2.5% | |||||||
Ameris Bancorp | 700 | 35,441 | |||||
Bank of America Corp. | 75,313 | 3,105,155 | |||||
Bank OZK | 600 | 25,296 | |||||
BankUnited, Inc. | 539 | 23,010 | |||||
BOK Financial Corp. | 300 | 25,980 | |||||
Citigroup, Inc. | 10,651 | 753,558 | |||||
Comerica, Inc. | 242 | 17,264 | |||||
Commerce Bancshares, Inc. | 2,163 | 161,273 | |||||
Community Bank System, Inc. | 932 | 70,506 | |||||
Cullen/Frost Bankers, Inc. | 532 | 59,584 | |||||
East West Bancorp, Inc. | 2,039 | 146,176 | |||||
Fifth Third Bancorp | 7,840 | 299,723 | |||||
First Citizens Bancshares, Inc., | |||||||
Class A | 112 | 93,267 | |||||
First Financial Bankshares, Inc. | 3,094 | 152,008 | |||||
First Horizon Corp. | 1 | 17 | |||||
First Republic Bank | 1,536 | 287,493 | |||||
Huntington Bancshares, Inc. | 7,352 | 104,913 | |||||
JPMorgan Chase & Co. | 46,059 | 7,164,017 | |||||
KeyCorp | 3,204 | 66,163 | |||||
PNC Financial Services | |||||||
Group, Inc. (The) | 2,775 | 529,359 | |||||
Popular, Inc. | 2,182 | 163,759 | |||||
Prosperity Bancshares, Inc. | 1,026 | 73,667 | |||||
Regions Financial Corp. | 4,842 | 97,712 | |||||
Signature Bank | 385 | 94,575 | |||||
SVB Financial Group* | 882 | 490,771 | |||||
Synovus Financial Corp. | 329 | 14,437 | |||||
Truist Financial Corp. | 3,769 | 209,179 | |||||
US Bancorp | 20,010 | 1,139,970 | |||||
Valley National Bancorp | 2 | 27 | |||||
Wells Fargo & Co. | 31,501 | 1,426,680 | |||||
Western Alliance Bancorp | 2,242 | 208,170 | |||||
Zions Bancorp NA | 2,092 | 110,583 | |||||
17,149,733 |
The accompanying notes are an integral part of these financial statements.
29
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Commercial Services & Supplies — 0.6% | |||||||
Brink’s Co. (The) | 300 | $ | 23,052 | ||||
Cintas Corp. | 2,086 | 796,852 | |||||
Clean Harbors, Inc.* | 1,200 | 111,768 | |||||
Copart, Inc.* | 4,707 | 620,524 | |||||
Iaa, Inc.* | 3,052 | 166,456 | |||||
MSA Safety, Inc. | 600 | 99,348 | |||||
Republic Services, Inc. | 4,657 | 512,317 | |||||
Rollins, Inc. | 5,929 | 202,772 | |||||
Stericycle, Inc.* | 1,544 | 110,473 | |||||
Tetra Tech, Inc. | 1,092 | 133,268 | |||||
UniFirst Corp. | 477 | 111,923 | |||||
Waste Management, Inc. | 9,583 | 1,342,674 | |||||
4,231,427 | |||||||
Communications Equipment — 0.7% | |||||||
Arista Networks, Inc.* | 798 | 289,123 | |||||
Ciena Corp.* | 2,569 | 146,150 | |||||
Cisco Systems, Inc. | 64,788 | 3,433,764 | |||||
F5 Networks, Inc.* | 1,022 | 190,767 | |||||
Juniper Networks, Inc. | 4,954 | 135,492 | |||||
Lumentum Holdings, Inc.*@ | 1,528 | 125,342 | |||||
Motorola Solutions, Inc. | 2,888 | 626,263 | |||||
Ubiquiti, Inc. | 275 | 85,852 | |||||
5,032,753 | |||||||
Computers & Peripherals — 7.2% | |||||||
Apple, Inc. | 335,928 | 46,008,699 | |||||
Dell Technologies, Inc., Class C* | 3,966 | 395,291 | |||||
Hewlett Packard Enterprise Co. | 3,473 | 50,636 | |||||
HP, Inc. | 20,589 | 621,582 | |||||
NetApp, Inc. | 6,481 | 530,275 | |||||
Seagate Technology Holdings PLC | 6,304 | 554,311 | |||||
Western Digital Corp.* | 3,176 | 226,036 | |||||
Xerox Holdings Corp. | 1 | 24 | |||||
48,386,854 | |||||||
Construction & Engineering — 0.1% | |||||||
AECOM* | 1,355 | 85,799 | |||||
EMCOR Group, Inc. | 1,400 | 172,466 | |||||
MasTec, Inc.* | 1,700 | 180,370 | |||||
Quanta Services, Inc. | 2,721 | 246,441 | |||||
685,076 | |||||||
Construction & Materials — 0.1% | |||||||
Eagle Materials, Inc. | 880 | 125,057 | |||||
Martin Marietta Materials, Inc. | 664 | 233,602 | |||||
Vulcan Materials Co. | 1,851 | 322,203 | |||||
680,862 | |||||||
Consumer Finance — 0.6% | |||||||
American Express Co. | 12,759 | 2,108,170 | |||||
Capital One Financial Corp. | 4,875 | 754,114 | |||||
Credit Acceptance Corp.*@ | 284 | 128,967 | |||||
Discover Financial Services | 6,077 | 718,848 | |||||
PROG Holdings, Inc. | 1,150 | 55,349 | |||||
Synchrony Financial | 1 | 49 | |||||
3,765,497 | |||||||
Containers & Packaging — 0.5% | |||||||
Amcor PLC | 12,061 | 138,219 | |||||
AptarGroup, Inc. | 1,483 | 208,866 | |||||
Avery Dennison Corp. | 2,232 | 469,255 | |||||
Ball Corp. | 6,941 | 562,360 | |||||
Berry Plastics Group, Inc.* | 3,918 | 255,532 | |||||
Crown Holdings, Inc. | 3,693 | 377,461 | |||||
Graphic Packaging Holding Co. | 6,877 | 124,749 | |||||
International Paper Co. | 6,725 | 412,310 | |||||
Packaging Corp. of America | 2,228 | 301,716 | |||||
Sealed Air Corp. | 3,059 | 181,246 | |||||
Silgan Holdings, Inc. | 2,057 | 85,365 | |||||
Sonoco Products Co. | 1,933 | 129,318 | |||||
3,246,397 | |||||||
Distributors — 0.2% | |||||||
Genuine Parts Co. | 2,179 | 275,578 | |||||
LKQ Corp.* | 5,800 | 285,476 | |||||
Pool Corp. | 1,226 | 562,317 | |||||
1,123,371 | |||||||
Diversified Consumer Services — 0.1% | |||||||
Bright Horizons Family | |||||||
Solutions, Inc.* | 901 | 132,546 | |||||
Chegg, Inc.*@ | 1,910 | 158,740 | |||||
Grand Canyon Education, Inc.* | 834 | 75,035 | |||||
Service Corp. International | 4,767 | 255,464 | |||||
Terminix Global Holdings, Inc.* | 3,309 | 157,872 | |||||
779,657 | |||||||
Diversified Financial Services — 0.8% | |||||||
Berkshire Hathaway, Inc., Class B* | 18,534 | 5,150,969 | |||||
Equitable Holdings, Inc. | 5,987 | 182,304 | |||||
Voya Financial, Inc. | 489 | 30,074 | |||||
5,363,347 | |||||||
Diversified Telecommunication Services — 1.1% | |||||||
AT&T, Inc. | 59,812 | 1,721,389 | |||||
Iridium Communications, Inc.* | 3,043 | 121,690 | |||||
Lumen Technologies, Inc. | 4,063 | 55,216 | |||||
Verizon Communications, Inc. | 99,340 | 5,566,020 | |||||
7,464,315 |
The accompanying notes are an integral part of these financial statements.
30
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Electric Utilities — 1.5% | |||||||
Alliant Energy Corp. | 4,621 | $ | 257,667 | ||||
American Electric Power Co., Inc. | 9,384 | 793,793 | |||||
Avangrid, Inc.@ | 1,433 | 73,699 | |||||
Duke Energy Corp. | 13,908 | 1,372,998 | |||||
Edison International | 6,635 | 383,636 | |||||
Entergy Corp. | 2,247 | 224,026 | |||||
Evergy, Inc. | 3,652 | 220,690 | |||||
Eversource Energy | 6,457 | 518,110 | |||||
Exelon Corp. | 16,734 | 741,483 | |||||
FirstEnergy Corp. | 5,602 | 208,450 | |||||
Hawaiian Electric Industries, Inc. | 2,245 | 94,919 | |||||
IDACORP, Inc. | 647 | 63,082 | |||||
NextEra Energy, Inc. | 38,077 | 2,790,283 | |||||
NRG Energy, Inc. | 6,256 | 252,117 | |||||
OGE Energy Corp. | 3,314 | 111,516 | |||||
Pinnacle West Capital Corp. | 1,978 | 162,137 | |||||
PNM Resources, Inc. | 2,100 | 102,417 | |||||
Portland General Electric Co. | 1,411 | 65,019 | |||||
PPL Corp. | 9,200 | 257,324 | |||||
Southern Co. (The) | 19,320 | 1,169,053 | |||||
Xcel Energy, Inc. | 9,222 | 607,545 | |||||
10,469,964 | |||||||
Electrical Equipment — 0.7% | |||||||
Acuity Brands, Inc. | 1,000 | 187,030 | |||||
AMETEK, Inc. | 3,933 | 525,056 | |||||
Eaton Corp. PLC | 7,313 | 1,083,640 | |||||
Emerson Electric Co. | 9,630 | 926,791 | |||||
EnerSys | 700 | 68,411 | |||||
Generac Holdings, Inc.* | 1,028 | 426,774 | |||||
Hubbell, Inc. | 1,149 | 214,679 | |||||
nVent Electric PLC | 554 | 17,307 | |||||
Plug Power, Inc.*@ | 670 | 22,907 | |||||
Regal Beloit Corp. | 967 | 129,104 | |||||
Rockwell Automation, Inc. | 3,401 | 972,754 | |||||
Sensata Technologies Holding PLC* | 2,621 | 151,940 | |||||
4,726,393 | |||||||
Electronic Equipment, Instruments & Components — 0.7% | |||||||
Amphenol Corp., Class A | 12,045 | 823,998 | |||||
Arrow Electronics, Inc.* | 830 | 94,479 | |||||
Avnet, Inc. | 944 | 37,835 | |||||
CDW Corp. | 3,882 | 677,991 | |||||
Cognex Corp. | 1,711 | 143,810 | |||||
Corning, Inc. | 8,949 | 366,014 | |||||
Flex Ltd.* | 1,194 | 21,337 | |||||
IPG Photonics Corp.* | 471 | 99,273 | |||||
Jabil, Inc. | 3,689 | 214,405 | |||||
Keysight Technologies, Inc.* | 3,226 | 498,127 | |||||
Littelfuse, Inc. | 380 | 96,820 | |||||
National Instruments Corp. | 483 | 20,421 | |||||
Novanta, Inc.* | 661 | 89,076 | |||||
SYNNEX Corp. | 1,139 | 138,685 | |||||
TE Connectivity Ltd. | 3,575 | 483,376 | |||||
Trimble, Inc.* | 1,453 | 118,899 | |||||
Vontier Corp. | 2,010 | 65,486 | |||||
Zebra Technologies Corp., Class A* | 919 | 486,601 | |||||
4,476,633 | |||||||
Energy Equipment & Services — 0.0% | |||||||
Baker Hughes Co. | 1,816 | 41,532 | |||||
ChampionX Corp.* | 1,200 | 30,780 | |||||
NOV, Inc.* | 360 | 5,515 | |||||
Schlumberger Ltd. | 1,707 | 54,641 | |||||
132,468 | |||||||
Entertainment — 1.4% | |||||||
Activision Blizzard, Inc. | 9,560 | 912,406 | |||||
Electronic Arts, Inc. | 4,594 | 660,755 | |||||
Liberty Media Corp-Liberty Formula One, Class A* | 315 | 13,428 | |||||
Liberty Media Corp-Liberty Formula One, Class C* | 495 | 23,864 | |||||
Live Nation Entertainment, Inc.* | 1,625 | 142,334 | |||||
Netflix, Inc.* | 6,408 | 3,384,770 | |||||
Roku, Inc.* | 202 | 92,768 | |||||
Spotify Technology SA* | 457 | 125,945 | |||||
Take-Two Interactive Software, Inc.* | 1,964 | 347,667 | |||||
Walt Disney Co. (The)* | 20,282 | 3,564,967 | |||||
Zynga, Inc., Class A* | 10,858 | 115,421 | |||||
9,384,325 | |||||||
Food & Staples Retailing — 1.4% | |||||||
BJ’s Wholesale Club Holdings, Inc.* | 2,341 | 111,385 | |||||
Casey’s General Stores, Inc. | 986 | 191,915 | |||||
Costco Wholesale Corp. | 8,735 | 3,456,177 | |||||
Kroger Co. (The) | 17,571 | 673,145 | |||||
Sysco Corp. | 11,546 | 897,702 | |||||
Walgreens Boots Alliance, Inc. | 7,503 | 394,733 | |||||
Walmart, Inc. | 25,996 | 3,665,956 | |||||
9,391,013 | |||||||
Food Products — 0.8% | |||||||
Archer-Daniels-Midland Co. | 1,142 | 69,205 | |||||
Campbell Soup Co. | 4,243 | 193,438 | |||||
Conagra Brands, Inc. | 1 | 36 |
The accompanying notes are an integral part of these financial statements.
31
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Food & Products (Continued) | |||||||
Darling Ingredients, Inc.* | 4,810 | $ | 324,675 | ||||
Flowers Foods, Inc. | 3,652 | 88,378 | |||||
General Mills, Inc. | 12,261 | 747,063 | |||||
Hain Celestial Group, Inc. (The)* | 1,080 | 43,330 | |||||
Hershey Co. (The) | 2,983 | 519,579 | |||||
Hormel Foods Corp.@ | 5,226 | 249,542 | |||||
Ingredion, Inc. | 1,590 | 143,895 | |||||
J.M. Smucker Co. (The) | 1,655 | 214,438 | |||||
Kellogg Co. | 5,495 | 353,493 | |||||
Kraft Heinz Co. (The) | 1,166 | 47,550 | |||||
Lamb Weston Holdings, Inc. | 4,603 | 371,278 | |||||
Lancaster Colony Corp. | 522 | 101,012 | |||||
McCormick & Co., Inc. | 4,400 | 388,608 | |||||
Mondelez International, Inc., Class A | 16,383 | 1,022,955 | |||||
Pilgrim’s Pride Corp.* | 1,700 | 37,706 | |||||
Post Holdings, Inc.* | 1,501 | 162,813 | |||||
Tyson Foods, Inc., Class A | 5,064 | 373,521 | |||||
5,452,515 | |||||||
Gas Utilities — 0.1% | |||||||
Atmos Energy Corp. | 2,360 | 226,820 | |||||
National Fuel Gas Co. | 1,600 | 83,600 | |||||
ONE Gas, Inc. | 953 | 70,636 | |||||
Southwest Gas Holdings, Inc. | 1,343 | 88,893 | |||||
Spire, Inc. | 963 | 69,596 | |||||
UGI Corp. | 2,799 | 129,622 | |||||
669,167 | |||||||
Health Care Equipment & Supplies — 2.5% | |||||||
Abbott Laboratories | 21,703 | 2,516,029 | |||||
ABIOMED, Inc.* | 764 | 238,452 | |||||
Align Technology, Inc.* | 912 | 557,232 | |||||
Baxter International, Inc. | 8,822 | 710,171 | |||||
Becton Dickinson & Co. | 2,950 | 717,410 | |||||
Boston Scientific Corp.* | 14,697 | 628,444 | |||||
Cooper Cos., Inc. (The) | 824 | 326,526 | |||||
Danaher Corp. | 6,260 | 1,679,934 | |||||
DENTSPLY SIRONA, Inc. | 637 | 40,297 | |||||
DexCom, Inc.* | 783 | 334,341 | |||||
Edwards Lifesciences Corp.* | 9,300 | 963,201 | |||||
Envista Holdings Corp.* | 2,222 | 96,013 | |||||
Globus Medical, Inc., Class A * | 1,500 | 116,295 | |||||
Hill-Rom Holdings, Inc. | 1,395 | 158,458 | |||||
Hologic, Inc.* | 4,904 | 327,195 | |||||
ICU Medical, Inc.* | 98 | 20,168 | |||||
Idexx Laboratories, Inc.* | 2,400 | 1,515,720 | |||||
Insulet Corp.* | 521 | 143,020 | |||||
Integra LifeSciences Holdings Corp.* | 1,168 | 79,704 | |||||
Intuitive Surgical, Inc.* | 919 | 845,149 | |||||
Masimo Corp.* | 787 | 190,808 | |||||
Medtronic PLC | 13,235 | 1,642,861 | |||||
Neogen Corp.* | 444 | 20,442 | |||||
Penumbra, Inc.* | 389 | 106,609 | |||||
ResMed, Inc. | 2,770 | 682,860 | |||||
STERIS PLC | 1,118 | 230,643 | |||||
Stryker Corp. | 4,861 | 1,262,548 | |||||
Teleflex, Inc. | 364 | 146,252 | |||||
West Pharmaceutical Services, Inc. | 1,211 | 434,870 | |||||
Zimmer Biomet Holdings, Inc. | 986 | 158,568 | |||||
16,890,220 | |||||||
Health Care Providers & Services — 2.6% | |||||||
Acadia Healthcare Co., Inc.* | 400 | 25,100 | |||||
Amedisys, Inc.* | 578 | 141,570 | |||||
AmerisourceBergen Corp. | 2,652 | 303,627 | |||||
Anthem, Inc. | 4,177 | 1,594,779 | |||||
Cardinal Health, Inc. | 5,853 | 334,148 | |||||
Centene Corp.* | 6,123 | 446,550 | |||||
Chemed Corp. | 339 | 160,856 | |||||
CIGNA Corp. | 6,459 | 1,531,235 | |||||
CVS Health Corp. | 5,622 | 469,100 | |||||
DaVita, Inc.* | 2,100 | 252,903 | |||||
Encompass Health Corp. | 2,141 | 167,062 | |||||
Guardant Health, Inc.* | 673 | 83,580 | |||||
HCA Healthcare, Inc. | 5,115 | 1,057,475 | |||||
Henry Schein, Inc.* | 3,048 | 226,131 | |||||
Humana, Inc. | 3,060 | 1,354,723 | |||||
Laboratory Corp. of America Holdings* | 1,510 | 416,534 | |||||
LHC Group, Inc.* | 573 | 114,749 | |||||
McKesson Corp. | 3,242 | 620,000 | |||||
Molina Healthcare, Inc.* | 1,058 | 267,737 | |||||
Quest Diagnostics, Inc. | 2,132 | 281,360 | |||||
R1 RCM, Inc.* | 1,861 | 41,389 | |||||
UnitedHealth Group, Inc. | 18,336 | 7,342,468 | |||||
Universal Health Services, Inc., Class B | 2,001 | 293,006 | |||||
17,526,082 | |||||||
Health Care Technology — 0.2% | |||||||
Cerner Corp. | 5,716 | 446,763 | |||||
Change Healthcare, Inc.* | 7,084 | 163,215 | |||||
Omnicell, Inc.* | 700 | 106,015 | |||||
Teladoc Health, Inc.* | 659 | 109,585 | |||||
Veeva Systems, Inc., Class A * | 1,900 | 590,805 | |||||
1,416,383 |
The accompanying notes are an integral part of these financial statements.
32
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Hotels, Restaurants & Leisure — 1.9% | |||||||
Booking Holdings, Inc.* | 746 | $ | 1,632,315 | ||||
Carnival Corp.* | 2,450 | 64,582 | |||||
Chipotle Mexican Grill, Inc.* | 366 | 567,424 | |||||
Choice Hotels International, Inc. | 1,000 | 118,860 | |||||
Churchill Downs, Inc. | 450 | 89,217 | |||||
Cracker Barrel Old Country Store, Inc. | 337 | 50,031 | |||||
Darden Restaurants, Inc. | 2,002 | 292,272 | |||||
Domino’s Pizza, Inc. | 810 | 377,857 | |||||
Expedia Group, Inc.* | 1,275 | 208,730 | |||||
Hilton Worldwide Holdings, Inc.* | 3,953 | 476,811 | |||||
Hyatt Hotels Corp., Class A* | 300 | 23,292 | |||||
Las Vegas Sands Corp.* | 3,185 | 167,818 | |||||
Marriott International, Inc., Class A* | 5,846 | 798,096 | |||||
Marriott Vacations Worldwide Corp.* | 750 | 119,475 | |||||
McDonald’s Corp. | 12,813 | 2,959,675 | |||||
MGM Resorts International | 7,904 | 337,106 | |||||
Penn National Gaming, Inc.* | 462 | 35,338 | |||||
Planet Fitness, Inc. Class A* | 1,743 | 131,161 | |||||
Royal Caribbean Cruises Ltd.* | 3,090 | 263,515 | |||||
Starbucks Corp. | 21,520 | 2,406,151 | |||||
Texas Roadhouse, Inc. | 1,257 | 120,923 | |||||
Vail Resorts, Inc.* | 780 | 246,886 | |||||
Wendy’s Co. (The) | 5,687 | 133,190 | |||||
Wingstop, Inc. | 489 | 77,081 | |||||
Wyndham Hotels & Resorts, Inc. | 1,765 | 127,592 | |||||
Wynn Resorts Ltd.* | 998 | 122,055 | |||||
Yum! Brands, Inc. | 5,539 | 637,151 | |||||
12,584,604 | |||||||
Household Durables — 0.4% | |||||||
DR Horton, Inc. | 5,753 | 519,899 | |||||
Garmin Ltd. | 2,389 | 345,545 | |||||
Helen of Troy Ltd.* | 496 | 113,148 | |||||
Leggett & Platt, Inc. | 3,378 | 175,014 | |||||
Lennar Corp., B Shares | 72 | 5,864 | |||||
Lennar Corp., Class A | 3,122 | 310,171 | |||||
Meritage Homes Corp.* | 900 | 84,672 | |||||
Mohawk Industries, Inc.* | 600 | 115,314 | |||||
Newell Brands, Inc. | 1,165 | 32,003 | |||||
NVR, Inc.* | 68 | 338,184 | |||||
PulteGroup, Inc. | 5,849 | 319,180 | |||||
Tempur Sealy International, Inc. | 3,440 | 134,814 | |||||
Toll Brothers, Inc. | 1,650 | 95,386 | |||||
TopBuild Corp.* | 500 | 98,890 | |||||
Whirlpool Corp. | 1,555 | 339,021 | |||||
3,027,105 | |||||||
Household Products — 1.4% | |||||||
Church & Dwight Co., Inc. | 5,160 | 439,735 | |||||
Clorox Co. (The) | 3,195 | 574,812 | |||||
Colgate-Palmolive Co. | 14,176 | 1,153,218 | |||||
Kimberly-Clark Corp. | 5,790 | 774,586 | |||||
Procter & Gamble Co. (The) | 48,462 | 6,538,978 | |||||
9,481,329 | |||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||
AES Corp. (The) | 11,000 | 286,770 | |||||
Clearway Energy, Inc., Class C | 2,400 | 63,552 | |||||
Ormat Technologies, Inc. | 741 | 51,522 | |||||
Vistra Corp. | 3,161 | 58,636 | |||||
460,480 | |||||||
Industrial Conglomerates — 1.1% | |||||||
3M Co. | 14,194 | 2,819,354 | |||||
Carlisle Cos., Inc. | 1,113 | 213,006 | |||||
General Electric Co. | 36,900 | 496,674 | |||||
Honeywell International, Inc. | 12,821 | 2,812,286 | |||||
Roper Technologies, Inc. | 1,844 | 867,049 | |||||
7,208,369 | |||||||
Insurance — 1.4% | |||||||
Aflac, Inc. | 7,771 | 416,992 | |||||
Alleghany Corp.* | 167 | 111,401 | |||||
Allstate Corp. (The) | 2,511 | 327,535 | |||||
American International Group, Inc. | 2,400 | 114,240 | |||||
Aon PLC, Class A | 5,786 | 1,381,465 | |||||
Arch Capital Group Ltd.* | 993 | 38,667 | |||||
Arthur J. Gallagher & Co. | 3,023 | 423,462 | |||||
Assurant, Inc. | 1,143 | 178,514 | |||||
Axis Capital Holdings Ltd. | 1,300 | 63,713 | |||||
Brighthouse Financial, Inc.* | 1,077 | 49,047 | |||||
Brown & Brown, Inc. | 4,399 | 233,763 | |||||
Chubb Ltd. | 1,225 | 194,701 | |||||
Cincinnati Financial Corp. | 714 | 83,267 | |||||
CNO Financial Group, Inc. | 5,300 | 125,186 | |||||
Enstar Group Ltd.* | 300 | 71,676 | |||||
Erie Indemnity Co., Class A | 545 | 105,376 | |||||
Everest Re Group Ltd. | 50 | 12,601 | |||||
Fidelity National Financial, Inc. | 5,659 | 245,940 | |||||
First American Financial Corp. | 2,790 | 173,956 | |||||
Globe Life, Inc. | 641 | 61,055 | |||||
Hanover Insurance Group, Inc. (The) | 696 | 94,405 | |||||
Hartford Financial Services Group, Inc. (The) | 1,936 | 119,974 | |||||
Kemper Corp. | 1,200 | 88,680 | |||||
Kinsale Capital Group, Inc. | 257 | 42,346 | |||||
Lincoln National Corp. | 1,001 | 62,903 |
The accompanying notes are an integral part of these financial statements.
33
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Insurance (Continued) | |||||||
Loews Corp. | 572 | $ | 31,260 | ||||
Markel Corp.* | 100 | 118,671 | |||||
Marsh & McLennan Cos., Inc. | 9,000 | 1,266,120 | |||||
MBIA, Inc.* | 3,900 | 42,900 | |||||
MetLife, Inc. | 318 | 19,032 | |||||
Old Republic International Corp. | 2,863 | 71,317 | |||||
Primerica, Inc. | 1,066 | 163,247 | |||||
Principal Financial Group, Inc. | 3,893 | 245,999 | |||||
Progressive Corp. (The) | 11,708 | 1,149,843 | |||||
Prudential Financial, Inc. | 1,100 | 112,717 | |||||
Reinsurance Group of America, Inc. | 777 | 88,578 | |||||
RenaissanceRe Holdings Ltd. | 783 | 116,526 | |||||
RLI Corp. | 700 | 73,213 | |||||
Selective Insurance Group, Inc. | 829 | 67,273 | |||||
Travelers Companies, Inc. (The) | 5,274 | 789,571 | |||||
Unum Group | 1,700 | 48,280 | |||||
W. R. Berkley Corp. | 1,770 | 131,741 | |||||
Willis Towers Watson PLC | 1,216 | 279,704 | |||||
9,636,857 | |||||||
Interactive Media & Services — 5.5% | |||||||
Alphabet, Inc., Class A* | 4,321 | 10,550,975 | |||||
Alphabet, Inc., Class C* | 4,424 | 11,087,960 | |||||
Facebook, Inc., Class A* | 40,998 | 14,255,414 | |||||
IAC/InterActiveCorp* | 489 | 75,389 | |||||
Match Group, Inc.* | 3,467 | 559,054 | |||||
Snap, Inc., Class A* | 3,870 | 263,702 | |||||
Twitter, Inc.* | 2,730 | 187,851 | |||||
Vimeo, Inc.* | 793 | 38,857 | |||||
Zillow Group, Inc., Class A* | 436 | 53,423 | |||||
Zillow Group, Inc., Class C*@ | 1,159 | 141,653 | |||||
37,214,278 | |||||||
Internet & Catalog Retail — 5.4% | |||||||
Amazon.com, Inc.* | 9,954 | 34,243,353 | |||||
eBay, Inc. | 19,478 | 1,367,550 | |||||
Etsy, Inc.* | 2,466 | 507,601 | |||||
Just Eat Takeaway.com NV, ADR*@ | 2,684 | 49,010 | |||||
Qurate Retail, Inc., Series A | 3,600 | 47,124 | |||||
Wayfair, Inc., Class A*@ | 542 | 171,115 | |||||
36,385,753 | |||||||
IT Services — 6.0% | |||||||
Accenture PLC, Class A | 13,880 | 4,091,685 | |||||
Akamai Technologies, Inc.* | 2,286 | 266,548 | |||||
Amdocs Ltd. | 2,698 | 208,717 | |||||
Automatic Data Processing, Inc. | 10,297 | 2,045,190 | |||||
Broadridge Financial Solutions, Inc. | 3,283 | 530,303 | |||||
Cognizant Technology Solutions Corp., Class A | 11,445 | 792,681 | |||||
Concentrix Corp.* | 1,139 | 183,151 | |||||
DXC Technology Co.* | 700 | 27,258 | |||||
EPAM Systems, Inc.* | 781 | 399,060 | |||||
Euronet Worldwide, Inc.* | 911 | 123,304 | |||||
Fidelity National Information Services, Inc. | 6,251 | 885,579 | |||||
Fiserv, Inc.* | 5,669 | 605,959 | |||||
FleetCor Technologies, Inc.* | 1,630 | 417,378 | |||||
Gartner, Inc.* | 1,555 | 376,621 | |||||
Genpact Ltd. | 3,792 | 172,271 | |||||
Global Payments, Inc. | 3,120 | 585,125 | |||||
Globant SA* | 394 | 86,357 | |||||
GoDaddy, Inc., Class A* | 2,437 | 211,922 | |||||
International Business Machines Corp. | 18,679 | 2,738,155 | |||||
Jack Henry & Associates, Inc. | 1,300 | 212,563 | |||||
MasterCard, Inc., Class A | 24,512 | 8,949,086 | |||||
Maximus, Inc. | 1,704 | 149,901 | |||||
MongoDB, Inc.*@ | 284 | 102,672 | |||||
Okta, Inc.* | 1,243 | 304,137 | |||||
Paychex, Inc. | 6,767 | 726,099 | |||||
PayPal Holdings, Inc.* | 15,005 | 4,373,657 | |||||
Square, Inc., Class A* | 3,728 | 908,886 | |||||
Twilio, Inc., Class A* | 1,065 | 419,780 | |||||
VeriSign, Inc.* | 1,900 | 432,611 | |||||
Visa, Inc., Class A | 39,160 | 9,156,391 | |||||
Western Union Co. (The) | 5,565 | 127,828 | |||||
WEX, Inc.* | 663 | 128,556 | |||||
40,739,431 | |||||||
Leisure Equipment & Products — 0.1% | |||||||
Brunswick Corp. | 1,810 | 180,312 | |||||
Hasbro, Inc. | 2,087 | 197,263 | |||||
Polaris, Inc. | 1,034 | 141,617 | |||||
YETI Holdings, Inc. * | 743 | 68,222 | |||||
587,414 | |||||||
Life Sciences Tools & Services — 1.2% | |||||||
Agilent Technologies, Inc. | 4,258 | 629,375 | |||||
Bio-Rad Laboratories, Inc., Class A* | 290 | 186,844 | |||||
Bio-Techne Corp. | 473 | 212,973 | |||||
Bruker Corp. | 2,044 | 155,303 | |||||
Charles River Laboratories International, Inc.* | 963 | 356,233 | |||||
Illumina, Inc.* | 2,161 | 1,022,607 | |||||
IQVIA Holdings, Inc.* | 2,629 | 637,059 | |||||
Medpace Holdings, Inc.* | 500 | 88,315 |
The accompanying notes are an integral part of these financial statements.
34
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Life Sciences Tools & Services (Continued) | |||||||
Mettler-Toledo International, Inc.* | 659 | $ | 912,939 | ||||
PerkinElmer, Inc. | 1,576 | 243,350 | |||||
PRA Health Sciences, Inc.* | 1,053 | 173,966 | |||||
Syneos Health, Inc.* | 927 | 82,957 | |||||
Thermo Fisher Scientific, Inc. | 5,819 | 2,935,511 | |||||
Waters Corp.* | 1,204 | 416,115 | |||||
8,053,547 | |||||||
Machinery — 2.3% | |||||||
AGCO Corp. | 1,297 | 169,103 | |||||
Allison Transmission Holdings, Inc. | 3,084 | 122,558 | |||||
Caterpillar, Inc. | 12,969 | 2,822,443 | |||||
Crane Co. | 1,115 | 102,993 | |||||
Cummins, Inc. | 2,875 | 700,954 | |||||
Deere & Co. | 7,430 | 2,620,635 | |||||
Donaldson Co., Inc. | 3,404 | 216,256 | |||||
Dover Corp. | 2,615 | 393,819 | |||||
Flowserve Corp. | 1,775 | 71,568 | |||||
Fortive Corp. | 5,025 | 350,444 | |||||
Graco, Inc. | 3,370 | 255,109 | |||||
IDEX Corp. | 1,322 | 290,906 | |||||
Illinois Tool Works, Inc. | 8,306 | 1,856,889 | |||||
Ingersoll Rand, Inc.* | 3,972 | 193,873 | |||||
ITT, Inc. | 2,281 | 208,917 | |||||
John Bean Technologies Corp. | 692 | 98,693 | |||||
Lincoln Electric Holdings, Inc. | 1,491 | 196,380 | |||||
Middleby Corp.* | 1,300 | 225,238 | |||||
Nordson Corp. | 1,155 | 253,534 | |||||
Oshkosh Corp. | 1,700 | 211,888 | |||||
Otis Worldwide Corp. | 6,236 | 509,918 | |||||
PACCAR, Inc. | 7,238 | 645,992 | |||||
Parker-Hannifin Corp. | 2,736 | 840,253 | |||||
Pentair PLC | 554 | 37,389 | |||||
RBC Bearings, Inc.* | 421 | 83,956 | |||||
Rexnord Corp. | 1,200 | 60,048 | |||||
Snap-On, Inc. | 1,143 | 255,380 | |||||
Stanley Black & Decker, Inc. | 2,408 | 493,616 | |||||
Timken Co., (The) | 1,644 | 132,490 | |||||
Toro Co. (The) | 2,683 | 294,808 | |||||
Watts Water Technologies, Inc., Class A | 400 | 58,364 | |||||
Westinghouse Air Brake Technologies Corp. | 1,144 | 94,151 | |||||
Woodward, Inc. | 1,254 | 154,092 | |||||
Xylem, Inc. | 2,724 | 326,771 | |||||
15,349,428 | |||||||
Marine — 0.0% | |||||||
Kirby Corp.* | 749 | 45,419 | |||||
Media — 1.4% | |||||||
Altice USA, Inc., Class A* | 4,348 | 148,441 | |||||
Cable One, Inc. | 101 | 193,194 | |||||
Charter Communications, Inc., Class A* | 2,672 | 1,927,714 | |||||
Comcast Corp., Class A | 88,426 | 5,042,050 | |||||
Discovery, Inc., Class A*@ | 3,611 | 110,785 | |||||
Discovery, Inc., Class C* | 4,579 | 132,699 | |||||
DISH Network Corp., Class A* | 3,186 | 133,175 | |||||
Fox Corp. Class A | 1,655 | 61,450 | |||||
Interpublic Group of Cos., Inc. (The) | 6,061 | 196,922 | |||||
Liberty Broadband Corp., Class A* | 315 | 52,974 | |||||
Liberty Broadband Corp., Class C* | 2,045 | 355,135 | |||||
Liberty Media Corp-Liberty Siriusxm, Class A* | 1,263 | 58,831 | |||||
Liberty Media Corp-Liberty Siriusxm, Class C* | 1,178 | 54,647 | |||||
New York Times Co. (The), Class A | 1,641 | 71,466 | |||||
News Corp., Class A | 1,498 | 38,603 | |||||
News Corp., Class B | 1,525 | 37,134 | |||||
Nexstar Media Group, Inc. Class A | 900 | 133,092 | |||||
Omnicom Group, Inc. | 4,831 | 386,432 | |||||
Sirius XM Holdings, Inc.@ | 15,954 | 104,339 | |||||
ViacomCBS, Inc. Class A@ | 1,116 | 54,070 | |||||
ViacomCBS, Inc. Class B | 2,324 | 105,045 | |||||
9,398,198 | |||||||
Metals & Mining — 0.3% | |||||||
Freeport-McMoRan, Inc. | 4,001 | 148,477 | |||||
Newmont Corp. | 7,738 | 490,434 | |||||
Nucor Corp. | 5,263 | 504,880 | |||||
Reliance Steel & Aluminum Co. | 1,403 | 211,713 | |||||
Royal Gold, Inc. | 1,115 | 127,222 | |||||
Southern Copper Corp. | 1,769 | 113,782 | |||||
Steel Dynamics, Inc. | 2,387 | 142,265 | |||||
1,738,773 | |||||||
Multi-Utilities — 0.7% | |||||||
Ameren Corp. | 3,328 | 266,373 | |||||
Black Hills Corp. | 1,300 | 85,319 | |||||
Centerpoint Energy, Inc. | 6,700 | 164,284 | |||||
CMS Energy Corp. | 5,860 | 346,209 | |||||
Consolidated Edison, Inc. | 6,130 | 439,644 | |||||
Dominion Energy, Inc. | 15,228 | 1,120,324 | |||||
DTE Energy Co. | 3,247 | 420,811 | |||||
MDU Resources Group, Inc. | 3,960 | 124,106 | |||||
NiSource, Inc. | 5,791 | 141,879 |
The accompanying notes are an integral part of these financial statements.
35
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Multi-Utilities (Continued) | |||||||
Public Service Enterprise Group, Inc. | 9,258 | $ | 553,073 | ||||
Sempra Energy | 2,843 | 376,641 | |||||
WEC Energy Group, Inc. | 5,648 | 502,390 | |||||
4,541,053 | |||||||
Multiline Retail — 0.7% | |||||||
Dollar General Corp. | 5,731 | 1,240,131 | |||||
Dollar Tree, Inc.* | 2,071 | 206,065 | |||||
Ollie’s Bargain Outlet | |||||||
Holdings, Inc.-*@ | 742 | 62,424 | |||||
Target Corp. | 13,538 | 3,272,676 | |||||
4,781,296 | |||||||
Oil, Gas & Consumable Fuels — 1.0% | |||||||
Cheniere Energy, Inc.* | 4,204 | 364,655 | |||||
Chevron Corp. | 14,858 | 1,556,227 | |||||
Cimarex Energy Co. | 778 | 56,366 | |||||
ConocoPhillips | 8,159 | 496,883 | |||||
Devon Energy Corp. | 2,600 | 75,894 | |||||
Diamondback Energy, Inc. | 775 | 72,765 | |||||
EOG Resources, Inc. | 1,352 | 112,811 | |||||
Exxon Mobil Corp. | 36,844 | 2,324,119 | |||||
Hess Corp. | 233 | 20,346 | |||||
HollyFrontier Corp. | 2,161 | 71,097 | |||||
Kinder Morgan, Inc. | 3,515 | 64,078 | |||||
Marathon Oil Corp. | 4,095 | 55,774 | |||||
Marathon Petroleum Corp. | 4,094 | 247,359 | |||||
Occidental Petroleum Corp. | 3,648 | 114,073 | |||||
ONEOK, Inc. | 5,143 | 286,157 | |||||
Phillips 66 | 2,336 | 200,476 | |||||
Pioneer Natural Resources Co. | 1,324 | 215,176 | |||||
Targa Resources Corp. | 673 | 29,915 | |||||
Valero Energy Corp. | 4,743 | 370,333 | |||||
Williams Cos., Inc. (The) | 5,691 | 151,096 | |||||
6,885,600 | |||||||
Paper & Forest Products — 0.0% | |||||||
Louisiana-Pacific Corp. | 629 | 37,922 | |||||
Personal Products — 0.3% | |||||||
Estee Lauder Companies, Inc. (The), | |||||||
Class A | 5,286 | 1,681,371 | |||||
Herbalife Nutriation Ltd.* | 2,876 | 151,651 | |||||
1,833,022 | |||||||
Pharmaceuticals — 3.8% | |||||||
Bristol-Myers Squibb Co. | 27,074 | 1,809,085 | |||||
Catalent, Inc.* | 2,337 | 252,676 | |||||
Elanco Animal Health, Inc.* | 4,517 | 156,695 | |||||
Eli Lilly & Co. | 19,445 | 4,463,016 | |||||
Jazz Pharmaceuticals PLC* | 1,092 | 193,983 | |||||
Johnson & Johnson | 55,065 | 9,071,408 | |||||
Merck & Co., Inc. | 52,291 | 4,066,671 | |||||
Organon & Co.* | 5,229 | 158,230 | |||||
Pfizer, Inc. | 83,572 | 3,272,680 | |||||
Viatris, Inc. | 10,369 | 148,173 | |||||
Zoetis, Inc. | 12,576 | 2,343,663 | |||||
25,936,280 | |||||||
Professional Services — 0.5% | |||||||
ASGN, Inc.* | 677 | 65,622 | |||||
Booz Allen Hamilton Holding Corp. | 3,549 | 302,304 | |||||
CACI International, Inc., Class A* | 656 | 167,359 | |||||
CoStar Group, Inc.* | 2,890 | 239,350 | |||||
Equifax, Inc. | 1,565 | 374,833 | |||||
Exponent, Inc. | 799 | 71,279 | |||||
FTI Consulting, Inc.* | 662 | 90,436 | |||||
Jacobs Engineering Group, Inc. | 1,857 | 247,761 | |||||
KBR, Inc. | 2,987 | 113,954 | |||||
Leidos Holdings, Inc. | 2,174 | 219,791 | |||||
Manpowergroup, Inc. | 1,600 | 190,256 | |||||
Robert Half International, Inc. | 2,642 | 235,059 | |||||
Science Applications | |||||||
International Corp. | 1,371 | 120,278 | |||||
TransUnion | 2,647 | 290,667 | |||||
TriNet Group, Inc.* | 865 | 62,695 | |||||
Verisk Analytics, Inc. | 3,573 | 624,274 | |||||
3,415,918 | |||||||
Real Estate Management & Development — 0.1% | |||||||
CBRE Group, Inc., Class A* | 6,869 | 588,879 | |||||
Jones Lang LaSalle, Inc.* | 1,100 | 215,006 | |||||
803,885 | |||||||
Road & Rail — 1.2% | |||||||
AMERCO | 236 | 139,098 | |||||
CSX Corp. | 47,289 | 1,517,031 | |||||
JB Hunt Transport Services, Inc. | 2,271 | 370,059 | |||||
Kansas City Southern | 1,801 | 510,349 | |||||
Knight-Swift Transportation Holdings, | |||||||
Inc. | 2,249 | 102,240 | |||||
Landstar System, Inc. | 1,073 | 169,556 | |||||
Norfolk Southern Corp. | 5,005 | 1,328,377 | |||||
Old Dominion Freight Line, Inc. | 1,937 | 491,611 | |||||
Saia, Inc.* | 200 | 41,898 | |||||
Uber Technologies, Inc.* | 2,162 | 108,359 | |||||
Union Pacific Corp. | 15,875 | 3,491,389 | |||||
8,269,967 |
The accompanying notes are an integral part of these financial statements.
36
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Semiconductors & Semiconductor Equipment — 6.3% | |||||||
Advanced Micro Devices, Inc.* | 15,438 | $ | 1,450,091 | ||||
Analog Devices, Inc. | 5,533 | 952,561 | |||||
Applied Materials, Inc. | 22,341 | 3,181,359 | |||||
Broadcom, Inc. | 7,299 | 3,480,455 | |||||
Brooks Automation, Inc. | 1,100 | 104,808 | |||||
Cirrus Logic, Inc.* | 1,237 | 105,294 | |||||
CMC Materials, Inc. | 592 | 89,238 | |||||
Cree, Inc.*@ | 1,415 | 138,571 | |||||
Enphase Energy, Inc.* | 1,883 | 345,775 | |||||
Entegris, Inc. | 2,652 | 326,117 | |||||
First Solar, Inc.* | 300 | 27,153 | |||||
Intel Corp. | 84,339 | 4,734,792 | |||||
KLA Corp. | 4,262 | 1,381,783 | |||||
Lam Research Corp. | 3,733 | 2,429,063 | |||||
Lattice Semiconductor Corp.* | 1,742 | 97,866 | |||||
Marvell Technology, Inc. | 6,428 | 374,945 | |||||
Maxim Integrated Products, Inc. | 7,009 | 738,468 | |||||
Microchip Technology, Inc. | 4,306 | 644,781 | |||||
Micron Technology, Inc.* | 16,331 | 1,387,808 | |||||
MKS Instruments, Inc. | 1,252 | 222,793 | |||||
Monolithic Power Systems, Inc. | 706 | 263,656 | |||||
NVIDIA Corp. | 10,833 | 8,667,483 | |||||
ON Semiconductor Corp.* | 8,229 | 315,006 | |||||
Power Integrations, Inc. | 1,146 | 94,041 | |||||
Qorvo, Inc.* | 1,968 | 385,039 | |||||
QUALCOMM, Inc. | 24,843 | 3,550,810 | |||||
Semtech Corp.* | 600 | 41,280 | |||||
Silicon Laboratories, Inc.* | 600 | 91,950 | |||||
Skyworks Solutions, Inc. | 3,226 | 618,586 | |||||
SolarEdge Technologies, Inc.* | 622 | 171,902 | |||||
Teradyne, Inc. | 3,943 | 528,204 | |||||
Texas Instruments, Inc. | 25,091 | 4,824,999 | |||||
Universal Display Corp. | 786 | 174,751 | |||||
Xilinx, Inc. | 5,194 | 751,260 | |||||
42,692,688 | |||||||
Software — 8.9% | |||||||
ACI Worldwide, Inc.* | 2,645 | 98,235 | |||||
Adobe, Inc.* | 9,607 | 5,626,244 | |||||
Alarm.com Holdings, Inc.* | 415 | 35,151 | |||||
Alteryx, Inc., Class A* | 675 | 58,064 | |||||
Anaplan, Inc.* | 700 | 37,310 | |||||
ANSYS, Inc.* | 1,057 | 366,842 | |||||
Appfolio, Inc., Class A*@ | 486 | 68,623 | |||||
Aspen Technology, Inc.* | 2,199 | 302,450 | |||||
Atlassian Corp. PLC, Class A* | 1,245 | 319,791 | |||||
Autodesk, Inc.* | 4,181 | 1,220,434 | |||||
Avalara, Inc.* | 354 | 57,277 | |||||
Black Knight, Inc.* | 2,102 | 163,914 | |||||
Cadence Design Systems, Inc.* | 5,300 | 725,146 | |||||
CDK Global, Inc. | 3,162 | 157,120 | |||||
Ceridian HCM Holding, Inc.* | 995 | 95,440 | |||||
Citrix Systems, Inc. | 2,573 | 301,736 | |||||
Cloudera, Inc.* | 2,900 | 45,994 | |||||
Cognyte Software Ltd.* | 1,038 | 25,431 | |||||
Coupa Software, Inc.* | 709 | 185,836 | |||||
Crowdstrike Holdings, Inc., Class A* | 326 | 81,927 | |||||
DocuSign, Inc.* | 505 | 141,183 | |||||
Dolby Laboratories, Inc., Class A | 938 | 92,196 | |||||
Dropbox, Inc., Class A* | 1,689 | 51,194 | |||||
Envestnet, Inc.* | 1,085 | 82,308 | |||||
Fair Isaac Corp.* | 850 | 427,278 | |||||
FireEye, Inc.* | 1,537 | 31,078 | |||||
Five9, Inc.* | 200 | 36,678 | |||||
Fortinet, Inc.* | 2,910 | 693,133 | |||||
Guidewire Software, Inc.* | 801 | 90,289 | |||||
HubSpot, Inc.* | 406 | 236,584 | |||||
Intuit, Inc. | 4,259 | 2,087,634 | |||||
j2 Global, Inc.* | 1,013 | 139,338 | |||||
Manhattan Associates, Inc.* | 2,300 | 333,132 | |||||
Microsoft Corp. | 130,116 | 35,248,424 | |||||
NortonLifeLock, Inc. | 188 | 5,117 | |||||
Nuance Communications, Inc.* | 4,400 | 239,536 | |||||
Oracle Corp. | 48,638 | 3,785,982 | |||||
Palo Alto Networks, Inc.* | 795 | 294,985 | |||||
Paycom Software, Inc.* | 960 | 348,931 | |||||
Paylocity Holding Corp.* | 668 | 127,454 | |||||
Pegasystems, Inc. | 255 | 35,493 | |||||
Proofpoint, Inc.* | 470 | 81,667 | |||||
PTC, Inc.* | 953 | 134,621 | |||||
Qualys, Inc.* | 503 | 50,647 | |||||
RingCentral, Inc., Class A* | 628 | 182,484 | |||||
Salesforce.com, Inc.* | 7,052 | 1,722,592 | |||||
ServiceNow, Inc.* | 2,217 | 1,218,352 | |||||
Slack Technologies, Inc., Class A* | 1,899 | 84,126 | |||||
Splunk, Inc.* | 1,483 | 214,412 | |||||
SS&C Technologies Holdings, Inc. | 3,246 | 233,907 | |||||
Synopsys, Inc.* | 1,895 | 522,622 | |||||
Trade Desk, Inc. (The), Class A* | 4,830 | 373,649 | |||||
Tyler Technologies, Inc.* | 424 | 191,805 | |||||
VMware, Inc., Class A* | 145 | 23,196 | |||||
Workday, Inc., Class A* | 972 | 232,055 |
The accompanying notes are an integral part of these financial statements.
37
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Software - Continued | |||||||
Xperi Holding Corp. | 626 | $ | 13,922 | ||||
Zendesk, Inc.* | 1,234 | 178,116 | |||||
Zoom Video Communications, Inc., | |||||||
Class A* | 1,325 | 512,815 | |||||
60,471,900 | |||||||
Specialty Retail — 2.7% | |||||||
Aaron’s Co. Inc. (The) | 575 | 18,394 | |||||
Advance Auto Parts, Inc. | 1,480 | 303,607 | |||||
American Eagle Outfitters, Inc.@ | 1,673 | 62,788 | |||||
AutoNation, Inc.* | 961 | 91,112 | |||||
AutoZone, Inc.* | 433 | 646,131 | |||||
Best Buy Co., Inc. | 6,478 | 744,841 | |||||
Burlington Stores, Inc.* | 571 | 183,856 | |||||
Carmax, Inc.* | 3,409 | 440,272 | |||||
Carvana Co.*@ | 614 | 185,318 | |||||
Dick’s Sporting Goods, Inc.@ | 1,695 | 169,822 | |||||
Five Below, Inc.* | 1,000 | 193,270 | |||||
Foot Locker, Inc. | 1,123 | 69,211 | |||||
Home Depot, Inc. (The) | 20,751 | 6,617,286 | |||||
Lowe’s Cos., Inc. | 19,287 | 3,741,099 | |||||
Murphy USA, Inc. | 1,116 | 148,841 | |||||
O’Reilly Automotive, Inc.* | 1,415 | 801,187 | |||||
Penske Automotive Group, Inc.@ | 1,318 | 99,496 | |||||
Ross Stores, Inc. | 5,970 | 740,280 | |||||
TJX Cos., Inc. | 20,902 | 1,409,213 | |||||
Tractor Supply Co. | 3,469 | 645,442 | |||||
Ulta Beauty, Inc.* | 984 | 340,238 | |||||
Williams-Sonoma, Inc. | 2,400 | 383,160 | |||||
18,034,864 | |||||||
Textiles, Apparel & Luxury Goods — 1.1% | |||||||
Carter’s, Inc. | 934 | 96,361 | |||||
Columbia Sportswear Co. | 858 | 84,393 | |||||
Crocs, Inc.* | 953 | 111,044 | |||||
Deckers Outdoor Corp.* | 473 | 181,665 | |||||
Hanesbrands, Inc. | 8,404 | 156,903 | |||||
Lululemon Athletica, Inc.* | 2,502 | 913,155 | |||||
NIKE, Inc., Class B | 29,092 | 4,494,423 | |||||
PVH Corp.* | 760 | 81,768 | |||||
Ralph Lauren Corp. | 1,100 | 129,591 | |||||
Skechers U.S.A., Inc., Class A* | 1,800 | 89,694 | |||||
Tapestry, Inc.* | 6,400 | 278,272 | |||||
Under Armour, Inc., Class A* | 2,760 | 58,374 | |||||
Under Armour, Inc., Class C* | 2,884 | 53,556 | |||||
VF Corp. | 5,509 | 451,958 | |||||
7,181,157 | |||||||
Thrifts & Mortgage Finance — 0.0% | |||||||
New York Community Bancorp, Inc. | 1,632 | 17,985 | |||||
TFS Financial Corp. | 1,093 | 22,188 | |||||
40,173 | |||||||
Tobacco — 0.7% | |||||||
Altria Group, Inc. | 46,398 | 2,212,256 | |||||
Philip Morris International, Inc. | 24,607 | 2,438,800 | |||||
4,651,056 | |||||||
Trading Companies & Distributors — 0.3% | |||||||
Fastenal Co. | 13,600 | 707,200 | |||||
MSC Industrial Direct Co., Class A | 1,100 | 98,703 | |||||
SiteOne Landscape Supply, Inc. * | 400 | 67,704 | |||||
United Rentals, Inc. * | 2,064 | 658,437 | |||||
Watsco, Inc. | 474 | 135,867 | |||||
WW Grainger, Inc. | 1,176 | 515,088 | |||||
2,182,999 | |||||||
Water Utilities — 0.1% | |||||||
American Water Works Co., Inc. | 3,475 | 535,602 | |||||
Essential Utilities, Inc. | 3,662 | 167,353 | |||||
702,955 | |||||||
Wireless Telecommunication Services — 0.2% | |||||||
T-Mobile US, Inc. * | 9,433 | 1,366,181 | |||||
TOTAL COMMON STOCKS | |||||||
(Identified Cost $112,589,997) | 648,636,544 |
The accompanying notes are an integral part of these financial statements.
38
SA U.S. Core Market Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
PREFERRED STOCKS — 0.0% | |||||||
Internet & Catalog Retail — 0.0% | |||||||
Qurate Retail, Inc. 8.000% | 108 | $ | 11,691 | ||||
TOTAL PREFERRED STOCKS | |||||||
(Identified Cost $8,771) | 11,691 | ||||||
MUTUAL FUNDS — 3.9% | |||||||
Other — 3.9% | |||||||
DFA U.S. Micro Cap Portfolio | 911,637 | 26,373,659 | |||||
TOTAL MUTUAL FUNDS | |||||||
(Identified Cost $9,672,575) | 26,373,659 | ||||||
SHORT-TERM INVESTMENTS — 0.3% | |||||||
Investment Company — 0.3% | |||||||
State Street Institutional U.S. | |||||||
Government Money Market | |||||||
Fund 0.025% | 1,746,914 | 1,746,914 | |||||
Collateral For Securities On Loan — 0.0% | |||||||
State Street Navigator Securities | |||||||
Lending Government Money Market | |||||||
Portfolio, 0.020% | 216,928 | 216,928 | |||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Identified Cost $1,963,842) | 1,963,842 | ||||||
Total Investments — 100.0% | |||||||
(Identified Cost $124,235,185) | 676,985,736 | ||||||
Liabilities, Less Cash and Other | |||||||
Assets — 0.0% | (326,567 | ) | |||||
Net Assets — 100.0% | $ | 676,659,169 |
† | See Note 1 | ||
* | Non-income producing security | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $2,299,153. |
Key to abbreviations:
ADR — American Depository Receipt
Portfolio Sectors as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
39
SA U.S. Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
COMMON STOCKS — 99.9% | |||||||
Aerospace & Defense — 1.6% | |||||||
General Dynamics Corp. | 7,326 | $ | 1,379,193 | ||||
Howmet Aerospace, Inc.* | 41,331 | 1,424,679 | |||||
L3Harris Technologies, Inc. | 2,104 | 454,780 | |||||
Raytheon Technologies Corp. | 44,625 | 3,806,959 | |||||
Textron, Inc. | 38,330 | 2,635,954 | |||||
9,701,565 | |||||||
Air Freight & Logistics — 1.3% | |||||||
FedEx Corp. | 19,292 | 5,755,382 | |||||
XPO Logistics, Inc.* | 15,841 | 2,215,998 | |||||
7,971,380 | |||||||
Airlines — 0.6% | |||||||
Alaska Air Group, Inc.* | 964 | 58,139 | |||||
Delta Air Lines, Inc.* | 6,597 | 285,386 | |||||
JetBlue Airways Corp.* | 24,333 | 408,308 | |||||
Southwest Airlines Co.* | 37,272 | 1,978,770 | |||||
United Airlines Holdings, Inc.* | 17,707 | 925,899 | |||||
3,656,502 | |||||||
Auto Components — 0.8% | |||||||
Aptiv PLC* | 3,374 | 530,831 | |||||
Autoliv, Inc. | 9,173 | 896,752 | |||||
BorgWarner, Inc. | 24,241 | 1,176,658 | |||||
Gentex Corp. | 25,695 | 850,248 | |||||
Goodyear Tire & Rubber Co. (The)* | 2,391 | 41,006 | |||||
Lear Corp. | 6,743 | 1,181,913 | |||||
Veoneer, Inc.*@ | 334 | 7,699 | |||||
4,685,107 | |||||||
Automobiles — 1.4% | |||||||
Ford Motor Co.* | 132,470 | 1,968,504 | |||||
General Motors Co.* | 114,028 | 6,747,037 | |||||
8,715,541 | |||||||
Beverages — 0.4% | |||||||
Constellation Brands, Inc., Class A | 8,399 | 1,964,442 | |||||
Keurig Dr Pepper, Inc. | 2,705 | 95,324 | |||||
Molson Coors Brewing Co., Class B* | 10,592 | 568,685 | |||||
2,628,451 | |||||||
Biotechnology — 1.0% | |||||||
AbbVie, Inc. | 738 | 83,128 | |||||
Alexion Pharmaceuticals, Inc.* | 6,782 | 1,245,921 | |||||
Biogen, Inc.* | 5,743 | 1,988,629 | |||||
Gilead Sciences, Inc. | 27,651 | 1,904,048 | |||||
Regeneron Pharmaceuticals, Inc.* | 1,045 | 583,674 | |||||
United Therapeutics Corp.* | 683 | 122,537 | |||||
5,927,937 | |||||||
Building Products — 1.8% | |||||||
Carrier Global Corp. | 59,640 | 2,898,504 | |||||
Fortune Brands Home & Security, Inc. | 11,027 | 1,098,400 | |||||
Johnson Controls International plc | 34,370 | 2,358,813 | |||||
Owens Corning | 12,209 | 1,195,261 | |||||
Trane Technologies PLC | 16,759 | 3,086,002 | |||||
10,636,980 | |||||||
Capital Markets — 3.6% | |||||||
Bank of New York Mellon Corp. (The) | 57,160 | 2,928,307 | |||||
Goldman Sachs Group, Inc. (The) | 23,927 | 9,081,014 | |||||
Jefferies Financial Group, Inc. | 6,993 | 239,161 | |||||
Morgan Stanley | 94,886 | 8,700,097 | |||||
Northern Trust Corp. | 370 | 42,780 | |||||
State Street Corp. | 10,112 | 832,015 | |||||
21,823,374 | |||||||
Chemicals — 3.8% | |||||||
Air Products & Chemicals, Inc. | 7,452 | 2,143,791 | |||||
Albemarle Corp. | 9,985 | 1,682,073 | |||||
Celanese Corp. | 4,202 | 637,023 | |||||
CF Industries Holdings, Inc. | 25,378 | 1,305,698 | |||||
Corteva, Inc. | 18,513 | 821,052 | |||||
Dow, Inc. | 51,729 | 3,273,411 | |||||
DuPont de Nemours, Inc. | 10,068 | 779,364 | |||||
Eastman Chemical Co. | 23,262 | 2,715,838 | |||||
International Flavors & | |||||||
Fragrances, Inc. | 9,315 | 1,391,661 | |||||
Linde PLC | 16,893 | 4,883,766 | |||||
LyondellBasell Industries NV, Class A | 18,308 | 1,883,344 | |||||
Mosaic Co. (The) | 2,922 | 93,241 | |||||
PPG Industries, Inc. | 775 | 131,572 | |||||
Valvoline, Inc. | 20,825 | 675,980 | |||||
Westlake Chemical Corp. | 7,968 | 717,837 | |||||
23,135,651 | |||||||
Commercial Banks — 10.3% | |||||||
Bank of America Corp. | 247,009 | 10,184,181 | |||||
Citigroup, Inc. | 111,627 | 7,897,610 | |||||
Citizens Financial Group, Inc. | 18,613 | 853,778 | |||||
East West Bancorp, Inc. | 2,390 | 171,339 | |||||
Fifth Third Bancorp | 86,881 | 3,321,461 | |||||
Huntington Bancshares, Inc. | 133,410 | 1,903,761 | |||||
JPMorgan Chase & Co. | 117,851 | 18,330,544 | |||||
KeyCorp | 66,158 | 1,366,163 | |||||
M&T Bank Corp. | 3,071 | 446,247 | |||||
People's United Financial, Inc. | 5,834 | 99,995 | |||||
PNC Financial Services | |||||||
Group, Inc. (The) | 21,675 | 4,134,723 | |||||
Regions Financial Corp. | 133,653 | 2,697,118 | |||||
Truist Financial Corp. | 64,730 | 3,592,515 | |||||
US Bancorp | 22,217 | 1,265,702 | |||||
Wells Fargo & Co. | 119,103 | 5,394,175 | |||||
Zions Bancorp NA | 20,193 | 1,067,402 | |||||
62,726,714 | |||||||
Commercial Services & Supplies — 0.7% | |||||||
Republic Services, Inc. | 36,633 | 4,029,996 | |||||
Communications Equipment — 0.1% | |||||||
Juniper Networks, Inc. | 28,774 | 786,969 |
The accompanying notes are an integral part of these financial statements.
40
SA U.S. Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Computers & Peripherals — 1.6% | |||||||
Hewlett Packard Enterprise Co. | 168,468 | $ | 2,456,264 | ||||
HP, Inc. | 176,918 | 5,341,154 | |||||
Western Digital Corp.* | 23,295 | 1,657,905 | |||||
Xerox Holdings Corp. | 2,019 | 47,426 | |||||
9,502,749 | |||||||
Construction & Engineering — 0.3% | |||||||
AECOM* | 11,462 | 725,774 | |||||
Quanta Services, Inc. | 13,887 | 1,257,745 | |||||
1,983,519 | |||||||
Construction Materials — 0.6% | |||||||
Martin Marietta Materials, Inc. | 4,728 | 1,663,357 | |||||
Vulcan Materials Co. | 11,511 | 2,003,720 | |||||
3,667,077 | |||||||
Consumer Finance — 1.7% | |||||||
Ally Financial, Inc. | 66,748 | 3,326,720 | |||||
Capital One Financial Corp. | 34,312 | 5,307,723 | |||||
Santander Consumer | |||||||
USA Holdings, Inc. | 15,524 | 563,832 | |||||
Synchrony Financial | 25,544 | 1,239,395 | |||||
10,437,670 | |||||||
Containers & Packaging — 0.8% | |||||||
Amcor PLC | 12,573 | 144,087 | |||||
International Paper Co. | 44,343 | 2,718,669 | |||||
Packaging Corp. of America | 2,898 | 392,447 | |||||
Sonoco Products Co. | 611 | 40,876 | |||||
WestRock Co. | 22,703 | 1,208,254 | |||||
4,504,333 | |||||||
Distributors — 0.4% | |||||||
Genuine Parts Co. | 2,168 | 274,187 | |||||
LKQ Corp.* | 37,512 | 1,846,341 | |||||
2,120,528 | |||||||
Diversified Consumer Services — 0.0% | |||||||
Service Corp. International | 2,896 | 155,197 | |||||
Diversified Financial Services — 2.0% | |||||||
Berkshire Hathaway, Inc., Class B* | 42,667 | 11,858,013 | |||||
Voya Financial, Inc. | 4,101 | 252,211 | |||||
12,110,224 | |||||||
Diversified Telecommunication Services — 3.0% | |||||||
AT&T, Inc. | 489,320 | 14,082,630 | |||||
Lumen Technologies, Inc. | 139,832 | 1,900,317 | |||||
Verizon Communications, Inc. | 41,010 | 2,297,790 | |||||
18,280,737 | |||||||
Electric Utilities — 0.2% | |||||||
NRG Energy, Inc. | 22,148 | 892,564 | |||||
Electrical Equipment — 1.0% | |||||||
AMETEK, Inc. | 5,351 | 714,359 | |||||
Eaton Corp. PLC | 26,125 | 3,871,202 | |||||
Emerson Electric Co. | 8,842 | 850,954 | |||||
Sensata Technologies Holding PLC* | 14,040 | 813,899 | |||||
6,250,414 | |||||||
Electronic Equipment, Instruments & Components — 1.3% | |||||||
Arrow Electronics, Inc.* | 7,332 | 834,602 | |||||
Corning, Inc. | 84,494 | 3,455,805 | |||||
Flex Ltd.* | 31,420 | 561,475 | |||||
Jabil, Inc. | 496 | 28,827 | |||||
SYNNEX Corp. | 1,605 | 195,425 | |||||
TE Connectivity Ltd. | 20,879 | 2,823,050 | |||||
Vontier Corp. | 1,095 | 35,675 | |||||
7,934,859 | |||||||
Energy Equipment & Services — 0.6% | |||||||
Baker Hughes Co. | 20,187 | 461,677 | |||||
Halliburton Co. | 26,084 | 603,062 | |||||
Schlumberger Ltd. | 78,028 | 2,497,676 | |||||
3,562,415 | |||||||
Entertainment — 1.4% | |||||||
Activision Blizzard, Inc. | 6,117 | 583,806 | |||||
Liberty Media Corp-Liberty Formula | |||||||
One, Class A* | 1,097 | 46,765 | |||||
Liberty Media Corp-Liberty Formula | |||||||
One, Class C* | 2,194 | 105,773 | |||||
Madison Square Garden | |||||||
Entertainment Corp.* | 443 | 37,199 | |||||
Walt Disney Co. (The)* | 44,375 | 7,799,794 | |||||
8,573,337 | |||||||
Food & Staples Retailing — 2.3% | |||||||
Kroger Co. (The) | 62,007 | 2,375,488 | |||||
US Foods Holding Corp.* | 20,840 | 799,422 | |||||
Walgreens Boots Alliance, Inc. | 66,241 | 3,484,939 | |||||
Walmart, Inc. | 49,625 | 6,998,118 | |||||
13,657,967 | |||||||
Food Products — 2.7% | |||||||
Archer-Daniels-Midland Co. | 24,965 | 1,512,879 | |||||
Bunge Ltd. | 12,845 | 1,003,837 | |||||
Conagra Brands, Inc. | 19,827 | 721,306 | |||||
General Mills, Inc. | 20,583 | 1,254,122 | |||||
Hormel Foods Corp. | 1,400 | 66,850 | |||||
Ingredion, Inc. | 1,873 | 169,507 | |||||
J.M. Smucker Co. (The) | 18,272 | 2,367,503 | |||||
Kraft Heinz Co. (The) | 24,989 | 1,019,051 | |||||
Mondelez International, Inc., Class A | 68,798 | 4,295,747 | |||||
Post Holdings, Inc.* | 8,176 | 886,851 | |||||
Seaboard Corp. | 22 | 85,112 | |||||
Tyson Foods, Inc., Class A | 41,844 | 3,086,414 | |||||
16,469,179 |
The accompanying notes are an integral part of these financial statements.
41
SA U.S. Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Health Care Equipment & Supplies — 2.7% | |||||||
Abbott Laboratories | 5,886 | $ | 682,364 | ||||
Baxter International, Inc. | 8,635 | 695,117 | |||||
Becton Dickinson & Co. | 3,126 | 760,212 | |||||
Boston Scientific Corp.* | 7,514 | 321,299 | |||||
Cooper Cos., Inc. (The) | 137 | 54,289 | |||||
Danaher Corp. | 21,091 | 5,659,981 | |||||
Envista Holdings Corp.* | 14,141 | 611,033 | |||||
Medtronic PLC | 46,104 | 5,722,889 | |||||
STERIS PLC | 3,637 | 750,313 | |||||
Zimmer Biomet Holdings, Inc. | 8,154 | 1,311,326 | |||||
16,568,823 | |||||||
Health Care Providers & Services — 6.8% | |||||||
Anthem, Inc. | 19,943 | 7,614,237 | |||||
Centene Corp.* | 32,696 | 2,384,519 | |||||
CIGNA Corp. | 29,204 | 6,923,392 | |||||
CVS Health Corp. | 102,518 | 8,554,102 | |||||
DaVita, Inc.* | 12,281 | 1,479,001 | |||||
Henry Schein, Inc.* | 3,777 | 280,216 | |||||
Humana, Inc. | 9,747 | 4,315,192 | |||||
Laboratory Corp. of | |||||||
America Holdings* | 16,237 | 4,478,976 | |||||
McKesson Corp. | 4,124 | 788,674 | |||||
Quest Diagnostics, Inc. | 19,764 | 2,608,255 | |||||
UnitedHealth Group, Inc. | 1,004 | 402,042 | |||||
Universal Health Services, Inc., | |||||||
Class B | 10,322 | 1,511,451 | |||||
41,340,057 | |||||||
Hotels, Restaurants & Leisure — 0.8% | |||||||
Aramark | 21,546 | 802,589 | |||||
Carnival Corp.* | 27,865 | 734,521 | |||||
Hyatt Hotels Corp., Class A* | 3,874 | 300,777 | |||||
MGM Resorts International | 36,647 | 1,562,995 | |||||
Royal Caribbean Cruises Ltd.* | 13,617 | 1,161,258 | |||||
4,562,140 | |||||||
Household Durables — 2.6% | |||||||
DR Horton, Inc. | 63,140 | 5,705,962 | |||||
Garmin Ltd. | 12,982 | 1,877,716 | |||||
Lennar Corp., B Shares | 573 | 46,671 | |||||
Lennar Corp., Class A | 23,116 | 2,296,575 | |||||
Mohawk Industries, Inc.* | 369 | 70,918 | |||||
Newell Brands, Inc. | 7,039 | 193,361 | |||||
PulteGroup, Inc. | 50,018 | 2,729,482 | |||||
Toll Brothers, Inc. | 4,225 | 244,247 | |||||
Whirlpool Corp. | 12,182 | 2,655,920 | |||||
15,820,852 | |||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||
Vistra Corp. | 25,467 | 472,413 | |||||
Industrial Conglomerates — 0.5% | |||||||
Carlisle Cos., Inc. | 6,915 | 1,323,393 | |||||
General Electric Co. | 87,933 | 1,183,578 | |||||
Roper Technologies, Inc. | 366 | 172,093 | |||||
2,679,064 | |||||||
Insurance — 4.5% | |||||||
Aflac, Inc. | 32,730 | 1,756,292 | |||||
Alleghany Corp.* | 855 | 570,345 | |||||
Allstate Corp. (The) | 16,938 | 2,209,393 | |||||
American Financial Group, Inc. | 6,623 | 826,021 | |||||
American International Group, Inc. | 29,118 | 1,386,017 | |||||
Arch Capital Group Ltd.* | 11,691 | 455,247 | |||||
Assurant, Inc. | 4,786 | 747,477 | |||||
Athene Holding Ltd., Class A* | 1,982 | 133,785 | |||||
Chubb Ltd. | 11,440 | 1,818,274 | |||||
Cincinnati Financial Corp. | 370 | 43,149 | |||||
CNA Financial Corp. | 4,467 | 203,204 | |||||
Everest Re Group Ltd. | 2,445 | 616,164 | |||||
Fidelity National Financial, Inc. | 1,515 | 65,842 | |||||
Hartford Financial Services | |||||||
Group, Inc. (The) | 49,258 | 3,052,518 | |||||
Lincoln National Corp. | 14,235 | 894,527 | |||||
Loews Corp. | 22,046 | 1,204,814 | |||||
Markel Corp.* | 116 | 137,658 | |||||
MetLife, Inc. | 37,755 | 2,259,637 | |||||
Old Republic International Corp. | 23,484 | 584,986 | |||||
Principal Financial Group, Inc. | 32,419 | 2,048,557 | |||||
Prudential Financial, Inc. | 13,723 | 1,406,196 | |||||
Reinsurance Group of America, Inc. | 4,267 | 486,438 | |||||
RenaissanceRe Holdings Ltd. | 2,534 | 377,110 | |||||
Travelers Companies, Inc. (The) | 23,169 | 3,468,631 | |||||
W. R. Berkley Corp. | 5,014 | 373,192 | |||||
27,125,474 | |||||||
IT Services — 1.3% | |||||||
Akamai Technologies, Inc.* | 1,638 | 190,991 | |||||
Amdocs Ltd. | 15,213 | 1,176,878 | |||||
Cognizant Technology | |||||||
Solutions Corp., Class A | 13,013 | 901,280 | |||||
Concentrix Corp.* | 1,605 | 258,084 | |||||
DXC Technology Co.* | 20,249 | 788,496 | |||||
Fidelity National Information | |||||||
Services, Inc. | 18,351 | 2,599,786 | |||||
Fiserv, Inc.* | 11,258 | 1,203,368 | |||||
Global Payments, Inc. | 3,897 | 730,843 | |||||
7,849,726 | |||||||
Life Sciences Tools & Services — 1.5% | |||||||
Bio-Rad Laboratories, Inc., Class A* | 172 | 110,818 | |||||
IQVIA Holdings, Inc.* | 2,786 | 675,103 | |||||
PerkinElmer, Inc. | 2,600 | 401,466 | |||||
Thermo Fisher Scientific, Inc. | 16,006 | 8,074,547 | |||||
9,261,934 | |||||||
Machinery — 3.0% | |||||||
AGCO Corp. | 8,548 | 1,114,488 | |||||
Cummins, Inc. | 10,946 | 2,668,744 | |||||
Dover Corp. | 8,822 | 1,328,593 | |||||
Fortive Corp. | 5,738 | 400,168 | |||||
Ingersoll Rand, Inc.* | 14,939 | 729,173 | |||||
Oshkosh Corp. | 7,274 | 906,632 | |||||
Otis Worldwide Corp. | 25,885 | 2,116,617 | |||||
PACCAR, Inc. | 19,377 | 1,729,397 |
The accompanying notes are an integral part of these financial statements.
42
SA U.S. Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Machinery (Continued) | |||||||
Parker-Hannifin Corp. | 3,737 | $ | 1,147,670 | ||||
Pentair PLC | 20,400 | 1,376,796 | |||||
Snap-On, Inc. | 6,351 | 1,419,004 | |||||
Stanley Black & Decker, Inc. | 14,985 | 3,071,775 | |||||
Westinghouse Air Brake | |||||||
Technologies Corp. | 5,333 | 438,906 | |||||
18,447,963 | |||||||
Media — 6.1% | |||||||
Charter Communications, Inc., | |||||||
Class A* | 16,563 | 11,949,376 | |||||
Comcast Corp., Class A | 308,186 | 17,572,766 | |||||
Discovery, Inc., Class A*@ | 21,200 | 650,416 | |||||
Discovery, Inc., Class C* | 35,235 | 1,021,110 | |||||
DISH Network Corp., Class A* | 12,654 | 528,937 | |||||
Fox Corp. Class A | 24,883 | 923,906 | |||||
Fox Corp. Class B | 8,600 | 302,720 | |||||
Interpublic Group of Cos., Inc. (The) | 13,320 | 432,767 | |||||
Liberty Broadband Corp., Class C* | 3,887 | 675,017 | |||||
Liberty Media Corp-Liberty Siriusxm, | |||||||
Class A* | 4,389 | 204,440 | |||||
Liberty Media Corp-Liberty Siriusxm, | |||||||
Class C* | 8,778 | 407,211 | |||||
News Corp., Class A | 8,320 | 214,406 | |||||
News Corp., Class B | 1,734 | 42,223 | |||||
ViacomCBS, Inc. Class A@ | 900 | 43,605 | |||||
ViacomCBS, Inc. Class B | 44,427 | 2,008,100 | |||||
36,977,000 | |||||||
Metals & Mining — 2.5% | |||||||
Arconic Corp.* | 5,032 | 179,240 | |||||
Freeport-McMoRan, Inc. | 116,560 | 4,325,542 | |||||
Newmont Corp. | 46,812 | 2,966,945 | |||||
Nucor Corp. | 41,998 | 4,028,868 | |||||
Reliance Steel & Aluminum Co. | 9,348 | 1,410,613 | |||||
Royal Gold, Inc. | 1,245 | 142,054 | |||||
Steel Dynamics, Inc. | 33,820 | 2,015,672 | |||||
15,068,934 | |||||||
Multi-Utilities — 0.0% | |||||||
MDU Resources Group, Inc. | 5,121 | 160,492 | |||||
Multiline Retail — 0.2% | |||||||
Dollar Tree, Inc.* | 11,441 | 1,138,379 | |||||
Kohl's Corp. | 2,215 | 122,069 | |||||
Target Corp. | 361 | 87,268 | |||||
1,347,716 | |||||||
Oil, Gas & Consumable Fuels — 7.0% | |||||||
Chevron Corp. | 57,792 | 6,053,134 | |||||
ConocoPhillips | 115,648 | 7,042,963 | |||||
Continental Resources, Inc. | 1,401 | 53,280 | |||||
Devon Energy Corp. | 2,042 | 59,606 | |||||
EOG Resources, Inc. | 22,442 | 1,872,561 | |||||
Exxon Mobil Corp. | 157,641 | 9,943,994 | |||||
Hess Corp. | 22,619 | 1,975,091 | |||||
HollyFrontier Corp. | 471 | 15,496 | |||||
Kinder Morgan, Inc. | 93,214 | 1,699,291 | |||||
Marathon Petroleum Corp. | 51,843 | 3,132,354 | |||||
Occidental Petroleum Corp. | 69,831 | 2,183,615 | |||||
ONEOK, Inc. | 10,815 | 601,747 | |||||
Phillips 66 | 21,987 | 1,886,924 | |||||
Pioneer Natural Resources Co. | 11,504 | 1,869,630 | |||||
Valero Energy Corp. | 40,341 | 3,149,825 | |||||
Williams Cos., Inc. (The) | 40,808 | 1,083,453 | |||||
42,622,964 | |||||||
Personal Products — 0.0% | |||||||
Coty, Inc., Class A* | 22,181 | 207,171 | |||||
Pharmaceuticals — 3.6% | |||||||
Bristol-Myers Squibb Co. | 72,471 | 4,842,512 | |||||
Jazz Pharmaceuticals PLC* | 4,730 | 840,237 | |||||
Perrigo Co. PLC | 1,356 | 62,173 | |||||
Pfizer, Inc. | 382,600 | 14,982,616 | |||||
Viatris, Inc. | 95,265 | 1,361,337 | |||||
22,088,875 | |||||||
Professional Services — 0.6% | |||||||
Jacobs Engineering Group, Inc. | 8,552 | 1,141,008 | |||||
Leidos Holdings, Inc. | 16,200 | 1,637,820 | |||||
Manpowergroup, Inc. | 3,675 | 436,994 | |||||
Nielsen Holdings PLC | 25,197 | 621,610 | |||||
3,837,432 | |||||||
Real Estate Management & Development — 0.4% | |||||||
CBRE Group, Inc., Class A* | 17,867 | 1,531,738 | |||||
Jones Lang LaSalle, Inc.* | 5,491 | 1,073,271 | |||||
2,605,009 | |||||||
Road & Rail — 1.7% | |||||||
AMERCO | 2,003 | 1,180,568 | |||||
Kansas City Southern | 14,222 | 4,030,088 | |||||
Norfolk Southern Corp. | 18,201 | 4,830,728 | |||||
10,041,384 | |||||||
Semiconductors & Semiconductor Equipment — 5.0% | |||||||
Analog Devices, Inc. | 10,368 | 1,784,955 | |||||
Intel Corp. | 272,832 | 15,316,788 | |||||
Lam Research Corp. | 109 | 70,926 | |||||
Marvell Technology, Inc. | 18,929 | 1,104,129 | |||||
Micron Technology, Inc.* | 89,095 | 7,571,293 | |||||
ON Semiconductor Corp.* | 41,142 | 1,574,916 | |||||
Qorvo, Inc.* | 11,125 | 2,176,606 | |||||
Skyworks Solutions, Inc. | 4,292 | 822,991 | |||||
30,422,604 | |||||||
Software — 0.1% | |||||||
NortonLifeLock, Inc. | 3,129 | 85,171 | |||||
SS&C Technologies Holdings, Inc. | 7,467 | 538,072 | |||||
623,243 | |||||||
Specialty Retail — 0.3% | |||||||
Advance Auto Parts, Inc. | 4,932 | 1,011,750 | |||||
Carmax, Inc.* | 8,119 | 1,048,569 | |||||
2,060,319 |
The accompanying notes are an integral part of these financial statements.
43
SA U.S. Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||
PVH Corp.* | 7,382 | $ | 794,229 | ||||
Ralph Lauren Corp. | 4,113 | 484,553 | |||||
Tapestry, Inc.* | 12,722 | 553,153 | |||||
1,831,935 | |||||||
Thrifts & Mortgage Finance — 0.0% | |||||||
New York Community Bancorp, Inc. | 8,435 | 92,954 | |||||
Trading Companies & Distributors — 0.3% | |||||||
United Rentals, Inc.* | 5,460 | 1,741,795 | |||||
Wireless Telecommunication Services — 0.7% | |||||||
T-Mobile US, Inc.* | 28,843 | 4,177,332 | |||||
TOTAL COMMON STOCKS | |||||||
(Identified Cost $333,968,341) | 606,564,541 | ||||||
SHORT-TERM INVESTMENTS — 0.2% | |||||||
Investment Company — 0.1% | |||||||
State Street Institutional U.S. | |||||||
Government Money Market | |||||||
Fund 0.025% | 609,217 | 609,217 | |||||
Collateral For Securities On Loan — 0.1% | |||||||
State Street Navigator Securities | |||||||
Lending Government Money Market | |||||||
Portfolio, 0.020% | 709,149 | 709,149 | |||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Identified Cost $1,318,366) | 1,318,366 | ||||||
Total Investments — 100.1% | |||||||
(Identified Cost $335,286,707) | 607,882,907 | ||||||
Liabilities, Less Cash and | |||||||
Other Assets — (0.1%) | (681,442 | ) | |||||
Net Assets — 100.0% | $ | 607,201,465 |
† | See Note 1 | ||
* | Non-income producing security | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $701,720. |
Portfolio Sectors as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
44
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
COMMON STOCKS — 99.9% | |||||||
Aerospace & Defense — 1.3% | |||||||
AAR Corp.* | 4,633 | $ | 179,529 | ||||
Aerojet Rocketdyne Holdings, Inc. | 15,617 | 754,145 | |||||
Aerovironment, Inc.* | 3,537 | 354,230 | |||||
Astronics Corp.* | 2,252 | 39,432 | |||||
Astronics Corp. Class B* | 693 | 11,296 | |||||
Axon Enterprise, Inc.* | 5,605 | 990,964 | |||||
BWX Technologies, Inc. | 4,385 | 254,856 | |||||
CPI Aerostructures, Inc.* | 1,342 | 4,764 | |||||
Curtiss-Wright Corp. | 2,920 | 346,779 | |||||
Ducommun, Inc.* | 1,879 | 102,518 | |||||
HEXCEL Corp.* | 6,425 | 400,920 | |||||
Innovative Solutions & Support, Inc. | 3,248 | 20,365 | |||||
Kaman Corp. | 3,434 | 173,074 | |||||
Kratos Defense & Security | |||||||
Solutions, Inc.* | 13,281 | 378,376 | |||||
Mercury Systems, Inc.* | 4,845 | 321,127 | |||||
Moog, Inc., Class A | 4,106 | 345,150 | |||||
National Presto Industries, Inc. | 972 | 98,804 | |||||
Park Aerospace Corp. | 2,501 | 37,265 | |||||
SIFCO Industries, Inc.* | 1,187 | 11,953 | |||||
Textron, Inc. | 11,901 | 818,432 | |||||
Vectrus, Inc.* | 1,947 | 92,658 | |||||
5,736,637 | |||||||
Air Freight & Logistics — 0.3% | |||||||
Air Transport Services Group, Inc.* | 8,825 | 205,005 | |||||
Atlas Air Worldwide Holdings, Inc.* | 4,013 | 273,325 | |||||
Echo Global Logistics, Inc.* | 4,035 | 124,036 | |||||
Forward Air Corp. | 3,769 | 338,268 | |||||
HUB Group, Inc., Class A* | 5,234 | 345,339 | |||||
Radiant Logistics, Inc.* | 9,354 | 64,823 | |||||
1,350,796 | |||||||
Airlines — 0.4% | |||||||
Alaska Air Group, Inc.* | 8,750 | 527,712 | |||||
Allegiant Travel Co.* | 2,317 | 449,498 | |||||
Hawaiian Holdings, Inc.* | 7,087 | 172,710 | |||||
JetBlue Airways Corp.* | 21,174 | 355,300 | |||||
Skywest, Inc.* | 7,200 | 310,104 | |||||
Spirit Airlines, Inc.* | 3,315 | 100,909 | |||||
1,916,233 | |||||||
Auto Components — 1.8% | |||||||
American Axle & Manufacturing | |||||||
Holdings, Inc.* | 11,103 | 114,916 | |||||
Autoliv, Inc. | 6,220 | 608,067 | |||||
BorgWarner, Inc. | 15,123 | 734,070 | |||||
Cooper-Standard Holdings, Inc.* | 1,529 | 44,341 | |||||
Dana, Inc. | 26,955 | 640,451 | |||||
Dorman Products, Inc.* | 4,849 | 502,696 | |||||
Fox Factory Holding Corp.* | 7,279 | 1,133,049 | |||||
Gentex Corp. | 17,424 | 576,560 | |||||
Gentherm, Inc.* | 4,797 | 340,827 | |||||
Goodyear Tire & Rubber Co. (The)* | 23,980 | 411,257 | |||||
Horizon Global Corp.* | 3,431 | 29,095 | |||||
LCI Industries | 4,449 | 584,688 | |||||
Lear Corp. | 4,555 | 798,400 | |||||
Modine Manufacturing Co.* | 6,449 | 106,989 | |||||
Motorcar Parts of America, Inc.* | 2,267 | 50,872 | |||||
Patrick Industries, Inc. | 3,605 | 263,165 | |||||
Standard Motor Products, Inc. | 3,061 | 132,694 | |||||
Stoneridge, Inc.* | 3,762 | 110,979 | |||||
Strattec Security Corp.* | 941 | 41,837 | |||||
Tenneco, Inc. Class A* | 5,563 | 107,477 | |||||
Visteon Corp.* | 3,868 | 467,796 | |||||
7,800,226 | |||||||
Automobiles — 0.2% | |||||||
Harley-Davidson, Inc. | 10,877 | 498,384 | |||||
Thor Industries, Inc. | 1,091 | 123,283 | |||||
Winnebago Industries, Inc. | 4,692 | 318,869 | |||||
940,536 | |||||||
Beverages — 0.4% | |||||||
Celsius Holdings, Inc.* | 675 | 51,361 | |||||
Coca-Cola Consolidated, Inc. | 1,225 | 492,609 | |||||
MGP Ingredients, Inc. | 2,096 | 141,773 | |||||
Molson Coors Brewing Co., | |||||||
Class B* | 12,855 | 690,185 | |||||
National Beverage Corp. | 9,512 | 449,252 | |||||
1,825,180 | |||||||
Biotechnology — 3.1% | |||||||
Acadia Pharmaceuticals, Inc.* | 548 | 13,366 | |||||
Acceleron Pharma, Inc.* | 5,051 | 633,850 | |||||
Adverum Biotechnologies, Inc.* | 8,282 | 28,987 | |||||
Agios Pharmaceuticals, Inc.*@ | 228 | 12,565 | |||||
Akebia Therapeutics, Inc.* | 5,200 | 19,708 | |||||
Akero Therapeutics, Inc.* | 500 | 12,405 | |||||
Albireo Pharma, Inc.* | 618 | 21,741 | |||||
Alkermes PLC* | 6,959 | 170,635 | |||||
Anika Therapeutics, Inc.* | 1,795 | 77,706 | |||||
Applied Genetic Technologies Corp.* | 2,241 | 8,762 | |||||
Aravive, Inc.* | 1,937 | 11,583 | |||||
Arcus Biosciences, Inc.* | 1,500 | 41,190 | |||||
Arcutis Biotherapeutics, Inc.* | 1,972 | 53,816 | |||||
Ardelyx, Inc.* | 12,205 | 92,514 | |||||
Arena Pharmaceuticals, Inc.* | 3,345 | 228,129 | |||||
Arrowhead Pharmaceuticals, Inc.* | 8,769 | 726,249 | |||||
Avid Bioservices, Inc.* | 4,616 | 118,400 | |||||
Bluebird Bio, Inc.* | 4,559 | 145,797 | |||||
Bridgebio Pharma, Inc.*@ | 13,072 | 796,869 | |||||
Calithera Biosciences, Inc.* | 3,632 | 7,591 | |||||
Catalyst Pharmaceuticals, Inc.* | 3,347 | 19,245 | |||||
Celldex Therapeutics, Inc.* | 7 | 234 | |||||
Chimerix, Inc.* | 13,027 | 104,216 | |||||
Chinook Therapeutics, Inc.* | 1,563 | 22,070 | |||||
Concert Pharmaceuticals, Inc.* | 4,026 | 16,990 | |||||
Corvus Pharmaceuticals, Inc.*@ | 1,065 | 2,844 | |||||
Crinetics Pharmaceuticals, Inc.* | 551 | 10,386 | |||||
CRISPR Therapeutics AG* | 3,261 | 527,923 | |||||
Deciphera Pharmaceuticals, Inc.* | 600 | 21,966 | |||||
Denali Therapeutics, Inc.* | 4,611 | 361,687 | |||||
Eagle Pharmaceuticals, Inc.* | 488 | 20,886 |
The accompanying notes are an integral part of these financial statements.
45
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Biotechnology (Continued) | |||||||
Editas Medicine, Inc.*@ | 2,891 | $ | 163,746 | ||||
Emergent BioSolutions, Inc.* | 7,428 | 467,890 | |||||
Enanta Pharmaceuticals, Inc.* | 2,747 | 120,895 | |||||
Exelixis, Inc.* | 27,311 | 497,606 | |||||
Fate Therapeutics, Inc.* | 7,137 | 619,420 | |||||
Frequency Therapeutics, Inc.*@ | 375 | 3,735 | |||||
G1 Therapeutics, Inc.* | 2,450 | 53,753 | |||||
Global Blood Therapeutics, Inc.* | 586 | 20,522 | |||||
Halozyme Therapeutics, Inc.* | 11,959 | 543,058 | |||||
ImmunityBio, Inc.* | 3,427 | 48,938 | |||||
Intellia Therapeutics, Inc.* | 5,748 | 930,659 | |||||
Ironwood Pharmaceuticals, Inc.* | 11,916 | 153,359 | |||||
IVERIC bio, Inc.* | 2,477 | 15,630 | |||||
Karuna Therapeutics, Inc.* | 1,838 | 209,514 | |||||
Kindred Biosciences, Inc.* | 3,345 | 30,674 | |||||
Krystal Biotech, Inc.* | 913 | 62,084 | |||||
Ligand Pharmaceuticals, Inc.* | 1,956 | 256,608 | |||||
MacroGenics, Inc.* | 3,231 | 86,785 | |||||
Magenta Therapeutics, Inc.* | 2,028 | 19,834 | |||||
MeiraGTx Holdings plc* | 697 | 10,803 | |||||
Merrimack Pharmaceuticals, Inc.* | 2,761 | 17,643 | |||||
Minerva Neurosciences, Inc.* | 5,077 | 11,779 | |||||
Mirati Therapeutics, Inc.* | 1,284 | 207,404 | |||||
Morphic Holding, Inc.* | 2,020 | 115,928 | |||||
Myriad Genetics, Inc.* | 9,211 | 281,672 | |||||
Natera, Inc.* | 6,258 | 710,471 | |||||
Neurocrine Biosciences, Inc.* | 8,413 | 818,753 | |||||
Novavax, Inc.* | 1,641 | 348,401 | |||||
Oncocyte Corp.* | 1,900 | 10,906 | |||||
OPKO Health, Inc.*@ | 23,063 | 93,405 | |||||
PDL BioPharma, Inc.*§ | 18,262 | 33,830 | |||||
Protagonist Therapeutics, Inc.* | 3,624 | 162,645 | |||||
Prothena Corp. PLC* | 1,041 | 53,518 | |||||
REGENXBIO, Inc.* | 345 | 13,403 | |||||
Replimune Group, Inc.* | 2,085 | 80,106 | |||||
Rigel Pharmaceuticals, Inc.* | 3,870 | 16,796 | |||||
Rocket Pharmaceuticals, Inc.* | 1,006 | 44,556 | |||||
Sage Therapeutics, Inc.* | 3,246 | 184,405 | |||||
Sangamo Therapeutics, Inc.* | 3,384 | 40,506 | |||||
Spectrum Pharmaceuticals, Inc.* | 4,922 | 18,457 | |||||
SpringWorks Therapeutics, Inc.* | 2,465 | 203,141 | |||||
Stoke Therapeutics, Inc.*@ | 478 | 16,089 | |||||
Sutro Biopharma, Inc.* | 622 | 11,563 | |||||
Syndax Pharmaceuticals, Inc.* | 5,678 | 97,491 | |||||
Travere Therapeutics, Inc.* | 5,878 | 85,760 | |||||
Ultragenyx Pharmaceutical, Inc.* | 3,471 | 330,960 | |||||
United Therapeutics Corp.* | 3,685 | 661,126 | |||||
Verastem, Inc.* | 9,653 | 39,288 | |||||
Vericel Corp.*@ | 3,412 | 179,130 | |||||
Xencor, Inc.* | 1,697 | 58,529 | |||||
13,593,484 | |||||||
Building Products — 2.4% | |||||||
A.O. Smith Corp. | 10,163 | 732,346 | |||||
AAON, Inc. | 8,430 | 527,634 | |||||
Advanced Drainage Systems, Inc. | 10,226 | 1,192,045 | |||||
American Woodmark Corp.* | 2,420 | 197,690 | |||||
Apogee Enterprises, Inc. | 2,316 | 94,331 | |||||
Armstrong Flooring, Inc.* | 3,460 | 21,417 | |||||
Armstrong World Industries, Inc. | 6,484 | 695,474 | |||||
Builders FirstSource, Inc.* | 34,359 | 1,465,755 | |||||
Cornerstone Building Brands, Inc.* | 3,775 | 68,629 | |||||
CSW Industrials, Inc. | 1,329 | 157,433 | |||||
Gibraltar Industries, Inc.* | 4,189 | 319,663 | |||||
Griffon Corp. | 7,838 | 200,888 | |||||
Insteel Industries, Inc. | 2,278 | 73,238 | |||||
Lennox International, Inc. | 1,823 | 639,508 | |||||
Masonite International Corp.* | 169 | 18,892 | |||||
Owens Corning | 7,572 | 741,299 | |||||
PGT Innovations, Inc.* | 8,621 | 200,266 | |||||
Quanex Building Products Corp. | 3,883 | 96,454 | |||||
Simpson Manufacturing Co., Inc. | 6,624 | 731,554 | |||||
Trex Co., Inc.* | 11,909 | 1,217,219 | |||||
UFP Industries, Inc. | 10,347 | 769,196 | |||||
10,160,931 | |||||||
Capital Markets — 2.5% | |||||||
Affiliated Managers Group, Inc. | 2,857 | 440,578 | |||||
Artisan Partners Asset | |||||||
Management, Inc., Class A | 10,977 | 557,851 | |||||
BBX Capital, Inc.* | 417 | 3,344 | |||||
BGC Partners, Inc., Class A | 31,464 | 178,401 | |||||
Blucora, Inc.* | 10,400 | 180,024 | |||||
BrightSphere Investment Group PLC | 5,801 | 135,917 | |||||
Cohen & Steers, Inc. | 6,966 | 571,839 | |||||
Cowen, Inc. Class A | 3,899 | 160,054 | |||||
Diamond Hill Investment Group, Inc. | 289 | 48,353 | |||||
Donnelley Financial Solutions, Inc.* | 7,095 | 234,135 | |||||
Evercore, Inc., Class A | 4,605 | 648,246 | |||||
Federated Hermes, Inc. | 13,787 | 467,517 | |||||
GAMCO Investors, Inc., Class A | 1,200 | 30,120 | |||||
Greenhill & Co., Inc. | 2,413 | 37,546 | |||||
Houlihan Lokey, Inc. | 1,002 | 81,954 | |||||
Invesco Ltd. | 27,257 | 728,580 | |||||
Janus Henderson Group PLC | 16,584 | 643,625 | |||||
Jefferies Financial Group, Inc. | 24,499 | 837,866 | |||||
Lazard Ltd., Class A | 7,639 | 345,665 | |||||
LPL Financial Holdings, Inc. | 6,203 | 837,281 | |||||
Manning & Napier, Inc.* | 2,524 | 19,864 | |||||
Moelis & Co., Class A | 3,839 | 218,401 | |||||
Morningstar, Inc. | 3,198 | 822,238 | |||||
Oppenheimer Holdings, Inc., | |||||||
Class A | 1,743 | 88,614 | |||||
Piper Sandler Cos. | 2,576 | 333,746 | |||||
PJT Partners, Inc., Class A | 597 | 42,614 | |||||
Pzena Investment Management, Inc., | |||||||
Class A | 2,375 | 26,149 | |||||
Safeguard Scientifics, Inc.* | 2,580 | 20,021 | |||||
SEI Investments Co. | 3,232 | 200,287 | |||||
Silvercrest Asset Management Group, | |||||||
Inc., Class A | 759 | 11,415 | |||||
Stifel Financial Corp. | 18,072 | 1,172,150 | |||||
Stonex Group, Inc.* | 2,987 | 181,221 | |||||
Virtu Financial, Inc., Class A | 5,099 | 140,885 |
The accompanying notes are an integral part of these financial statements.
46
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Capital Markets (Continued) | |||||||
Virtus Investment Partners, Inc. | 1,097 | $ | 304,714 | ||||
Westwood Holdings Group, Inc. | 1,157 | 25,176 | |||||
WisdomTree Investments, Inc.@ | 14,777 | 91,617 | |||||
10,868,008 | |||||||
Chemicals — 2.8% | |||||||
Advanced Emissions Solutions, Inc.* | 2,266 | 16,791 | |||||
AdvanSix, Inc.* | 5,840 | 174,382 | |||||
American Vanguard Corp. | 4,836 | 84,678 | |||||
Ashland Global Holdings, Inc. | 3,607 | 315,612 | |||||
Avient Corp. | 11,830 | 581,563 | |||||
Axalta Coating Systems Ltd.* | 18,164 | 553,820 | |||||
Balchem Corp. | 5,303 | 696,072 | |||||
Cabot Corp. | 6,650 | 378,584 | |||||
CF Industries Holdings, Inc. | 11,672 | 600,524 | |||||
Chase Corp. | 1,731 | 177,618 | |||||
Chemours Co. (The) | 10,027 | 348,940 | |||||
Core Molding Technologies, Inc.* | 1,500 | 23,145 | |||||
Element Solutions, Inc. | 30,212 | 706,357 | |||||
Ferro Corp.* | 12,391 | 267,274 | |||||
FutureFuel Corp. | 4,517 | 43,363 | |||||
GCP Applied Technologies, Inc.* | 2,256 | 52,475 | |||||
H.B. Fuller Co. | 7,908 | 503,028 | |||||
Hawkins, Inc. | 2,948 | 96,547 | |||||
Huntsman Corp. | 13,650 | 361,998 | |||||
Ingevity Corp.* | 948 | 77,129 | |||||
Innospec, Inc. | 3,683 | 333,717 | |||||
Intrepid Potash, Inc.* | 1,589 | 50,626 | |||||
Koppers Holdings, Inc.* | 2,308 | 74,664 | |||||
Kraton Corp.* | 4,462 | 144,078 | |||||
Kronos Worldwide, Inc. | 6,686 | 95,743 | |||||
Livent Corp.*@ | 1,509 | 29,214 | |||||
Minerals Technologies, Inc. | 4,731 | 372,188 | |||||
Mosaic Co. (The) | 23,505 | 750,045 | |||||
NewMarket Corp. | 570 | 183,529 | |||||
Olin Corp. | 3,715 | 171,856 | |||||
PQ Group Holdings, Inc. | 1,340 | 20,582 | |||||
Quaker Chemical Corp. | 30 | 7,116 | |||||
Rayonier Advanced Materials, Inc.* | 6,292 | 42,093 | |||||
RPM International, Inc. | 6,495 | 575,977 | |||||
Scotts Miracle-Gro Co. (The) | 3,752 | 720,084 | |||||
Sensient Technologies Corp. | 6,905 | 597,697 | |||||
Stepan Co. | 3,395 | 408,317 | |||||
Trecora Resources* | 4,188 | 34,844 | |||||
Tredegar Corp. | 3,412 | 46,983 | |||||
Trinseo SA | 5,354 | 320,383 | |||||
Tronox Holdings PLC Class A | 12,458 | 279,059 | |||||
Valvoline, Inc. | 5,402 | 175,349 | |||||
W.R. Grace & Co. | 4,369 | 301,985 | |||||
Westlake Chemical Corp. | 4,157 | 374,504 | |||||
12,170,533 | |||||||
Commercial Banks — 8.7% | |||||||
1st Source Corp. | 3,500 | 162,610 | |||||
Allegiance Bancshares, Inc. | 1,614 | 62,042 | |||||
Altabancorp | 2,621 | 113,516 | |||||
American National Bankshares, Inc. | 1,508 | 46,884 | |||||
Ameris Bancorp | 9,958 | 504,174 | |||||
AmeriServ Financial, Inc. | 4,400 | 17,292 | |||||
Arrow Financial Corp. | 2,657 | 95,519 | |||||
Associated Banc-Corp. | 18,940 | 387,891 | |||||
Atlantic Capital Bancshares, Inc.* | 2,502 | 63,701 | |||||
Atlantic Union Bankshares Corp. | 9,916 | 359,158 | |||||
Banc of California, Inc. | 6,945 | 121,815 | |||||
Bancfirst Corp. | 4,749 | 296,480 | |||||
Bancorp, Inc. (The)* | 9,002 | 207,136 | |||||
BancorpSouth Bank | 12,702 | 359,848 | |||||
Bank of Hawaii Corp. | 3,915 | 329,721 | |||||
Bank of Marin Bancorp | 1,580 | 50,402 | |||||
Bank OZK | 3,630 | 153,041 | |||||
BankFinancial Corp. | 2,474 | 28,303 | |||||
BankUnited, Inc. | 3,750 | 160,088 | |||||
Bankwell Financial Group, Inc. | 326 | 9,011 | |||||
Banner Corp. | 4,653 | 252,239 | |||||
Bar Harbor Bankshares | 2,089 | 59,787 | |||||
BCB Bancorp, Inc. | 878 | 11,809 | |||||
Berkshire Hills Bancorp, Inc. | 5,886 | 161,335 | |||||
BOK Financial Corp. | 4,613 | 399,486 | |||||
Boston Private Financial | |||||||
Holdings, Inc. | 11,798 | 174,021 | |||||
Brookline Bancorp, Inc. | 10,982 | 164,181 | |||||
Bryn Mawr Bank Corp. | 2,363 | 99,695 | |||||
C&F Financial Corp. | 466 | 23,766 | |||||
Cadence BanCorp | 6,063 | 126,595 | |||||
Camden National Corp. | 1,756 | 83,867 | |||||
Capital City Bank Group, Inc. | 1,890 | 48,743 | |||||
Cathay General Bancorp | 10,090 | 397,142 | |||||
Central Pacific Financial Corp. | 3,916 | 102,051 | |||||
Central Valley Community Bancorp | 1,638 | 33,006 | |||||
Century Bancorp, Inc., Class A | 462 | 52,668 | |||||
CIT Group, Inc. | 6,260 | 322,953 | |||||
Citizens & Northern Corp. | 852 | 20,874 | |||||
Citizens Community Bancorp, Inc. | 400 | 5,472 | |||||
City Holding Co. | 2,316 | 174,256 | |||||
Civista Bancshares, Inc. | 270 | 5,967 | |||||
CNB Financial Corp. | 2,264 | 51,664 | |||||
Columbia Banking System, Inc. | 9,971 | 384,482 | |||||
Comerica, Inc. | 7,707 | 549,817 | |||||
Commerce Bancshares, Inc. | 8,812 | 657,023 | |||||
Community Bank System, Inc. | 6,538 | 494,600 | |||||
Community Trust Bancorp, Inc. | 2,206 | 89,078 | |||||
Connectone Bancorp, Inc. | 4,989 | 130,562 | |||||
Cullen/Frost Bankers, Inc. | 4,337 | 485,744 | |||||
Customers Bancorp, Inc.* | 5,348 | 208,519 | |||||
CVB Financial Corp. | 18,491 | 380,730 | |||||
Dime Community Bancshares, Inc. | 6,339 | 213,117 | |||||
Eagle Bancorp, Inc. | 4,441 | 249,051 | |||||
East West Bancorp, Inc. | 11,036 | 791,171 | |||||
Enterprise Bancorp, Inc. | 331 | 10,840 | |||||
Enterprise Financial Services Corp. | 3,286 | 152,438 | |||||
Equity Bancshares, Inc., Class A* | 1,470 | 44,820 | |||||
Farmers & Merchants Bancorp, Inc. | 1,205 | 26,293 | |||||
Farmers National Banc Corp. | 3,991 | 61,900 | |||||
FB Financial Corp. | 3,274 | 122,186 |
The accompanying notes are an integral part of these financial statements.
47
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Commercial Banks (Continued) | |||||||
Financial Institutions, Inc. | 1,855 | $ | 55,650 | ||||
First Bancorp | 25,861 | 308,263 | |||||
First Bancorp, Inc. (The) | 1,876 | 55,248 | |||||
First Bancorp/Southern Pines NC | 3,300 | 135,003 | |||||
First Busey Corp. | 6,992 | 172,423 | |||||
First Business Financial | |||||||
Services, Inc. | 551 | 14,916 | |||||
First Citizens Bancshares, Inc., | |||||||
Class A | 551 | 458,840 | |||||
First Commonwealth Financial Corp. | 13,894 | 195,489 | |||||
First Community Bancshares, Inc. | 2,656 | 79,282 | |||||
First Financial Bancorp | 12,704 | 300,196 | |||||
First Financial Bankshares, Inc. | 20,796 | 1,021,707 | |||||
First Financial Corp. | 1,882 | 76,823 | |||||
First Financial Northwest, Inc. | 2,239 | 33,921 | |||||
First Foundation, Inc. | 4,921 | 110,772 | |||||
First Hawaiian, Inc. | 1,200 | 34,008 | |||||
First Horizon Corp. | 39,608 | 684,426 | |||||
First Internet Bancorp | 1,284 | 39,778 | |||||
First Interstate Bancsystem, Inc., | |||||||
Class A | 5,901 | 246,839 | |||||
First Merchants Corp. | 6,709 | 279,564 | |||||
First Mid Bancshares, Inc. | 500 | 20,255 | |||||
First Midwest Bancorp, Inc. | 13,739 | 272,444 | |||||
First of Long Island Corp. (The) | 2,295 | 48,723 | |||||
Flushing Financial Corp. | 4,840 | 103,721 | |||||
FNB Corp. | 24,564 | 302,874 | |||||
Fulton Financial Corp. | 20,805 | 328,303 | |||||
German American Bancorp, Inc. | 4,050 | 150,660 | |||||
Glacier Bancorp, Inc. | 13,180 | 725,954 | |||||
Great Southern Bancorp, Inc. | 2,238 | 120,628 | |||||
Great Western Bancorp, Inc. | 1,271 | 41,676 | |||||
Hancock Whiteny Corp. | 7,368 | 327,434 | |||||
Hanmi Financial Corp. | 3,586 | 68,349 | |||||
Harborone Bancorp, Inc. | 7,533 | 108,023 | |||||
Heartland Financial USA, Inc. | 5,400 | 253,746 | |||||
Heritage Commerce Corp. | 6,526 | 72,634 | |||||
Heritage Financial Corp. | 4,862 | 121,647 | |||||
Hilltop Holdings, Inc. | 8,642 | 314,569 | |||||
Home Bancshares, Inc. | 14,737 | 363,709 | |||||
HomeTrust Bancshares, Inc. | 2,644 | 73,768 | |||||
Hope Bancorp, Inc. | 17,605 | 249,639 | |||||
Horizon Bancorp, Inc. | 5,096 | 88,823 | |||||
Howard Bancorp, Inc.* | 499 | 8,049 | |||||
Independent Bank Corp. | 4,249 | 320,800 | |||||
Independent Bank Group, Inc. | 2,477 | 183,248 | |||||
International Bancshares Corp. | 8,343 | 358,248 | |||||
Investors Bancorp, Inc. | 2,762 | 39,386 | |||||
Lakeland Bancorp, Inc. | 6,732 | 117,675 | |||||
Lakeland Financial Corp. | 3,564 | 219,685 | |||||
Live Oak Bancshares, Inc. | 500 | 29,500 | |||||
Macatawa Bank Corp. | 5,141 | 44,984 | |||||
Mercantile Bank Corp. | 1,601 | 48,350 | |||||
Midland States Bancorp, Inc. | 1,086 | 28,529 | |||||
MidWestOne Financial Group, Inc. | 613 | 17,636 | |||||
National Bank Holdings Corp., | |||||||
Class A | 3,824 | 144,318 | |||||
NBT Bancorp, Inc. | 6,037 | 217,151 | |||||
Nicolet Bankshares, Inc.* | 1,020 | 71,747 | |||||
Northeast Bank | 1,690 | 50,480 | |||||
Northrim Bancorp, Inc. | 1,100 | 47,025 | |||||
OceanFirst Financial Corp. | 5,639 | 117,517 | |||||
OFG Bancorp | 7,473 | 165,303 | |||||
Old National Bancorp | 20,623 | 363,171 | |||||
Old Second Bancorp, Inc. | 2,244 | 27,826 | |||||
Pacific Mercantile Bancorp* | 2,500 | 21,500 | |||||
Pacific Premier Bancorp, Inc. | 10,016 | 423,577 | |||||
PacWest Bancorp | 6,913 | 284,539 | |||||
Park National Corp. | 2,148 | 252,218 | |||||
Peapack Gladstone Financial Corp. | 3,030 | 94,142 | |||||
Penns Woods Bancorp, Inc. | 1,138 | 27,107 | |||||
People’s United Financial, Inc. | 41,235 | 706,768 | |||||
Peoples Bancorp, Inc. | 3,095 | 91,674 | |||||
Pinnacle Financial Partners, Inc. | 3,365 | 297,096 | |||||
Popular, Inc. | 9,824 | 737,291 | |||||
Preferred Bank | 2,069 | 130,906 | |||||
Premier Financial Bancorp, Inc. | 1,726 | 29,083 | |||||
Primis Financial Corp. | 2,721 | 41,522 | |||||
Prosperity Bancshares, Inc. | 8,898 | 638,876 | |||||
QCR Holdings, Inc. | 1,914 | 92,044 | |||||
Renasant Corp. | 6,735 | 269,400 | |||||
Republic Bancorp, Inc., Class A | 2,887 | 133,177 | |||||
Republic First Bancorp, Inc.* | 3,546 | 14,149 | |||||
S&T Bancorp, Inc. | 5,792 | 181,290 | |||||
Sandy Spring Bancorp, Inc. | 5,644 | 249,070 | |||||
Seacoast Banking Corp. of Florida | 5,668 | 193,562 | |||||
Select Bancorp, Inc.* | 200 | 3,224 | |||||
ServisFirst Bancshares, Inc. | 6,378 | 433,576 | |||||
Sierra Bancorp | 2,000 | 50,900 | |||||
Signature Bank | 4,291 | 1,054,084 | |||||
Simmons First National Corp., | |||||||
Class A | 13,092 | 384,119 | |||||
South State Corp. | 7,923 | 647,784 | |||||
Southern First Bancshares, Inc.* | 1,424 | 72,852 | |||||
Southside Bancshares, Inc. | 4,400 | 168,212 | |||||
Sterling Bancorp | 24,347 | 603,562 | |||||
Stock Yards Bancorp, Inc. | 3,326 | 169,260 | |||||
Summit Financial Group, Inc. | 392 | 8,628 | |||||
Synovus Financial Corp. | 10,832 | 475,308 | |||||
Texas Capital Bancshares, Inc.* | 3,548 | 225,263 | |||||
Tompkins Financial Corp. | 2,220 | 172,183 | |||||
TowneBank | 6,582 | 200,224 | |||||
Trico Bancshares | 3,645 | 155,204 | |||||
TriState Capital Holdings, Inc.* | 3,129 | 63,800 | |||||
Triumph Bancorp, Inc.* | 2,765 | 205,301 | |||||
Trustmark Corp. | 8,464 | 260,691 | |||||
UMB Financial Corp. | 5,619 | 522,904 | |||||
Umpqua Holdings Corp. | 9,156 | 168,928 | |||||
United Bankshares, Inc. | 14,418 | 526,257 | |||||
United Community Banks, Inc. | 10,212 | 326,886 | |||||
Univest Financial Corp | 3,363 | 88,682 | |||||
Valley National Bancorp | 47,097 | 632,513 | |||||
Veritex Holdings, Inc. | 3,570 | 126,414 |
The accompanying notes are an integral part of these financial statements.
48
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Commercial Banks (Continued) | |||||||
Washington Trust Bancorp, Inc. | 2,405 | $ | 123,497 | ||||
Webster Financial Corp. | 3,323 | 177,249 | |||||
WesBanco, Inc. | 8,812 | 313,972 | |||||
West Bancorp, Inc. | 2,392 | 66,378 | |||||
Westamerica Bancorp | 3,655 | 212,100 | |||||
Western Alliance Bancorp | 5,446 | 505,661 | |||||
Wintrust Financial Corp. | 5,592 | 422,923 | |||||
Zions Bancorp NA | 11,502 | 607,996 | |||||
37,519,461 | |||||||
Commercial Services & Supplies — 2.3% | |||||||
ABM Industries, Inc. | 9,209 | 408,419 | |||||
ACCO Brands Corp. | 13,357 | 115,271 | |||||
Brady Corp., Class A | 6,707 | 375,860 | |||||
Brink’s Co. (The) | 7,356 | 565,235 | |||||
Casella Waste Systems, Inc., | |||||||
Class A* | 7,613 | 482,893 | |||||
Ceco Environmental Corp.* | 4,211 | 30,151 | |||||
Cimpress PLC* | 4,254 | 461,176 | |||||
Clean Harbors, Inc.* | 8,441 | 786,195 | |||||
Covanta Holding Corp. | 12,362 | 217,695 | |||||
Deluxe Corp. | 5,974 | 285,378 | |||||
Ennis, Inc. | 4,400 | 94,688 | |||||
Harsco Corp.* | 6,802 | 138,897 | |||||
Healthcare Services Group, Inc. | 6,773 | 213,824 | |||||
Heritage-Crystal Clean, Inc.* | 3,229 | 95,837 | |||||
Herman Miller, Inc. | 8,027 | 378,393 | |||||
HNI Corp. | 6,049 | 265,975 | |||||
IAA, Inc.* | 8,384 | 457,263 | |||||
Interface, Inc. | 8,689 | 132,942 | |||||
KAR Auction Services, Inc.* | 5,924 | 103,966 | |||||
Kimball International, Inc., Class B | 5,056 | 66,486 | |||||
Knoll, Inc. | 10,471 | 272,141 | |||||
Matthews International Corp., | |||||||
Class A | 4,613 | 165,883 | |||||
MSA Safety, Inc. | 5,857 | 969,802 | |||||
NL Industries, Inc. | 4,571 | 29,711 | |||||
Pitney Bowes, Inc. | 4,177 | 36,632 | |||||
Quad/Graphics, Inc.* | 4,591 | 19,053 | |||||
SP Plus Corp.* | 3,390 | 103,700 | |||||
Steelcase, Inc., Class A | 12,853 | 194,209 | |||||
Stericycle, Inc.* | 5,435 | 388,874 | |||||
Team, Inc.* | 4,062 | 27,215 | |||||
Tetra Tech, Inc. | 7,685 | 937,877 | |||||
UniFirst Corp. | 2,356 | 552,812 | |||||
US Ecology, Inc.* | 4,572 | 171,541 | |||||
Viad Corp.* | 2,833 | 141,225 | |||||
Vidler Water Resouces, Inc.* | 2,070 | 27,531 | |||||
Virco Manufacturing Corp.* | 2,494 | 8,505 | |||||
VSE Corp. | 1,964 | 97,238 | |||||
9,820,493 | |||||||
Communications Equipment — 1.2% | |||||||
ADTRAN, Inc. | 7,551 | 155,928 | |||||
Applied Optoelectronics, Inc.* | 3,183 | 26,960 | |||||
BK Technologies Corp. | 2,000 | 6,300 | |||||
CalAmp Corp.* | 5,414 | 68,866 | |||||
Calix, Inc.* | 1,031 | 48,972 | |||||
Ciena Corp.* | 21,298 | 1,211,643 | |||||
Clearfield, Inc.* | 2,380 | 89,131 | |||||
CommScope Holding Co., Inc.* | 3,352 | 71,431 | |||||
Communications Systems, Inc. | 1,418 | 10,181 | |||||
Comtech Telecommunications Corp. | 3,207 | 77,481 | |||||
Digi International, Inc.* | 3,397 | 68,314 | |||||
F5 Networks, Inc.* | 3,709 | 692,322 | |||||
Harmonic, Inc.* | 10,330 | 88,012 | |||||
Infinera Corp.*@ | 19,188 | 195,718 | |||||
Juniper Networks, Inc. | 20,909 | 571,861 | |||||
KVH Industries, Inc.* | 4,034 | 49,618 | |||||
Lantronix, Inc.* | 1,100 | 5,676 | |||||
Lumentum Holdings, Inc.*@ | 5,615 | 460,598 | |||||
NETGEAR, Inc.* | 4,009 | 153,625 | |||||
NetScout Systems, Inc.* | 10,114 | 288,654 | |||||
Network-1 Technologies, Inc. | 1,343 | 4,378 | |||||
Optical Cable Corp.* | 374 | 1,429 | |||||
PC-Tel, Inc.* | 2,629 | 17,220 | |||||
Ribbon Communications, Inc.* | 13,960 | 106,236 | |||||
Tessco Technologies, Inc.* | 1,000 | 6,150 | |||||
Viasat, Inc.* | 4,646 | 231,557 | |||||
Viavi Solutions, Inc.* | 33,947 | 599,504 | |||||
5,307,765 | |||||||
Computers & Peripherals — 0.2% | |||||||
AstroNova, Inc.* | 1,572 | 21,882 | |||||
Avid Technology, Inc.* | 9,865 | 386,215 | |||||
Intevac, Inc.* | 3,414 | 23,011 | |||||
NCR Corp.* | 1,087 | 49,578 | |||||
Super Micro Computer, Inc.* | 1,663 | 58,504 | |||||
Xerox Holdings Corp. | 17,257 | 405,367 | |||||
944,557 | |||||||
Construction & Engineering — 1.8% | |||||||
AECOM* | 10,667 | 675,434 | |||||
Ameresco, Inc., Class A* | 4,588 | 287,759 | |||||
Arcosa, Inc. | 1,853 | 108,845 | |||||
Argan, Inc. | 1,586 | 75,795 | |||||
Comfort Systems USA, Inc. | 5,495 | 432,951 | |||||
Dycom Industries, Inc.* | 4,626 | 344,776 | |||||
EMCOR Group, Inc. | 8,575 | 1,056,354 | |||||
Fluor Corp.* | 6,585 | 116,555 | |||||
Granite Construction, Inc. | 6,364 | 264,297 | |||||
Great Lakes Dredge & Dock Corp.* | 10,001 | 146,115 | |||||
IES Holdings, Inc.* | 2,886 | 148,225 | |||||
MasTec, Inc.* | 7,480 | 793,628 | |||||
Matrix Service Co.* | 4,086 | 42,903 | |||||
MYR Group, Inc.* | 3,408 | 309,855 | |||||
Northwest Pipe Co.* | 1,211 | 34,211 | |||||
NV5 Global, Inc.* | 2,088 | 197,337 | |||||
Orion Group Holdings, Inc.* | 3,431 | 19,728 | |||||
Primoris Services Corp. | 7,420 | 218,371 | |||||
Quanta Services, Inc. | 9,091 | 823,372 | |||||
Sterling Construction Co., Inc.* | 4,000 | 96,520 |
The accompanying notes are an integral part of these financial statements.
49
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Construction & Engineering (Continued) | |||||||
Tutor Perini Corp.* | 4,753 | $ | 65,829 | ||||
Valmont Industries, Inc. | 3,498 | 825,703 | |||||
WillScot Mobile Mini | |||||||
Holdings Corp.* | 21,315 | 594,049 | |||||
7,678,612 | |||||||
Construction Materials — 0.2% | |||||||
Eagle Materials, Inc. | 1,439 | 204,496 | |||||
Forterra, Inc.* | 1,512 | 35,547 | |||||
Summit Materials, Inc., Class A* | 5,300 | 184,705 | |||||
United States Lime & Minerals, Inc. | 1,199 | 166,769 | |||||
U.S. Concrete, Inc.* | 2,358 | 174,021 | |||||
765,538 | |||||||
Consumer Finance — 1.4% | |||||||
Ally Financial, Inc. | 17,415 | 867,964 | |||||
Atlanticus Holdings Corp.* | 3,144 | 124,817 | |||||
Consumer Portfolio Services, Inc.* | 4,988 | 22,446 | |||||
Credit Acceptance Corp.*@ | 760 | 345,124 | |||||
Encore Capital Group, Inc.* | 4,286 | 203,113 | |||||
Enova International, Inc.* | 5,574 | 190,686 | |||||
Ezcorp, Inc., Class A* | 5,994 | 36,144 | |||||
FirstCash, Inc. | 6,272 | 479,432 | |||||
Green Dot Corp., Class A* | 7,143 | 334,649 | |||||
LendingClub Corp.* | 8,351 | 151,404 | |||||
LendingTree, Inc.* | 1,552 | 328,838 | |||||
Navient Corp. | 25,118 | 485,531 | |||||
Nelnet, Inc., Class A | 3,676 | 276,545 | |||||
OneMain Holdings, Inc. | 8,524 | 510,673 | |||||
PRA Group, Inc.* | 6,137 | 236,090 | |||||
PROG Holdings, Inc. | 10,105 | 486,354 | |||||
Regional Management Corp. | 1,467 | 68,274 | |||||
Santander Consumer USA | |||||||
Holdings, Inc. | 16,393 | 595,394 | |||||
SLM Corp. | 14,278 | 298,981 | |||||
World Acceptance Corp.* | 1,107 | 177,386 | |||||
6,219,845 | |||||||
Containers & Packaging — 1.0% | |||||||
AptarGroup, Inc. | 4,532 | 638,287 | |||||
Berry Plastics Group, Inc.* | 10,888 | 710,115 | |||||
Crown Holdings, Inc. | 1,848 | 188,884 | |||||
Graphic Packaging Holding Co. | 8,918 | 161,773 | |||||
Greif, Inc., Class A | 3,670 | 222,218 | |||||
Greif, Inc., Class B | 1,193 | 70,387 | |||||
Myers Industries, Inc. | 5,336 | 112,056 | |||||
Packaging Corp. of America | 1,500 | 203,130 | |||||
Sealed Air Corp. | 12,255 | 726,109 | |||||
Silgan Holdings, Inc. | 16,218 | 673,047 | |||||
Sonoco Products Co. | 7,641 | 511,183 | |||||
UFP Technologies, Inc.* | 913 | 52,424 | |||||
4,269,613 | |||||||
Distributors — 0.1% | |||||||
Core-Mark Holding Co., Inc. | 8,353 | 375,968 | |||||
Weyco Group, Inc. | 1,043 | 23,332 | |||||
399,300 | |||||||
Diversified Consumer Services — 1.1% | |||||||
Adtalem Global Education, Inc.* | 6,723 | 239,608 | |||||
American Public Education, Inc.* | 2,124 | 60,194 | |||||
Bright Horizons Family | |||||||
Solutions, Inc.* | 3,373 | 496,202 | |||||
Carriage Services, Inc. | 2,984 | 110,318 | |||||
Chegg, Inc.*@ | 5,122 | 425,689 | |||||
Frontdoor, Inc.* | 3,010 | 149,958 | |||||
Graham Holdings Co., Class B | 523 | 331,530 | |||||
Grand Canyon Education, Inc.* | 6,483 | 583,276 | |||||
H&R Block, Inc. @ | 13,196 | 309,842 | |||||
Houghton Mifflin Harcourt Co.* | 10,946 | 120,844 | |||||
Laureate Education, Inc. Class A* | 2,699 | 39,162 | |||||
Perdoceo Education Corp.* | 11,322 | 138,921 | |||||
Service Corp. International | 12,310 | 659,693 | |||||
Strategic Education, Inc. | 3,002 | 228,332 | |||||
Stride, Inc.* | 6,112 | 196,379 | |||||
Terminix Global Holdings, Inc.* | 10,611 | 506,251 | |||||
Universal Technical Institute, Inc.* | 4,347 | 28,212 | |||||
WW International, Inc.* | 6,398 | 231,224 | |||||
4,855,635 | |||||||
Diversified Financial Services — 0.3% | |||||||
A-Mark Precious Metals, Inc. | 1,166 | 54,219 | |||||
Cannae Holdings, Inc.* | 5,802 | 196,746 | |||||
Equitable Holdings, Inc. | 2,089 | 63,610 | |||||
Marlin Business Services Corp. | 3,196 | 72,741 | |||||
Voya Financial, Inc. | 11,507 | 707,680 | |||||
1,094,996 | |||||||
Diversified Telecommunication Services — 0.3% | |||||||
Alaska Communications Systems | |||||||
Group, Inc.* | 2,448 | 8,152 | |||||
ATN International, Inc. | 2,516 | 114,453 | |||||
Cincinnati Bell, Inc.* | 6,675 | 102,928 | |||||
Cogent Communications | |||||||
Holdings, Inc. | 6,583 | 506,167 | |||||
Consolidated Communications | |||||||
Holdings, Inc.* | 7,487 | 65,811 | |||||
IDT Corp., Class B* | 5,102 | 188,570 | |||||
Iridium Communications, Inc.* | 1,819 | 72,742 | |||||
Orbcomm, Inc.* | 11,555 | 129,878 | |||||
1,188,701 | |||||||
Electric Utilities — 1.0% | |||||||
Allete, Inc. | 3,475 | 243,181 | |||||
Genie Energy Ltd. Class B | 3,300 | 20,856 | |||||
Hawaiian Electric Industries, Inc. | 8,115 | 343,102 | |||||
IDACORP, Inc. | 3,214 | 313,365 | |||||
MGE Energy, Inc. | 5,213 | 388,056 | |||||
NRG Energy, Inc. | 14,764 | 594,989 | |||||
OGE Energy Corp. | 10,791 | 363,117 | |||||
Otter Tail Corp. | 5,743 | 280,316 | |||||
Pinnacle West Capital Corp. | 5,960 | 488,541 | |||||
PNM Resources, Inc. | 15,409 | 751,497 | |||||
Portland General Electric Co. | 6,399 | 294,866 | |||||
Spark Energy, Inc., Class A@ | 2,000 | 22,660 | |||||
4,104,546 |
The accompanying notes are an integral part of these financial statements.
50
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Electrical Equipment — 1.2% | |||||||
Acuity Brands, Inc. | 2,065 | $ | 386,217 | ||||
Allied Motion Technologies, Inc. | 2,468 | 85,220 | |||||
Atkore, Inc.* | 9,186 | 652,206 | |||||
AZZ, Inc. | 3,516 | 182,058 | |||||
Encore Wire Corp. | 2,652 | 200,995 | |||||
EnerSys | 6,533 | 638,470 | |||||
Hubbell, Inc. | 4,209 | 786,410 | |||||
LSI Industries, Inc. | 3,137 | 25,127 | |||||
nVent Electric PLC | 1,295 | 40,456 | |||||
Powell Industries, Inc. | 1,380 | 42,711 | |||||
Preformed Line Products Co. | 668 | 49,566 | |||||
Regal Beloit Corp. | 5,003 | 667,950 | |||||
Sensata Technologies Holding PLC* | 11,437 | 663,003 | |||||
Sunrun, Inc.*@ | 6,232 | 347,621 | |||||
Thermon Group Holdings, Inc.* | 3,577 | 60,952 | |||||
TPI Composites, Inc.* | 564 | 27,309 | |||||
Ultralife Corp.* | 2,441 | 20,456 | |||||
Vicor Corp.* | 4,580 | 484,289 | |||||
5,361,016 | |||||||
Electronic Equipment, Instruments & Components — 2.9% | |||||||
Advanced Energy Industries, Inc. | 4,984 | 561,747 | |||||
Arlo Technologies, Inc.* | 13,049 | 88,342 | |||||
Arrow Electronics, Inc.* | 8,403 | 956,513 | |||||
Avnet, Inc. | 8,549 | 342,644 | |||||
Badger Meter, Inc. | 4,105 | 402,783 | |||||
Bel Fuse, Inc., Class B | 1,421 | 20,462 | |||||
Belden, Inc. | 6,188 | 312,927 | |||||
Benchmark Electronics, Inc. | 4,604 | 131,030 | |||||
Coherent, Inc.* | 520 | 137,457 | |||||
CTS Corp. | 4,480 | 166,477 | |||||
Daktronics, Inc.* | 4,902 | 32,304 | |||||
ePlus, Inc.* | 2,400 | 208,056 | |||||
Fabrinet* | 5,091 | 488,074 | |||||
FARO Technologies, Inc.* | 2,603 | 202,435 | |||||
Flex Ltd.* | 28,069 | 501,593 | |||||
Frequency Electronics, Inc.* | 1,400 | 13,720 | |||||
IEC Electronics Corp.* | 800 | 8,408 | |||||
II-VI, Inc.*@ | 5,457 | 396,124 | |||||
Insight Enterprises, Inc.* | 5,431 | 543,154 | |||||
IPG Photonics Corp.* | 2,226 | 469,174 | |||||
Itron, Inc.* | 5,653 | 565,187 | |||||
Jabil, Inc. | 5,378 | 312,569 | |||||
Key Tronic Corp.* | 1,700 | 11,084 | |||||
Kimball Electronics, Inc.* | 4,014 | 87,264 | |||||
Knowles Corp.* | 8,691 | 171,560 | |||||
Littelfuse, Inc. | 2,112 | 538,116 | |||||
Methode Electronics, Inc. | 6,118 | 301,067 | |||||
NAPCO Security Technologies, Inc.* | 3,832 | 139,370 | |||||
National Instruments Corp. | 8,623 | 364,580 | |||||
nLight, Inc.* | 400 | 14,512 | |||||
Novanta, Inc.* | 4,922 | 663,289 | |||||
OSI Systems, Inc.* | 2,812 | 285,812 | |||||
PAR Technology Corp.*@ | 2,088 | 146,035 | |||||
PC Connection, Inc. | 3,611 | 167,081 | |||||
Plexus Corp.* | 4,668 | 426,702 | |||||
Richardson Electronics Ltd. | 1,505 | 12,507 | |||||
Rogers Corp.* | 2,366 | 475,093 | |||||
Sanmina Corp.* | 9,813 | 382,314 | |||||
Scansource, Inc.* | 3,425 | 96,345 | |||||
SYNNEX Corp. | 3,640 | 443,206 | |||||
TTM Technologies, Inc.* | 15,402 | 220,249 | |||||
Vishay Intertechnology, Inc. | 20,581 | 464,102 | |||||
Vishay Precision Group, Inc.* | 1,694 | 57,664 | |||||
Wayside Technology Group, Inc. | 315 | 7,888 | |||||
12,337,020 | |||||||
Energy Equipment & Services — 0.4% | |||||||
Archrock, Inc. | 14,737 | 131,307 | |||||
Bristow Group, Inc.* | 1,138 | 29,144 | |||||
Core Laboratories NV | 2,189 | 85,262 | |||||
Dawson Geophysical Co.* | 2,775 | 7,243 | |||||
DMC Global, Inc.* | 2,412 | 135,578 | |||||
Dril-Quip, Inc.* | 3,044 | 102,978 | |||||
Exterran Corp.* | 3,877 | 18,455 | |||||
Geospace Technologies Corp.* | 1,646 | 13,316 | |||||
Gulf Island Fabrication, Inc.* | 1,823 | 8,240 | |||||
Helix Energy Solutions Group, Inc.* | 14,425 | 82,367 | |||||
Helmerich & Payne, Inc. | 7,229 | 235,882 | |||||
KLX Energy Services | |||||||
Holdings, Inc.*@ | 766 | 7,315 | |||||
Nabors Industries Ltd.* | 763 | 87,165 | |||||
Natural Gas Services Group, Inc.* | 2,179 | 22,400 | |||||
NOV, Inc.* | 23,817 | 364,876 | |||||
Oceaneering International, Inc.* | 9,166 | 142,715 | |||||
Oil States International, Inc.* | 5,995 | 47,061 | |||||
Patterson-UTI Energy, Inc. | 599 | 5,954 | |||||
SEACOR Marine Holdings, Inc.* | 3,233 | 14,258 | |||||
TechnipFMC PLC* | 5,694 | 51,531 | |||||
U.S. Silica Holdings, Inc.* | 7,259 | 83,914 | |||||
1,676,961 | |||||||
Entertainment — 0.4% | |||||||
Ballantyne Strong, Inc.* | 3,464 | 16,592 | |||||
Cinemark Holdings, Inc.* | 1,868 | 41,003 | |||||
Gaia, Inc.* | 1,407 | 15,463 | |||||
IMAX Corp.* | 4,817 | 103,565 | |||||
Liberty Braves Group, Class A*@ | 338 | 9,538 | |||||
Liberty Media Corp-Liberty Formula | |||||||
One, Class A* | 1,700 | 72,471 | |||||
Liberty Media Corp-Liberty Formula | |||||||
One, Class C* | 11,084 | 534,360 | |||||
Lions Gate Entertainment Corp., | |||||||
Class A* | 4,059 | 84,021 | |||||
Lions Gate Entertainment Corp., | |||||||
Class B* | 5,120 | 93,696 | |||||
Madison Square Garden | |||||||
Entertainment Corp.* | 631 | 52,985 | |||||
Marcus Corp. (The)*@ | 3,100 | 65,751 | |||||
Reading International, Inc., Class A* | 3,044 | 21,217 | |||||
World Wrestling Entertainment, Inc., | |||||||
Class A@ | 2,212 | 128,053 | |||||
Zynga, Inc., Class A* | 62,503 | 664,407 | |||||
1,903,122 |
The accompanying notes are an integral part of these financial statements.
51
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Food & Staples Retailing — 0.7% | |||||||
Andersons, Inc. (The) | 4,594 | $ | 140,255 | ||||
BJ’s Wholesale Club Holdings, Inc.* | 621 | 29,547 | |||||
Casey’s General Stores, Inc. | 2,668 | 519,300 | |||||
Chefs’ Warehouse Inc. (The)* | 5,252 | 167,171 | |||||
Ingles Markets, Inc., Class A | 1,973 | 114,967 | |||||
Natural Grocers by Vitamin | |||||||
Cottage, Inc. | 2,710 | 29,105 | |||||
Performance Food Group Co.* | 7,172 | 347,770 | |||||
PriceSmart, Inc. | 4,645 | 422,741 | |||||
SpartanNash Co. | 5,039 | 97,303 | |||||
Sprouts Farmers Market, Inc.* | 8,100 | 201,285 | |||||
United Natural Foods, Inc.* | 5,237 | 193,664 | |||||
US Foods Holding Corp.* | 11,021 | 422,766 | |||||
Village Super Market, Inc., Class A | 1,435 | 33,737 | |||||
Weis Markets, Inc. | 3,833 | 198,013 | |||||
2,917,624 | |||||||
Food Products — 2.0% | |||||||
B&G Foods, Inc. | 9,229 | 302,711 | |||||
Beyond Meat, Inc.*@ | 2,085 | 328,367 | |||||
Bunge Ltd. | 6,292 | 491,720 | |||||
Cal-Maine Foods, Inc. | 6,372 | 230,730 | |||||
Calavo Growers, Inc. | 3,087 | 195,778 | |||||
Coffee Holding Co., Inc.* | 600 | 3,222 | |||||
Darling Ingredients, Inc.* | 31,183 | 2,104,852 | |||||
Farmer Bros. Co.* | 2,275 | 28,870 | |||||
Flowers Foods, Inc. | 12,107 | 292,989 | |||||
Fresh Del Monte Produce, Inc. | 6,809 | 223,880 | |||||
Freshpet, Inc.* | 485 | 79,036 | |||||
Hostess Brands, Inc.* | 4,664 | 75,510 | |||||
Ingredion, Inc. | 4,253 | 384,896 | |||||
J&J Snack Foods Corp. | 2,433 | 424,339 | |||||
John B. Sanfilippo & Son, Inc. | 1,357 | 120,189 | |||||
Lamb Weston Holdings, Inc. | 8,392 | 676,899 | |||||
Lancaster Colony Corp. | 4,472 | 865,377 | |||||
Landec Corp.* | 3,872 | 43,560 | |||||
Lifeway Foods, Inc.* | 1,756 | 9,096 | |||||
Limoneira Co. | 2,072 | 36,364 | |||||
Pilgrim’s Pride Corp.* | 5,624 | 124,740 | |||||
Post Holdings, Inc.* | 5,411 | 586,931 | |||||
Rocky Mountain Chocolate | |||||||
Factory, Inc.* | 1,260 | 9,614 | |||||
Sanderson Farms, Inc. | 2,860 | 537,594 | |||||
Seaboard Corp. | 46 | 177,962 | |||||
Seneca Foods Corp., Class A* | 1,383 | 70,644 | |||||
Tootsie Roll Industries, Inc.@ | 5,499 | 186,471 | |||||
TreeHouse Foods, Inc.* | 225 | 10,017 | |||||
8,622,358 | |||||||
Gas Utilities — 0.8% | |||||||
Chesapeake Utilities Corp. | 2,784 | 334,999 | |||||
National Fuel Gas Co. | 4,531 | 236,745 | |||||
New Jersey Resources Corp. | 12,600 | 498,582 | |||||
Northwest Natural Holding Co. | 4,622 | 242,747 | |||||
ONE Gas, Inc. | 8,867 | 657,222 | |||||
RGC Resources, Inc. | 600 | 15,126 | |||||
South Jersey Industries, Inc.@ | 12,800 | 331,904 | |||||
Southwest Gas Holdings, Inc. | 4,554 | 301,429 | |||||
Spire, Inc. | 6,614 | 477,994 | |||||
UGI Corp. | 10,146 | 469,861 | |||||
3,566,609 | |||||||
Health Care — 0.0% | |||||||
Contra Aduro Biotech§* | 237 | 228 | |||||
Contra Pfenex, Inc.§* | 2,903 | 816 | |||||
1,044 | |||||||
Health Care Equipment & Supplies — 3.1% | |||||||
Accuray, Inc.* | 10,241 | 46,289 | |||||
Achillion Pharmaceuticals, Inc.§* | 23,152 | 33,570 | |||||
Angiodynamics, Inc.* | 5,611 | 152,226 | |||||
Apyx Medical Corp.* | 1,030 | 10,619 | |||||
AtriCure, Inc.* | 3,939 | 312,481 | |||||
Atrion Corp. | 286 | 177,586 | |||||
Avanos Medical, Inc.* | 6,331 | 230,259 | |||||
Axogen, Inc.* | 2,479 | 53,571 | |||||
Axonics, Inc.* | 3,385 | 214,643 | |||||
Cardiovascular Systems, Inc.* | 2,885 | 123,045 | |||||
CONMED Corp. | 2,825 | 388,240 | |||||
CryoLife, Inc.* | 5,697 | 161,795 | |||||
Cutera, Inc.*@ | 1,969 | 96,540 | |||||
Dentsply Sirona, Inc. | 563 | 35,615 | |||||
Electromed, Inc.* | 2,175 | 24,556 | |||||
Envista Holdings Corp.* | 13,301 | 574,736 | |||||
Fonar Corp.* | 1,282 | 22,666 | |||||
Glaukos Corp.* | 3,337 | 283,078 | |||||
Globus Medical, Inc., Class A* | 6,921 | 536,585 | |||||
Haemonetics Corp.* | 6,914 | 460,749 | |||||
Heska Corp.* | 1,261 | 289,690 | |||||
Hill-Rom Holdings, Inc. | 5,854 | 664,956 | |||||
ICU Medical, Inc.* | 1,949 | 401,104 | |||||
Inogen, Inc.* | 2,826 | 184,170 | |||||
Integer Holdings Corp.* | 4,771 | 449,428 | |||||
Integra LifeSciences Holdings Corp.* | 7,218 | 492,556 | |||||
IntriCon Corp.* | 1,000 | 22,480 | |||||
Invacare Corp.* | 4,558 | 36,783 | |||||
iRhythm Technologies, Inc.* | 101 | 6,701 | |||||
Lantheus Holdings, Inc.* | 8,245 | 227,892 | |||||
LeMaitre Vascular, Inc. | 3,866 | 235,903 | |||||
LENSAR, Inc.* | 1,385 | 11,994 | |||||
LivaNova PLC* | 5,780 | 486,156 | |||||
Meridian Bioscience, Inc.* | 6,000 | 133,080 | |||||
Merit Medical Systems, Inc.* | 6,527 | 422,036 | |||||
Mesa Laboratories, Inc. | 188 | 50,980 | |||||
Natus Medical, Inc.* | 4,076 | 105,895 | |||||
Neogen Corp.* | 12,262 | 564,543 | |||||
Nevro Corp.* | 524 | 86,874 | |||||
NuVasive, Inc.* | 7,740 | 524,617 | |||||
OraSure Technologies, Inc.* | 9,521 | 96,543 | |||||
Orthofix Medical, Inc.* | 2,039 | 81,784 | |||||
OrthoPediatrics Corp.* | 368 | 23,250 | |||||
Penumbra, Inc.* | 3,198 | 876,444 | |||||
Quidel Corp.* | 5,750 | 736,690 | |||||
SeaSpine Holdings Corp.* | 2,964 | 60,792 |
The accompanying notes are an integral part of these financial statements.
52
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Health Care Equipment & Supplies (Continued) | |||||||
Shockwave Medical, Inc.* | 3,061 | $ | 580,764 | ||||
SI-BONE, Inc.* | 1,793 | 56,426 | |||||
STAAR Surgical Co.* | 4,103 | 625,708 | |||||
Surgalign Holdings, Inc.* | 15,534 | 21,592 | |||||
SurModics, Inc.* | 1,788 | 96,999 | |||||
Tactile Systems Technology, Inc.* | 1,097 | 57,044 | |||||
Tandem Diabetes Care, Inc.* | 3,526 | 343,432 | |||||
TransMedics Group, Inc.* | 1,354 | 44,926 | |||||
Utah Medical Products, Inc. | 630 | 53,575 | |||||
Varex Imaging Corp.* | 2,200 | 59,004 | |||||
ViewRay, Inc.* | 5,257 | 34,696 | |||||
13,186,356 | |||||||
Health Care Providers & Services — 3.8% | |||||||
Acadia Healthcare Co., Inc.* | 5,570 | 349,517 | |||||
Addus HomeCare Corp.* | 1,984 | 173,084 | |||||
Amedisys, Inc.* | 5,127 | 1,255,756 | |||||
AMN Healthcare Services, Inc.* | 7,715 | 748,201 | |||||
Apollo Medical Holdings, Inc.* | 2,477 | 155,580 | |||||
Brookdale Senior Living, Inc.* | 16,230 | 128,217 | |||||
Chemed Corp. | 2,096 | 994,552 | |||||
Community Health Systems, Inc.* | 10,734 | 165,733 | |||||
Corvel Corp.* | 3,554 | 477,302 | |||||
Covetrus, Inc.* | 8,063 | 217,701 | |||||
Cross Country Healthcare, Inc.* | 6,503 | 107,365 | |||||
DaVita, Inc.* | 9,640 | 1,160,945 | |||||
Encompass Health Corp. | 7,626 | 595,057 | |||||
Ensign Group, Inc. (The) | 10,168 | 881,261 | |||||
Enzo Biochem, Inc.* | 6,609 | 20,951 | |||||
Hanger, Inc.* | 2,313 | 58,473 | |||||
HealthEquity, Inc.* | 5,680 | 457,126 | |||||
Henry Schein, Inc.* | 12,328 | 914,614 | |||||
Joint Corp. (The)* | 1,139 | 95,585 | |||||
LHC Group, Inc.* | 4,085 | 818,062 | |||||
Magellan Health, Inc.* | 2,949 | 277,796 | |||||
MEDNAX, Inc.* | 4,221 | 127,263 | |||||
ModivCare, Inc.* | 1,567 | 266,500 | |||||
National Healthcare Corp. | 2,131 | 148,957 | |||||
National Research Corp. | 3,724 | 170,932 | |||||
Option Care Health, Inc.* | 1,327 | 29,021 | |||||
Owens & Minor, Inc. | 8,133 | 344,270 | |||||
Patterson Cos., Inc. | 6,194 | 188,236 | |||||
Pennant Group Inc.(The)* | 5,631 | 230,308 | |||||
PetIQ, Inc.* | 1,504 | 58,054 | |||||
Premier, Inc., Class A | 4,408 | 153,354 | |||||
Progyny, Inc.* | 7,503 | 442,677 | |||||
R1 RCM, Inc.* | 22,840 | 507,962 | |||||
RadNet, Inc.* | 7,841 | 264,163 | |||||
Select Medical Holdings Corp. | 24,224 | 1,023,706 | |||||
Sharps Compliance Corp.* | 823 | 8,477 | |||||
Star Equity Holdings, Inc.*@ | 210 | 651 | |||||
Surgery Partners, Inc.* | 6,857 | 456,813 | |||||
Tenet Healthcare Corp.* | 16,691 | 1,118,130 | |||||
Tivity Health, Inc.* | 3,393 | 89,270 | |||||
Triple-S Management Corp.* | 3,473 | 77,344 | |||||
U.S. Physical Therapy, Inc. | 2,352 | 272,526 | |||||
Universal Health Services, Inc., | |||||||
Class B | 3,557 | 520,852 | |||||
16,552,344 | |||||||
Health Care Technology — 0.5% | |||||||
Allscripts Healthcare Solutions, Inc.* | 19,541 | 361,704 | |||||
Computer Programs & Systems, Inc. | 1,636 | 54,364 | |||||
Evolent Health, Inc., Class A* | 4,696 | 99,179 | |||||
Health Catalyst, Inc.*@ | 1,300 | 72,163 | |||||
HealthStream, Inc.* | 4,470 | 124,892 | |||||
Inovalon Holdings, Inc., Class A* | 5,796 | 197,527 | |||||
NextGen Healthcare, Inc.* | 6,391 | 106,027 | |||||
Omnicell, Inc.* | 5,909 | 894,918 | |||||
OptimizeRx Corp.* | 1,202 | 74,404 | |||||
Simulations Plus, Inc. @ | 358 | 19,658 | |||||
Vocera Communications, Inc.* | 2,061 | 82,131 | |||||
2,086,967 | |||||||
Hotels, Restaurants & Leisure — 2.9% | |||||||
Aramark | 13,415 | 499,709 | |||||
Biglari Holdings, Inc., Class A* | 7 | 5,453 | |||||
Biglari Holdings, Inc., Class B* | 74 | 11,801 | |||||
BJ’s Restaurants, Inc.* | 3,542 | 174,054 | |||||
Bloomin’ Brands, Inc.* | 12,574 | 341,258 | |||||
Bluegreen Vacations Holding Corp.* | 417 | 7,506 | |||||
Brinker International, Inc.* | 6,823 | 422,003 | |||||
Carrols Restaurant Group, Inc.* | 8,916 | 53,585 | |||||
Cheesecake Factory, Inc. (The)* | 6,322 | 342,526 | |||||
Choice Hotels International, Inc. | 7,584 | 901,434 | |||||
Churchill Downs, Inc. | 4,317 | 855,889 | |||||
Chuy’s Holdings, Inc.* | 2,478 | 92,330 | |||||
Cracker Barrel Old Country Store, Inc. | 3,034 | 450,428 | |||||
Dave & Buster’s Entertainment, Inc.* | 6,312 | 256,267 | |||||
Del Taco Restaurants, Inc. | 4,096 | 41,001 | |||||
Denny’s Corp.* | 9,931 | 163,762 | |||||
Dover Motorsports, Inc. | 4,000 | 9,000 | |||||
El Pollo Loco Holdings, Inc.* | 4,284 | 78,354 | |||||
Everi Holdings, Inc.* | 4,400 | 109,736 | |||||
Fiesta Restaurant Group, Inc.* | 4,058 | 54,499 | |||||
Hilton Grand Vacations, Inc.* | 559 | 23,137 | |||||
Hyatt Hotels Corp., Class A* | 574 | 44,565 | |||||
International Game Technology PLC*@ | 969 | 23,217 | |||||
Jack in the Box, Inc. | 4,010 | 446,875 | |||||
Lindblad Expeditions Holdings, Inc.*@ | 6,686 | 107,043 | |||||
Marriott Vacations Worldwide Corp.* | 5,840 | 930,312 | |||||
Monarch Casino & Resort, Inc.* | 1,490 | 98,593 | |||||
Nathan’s Famous, Inc. | 794 | 56,628 | |||||
Norwegian Cruise Line Holdings Ltd.* | 10,205 | 300,129 | |||||
Papa John’s International, Inc. | 4,861 | 507,683 | |||||
Planet Fitness, Inc. Class A* | 11,157 | 839,564 | |||||
Playa Hotels & Resorts NV* | 1,000 | 7,430 | |||||
Red Robin Gourmet Burgers, Inc.* | 1,717 | 56,850 | |||||
Ruth’s Hospitality Group, Inc.* | 2,754 | 63,425 | |||||
Scientific Games Corp., Class A* | 1,500 | 116,160 | |||||
SeaWorld Entertainment, Inc.* | 3,757 | 187,625 |
The accompanying notes are an integral part of these financial statements.
53
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Hotels, Restaurants & Leisure (Continued) | |||||||
Shake Shack, Inc., Class A* | 2,567 | $ | 274,720 | ||||
Texas Roadhouse, Inc. | 10,688 | 1,028,186 | |||||
Travel + Leisure Co. | 3,425 | 203,616 | |||||
Vail Resorts, Inc.* | 2,288 | 724,198 | |||||
Wendy’s Co. (The) | 30,015 | 702,951 | |||||
Wingstop, Inc. | 2,302 | 362,864 | |||||
Wyndham Hotels & Resorts, Inc. | 6,210 | 448,921 | |||||
12,425,287 | |||||||
Household Durables — 2.5% | |||||||
Bassett Furniture Industries, Inc. | 2,600 | 63,310 | |||||
Beazer Homes USA, Inc.* | 1,643 | 31,693 | |||||
Cavco Industries, Inc.* | 1,208 | 268,406 | |||||
Century Communities, Inc. | 4,472 | 297,567 | |||||
Ethan Allen Interiors, Inc. | 2,598 | 71,705 | |||||
Flexsteel Industries, Inc. | 1,069 | 43,177 | |||||
Green Brick Partners, Inc.* | 4,024 | 91,506 | |||||
Hamilton Beach Brands Holding Co., | |||||||
Class A | 2,000 | 44,540 | |||||
Helen of Troy Ltd.* | 3,719 | 848,378 | |||||
Hooker Furniture Corp. | 2,100 | 72,744 | |||||
Installed Building Products, Inc. | 5,423 | 663,558 | |||||
iRobot Corp.* | 3,878 | 362,166 | |||||
KB Home | 14,182 | 577,491 | |||||
La-Z-Boy, Inc. | 6,538 | 242,168 | |||||
Leggett & Platt, Inc. | 9,073 | 470,072 | |||||
Lifetime Brands, Inc. | 3,200 | 47,904 | |||||
M.D.C. Holdings, Inc. | 11,847 | 599,458 | |||||
M/I Homes, Inc.* | 5,641 | 330,958 | |||||
Meritage Homes Corp.* | 3,491 | 328,433 | |||||
Mohawk Industries, Inc.* | 4,358 | 837,564 | |||||
New Home Co., Inc. (The)* | 3,433 | 20,152 | |||||
Newell Brands, Inc. | 30,430 | 835,912 | |||||
Orleans Homebuilders, Inc.*@§ | 4,953 | — | |||||
Skyline Champion Corp.* | 2,906 | 154,890 | |||||
Sonos, Inc.* | 902 | 31,777 | |||||
Taylor Morrison Home Corp.* | 11,079 | 292,707 | |||||
Tempur Sealy International, Inc. | 25,976 | 1,017,999 | |||||
Toll Brothers, Inc. | 11,905 | 688,228 | |||||
TopBuild Corp.* | 4,720 | 933,522 | |||||
TRI Pointe Homes, Inc.* | 16,696 | 357,795 | |||||
Tupperware Brands Corp.* | 773 | 18,359 | |||||
Universal Electronics, Inc.* | 2,258 | 109,513 | |||||
VOXX International Corp.* | 3,284 | 46,009 | |||||
10,799,661 | |||||||
Household Products — 0.3% | |||||||
Central Garden & Pet Co.* | 1,647 | 87,176 | |||||
Central Garden & Pet Co., Class A* | 6,261 | 302,406 | |||||
Spectrum Brands Holdings, Inc. | 4,240 | 360,570 | |||||
WD-40 Co. | 2,352 | 602,794 | |||||
1,352,946 | |||||||
Independent Power Producers & Energy Traders — 0.4% | |||||||
Atlantica Sustainable | |||||||
Infrastructure PLC | 1,800 | 66,996 | |||||
Brookfield Renewable Corp. Class A | 2,097 | 87,948 | |||||
Clearway Energy, Inc., Class A | 5,274 | 133,010 | |||||
Clearway Energy, Inc., Class C | 11,658 | 308,704 | |||||
Ormat Technologies, Inc. | 8,379 | 582,592 | |||||
Sunnova Energy International, Inc.* | 350 | 13,181 | |||||
Vistra Corp. | 29,455 | 546,390 | |||||
1,738,821 | |||||||
Industrial Conglomerates — 0.2% | |||||||
Carlisle Cos., Inc. | 3,012 | 576,436 | |||||
Raven Industries, Inc. | 5,661 | 327,489 | |||||
903,925 | |||||||
Insurance — 3.9% | |||||||
Alleghany Corp.* | 1,008 | 672,407 | |||||
Ambac Financial Group, Inc.* | 4,434 | 69,436 | |||||
American Equity Investment Life | |||||||
Holding Co. | 11,817 | 381,925 | |||||
American Financial Group, Inc. | 4,216 | 525,820 | |||||
American National Group, Inc. | 1,527 | 226,836 | |||||
AMERISAFE, Inc. | 2,685 | 160,268 | |||||
Argo Group International | |||||||
Holdings Ltd. | 4,369 | 226,445 | |||||
Assurant, Inc. | 4,647 | 725,768 | |||||
Assured Guaranty Ltd. | 5,276 | 250,505 | |||||
Athene Holding Ltd., Class A* | 12,800 | 864,000 | |||||
Axis Capital Holdings Ltd. | 5,472 | 268,183 | |||||
Brighthouse Financial, Inc.* | 5,795 | 263,904 | |||||
Citizens, Inc.*@ | 6,126 | 32,407 | |||||
CNO Financial Group, Inc. | 22,636 | 534,662 | |||||
Crawford & Co., Class A | 5,638 | 51,137 | |||||
Crawford & Co., Class B | 4,945 | 42,527 | |||||
Donegal Group, Inc., Class A | 3,630 | 52,889 | |||||
eHealth, Inc.* | 3,641 | 212,634 | |||||
Employers Holdings, Inc. | 3,944 | 168,803 | |||||
Enstar Group Ltd.* | 1,353 | 323,259 | |||||
Erie Indemnity Co., Class A | 1,297 | 250,775 | |||||
Everest Re Group Ltd. | 2,769 | 697,816 | |||||
FedNat Holding Co. | 3,068 | 12,732 | |||||
Fidelity National Financial, Inc. | 14,619 | 635,342 | |||||
First American Financial Corp. | 8,507 | 530,411 | |||||
Genworth Financial, Inc., Class A* | 14,918 | 58,180 | |||||
Global Indemnity Group LLC Class A | 2,287 | 60,262 | |||||
Globe Life, Inc. | 5,598 | 533,210 | |||||
Greenlight Capital Re Ltd., Class A* | 3,275 | 29,901 | |||||
Hallmark Financial Services, Inc.* | 4,500 | 20,025 | |||||
Hanover Insurance Group, Inc. (The) | 2,430 | 329,605 | |||||
HCI Group, Inc.@ | 1,239 | 123,194 | |||||
Heritage Insurance Holdings, Inc. | 3,869 | 33,196 | |||||
Horace Mann Educators Corp. | 5,948 | 222,574 | |||||
Independence Holding Co. | 2,460 | 113,947 | |||||
Investors Title Co. | 279 | 48,722 | |||||
James River Group Holdings Ltd. | 829 | 31,104 |
The accompanying notes are an integral part of these financial statements.
54
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Insurance (Continued) | |||||||
Kemper Corp. | 10,330 | $ | 763,387 | ||||
Kingstone Cos, Inc. | 2,759 | 21,520 | |||||
Kinsale Capital Group, Inc. | 400 | 65,908 | |||||
Lincoln National Corp. | 8,515 | 535,083 | |||||
Maiden Holdings Ltd.* | 9,822 | 33,100 | |||||
MBIA, Inc.* | 29,495 | 324,445 | |||||
Mercury General Corp. | 6,108 | 396,715 | |||||
Old Republic International Corp. | 23,032 | 573,727 | |||||
Primerica, Inc. | 5,759 | 881,933 | |||||
ProAssurance Corp. | 5,438 | 123,715 | |||||
Reinsurance Group of America, Inc. | 3,019 | 344,166 | |||||
RenaissanceRe Holdings Ltd. | 3,281 | 488,278 | |||||
RLI Corp. | 5,917 | 618,859 | |||||
Safety Insurance Group, Inc. | 2,258 | 176,756 | |||||
Selective Insurance Group, Inc. | 7,297 | 592,152 | |||||
State Auto Financial Corp. | 5,003 | 85,651 | |||||
Stewart Information Services Corp. | 3,930 | 222,792 | |||||
Trupanion, Inc.* | 157 | 18,071 | |||||
Unico American Corp.* | 1,700 | 7,922 | |||||
United Fire Group, Inc. | 2,400 | 66,552 | |||||
United Insurance Holdings Corp. | 5,146 | 29,332 | |||||
Universal Insurance Holdings, Inc. | 5,231 | 72,606 | |||||
Unum Group | 16,633 | 472,377 | |||||
W. R. Berkley Corp. | 330 | 24,562 | |||||
White Mountains Insurance | |||||||
Group Ltd. | 28 | 32,145 | |||||
16,756,565 | |||||||
Interactive Media & Services — 0.1% | |||||||
ANGI, Inc.* | 2,836 | 38,343 | |||||
Cargurus, Inc.* | 2,133 | 55,949 | |||||
DHI Group, Inc.* | 8,881 | 30,018 | |||||
Liberty TripAdvisor Holdings, Inc., | |||||||
Class A* | 2,959 | 12,043 | |||||
QuinStreet, Inc.* | 5,180 | 96,244 | |||||
Travelzoo, Inc.* | 2,482 | 36,634 | |||||
Yelp, Inc.* | 812 | 32,447 | |||||
301,678 | |||||||
Internet & Catalog Retail — 0.4% | |||||||
1-800-Flowers.com, Inc., Class A* | 5,332 | 169,931 | |||||
Just Eat Takeaway.com NV, ADR*@ | 20,213 | 369,089 | |||||
Liquidity Services, Inc.* | 4,207 | 107,068 | |||||
PetMed Express, Inc.@ | 3,312 | 105,487 | |||||
Qurate Retail, Inc., Series A | 17,685 | 231,497 | |||||
Shutterstock, Inc. | 4,226 | 414,866 | |||||
Stamps.com, Inc.* | 2,543 | 509,338 | |||||
1,907,276 | |||||||
IT Services — 1.6% | |||||||
Alliance Data Systems Corp. | 2,520 | 262,559 | |||||
Amdocs Ltd. | 4,489 | 347,269 | |||||
BM Technologies, Inc.* | 823 | 10,238 | |||||
Cass Information Systems, Inc. | 2,266 | 92,340 | |||||
Computer Task Group, Inc.* | 4,027 | 38,941 | |||||
Concentrix Corp.* | 3,785 | 608,628 | |||||
Conduent, Inc.* | 3,934 | 29,505 | |||||
CSG Systems International, Inc. | 4,786 | 225,803 | |||||
DXC Technology Co.* | 10,737 | 418,099 | |||||
Euronet Worldwide, Inc.* | 2,987 | 404,290 | |||||
ExlService Holdings, Inc.* | 4,929 | 523,756 | |||||
Genpact Ltd. | 14,441 | 656,055 | |||||
Globant SA* | 1,551 | 339,948 | |||||
Hackett Group, Inc. (The) | 4,098 | 73,846 | |||||
Limelight Networks, Inc.*@ | 15,146 | 47,710 | |||||
Liveramp Holdings, Inc.* | 9,449 | 442,686 | |||||
Maximus, Inc. | 3,256 | 286,430 | |||||
MoneyGram International, Inc.* | 131 | 1,320 | |||||
Perficient, Inc.* | 5,214 | 419,310 | |||||
PFSweb, Inc.* | 3,727 | 27,505 | |||||
ServiceSource International, Inc.* | 10,651 | 15,018 | |||||
SYKES Enterprises, Inc.* | 5,694 | 305,768 | |||||
TTEC Holdings, Inc. | 7,901 | 814,514 | |||||
Unisys Corp.* | 700 | 17,717 | |||||
Western Union Co. (The) | 5,002 | 114,896 | |||||
WEX, Inc.* | 2,672 | 518,101 | |||||
7,042,252 | |||||||
Leisure Equipment & Products — 0.7% | |||||||
American Outdoor Brands, Inc.* | 1,946 | 68,382 | |||||
Brunswick Corp. | 4,070 | 405,453 | |||||
Callaway Golf Co. | 11,753 | 396,429 | |||||
Clarus Corp. | 1,907 | 49,010 | |||||
Escalade, Inc. | 1,950 | 44,753 | |||||
Johnson Outdoors, Inc., Class A | 1,000 | 121,000 | |||||
Malibu Boats, Inc., Class A* | 3,131 | 229,596 | |||||
Marine Products Corp. | 4,652 | 71,827 | |||||
MasterCraft Boat Holdings, Inc.* | 2,852 | 74,979 | |||||
Mattel, Inc.* | 16,916 | 340,012 | |||||
Nautilus, Inc.*@ | 4,979 | 83,896 | |||||
Polaris, Inc. | 3,878 | 531,131 | |||||
Smith & Wesson Brands, Inc. | 8,043 | 279,092 | |||||
Vista Outdoor, Inc.* | 4,965 | 229,780 | |||||
2,925,340 | |||||||
Life Sciences Tools & Services — 1.1% | |||||||
Adaptive Biotechnologies Corp.* | 200 | 8,172 | |||||
Bruker Corp. | 13,278 | 1,008,862 | |||||
Codexis, Inc.* | 3,355 | 76,024 | |||||
Fluidigm Corp.* | 1,700 | 10,472 | |||||
Harvard Bioscience, Inc.* | 10,123 | 84,325 | |||||
Luminex Corp. | 6,464 | 237,875 | |||||
Medpace Holdings, Inc.* | 3,147 | 555,855 | |||||
NeoGenomics, Inc.*@ | 6,010 | 271,472 | |||||
PRA Health Sciences, Inc.* | 4,966 | 820,433 | |||||
Repligen Corp.* | 4,812 | 960,571 | |||||
Syneos Health, Inc.* | 8,995 | 804,963 | |||||
4,839,024 | |||||||
Machinery — 5.8% | |||||||
AGCO Corp. | 5,254 | 685,017 | |||||
Alamo Group, Inc. | 1,727 | 263,678 | |||||
Albany International Corp., Class A | 4,268 | 380,962 |
The accompanying notes are an integral part of these financial statements.
55
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Machinery (Continued) | |||||||
Allison Transmission Holdings, Inc. | 8,374 | $ | 332,783 | ||||
Altra Industrial Motion Corp. | 3,020 | 196,360 | |||||
Astec Industries, Inc. | 3,254 | 204,807 | |||||
Barnes Group, Inc. | 7,243 | 371,204 | |||||
Blue Bird Corp.* | 2,584 | 64,238 | |||||
Chart Industries, Inc.* | 4,731 | 692,240 | |||||
CIRCOR International, Inc.* | 2,600 | 84,760 | |||||
Columbus McKinnon Corp. | 4,121 | 198,797 | |||||
Commercial Vehicle Group, Inc.* | 3,758 | 39,948 | |||||
Crane Co. | 3,500 | 323,295 | |||||
Donaldson Co., Inc. | 9,298 | 590,702 | |||||
Douglas Dynamics, Inc. | 3,178 | 129,313 | |||||
Eastern Co. (The) | 1,272 | 38,580 | |||||
Enerpac Tool Group Corp. | 8,724 | 232,233 | |||||
EnPro Industries, Inc. | 2,882 | 279,986 | |||||
ESCO Technologies, Inc. | 3,251 | 304,976 | |||||
Federal Signal Corp. | 8,300 | 333,909 | |||||
Flowserve Corp. | 9,994 | 402,958 | |||||
Franklin Electric Co., Inc. | 7,620 | 614,324 | |||||
Gorman-Rupp Co. (The) | 3,803 | 130,975 | |||||
Graco, Inc. | 12,071 | 913,775 | |||||
Graham Corp. | 1,759 | 24,204 | |||||
Greenbrier Cos., Inc. (The) | 4,513 | 196,677 | |||||
Helios Technologies, Inc. | 5,562 | 434,114 | |||||
Hurco Cos., Inc. | 1,000 | 35,000 | |||||
Hyster-Yale Materials Handling, Inc. | 2,000 | 145,960 | |||||
ITT, Inc. | 5,814 | 532,504 | |||||
John Bean Technologies Corp. | 5,533 | 789,116 | |||||
Kadant, Inc. | 1,880 | 331,049 | |||||
Kennametal, Inc. | 7,183 | 258,013 | |||||
LB Foster Co., Class A* | 2,165 | 40,356 | |||||
Lincoln Electric Holdings, Inc. | 3,730 | 491,278 | |||||
Lindsay Corp. | 1,706 | 281,968 | |||||
Lydall, Inc.* | 3,767 | 227,979 | |||||
Manitex International, Inc.* | 1,300 | 9,477 | |||||
Manitowoc Co., Inc. (The)* | 3,607 | 88,371 | |||||
Meritor, Inc.* | 10,708 | 250,781 | |||||
Middleby Corp.* | 4,593 | 795,783 | |||||
Miller Industries, Inc. | 2,054 | 81,010 | |||||
Mueller Industries, Inc. | 7,883 | 341,413 | |||||
Mueller Water Products, Inc., | |||||||
Class A | 22,006 | 317,327 | |||||
Navistar International Corp.* | 4,835 | 215,157 | |||||
NN, Inc.* | 5,264 | 38,690 | |||||
Nordson Corp. | 3,371 | 739,968 | |||||
Omega Flex, Inc. | 1,256 | 184,268 | |||||
Oshkosh Corp. | 4,679 | 583,191 | |||||
Park-Ohio Holdings Corp. | 2,182 | 70,129 | |||||
Pentair PLC | 12,478 | 842,140 | |||||
Perma-Pipe International | |||||||
Holdings, Inc.* | 1,900 | 12,654 | |||||
Proto Labs, Inc.* | 3,946 | 362,243 | |||||
RBC Bearings, Inc.* | 4,135 | 824,602 | |||||
Rexnord Corp. | 19,247 | 963,120 | |||||
Shyft Group, Inc. (The) | 7,102 | 265,686 | |||||
Snap-On, Inc. | 1,600 | 357,488 | |||||
SPX Corp.* | 6,498 | 396,898 | |||||
SPX FLOW, Inc. | 4,940 | 322,286 | |||||
Standex International Corp. | 1,856 | 176,153 | |||||
Tennant Co. | 2,648 | 211,443 | |||||
Terex Corp. | 10,047 | 478,438 | |||||
Timken Co. (The) | 11,431 | 921,224 | |||||
Titan International, Inc.* | 7,879 | 66,814 | |||||
Toro Co. (The) | 8,408 | 923,871 | |||||
Trimas Corp.* | 6,519 | 197,721 | |||||
Trinity Industries, Inc. | 5,561 | 149,535 | |||||
Wabash National Corp. | 7,152 | 114,432 | |||||
Watts Water Technologies, Inc., | |||||||
Class A | 4,723 | 689,133 | |||||
Welbilt, Inc.* | 28,893 | 668,873 | |||||
Woodward, Inc. | 4,897 | 601,743 | |||||
24,860,100 | |||||||
Marine — 0.2% | |||||||
Costamare, Inc. | 5,728 | 67,648 | |||||
Eagle Bulk Shipping, Inc.*@ | 436 | 20,631 | |||||
Eneti, Inc. | 420 | 7,825 | |||||
Kirby Corp.* | 4,949 | 300,107 | |||||
Matson, Inc. | 5,995 | 383,680 | |||||
779,891 | |||||||
Media — 1.2% | |||||||
AMC Networks, Inc., Class A* | 4,340 | 289,912 | |||||
Cable One, Inc. | 431 | 824,421 | |||||
Entravision Communications Corp., | |||||||
Class A | 12,528 | 83,687 | |||||
EW Scripps Co. (The), Class A | 8,014 | 163,405 | |||||
Gannett Co., Inc.* | 1 | 5 | |||||
Gray Television, Inc. | 12,827 | 300,152 | |||||
Hemisphere Media Group, Inc.* | 2,950 | 34,810 | |||||
Interpublic Group of Cos., Inc. (The) | 18,387 | 597,394 | |||||
John Wiley & Sons, Inc., Class A | 1,866 | 112,296 | |||||
Magnite, Inc.* | 4,165 | 140,944 | |||||
Meredith Corp.* | 7,502 | 325,887 | |||||
MSG Networks, Inc., Class A* | 3,997 | 58,276 | |||||
New York Times Co. (The), Class A | 23,764 | 1,034,922 | |||||
Nexstar Media Group, Inc. Class A | 4,746 | 701,838 | |||||
Saga Communications, Inc., Class A | 664 | 14,376 | |||||
Scholastic Corp. | 3,986 | 151,030 | |||||
TechTarget, Inc.* | 4,551 | 352,657 | |||||
5,186,012 | |||||||
Metals & Mining — 1.8% | |||||||
Alcoa Corp.* | 17,200 | 633,648 | |||||
Allegheny Technologies, Inc.* | 11,817 | 246,385 | |||||
Ampco-Pittsburgh Corp.* | 1,498 | 9,093 | |||||
Carpenter Technology Corp. | 4,542 | 182,679 | |||||
Century Aluminum Co.* | 10,675 | 137,601 | |||||
Cleveland-Cliffs, Inc.*@ | 19,094 | 411,667 | |||||
Coeur Mining, Inc.* | 19,749 | 175,371 | |||||
Commercial Metals Co. | 18,462 | 567,153 | |||||
Compass Minerals International, Inc. | 3,215 | 190,521 | |||||
Ferroglobe Representation & Warranty | |||||||
Insurance Trust§* | 24,025 | — |
The accompanying notes are an integral part of these financial statements.
56
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Metals & Mining (Continued) | |||||||
Fortitude Gold Corp. | 4,671 | $ | 31,996 | ||||
Friedman Industries, Inc. | 700 | 9,380 | |||||
Gold Resource Corp. | 11,987 | 30,927 | |||||
Haynes International, Inc. | 1,229 | 43,482 | |||||
Hecla Mining Co. | 34,978 | 260,236 | |||||
Kaiser Aluminum Corp. | 4,533 | 559,780 | |||||
Materion Corp. | 2,627 | 197,945 | |||||
Olympic Steel, Inc. | 1,200 | 35,268 | |||||
Reliance Steel & Aluminum Co. | 8,056 | 1,215,650 | |||||
Royal Gold, Inc. | 4,971 | 567,191 | |||||
Ryerson Holding Corp.* | 5,114 | 74,664 | |||||
Schnitzer Steel Industries, Inc., | |||||||
Class A | 3,716 | 182,270 | |||||
Steel Dynamics, Inc. | 16,505 | 983,698 | |||||
SunCoke Energy, Inc. | 8,204 | 58,577 | |||||
TimkenSteel Corp.* | 5,303 | 75,037 | |||||
United States Steel Corp. | 13,108 | 314,592 | |||||
Universal Stainless & Alloy | |||||||
Products, Inc.* | 1,092 | 10,996 | |||||
Worthington Industries, Inc. | 6,429 | 393,326 | |||||
7,599,133 | |||||||
Multi-Utilities — 0.6% | |||||||
Avista Corp. | 9,588 | 409,120 | |||||
Black Hills Corp. | 8,028 | 526,878 | |||||
Centerpoint Energy, Inc. | 22,600 | 554,152 | |||||
MDU Resources Group, Inc. | 12,786 | 400,713 | |||||
NiSource, Inc. | 17,013 | 416,818 | |||||
NorthWestern Corp. | 4,700 | 283,034 | |||||
Unitil Corp. | 2,341 | 124,003 | |||||
2,714,718 | |||||||
Multiline Retail — 0.5% | |||||||
Big Lots, Inc. | 4,775 | 315,198 | |||||
Dillard’s, Inc., Class A | 1,249 | 225,919 | |||||
Kohl’s Corp. | 12,490 | 688,324 | |||||
Macy’s, Inc.* | 22,038 | 417,840 | |||||
Ollie’s Bargain Outlet | |||||||
Holdings, Inc.*@ | 4,252 | 357,721 | |||||
2,005,002 | |||||||
Oil, Gas & Consumable Fuels — 2.0% | |||||||
Adams Resources & Energy, Inc. | 536 | 14,842 | |||||
Apa Corp. | 12,500 | 270,375 | |||||
Arch Resources, Inc.* | 1,314 | 74,872 | |||||
Ardmore Shipping Corp.* | 1,612 | 6,803 | |||||
Bonanza Creek Energy, Inc. | 1,752 | 82,467 | |||||
Cabot Oil & Gas Corp. | 23,549 | 411,165 | |||||
Cimarex Energy Co. | 7,087 | 513,453 | |||||
Clean Energy Fuels Corp.* | 20,279 | 205,832 | |||||
CNX Resources Corp.* | 19,013 | 259,717 | |||||
CONSOL Energy, Inc.* | 2,376 | 43,885 | |||||
Continental Resources, Inc. | 5,643 | 214,603 | |||||
CVR Energy, Inc. | 3,184 | 57,185 | |||||
Delek US Holdings, Inc. | 8,024 | 173,479 | |||||
Devon Energy Corp. | 17,756 | 518,298 | |||||
DHT Holdings, Inc. | 16,250 | 105,462 | |||||
Diamondback Energy, Inc. | 641 | 60,183 | |||||
Dorian LPG Ltd.* | 3,332 | 47,048 | |||||
Earthstone Energy, Inc., Class A* | 3,602 | 39,874 | |||||
EnLink Midstream LLC | 26,027 | 166,312 | |||||
EQT Corp.* | 18,191 | 404,932 | |||||
Equitrans Midstream Corp. | 4,100 | 34,891 | |||||
Evolution Petroleum Corp. | 5,356 | 26,566 | |||||
Goodrich Petroleum Corp.* | 401 | 5,987 | |||||
Green Plains, Inc.* | 5,774 | 194,122 | |||||
HollyFrontier Corp. | 10,890 | 358,281 | |||||
International Seaways, Inc. | 4,383 | 84,066 | |||||
Magnolia Oil & Gas Corp., Class A* | 1,028 | 16,068 | |||||
Marathon Oil Corp. | 31,488 | 428,866 | |||||
Matador Resources Co. | 16,331 | 588,079 | |||||
Murphy Oil Corp. | 20,866 | 485,760 | |||||
NACCO Industries, Inc., Class A | 1,000 | 26,040 | |||||
New Fortress Energy, Inc. | 3,491 | 132,239 | |||||
Overseas Shipholding Group, Inc., | |||||||
Class A* | 11,837 | 24,739 | |||||
Par Pacific Holdings, Inc.* | 4,135 | 69,551 | |||||
PBF Energy, Inc., Class A* | 11,221 | 171,681 | |||||
PDC Energy, Inc. | 8,838 | 404,692 | |||||
Range Resources Corp.* | 9,528 | 159,689 | |||||
Renewable Energy Group, Inc.* | 5,954 | 371,172 | |||||
Rex American Resources Corp.* | 788 | 71,062 | |||||
Scorpio Tankers, Inc. | 4,277 | 94,308 | |||||
SFL Corp. Ltd. | 10,975 | 83,959 | |||||
SilverBow Resources, Inc.* | 1,024 | 23,777 | |||||
Southwestern Energy Co.* | 69,513 | 394,139 | |||||
Talos Energy, Inc.* | 4,465 | 69,833 | |||||
Targa Resources Corp. | 10,817 | 480,816 | |||||
W&T Offshore, Inc.* | 26,515 | 128,598 | |||||
World Fuel Services Corp. | 5,433 | 172,389 | |||||
8,772,157 | |||||||
Paper & Forest Products — 0.5% | |||||||
Clearwater Paper Corp.* | 2,687 | 77,842 | |||||
Domtar Corp.* | 7,142 | 392,524 | |||||
Glatfelter Corp. | 6,141 | 85,790 | |||||
Louisiana-Pacific Corp. | 15,124 | 911,826 | |||||
Mercer International, Inc. | 7,857 | 100,177 | |||||
Neenah Paper, Inc. | 2,400 | 120,408 | |||||
Resolute Forest Products, Inc. | 7,629 | 93,074 | |||||
Schweitzer-Mauduit | |||||||
International, Inc. | 3,915 | 158,088 | |||||
Verso Corp. Class A | 5,404 | 95,651 | |||||
2,035,380 | |||||||
Personal Products — 0.7% | |||||||
Coty, Inc., Class A* | 49,522 | 462,536 | |||||
Edgewell Personal Care Co. | 5,042 | 221,344 | |||||
Herbalife Nutriation Ltd.* | 10,721 | 565,318 | |||||
Inter Parfums, Inc. | 4,405 | 317,160 | |||||
Medifast, Inc. | 1,801 | 509,647 | |||||
Natural Alternatives | |||||||
International, Inc.* | 1,000 | 16,940 | |||||
Natural Health Trends Corp. | 1,100 | 7,689 |
The accompanying notes are an integral part of these financial statements.
57
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Personal Products (Continued) | |||||||
Natures Sunshine Products, Inc. | 1,700 | $ | 29,529 | ||||
Nu Skin Enterprises, Inc., Class A | 6,808 | 385,673 | |||||
United-Guardian, Inc. | 600 | 8,994 | |||||
USANA Health Sciences, Inc.* | 3,475 | 355,944 | |||||
2,880,774 | |||||||
Pharmaceuticals — 0.9% | |||||||
Amneal Pharmaceuticals, Inc.* | 4,873 | 24,950 | |||||
Amphastar Pharmaceuticals, Inc.* | 6,170 | 124,387 | |||||
ANI Pharmaceuticals, Inc.* | 1,305 | 45,740 | |||||
Antares Pharma, Inc.* | 9,163 | 39,951 | |||||
Arvinas, Inc.* | 2,241 | 172,557 | |||||
Cara Therapeutics, Inc.* | 2,304 | 32,878 | |||||
Collegium Pharmaceutical, Inc.* | 1,588 | 37,540 | |||||
Corcept Therapeutics, Inc.* | 7,167 | 157,674 | |||||
Cumberland Pharmaceuticals, Inc.* | 5,912 | 16,820 | |||||
Endo International PLC* | 15,983 | 74,800 | |||||
Innoviva, Inc.* | 5,963 | 79,964 | |||||
Intra-Cellular Therapies, Inc.* | 4,343 | 177,281 | |||||
Jazz Pharmaceuticals PLC* | 5,344 | 949,308 | |||||
Lannett Co., Inc.* | 4,608 | 21,519 | |||||
Marinus Pharmaceuticals, Inc.* | 1,733 | 31,090 | |||||
Nektar Therapeutics* | 9,041 | 155,144 | |||||
NGM Biopharmaceuticals, Inc.* | 691 | 13,626 | |||||
Otonomy, Inc.* | 6,289 | 14,024 | |||||
Pacira BioSciences, Inc.* | 2,204 | 133,739 | |||||
Perrigo Co. PLC | 14,081 | 645,614 | |||||
Phathom Pharmaceuticals, Inc.* | 335 | 11,340 | |||||
Phibro Animal Health Corp., Class A | 1,835 | 52,995 | |||||
Prestige Consumer Healthcare Inc* | 6,887 | 358,813 | |||||
Relmada Therapeutics, Inc.* | 400 | 12,804 | |||||
Revance Therapeutics, Inc.* | 375 | 11,115 | |||||
Supernus Pharmaceuticals, Inc.* | 7,487 | 230,525 | |||||
Taro Pharmaceutical Industries Ltd.* | 250 | 17,990 | |||||
Zogenix, Inc.* | 2,380 | 41,126 | |||||
Zynerba Pharmaceuticals, Inc.* | 1,626 | 8,602 | |||||
3,693,916 | |||||||
Professional Services — 2.3% | |||||||
Acacia Research Corp.* | 7,978 | 53,931 | |||||
ASGN, Inc.* | 8,744 | 847,556 | |||||
Barrett Business Services, Inc. | 1,246 | 90,472 | |||||
Booz Allen Hamilton Holding Corp. | 1,166 | 99,320 | |||||
CACI International, Inc., Class A* | 3,460 | 882,715 | |||||
CBIZ, Inc.* | 6,994 | 229,193 | |||||
CRA International, Inc. | 1,016 | 86,970 | |||||
Exponent, Inc. | 7,806 | 696,373 | |||||
Forrester Research, Inc.* | 2,660 | 121,828 | |||||
Franklin Covey Co.* | 2,254 | 72,917 | |||||
FTI Consulting, Inc.* | 5,344 | 730,044 | |||||
GP Strategies Corp.* | 3,068 | 48,229 | |||||
Heidrick & Struggles | |||||||
International, Inc. | 2,913 | 129,774 | |||||
Huron Consulting Group, Inc.* | 2,993 | 147,106 | |||||
ICF International, Inc. | 2,528 | 222,110 | |||||
Insperity, Inc. | 5,409 | 488,811 | |||||
KBR, Inc. | 16,737 | 638,516 | |||||
Kelly Services, Inc., Class A* | 5,670 | 135,910 | |||||
Kforce, Inc. | 4,075 | 256,440 | |||||
Korn Ferry | 7,434 | 539,337 | |||||
Manpowergroup, Inc. | 3,981 | 473,381 | |||||
ManTech International Corp., | |||||||
Class A | 4,264 | 369,007 | |||||
Mastech Digital, Inc.* | 2,122 | 31,724 | |||||
Mistras Group, Inc.* | 3,084 | 30,316 | |||||
Nielsen Holdings PLC | 26,133 | 644,701 | |||||
RCM Technologies, Inc.* | 2,995 | 12,339 | |||||
Resources Connection, Inc. | 3,396 | 48,767 | |||||
Robert Half International, Inc. | 9,008 | 801,442 | |||||
Science Applications | |||||||
International Corp. | 2,899 | 254,329 | |||||
TriNet Group, Inc.* | 10,457 | 757,923 | |||||
TrueBlue, Inc.* | 5,626 | 158,147 | |||||
10,099,628 | |||||||
Real Estate Investment Trusts (REITs) — 0.0% | |||||||
Contra Zagg, Inc.§* | 6,699 | 28,136 | |||||
CTO Realty Growth, Inc. | 604 | 32,326 | |||||
Indus Realty Trust, Inc. | 427 | 28,032 | |||||
88,494 | |||||||
Real Estate Management & Development — 0.6% | |||||||
Forestar Group, Inc.* | 1,150 | 24,047 | |||||
Howard Hughes Corp. (The)* | 3,446 | 335,847 | |||||
Jones Lang LaSalle, Inc.* | 4,395 | 859,047 | |||||
Kennedy-Wilson Holdings, Inc. | 15,548 | 308,939 | |||||
Marcus & Millichap, Inc.* | 3,813 | 148,211 | |||||
Maui Land & Pineapple Co., Inc.* | 2,324 | 24,937 | |||||
Newmark Group, Inc., Class A | 27,250 | 327,272 | |||||
Rafael Holdings, Inc., Class B* | 3,410 | 174,080 | |||||
RE/MAX Holdings, Inc., Class A | 1,837 | 61,227 | |||||
Realogy Holdings Corp.* | 5,347 | 97,422 | |||||
RMR Group, Inc. (The) Class A | 1,159 | 44,784 | |||||
St. Joe Co. (The) | 3,249 | 144,938 | |||||
Stratus Properties, Inc.* | 313 | 7,722 | |||||
Tejon Ranch Co.* | 2,949 | 44,854 | |||||
2,603,327 | |||||||
Road & Rail — 1.2% | |||||||
AMERCO | 900 | 530,460 | |||||
ArcBest Corp. | 3,912 | 227,639 | |||||
Avis Budget Group, Inc.* | 13,820 | 1,076,440 | |||||
Covenant Logistics Group, Inc.* | 1,911 | 39,520 | |||||
Heartland Express, Inc. | 12,049 | 206,399 | |||||
Knight-Swift Transportation | |||||||
Holdings, Inc. | 11,850 | 538,701 | |||||
Landstar System, Inc. | 3,248 | 513,249 | |||||
Marten Transport Ltd. | 12,649 | 208,582 | |||||
P.A.M. Transportation Services, Inc.* | 1,523 | 80,338 | |||||
Saia, Inc.* | 5,108 | 1,070,075 | |||||
Schneider National, Inc., Class B | 1,500 | 32,655 | |||||
Universal Logistics Holdings, Inc. | 2,551 | 59,438 |
The accompanying notes are an integral part of these financial statements.
58
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Road & Rail (Continued) | |||||||
USA Truck, Inc.* | 2,154 | $ | 34,615 | ||||
Werner Enterprises, Inc. | 9,460 | 421,159 | |||||
Yellow Corp.* | 2,108 | 13,723 | |||||
5,052,993 | |||||||
Semiconductors & Semiconductor Equipment — 3.8% | |||||||
ACM Research, Inc.,Class A*@ | 239 | 24,431 | |||||
Alpha & Omega Semiconductor Ltd.* | 3,966 | 120,527 | |||||
Ambarella, Inc.* | 1,829 | 195,026 | |||||
Amkor Technology, Inc. | 43,439 | 1,028,201 | |||||
Amtech Systems, Inc.* | 2,822 | 27,204 | |||||
Axcelis Technologies, Inc.* | 4,468 | 180,597 | |||||
AXT, Inc.* | 7,653 | 84,030 | |||||
Brooks Automation, Inc. | 9,556 | 910,496 | |||||
Ceva, Inc.* | 3,507 | 165,881 | |||||
Cirrus Logic, Inc.* | 7,387 | 628,781 | |||||
CMC Materials, Inc. | 4,678 | 705,162 | |||||
Cohu, Inc.* | 6,473 | 238,142 | |||||
Cree, Inc.*@ | 11,364 | 1,112,876 | |||||
Cyberoptics Corp.* | 1,123 | 45,998 | |||||
Diodes, Inc.* | 6,158 | 491,224 | |||||
DSP Group, Inc.* | 2,555 | 37,814 | |||||
First Solar, Inc.* | 11,181 | 1,011,992 | |||||
FormFactor, Inc.* | 11,814 | 430,738 | |||||
GSI Technology, Inc.* | 4,641 | 26,082 | |||||
Impinj, Inc.*@ | 412 | 21,255 | |||||
Kulicke & Soffa Industries, Inc. | 6,133 | 375,340 | |||||
Lattice Semiconductor Corp.* | 23,998 | 1,348,208 | |||||
MACOM Technology Solutions | |||||||
Holdings, Inc.* | 447 | 28,644 | |||||
Magnachip Semiconductor Corp.* | 4,588 | 109,470 | |||||
MaxLinear, Inc.* | 8,742 | 371,448 | |||||
MKS Instruments, Inc. | 7,862 | 1,399,043 | |||||
NeoPhotonics Corp.* | 5,402 | 55,154 | |||||
NVE Corp. | 502 | 37,173 | |||||
Onto Innovation, Inc.* | 4,958 | 362,132 | |||||
PDF Solutions, Inc.* | 5,438 | 98,863 | |||||
Photronics, Inc.* | 10,290 | 135,931 | |||||
Pixelworks, Inc.* | 6,964 | 23,747 | |||||
Power Integrations, Inc. | 9,221 | 756,675 | |||||
Rambus, Inc.* | 16,136 | 382,584 | |||||
Semtech Corp.* | 8,663 | 596,014 | |||||
Silicon Laboratories, Inc.* | 5,044 | 772,993 | |||||
Synaptics, Inc.* | 5,696 | 886,184 | |||||
Ultra Clean Holdings, Inc.* | 5,781 | 310,555 | |||||
Universal Display Corp. | 3,170 | 704,786 | |||||
Veeco Instruments, Inc.* | 4,666 | 112,171 | |||||
16,353,572 | |||||||
Software — 3.4% | |||||||
ACI Worldwide, Inc.* | 19,594 | 727,721 | |||||
Agilysys, Inc.* | 3,226 | 183,463 | |||||
Alarm.com Holdings, Inc.* | 465 | 39,386 | |||||
Altair Engineering, Inc., Class A*@ | 258 | 17,794 | |||||
Alteryx, Inc., Class A*@ | 2,268 | 195,093 | |||||
American Software, Inc., Class A | 4,461 | 97,964 | |||||
Anaplan, Inc.* | 6,144 | 327,475 | |||||
Appfolio, Inc., Class A*@ | 2,936 | 414,563 | |||||
Appian Corp.*@ | 279 | 38,432 | |||||
Aspen Technology, Inc.* | 5,382 | 740,240 | |||||
Asure Software, Inc.* | 3,022 | 26,805 | |||||
Avalara, Inc.* | 288 | 46,598 | |||||
Aware, Inc.* | 4,900 | 18,179 | |||||
Blackbaud, Inc.* | 6,789 | 519,834 | |||||
Bottomline Technologies de, Inc.* | 3,996 | 148,172 | |||||
Bsquare Corp.*@ | 2,300 | 10,971 | |||||
CDK Global, Inc. | 8,754 | 434,986 | |||||
Cognyte Software Ltd.* | 9,249 | 226,601 | |||||
Commvault Systems, Inc.* | 646 | 50,498 | |||||
Dolby Laboratories, Inc., Class A | 2,281 | 224,199 | |||||
Dropbox, Inc., Class A* | 11,120 | 337,047 | |||||
Ebix, Inc. | 2,155 | 73,055 | |||||
eGain Corp.* | 4,304 | 49,410 | |||||
Elastic NV* | 4,010 | 584,498 | |||||
Envestnet, Inc.* | 1,760 | 133,514 | |||||
Five9, Inc.* | 3,755 | 688,629 | |||||
Guidewire Software, Inc.* | 3,656 | 412,104 | |||||
InterDigital, Inc. | 4,393 | 320,821 | |||||
j2 Global, Inc.* | 3,394 | 466,845 | |||||
Manhattan Associates, Inc.* | 4,320 | 625,709 | |||||
MicroStrategy, Inc., Class A*@ | 1,021 | 678,454 | |||||
Model N, Inc.* | 401 | 13,742 | |||||
Nuance Communications, Inc.* | 5,332 | 290,274 | |||||
OneSpan, Inc.* | 3,696 | 94,396 | |||||
Paylocity Holding Corp.* | 3,663 | 698,900 | |||||
Pegasystems, Inc. | 7,381 | 1,027,361 | |||||
Progress Software Corp. | 6,086 | 281,477 | |||||
Proofpoint, Inc.* | 4,384 | 761,764 | |||||
QAD, Inc., Class A | 1,972 | 171,603 | |||||
QAD, Inc., Class B | 960 | 82,762 | |||||
Qualys, Inc.* | 4,710 | 474,250 | |||||
Sailpoint Technologies Holdings, Inc.* | 770 | 39,324 | |||||
Smartsheet, Inc., Class A* | 2,983 | 215,731 | |||||
Teradata Corp.* | 6,634 | 331,501 | |||||
Verint Systems, Inc.*@ | 8,309 | 374,487 | |||||
Vonage Holdings Corp.* | 29,244 | 421,406 | |||||
Xperi Holding Corp. | 21,265 | 472,934 | |||||
14,610,972 | |||||||
Specialty Retail — 4.1% | |||||||
Aaron’s Co. Inc. (The) | 5,052 | 161,613 | |||||
Abercrombie & Fitch Co., Class A* | 11,239 | 521,827 | |||||
Advance Auto Parts, Inc. | 4,458 | 914,514 | |||||
America’s Car-Mart, Inc.* | 822 | 116,494 | |||||
American Eagle Outfitters, Inc.@ | 27,688 | 1,039,131 | |||||
Asbury Automotive Group, Inc.* | 2,883 | 494,060 | |||||
AutoNation, Inc.* | 1,802 | 170,848 | |||||
Barnes & Noble Education, Inc.* | 5,686 | 40,996 | |||||
Bed Bath & Beyond, Inc.* | 3,408 | 113,452 | |||||
Boot Barn Holdings, Inc.* | 5,243 | 440,674 | |||||
Buckle, Inc. (The) | 6,914 | 343,972 | |||||
Build-A-Bear Workshop, Inc.* | 5,546 | 96,001 | |||||
Caleres, Inc. | 6,546 | 178,640 | |||||
Cato Corp. (The) Class A | 3,965 | 66,890 |
The accompanying notes are an integral part of these financial statements.
59
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Specialty Retail (Continued) | |||||||
Children’s Place, Inc. (The)* | 2,369 | $ | 220,459 | ||||
Citi Trends, Inc.* | 1,997 | 173,739 | |||||
Conn’s, Inc.* | 4,848 | 123,624 | |||||
Designer Brands, Inc., Class A* | 5,596 | 92,614 | |||||
Dick’s Sporting Goods, Inc.@ | 9,418 | 943,589 | |||||
Five Below, Inc.* | 8,068 | 1,559,302 | |||||
Floor & Decor Holdings, Inc., | |||||||
Class A* | 4,095 | 432,841 | |||||
Foot Locker, Inc. | 6,115 | 376,867 | |||||
Gap, Inc. (The) | 25,256 | 849,864 | |||||
Genesco, Inc.* | 2,502 | 159,327 | |||||
Group 1 Automotive, Inc. | 2,384 | 368,161 | |||||
Guess?, Inc. | 6,235 | 164,604 | |||||
Haverty Furniture Cos., Inc. | 2,711 | 115,922 | |||||
Hibbett, Inc.* | 3,220 | 288,609 | |||||
L Brands, Inc. | 1,927 | 138,860 | |||||
Lithia Motors, Inc. | 4,458 | 1,531,947 | |||||
MarineMax, Inc.* | 3,415 | 166,447 | |||||
Monro, Inc. | 4,623 | 293,607 | |||||
Murphy USA, Inc. | 5,094 | 679,387 | |||||
ODP Corp/The* | 4,538 | 217,869 | |||||
Penske Automotive Group, Inc.@ | 1,742 | 131,504 | |||||
Rent-A-Center, Inc. | 8,116 | 430,716 | |||||
RH* | 611 | 414,869 | |||||
Sally Beauty Holdings, Inc.* | 4,925 | 108,695 | |||||
Shoe Carnival, Inc. | 2,038 | 145,900 | |||||
Signet Jewelers Ltd.* | 9,096 | 734,866 | |||||
Sleep Number Corp.* | 5,467 | 601,097 | |||||
Sonic Automotive, Inc., Class A@ | 4,263 | 190,727 | |||||
Sportsman’s Warehouse | |||||||
Holdings, Inc.* | 7,232 | 128,513 | |||||
Tilly’s, Inc., Class A | 3,349 | 53,517 | |||||
TravelCenters of America, Inc.* | 1,344 | 39,299 | |||||
Urban Outfitters, Inc.* | 4,462 | 183,924 | |||||
Williams-Sonoma, Inc. | 4,597 | 733,911 | |||||
Winmark Corp. | 737 | 141,563 | |||||
Zumiez, Inc.* | 3,560 | 174,404 | |||||
17,810,256 | |||||||
Textiles, Apparel & Luxury Goods — 2.1% | |||||||
Capri Holdings Ltd.* | 9,116 | 521,344 | |||||
Carter’s, Inc. | 1,548 | 159,707 | |||||
Columbia Sportswear Co. | 5,106 | 502,226 | |||||
Crocs, Inc.* | 12,283 | 1,431,215 | |||||
Culp, Inc. | 3,004 | 48,965 | |||||
Deckers Outdoor Corp.* | 4,269 | 1,639,595 | |||||
Delta Apparel, Inc.* | 1,153 | 34,037 | |||||
Fossil Group, Inc.* | 2,477 | 35,372 | |||||
G-III Apparel Group Ltd.* | 6,579 | 216,186 | |||||
Hanesbrands, Inc. | 25,238 | 471,194 | |||||
Lakeland Industries, Inc.* | 1,669 | 37,269 | |||||
Movado Group, Inc. | 2,220 | 69,863 | |||||
Oxford Industries, Inc. | 2,428 | 239,984 | |||||
PVH Corp.* | 5,039 | 542,146 | |||||
Ralph Lauren Corp. | 2,582 | 304,185 | |||||
Rocky Brands, Inc. | 1,000 | 55,600 | |||||
Skechers U.S.A., Inc., Class A* | 7,216 | 359,573 | |||||
Steven Madden Ltd. | 11,199 | 490,068 | |||||
Superior Group of Cos., Inc. | 2,200 | 52,602 | |||||
Tapestry, Inc.* | 19,202 | 834,903 | |||||
Under Armour, Inc., Class A* | 13,003 | 275,013 | |||||
Under Armour, Inc., Class C* | 12,553 | 233,109 | |||||
Unifi, Inc.* | 3,026 | 73,713 | |||||
Vera Bradley, Inc.* | 5,091 | 63,078 | |||||
Wolverine World Wide, Inc. | 11,319 | 380,771 | |||||
9,071,718 | |||||||
Thrifts & Mortgage Finance — 1.3% | |||||||
Axos Financial, Inc.* | 8,663 | 401,877 | |||||
Capitol Federal Financial, Inc. | 17,891 | 210,756 | |||||
ESSA Bancorp, Inc. | 1,900 | 31,141 | |||||
Essent Group Ltd. | 5,259 | 236,392 | |||||
Federal Agricultural Mortgage Corp., | |||||||
Class C | 1,400 | 138,460 | |||||
Flagstar Bancorp, Inc. | 7,621 | 322,140 | |||||
FS Bancorp, Inc. | 481 | 34,281 | |||||
Hingham Institution for Savings | 348 | 101,094 | |||||
Home Bancorp, Inc. | 994 | 37,881 | |||||
HomeStreet, Inc. | 3,265 | 133,016 | |||||
Kearny Financial Corp. | 11,790 | 140,890 | |||||
Meridian Bancorp, Inc. | 7,205 | 147,414 | |||||
Meta Financial Group, Inc. | 4,678 | 236,847 | |||||
MGIC Investment Corp. | 12,435 | 169,116 | |||||
Mr Cooper Group, Inc.* | 5,663 | 187,219 | |||||
New York Community Bancorp, Inc. | 31,398 | 346,006 | |||||
NMI Holdings, Inc., Class A* | 8,926 | 200,656 | |||||
Northfield Bancorp, Inc. | 7,109 | 116,588 | |||||
Northwest Bancshares, Inc. | 18,353 | 250,335 | |||||
Ocwen Financial Corp.* | 984 | 30,484 | |||||
Premier Financial Corp. | 5,204 | 147,846 | |||||
Provident Financial Holdings, Inc. | 1,124 | 19,411 | |||||
Provident Financial Services, Inc. | 10,888 | 249,226 | |||||
Radian Group, Inc. | 8,095 | 180,114 | |||||
Riverview Bancorp, Inc. | 2,557 | 18,129 | |||||
Southern Missouri Bancorp, Inc. | 686 | 30,843 | |||||
Territorial Bancorp, Inc. | 1,557 | 40,435 | |||||
Timberland Bancorp, Inc. | 1,799 | 50,588 | |||||
TrustCo Bank Corp. NY | 2,836 | 97,502 | |||||
Walker & Dunlop, Inc. | 5,777 | 603,003 | |||||
Washington Federal, Inc. | 10,172 | 323,266 | |||||
Waterstone Financial, Inc. | 2,966 | 58,312 | |||||
Western New England Bancorp, Inc. | 3,161 | 25,762 | |||||
WSFS Financial Corp. | 6,408 | 298,549 | |||||
5,615,579 | |||||||
Tobacco — 0.1% | |||||||
Turning Point Brands, Inc. | 1,280 | 58,586 | |||||
Universal Corp. | 3,185 | 181,449 | |||||
Vector Group Ltd. | 13,910 | 196,687 | |||||
436,722 |
The accompanying notes are an integral part of these financial statements.
60
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | |||||||
COMMON STOCKS (Continued) | ||||||||
Trading Companies & Distributors — 1.6% | ||||||||
Air Lease Corp. | 5,997 | $ | 250,315 | |||||
Applied Industrial Technologies, Inc. | 4,957 | 451,385 | ||||||
Beacon Roofing Supply, Inc.* | 10,977 | 584,525 | ||||||
Boise Cascade Co. | 5,451 | 318,066 | ||||||
CAI International, Inc. | 2,386 | 133,616 | ||||||
DXP Enterprises, Inc.* | 2,967 | 98,801 | ||||||
GATX Corp. | 5,845 | 517,107 | ||||||
Global Industrial Co. | 5,350 | 196,399 | ||||||
GMS, Inc.* | 2,900 | 139,606 | ||||||
H&E Equipment Services, Inc. | 5,490 | 182,652 | ||||||
Herc Holdings, Inc.* | 5,162 | 578,505 | ||||||
Huttig Building Products, Inc.* | 1,858 | 10,739 | ||||||
Lawson Products, Inc.* | 1,071 | 57,309 | ||||||
Mcgrath Rentcorp | 3,341 | 272,525 | ||||||
MRC Global, Inc.* | 7,395 | 69,513 | ||||||
MSC Industrial Direct Co., Class A | 936 | 83,987 | ||||||
NOW, Inc.* | 10,592 | 100,518 | ||||||
Rush Enterprises, Inc., Class A | 7,870 | 340,299 | ||||||
SiteOne Landscape Supply, Inc.* | 185 | 31,313 | ||||||
Textainer Group Holdings Ltd.* | 6,922 | 233,756 | ||||||
Titan Machinery, Inc.* | 3,906 | 120,852 | ||||||
Triton International Ltd. | 11,046 | 578,148 | ||||||
Univar Solutions, Inc.* | 1,143 | 27,866 | ||||||
Veritiv Corp.* | 1,000 | 61,420 | ||||||
Watsco, Inc. | 1,976 | 566,401 | ||||||
WESCO International, Inc.* | 9,569 | 983,885 | ||||||
Willis Lease Finance Corp.* | 900 | 38,574 | ||||||
7,028,082 | ||||||||
Water Utilities — 0.3% | ||||||||
American States Water Co. | 5,303 | 421,906 | ||||||
Artesian Resources Corp., Class A | 1,177 | 43,278 | ||||||
California Water Service Group | 7,135 | 396,278 | ||||||
Consolidated Water Co. Ltd. | 1,751 | 20,539 | ||||||
Essential Utilities, Inc. | 630 | 28,791 | ||||||
Middlesex Water Co. | 2,416 | 197,460 | ||||||
Pure Cycle Corp.* | 1,000 | 13,820 | ||||||
SJW Corp. | 4,079 | 258,201 | ||||||
York Water Co. (The) | 1,803 | 81,676 | ||||||
1,461,949 | ||||||||
Wireless Telecommunication Services — 0.2% | ||||||||
Shenandoah Telecommunications Co. | 7,266 | 352,474 | ||||||
Spok Holdings, Inc. | 2,839 | 27,311 | ||||||
Telephone & Data Systems, Inc. | 10,010 | 226,826 | ||||||
United States Cellular Corp.* | 2,957 | 107,369 | ||||||
713,980 | ||||||||
TOTAL COMMON STOCKS (Identified | ||||||||
Cost $223,133,884) | 431,210,177 | |||||||
FACE AMOUNT | ||||||||
BONDS AND NOTES — 0.0% | ||||||||
Capital Markets — 0.0% | ||||||||
GAMCO Investors, Inc., | ||||||||
4.000%, 6/15/23 | $ | 3,400 | 3,400 | |||||
TOTAL CORPORATE BONDS AND | ||||||||
NOTES (Identified Cost $2,917) | 3,400 | |||||||
SHARES | ||||||||
PREFERRED STOCKS — 0.0% | ||||||||
Internet & Catalog Retail — 0.0% | ||||||||
Qurate Retail, Inc. 8.000% | 374 | 40,485 | ||||||
Media — 0.0% | ||||||||
Liberty Broadband Corp. 7.000% | 1,225 | 34,545 | ||||||
Trading Companies & Distributors — 0.0% | ||||||||
WESCO International, Inc. 10.625%, | ||||||||
5-year CMT + 10.325% | 4,390 | 135,607 | ||||||
TOTAL PREFERRED STOCKS | ||||||||
(Identified Cost $168,077) | 210,637 | |||||||
RIGHTS AND WARRANTS — 0.0% | ||||||||
Capital Markets — 0.0% | ||||||||
Newsstar Financial, Inc. CVR*¶§ | 13,144 | 250 | ||||||
Media — 0.0% | ||||||||
Media General, Inc. CVR*¶§ | 3,965 | 224 | ||||||
Pharmaceuticals — 0.0% | ||||||||
Elanco Animal Health, Inc. CVR*¶§ | 16,344 | — | ||||||
Energy Equipment & Services — 0.0% | ||||||||
Nabors Industries Ltd.* | 341 | 3,410 | ||||||
TOTAL RIGHTS AND WARRANTS | ||||||||
(Identified Cost $411) | 3,884 | |||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||
Investment Company — 0.1% | ||||||||
State Street Institutional U.S. | ||||||||
Government Money Market Fund | ||||||||
0.025% | 576,956 | 576,956 | ||||||
Collateral For Securities On Loan — 0.4% | ||||||||
State Street Navigator Securities | ||||||||
Lending Government Money Market | ||||||||
Portfolio, 0.020% | 1,736,955 | 1,736,955 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Identified Cost $2,313,911) | 2,313,911 | |||||||
Total Investments — 100.4% | ||||||||
(Identified Cost $225,619,200) | 433,742,009 | |||||||
Liabilities, Less Cash and Other | ||||||||
Assets — (0.4%) | (1,938,784 | ) | ||||||
Net Assets — 100.0% | $ | 431,803,225 |
The accompanying notes are an integral part of these financial statements.
61
SA U.S. Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
† | See Note 1 | ||
* | Non-income producing security | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $11,584,112. | ||
§ | Fair valued security. Security is valued using significant unobservable inputs as determined pursuant to procedures approved by the Fund’s Board of Trustees. See Note 1 | ||
¶ | Contingent value rights based on future performance. |
Key to abbreviations: |
CVR — Contingent Value Rights |
CMT — Constant Maturity Treasury |
Portfolio Sectors as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
62
SA International Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
COMMON STOCKS — 97.4% | |||||||
Australia — 6.2% | |||||||
AMP Ltd. | 276,963 | $ | 233,672 | ||||
Aurizon Holdings Ltd. | 17,013 | 47,463 | |||||
Australia & New Zealand Banking | |||||||
Group Ltd. | 344,269 | 7,267,896 | |||||
Bank of Queensland Ltd. | 37,699 | 257,561 | |||||
Bendigo & Adelaide Bank Ltd. | 20,398 | 160,471 | |||||
BlueScope Steel Ltd. | 171,676 | 2,827,316 | |||||
Boral Ltd.* | 186,148 | 1,026,073 | |||||
Challenger Ltd. | 21,253 | 86,228 | |||||
Cleanaway Waste Management Ltd. | 152,601 | 302,130 | |||||
Crown Resorts Ltd.*@ | 25,077 | 223,985 | |||||
Downer EDI Ltd. | 44,777 | 187,715 | |||||
Harvey Norman Holdings Ltd.@ | 136,089 | 559,289 | |||||
IGO Ltd. | 32,049 | 183,388 | |||||
Incitec Pivot Ltd. | 234,863 | 419,203 | |||||
Lendlease Group | 43,821 | 376,616 | |||||
National Australia Bank Ltd. | 341,816 | 6,721,365 | |||||
Newcrest Mining Ltd. | 48,928 | 927,613 | |||||
Oil Search Ltd. | 204,804 | 585,188 | |||||
Orica Ltd.@ | 9,485 | 94,464 | |||||
Origin Energy Ltd. | 168,307 | 569,261 | |||||
QBE Insurance Group Ltd. | 29,598 | 239,506 | |||||
Qube Holdings Ltd. | 59,914 | 142,436 | |||||
Santos Ltd. | 319,417 | 1,698,387 | |||||
South32 Ltd. | 674,463 | 1,482,034 | |||||
Suncorp Group Ltd. | 186,999 | 1,558,066 | |||||
TABCORP Holdings Ltd. | 198,572 | 771,401 | |||||
Treasury Wine Estates Ltd. | 6,883 | 60,291 | |||||
Westpac Banking Corp. | 474,678 | 9,187,968 | |||||
Woodside Petroleum Ltd. | 123,874 | 2,063,294 | |||||
Worley Ltd. | 30,039 | 269,432 | |||||
40,529,712 | |||||||
Austria — 0.1% | |||||||
Erste Group Bank AG | 7,953 | 291,773 | |||||
Belgium — 0.9% | |||||||
Ageas SA/NV | 21,755 | 1,207,252 | |||||
KBC Groep NV | 25,395 | 1,936,209 | |||||
Solvay SA | 13,323 | 1,693,519 | |||||
UCB SA | 11,003 | 1,150,207 | |||||
5,987,187 | |||||||
Canada — 9.2% | |||||||
AltaGas Ltd.@ | 13,718 | 287,950 | |||||
Bank of Montreal | 19,125 | 1,960,328 | |||||
Bank of Montreal | 79,335 | 8,136,598 | |||||
Bank of Nova Scotia (The) | 28,504 | 1,853,818 | |||||
Bank of Nova Scotia (The) | 88,867 | 5,763,055 | |||||
Barrick Gold Corp. | 23,095 | 477,605 | |||||
Canadian Imperial Bank | |||||||
of Commerce | 15,004 | 1,708,355 | |||||
Canadian Imperial Bank | |||||||
of Commerce | 48,274 | 5,495,276 | |||||
Canadian Natural Resources Ltd. | 218,632 | 7,931,969 | |||||
Cenovus Energy, Inc. | 63,057 | 604,086 | |||||
Fairfax Financial Holdings Ltd. | 3,673 | 1,610,715 | |||||
First Quantum Minerals Ltd. | 70,853 | 1,633,003 | |||||
Great-West Lifeco, Inc. | 14,630 | 434,557 | |||||
iA Financial Corp., Inc. | 5,614 | 305,654 | |||||
Imperial Oil Ltd.@ | 33,555 | 1,020,072 | |||||
Kinross Gold Corp. | 173,331 | 1,099,049 | |||||
Lundin Mining Corp. | 146,222 | 1,318,782 | |||||
Magna International, Inc. | 29,027 | 2,689,061 | |||||
Manulife Financial Corp.@ | 167,447 | 3,298,706 | |||||
Nutrien Ltd. | 1,100 | 66,651 | |||||
Nutrien Ltd. | 65,686 | 3,981,228 | |||||
Onex Corp. | 6,501 | 472,051 | |||||
Pembina Pipeline Corp. | 22,252 | 706,946 | |||||
Suncor Energy, Inc.¥ | 109,045 | 2,611,767 | |||||
Suncor Energy, Inc. | 38,945 | 933,512 | |||||
Teck Resources Ltd., Class B | 64,723 | 1,491,218 | |||||
Toronto-Dominion Bank (The) | 1,666 | 116,752 | |||||
Toronto-Dominion Bank (The)@ | 3,785 | 265,139 | |||||
Tourmaline Oil Corp. | 31,262 | 893,524 | |||||
West Fraser Timber Co. Ltd.@ | 6,629 | 475,891 | |||||
59,643,318 | |||||||
Denmark — 2.2% | |||||||
AP Moeller - Maersk A/S, Class A | 198 | 549,996 | |||||
AP Moeller - Maersk A/S, Class B | 238 | 684,066 | |||||
Carlsberg A/S, Class B | 15,445 | 2,879,044 | |||||
Danske Bank A/S | 41,578 | 731,614 | |||||
Demant A/S * | 8,441 | 475,132 | |||||
DSV Panalpina A/S | 17,724 | 4,133,362 | |||||
Genmab A/S * | 467 | 191,082 | |||||
H Lundbeck A/S | 7,078 | 225,164 | |||||
Novozymes A/S, B Shares | 8,286 | 624,563 | |||||
Pandora A/S | 771 | 103,640 | |||||
Rockwool International A/S, | |||||||
B Shares | 1,147 | 558,388 | |||||
Tryg A/S | 15,313 | 375,912 | |||||
Vestas Wind Systems A/S | 75,670 | 2,953,800 | |||||
14,485,763 | |||||||
Finland — 1.0% | |||||||
Fortum Oyj | 43,616 | 1,202,953 | |||||
Nokia Oyj, ADR*@ | 291,727 | 1,551,988 | |||||
Nordea Bank Abp | 224,183 | 2,498,224 | |||||
Stora Enso Oyj, R Shares | 55,739 | 1,016,833 | |||||
UPM-Kymmene Oyj | 9,799 | 370,651 | |||||
6,640,649 | |||||||
France — 9.8% | |||||||
Amundi SA ± | 3,901 | 343,914 | |||||
Arkema SA | 15,142 | 1,899,600 | |||||
Atos SE | 12,284 | 747,223 | |||||
AXA SA | 110,277 | 2,796,323 | |||||
BNP Paribas SA | 92,085 | 5,772,865 | |||||
Bollore SA | 138,791 | 743,863 | |||||
Bouygues SA | 55,128 | 2,038,829 | |||||
Carrefour SA | 128,110 | 2,519,369 | |||||
Cie de Saint-Gobain | 99,135 | 6,528,690 | |||||
Cie Generale des Etablissements | |||||||
Michelin SCA | 33,973 | 5,418,129 |
The accompanying notes are an integral part of these financial statements.
63
SA International Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
France (Continued) | |||||||
CNP Assurances | 26,215 | $ | 446,062 | ||||
Credit Agricole SA | 62,747 | 878,988 | |||||
Danone SA | 13,567 | 955,089 | |||||
Eiffage SA | 5,767 | 586,719 | |||||
Electricite de France SA | 87,244 | 1,191,739 | |||||
Engie SA | 153,978 | 2,109,523 | |||||
EssilorLuxottica SA | 5,060 | 933,824 | |||||
Faurecia SE | 3,439 | 168,209 | |||||
Faurecia SE | 5,048 | 247,627 | |||||
Iliad SA | 537 | 78,575 | |||||
Orange SA | 322,578 | 3,677,708 | |||||
Orpea SA * | 651 | 82,789 | |||||
Publicis Groupe SA | 28,592 | 1,828,726 | |||||
Renault SA* | 21,069 | 851,531 | |||||
Sanofi | 10,237 | 1,072,560 | |||||
Societe Generale SA | 88,773 | 2,616,828 | |||||
TotalEnergies SE@ | 366,393 | 16,576,461 | |||||
Valeo SA | 9,323 | 280,459 | |||||
Vivendi SE@ | 14,883 | 499,954 | |||||
63,892,176 | |||||||
Germany — 7.1% | |||||||
Allianz SE | 30,142 | 7,516,307 | |||||
BASF SE | 15,054 | 1,185,973 | |||||
Bayer AG | 21,219 | 1,288,466 | |||||
Bayerische Motoren Werke AG | 53,296 | 5,644,011 | |||||
Commerzbank AG* | 53,244 | 377,668 | |||||
Continental AG* | 7,866 | 1,156,375 | |||||
Covestro AG± | 5,523 | 356,653 | |||||
Daimler AG | 135,985 | 12,141,691 | |||||
Deutsche Bank AG* | 46,122 | 600,815 | |||||
Deutsche Bank AG* | 143,698 | 1,879,570 | |||||
Evonik Industries AG | 18,004 | 603,728 | |||||
Fresenius SE & Co. KGaA | 42,320 | 2,207,711 | |||||
HeidelbergCement AG | 25,898 | 2,221,457 | |||||
Muenchener Rueckversicherungs | |||||||
AG | 11,979 | 3,280,437 | |||||
RWE AG | 43,651 | 1,581,761 | |||||
Talanx AG* | 12,026 | 491,679 | |||||
Telefonica Deutschland Holding AG | 207,880 | 548,449 | |||||
Uniper SE | 18,954 | 698,064 | |||||
Volkswagen AG | 6,122 | 2,009,336 | |||||
45,790,151 | |||||||
Hong Kong — 2.1% | |||||||
Bank of East Asia Ltd. (The) | 36,400 | 67,603 | |||||
BOC Aviation Ltd.± | 47,800 | 403,243 | |||||
BOC Hong Kong Holdings Ltd. | 99,000 | 335,980 | |||||
Cathay Pacific Airways Ltd.*@ | 286,363 | 241,946 | |||||
CK Asset Holdings Ltd. | 105,069 | 725,332 | |||||
CK Hutchison Holdings Ltd. | 336,624 | 2,622,999 | |||||
CK Infrastructure Holdings Ltd. | 24,000 | 143,117 | |||||
Hang Lung Properties Ltd. | 239,000 | 580,547 | |||||
Henderson Land Development | |||||||
Co. Ltd. | 133,684 | 633,614 | |||||
HKT Trust & HKT Ltd. | 291,000 | 396,530 | |||||
MTR Corp. Ltd. | 126,669 | 705,593 | |||||
New World Development Co. Ltd. | 231,859 | 1,204,939 | |||||
Orient Overseas International Ltd. | 12,000 | 259,959 | |||||
Sino Land Co. Ltd. | 417,674 | 658,441 | |||||
SJM Holdings Ltd. | 61,000 | 66,623 | |||||
Sun Hung Kai Properties Ltd. | 182,177 | 2,714,717 | |||||
Swire Pacific Ltd., Class A | 29,500 | 200,041 | |||||
Swire Pacific Ltd., Class B | 127,500 | 143,358 | |||||
Tsim Sha Tsui Properties | 14,907 | 44,735 | |||||
WH Group Ltd.±@ | 1,079,000 | 970,006 | |||||
Xinyi Glass Holdings Ltd. | 106,000 | 432,093 | |||||
13,551,416 | |||||||
Ireland — 0.6% | |||||||
CRH PLC, ADR | 49,405 | 2,511,750 | |||||
Flutter Entertainment PLC * | 3,025 | 550,050 | |||||
Flutter Entertainment PLC * | 3,146 | 569,628 | |||||
3,631,428 | |||||||
Israel — 0.4% | |||||||
Bank Hapoalim B.M.* | 68,327 | 548,267 | |||||
Bank Leumi Le-Israel * | 81,999 | 622,761 | |||||
Isracard Ltd. | 1 | 3 | |||||
Israel Discount Bank Ltd., Class A * | 110,932 | 528,096 | |||||
Phoenix Holdings Ltd. (The) | 12,365 | 115,566 | |||||
Teva Pharmaceutical Industries | |||||||
Ltd., ADR* | 47,500 | 470,250 | |||||
2,284,943 | |||||||
Italy — 1.4% | |||||||
Eni SpA | 204,781 | 2,493,752 | |||||
Intesa Sanpaolo SpA | 1,086,051 | 2,999,895 | |||||
Mediobanca Banca di Credito | |||||||
Finanziario SpA * | 39,607 | 462,595 | |||||
Telecom Italia SpA@ | 2,860,918 | 1,421,049 | |||||
UniCredit SpA | 163,283 | 1,926,448 | |||||
9,303,739 | |||||||
Japan — 21.8% | |||||||
AEON Financial Service Co. Ltd. | 5,400 | 63,627 | |||||
AGC, Inc.@ | 48,500 | 2,034,385 | |||||
Air Water, Inc. | 4,900 | 75,334 | |||||
Aisin Corp. | 22,500 | 962,014 | |||||
Alfresa Holdings Corp. | 7,700 | 114,985 | |||||
Alps Alpine Co. Ltd. | 27,500 | 290,360 | |||||
Amada Co. Ltd. | 37,100 | 375,024 | |||||
Aozora Bank Ltd.@ | 14,700 | 328,813 | |||||
Asahi Kasei Corp. | 53,400 | 586,657 | |||||
Bank of Kyoto Ltd. (The)@ | 8,000 | 362,933 | |||||
Bridgestone Corp.@ | 31,600 | 1,437,851 | |||||
Brother Industries Ltd. | 23,000 | 458,986 | |||||
Canon Marketing Japan, Inc.@ | 12,000 | 279,004 | |||||
Canon, Inc.@ | 42,600 | 963,624 | |||||
Chiba Bank Ltd. (The) | 79,000 | 475,728 | |||||
Coca-Cola Bottlers Japan Holdings, | |||||||
Inc.@ | 13,975 | 218,377 | |||||
Concordia Financial Group Ltd. | 111,200 | 407,385 |
The accompanying notes are an integral part of these financial statements.
64
SA International Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Japan (Continued) | |||||||
Credit Saison Co. Ltd. | 23,900 | $ | 291,288 | ||||
Dai Nippon Printing Co. Ltd. | 30,000 | 634,322 | |||||
Dai-ichi Life Holdings, Inc. (The) | 69,900 | 1,279,775 | |||||
Daicel Corp. | 52,000 | 427,814 | |||||
Daio Paper Corp. | 12,400 | 205,262 | |||||
Daiwa House Industry Co. Ltd. | 13,700 | 411,265 | |||||
Daiwa Securities Group, Inc. | 214,000 | 1,175,223 | |||||
Denka Co. Ltd. | 16,200 | 538,809 | |||||
Dentsu Group, Inc.@ | 24,200 | 865,881 | |||||
DIC Corp.@ | 16,000 | 403,979 | |||||
Dowa Holdings Co. Ltd. | 9,600 | 378,055 | |||||
Ebara Corp.@ | 16,800 | 827,184 | |||||
ENEOS Holdings, Inc. | 240,100 | 1,004,748 | |||||
FUJIFILM Holdings Corp. | 10,700 | 793,531 | |||||
Fukuoka Financial Group, Inc. | 18,000 | 314,164 | |||||
Fukuyama Transporting Co. Ltd. | 4,300 | 159,661 | |||||
Fuyo General Lease Co. Ltd. | 800 | 50,551 | |||||
Hankyu Hanshin Holdings, Inc. | 31,900 | 983,460 | |||||
Haseko Corp. | 22,300 | 305,510 | |||||
Hino Motors Ltd. | 25,900 | 227,772 | |||||
Hitachi Ltd. | 55,600 | 3,183,506 | |||||
Honda Motor Co. Ltd. | 185,900 | 5,940,366 | |||||
Idemitsu Kosan Co. Ltd. | 27,500 | 664,139 | |||||
IHI Corp.* | 7,700 | 182,701 | |||||
Iida Group Holdings Co. Ltd. | 36,900 | 949,944 | |||||
Inpex Corp.@ | 144,500 | 1,078,271 | |||||
Isuzu Motors Ltd. | 67,000 | 884,729 | |||||
ITOCHU Corp. | 44,700 | 1,287,547 | |||||
Itoham Yonekyu Holdings, Inc. | 14,400 | 92,677 | |||||
J. Front Retailing Co. Ltd. | 51,400 | 455,727 | |||||
Japan Post Holdings Co. Ltd. | 71,600 | 586,682 | |||||
JFE Holdings, Inc. | 34,100 | 399,335 | |||||
JGC Holdings Corp. | 16,300 | 151,857 | |||||
JTEKT Corp. | 43,200 | 442,907 | |||||
K’s Holdings Corp. | 32,000 | 367,829 | |||||
Kajima Corp. | 54,000 | 683,901 | |||||
Kamigumi Co. Ltd. | 15,700 | 318,395 | |||||
Kaneka Corp. | 16,000 | 644,493 | |||||
Kawasaki Heavy Industries Ltd.*@ | 32,800 | 701,202 | |||||
Komatsu Ltd. | 27,900 | 693,262 | |||||
Kuraray Co. Ltd.@ | 76,400 | 733,776 | |||||
LIXIL Corp. | 45,500 | 1,176,664 | |||||
Mabuchi Motor Co. Ltd.@ | 5,100 | 192,808 | |||||
Marubeni Corp. | 203,100 | 1,766,190 | |||||
Mazda Motor Corp.* | 34,000 | 319,510 | |||||
Mebuki Financial Group, Inc. | 83,070 | 174,971 | |||||
Medipal Holdings Corp. | 25,300 | 483,249 | |||||
Mitsubishi Chemical Holdings Corp. | 185,800 | 1,561,225 | |||||
Mitsubishi Corp. | 105,400 | 2,872,777 | |||||
Mitsubishi Electric Corp. | 45,900 | 666,220 | |||||
Mitsubishi Gas Chemical Co., Inc. | 36,300 | 769,817 | |||||
Mitsubishi HC Capital, Inc. | 160,690 | 860,620 | |||||
Mitsubishi Heavy Industries Ltd. | 42,400 | 1,247,631 | |||||
Mitsubishi Logistics Corp. | 2,500 | 74,036 | |||||
Mitsubishi Materials Corp. | 21,600 | 430,658 | |||||
Mitsubishi Motors Corp.* | 81,500 | 228,885 | |||||
Mitsubishi UFJ Financial Group, Inc. | 206,400 | 1,114,907 | |||||
Mitsubishi UFJ Financial Group, Inc., | |||||||
ADR@ | 513,289 | 2,782,026 | |||||
Mitsui Chemicals, Inc. | 47,200 | 1,629,344 | |||||
Mitsui Fudosan Co. Ltd. | 54,100 | 1,252,975 | |||||
Mitsui OSK Lines Ltd. | 19,100 | 918,079 | |||||
Mizuho Financial Group, Inc. | 116,640 | 1,666,736 | |||||
MS&AD Insurance Group | |||||||
Holdings, Inc. | 35,828 | 1,034,576 | |||||
NEC Corp. | 21,800 | 1,122,427 | |||||
NGK Insulators Ltd. | 22,300 | 374,159 | |||||
NGK Spark Plug Co. Ltd.@ | 10,600 | 157,051 | |||||
NH Foods Ltd. | 15,533 | 604,011 | |||||
Nikon Corp. | 26,900 | 286,930 | |||||
Nippo Corp. | 11,000 | 313,380 | |||||
Nippon Electric Glass Co. Ltd.@ | 11,500 | 270,174 | |||||
Nippon Express Co. Ltd. | 15,900 | 1,210,802 | |||||
Nippon Shokubai Co. Ltd. | 4,600 | 221,108 | |||||
Nippon Steel Corp. | 66,227 | 1,116,849 | |||||
Nippon Yusen KK | 30,500 | 1,545,659 | |||||
Nipro Corp. | 14,600 | 172,553 | |||||
Nissan Motor Co. Ltd. * | 261,500 | 1,297,673 | |||||
Nitto Denko Corp. | 1,300 | 97,007 | |||||
NOK Corp. | 14,900 | 184,817 | |||||
Nomura Holdings, Inc. | 175,700 | 897,992 | |||||
Nomura Real Estate Holdings, Inc. | 23,700 | 601,167 | |||||
NSK Ltd. | 59,600 | 503,753 | |||||
Obayashi Corp. | 113,200 | 899,731 | |||||
Oji Holdings Corp. | 226,000 | 1,297,880 | |||||
Otsuka Holdings Co. Ltd.@ | 13,300 | 551,538 | |||||
Panasonic Corp. | 136,600 | 1,580,623 | |||||
Rengo Co. Ltd. | 35,400 | 294,748 | |||||
Resona Holdings, Inc. | 246,400 | 947,496 | |||||
Rohm Co. Ltd. | 9,500 | 878,212 | |||||
Sawai Group Holdings Co. Ltd. | 3,200 | 142,581 | |||||
Seiko Epson Corp. | 8,700 | 153,020 | |||||
Seino Holdings Co. Ltd. | 20,400 | 261,484 | |||||
Sekisui Chemical Co. Ltd. | 16,000 | 273,496 | |||||
Sekisui House Ltd. | 81,800 | 1,677,675 | |||||
Seven & i Holdings Co. Ltd. | 58,200 | 2,774,971 | |||||
Shimizu Corp. | 68,400 | 524,567 | |||||
Shinsei Bank Ltd. | 18,500 | 242,626 | |||||
Shizuoka Bank Ltd. (The)@ | 58,000 | 448,463 | |||||
Showa Denko KK | 14,000 | 415,860 | |||||
SoftBank Group Corp. | 3,400 | 237,950 | |||||
Sojitz Corp. | 179,100 | 540,065 | |||||
Sompo Holdings, Inc. | 37,143 | 1,372,781 | |||||
Subaru Corp. | 39,300 | 775,246 | |||||
Sumitomo Chemical Co. Ltd. | 471,000 | 2,497,133 | |||||
Sumitomo Corp. | 77,800 | 1,042,049 | |||||
Sumitomo Electric Industries Ltd. | 164,200 | 2,422,465 | |||||
Sumitomo Forestry Co. Ltd. @ | 33,800 | 619,137 | |||||
Sumitomo Heavy Industries Ltd. | 26,000 | 716,144 | |||||
Sumitomo Metal Mining Co. Ltd. | 18,900 | 735,789 | |||||
Sumitomo Mitsui Financial | |||||||
Group, Inc. | 73,300 | 2,527,017 | |||||
Sumitomo Mitsui Trust Holdings, Inc. | 24,900 | 790,739 |
The accompanying notes are an integral part of these financial statements.
65
SA International Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Japan (Continued) | |||||||
Sumitomo Realty & Development | |||||||
Co. Ltd. | 17,600 | $ | 628,939 | ||||
Sumitomo Rubber Industries Ltd.@ | 42,800 | 590,597 | |||||
Suzuken Co. Ltd. | 1,100 | 32,229 | |||||
Suzuki Motor Corp. | 18,100 | 765,904 | |||||
T&D Holdings, Inc. | 84,700 | 1,094,822 | |||||
Taiheiyo Cement Corp. | 25,000 | 548,405 | |||||
Taisei Corp. | 7,200 | 235,906 | |||||
Takeda Pharmaceutical Co. Ltd. | 141,973 | 4,752,667 | |||||
TDK Corp. | 2,600 | 315,712 | |||||
Teijin Ltd. | 53,199 | 810,711 | |||||
Toda Corp. | 28,000 | 192,808 | |||||
Tokai Carbon Co. Ltd.@ | 21,300 | 293,727 | |||||
Tokio Marine Holdings, Inc. | 26,100 | 1,200,043 | |||||
Tokyo Tatemono Co. Ltd.@ | 37,600 | 536,103 | |||||
Tokyu Fudosan Holdings Corp. | 132,300 | 795,503 | |||||
Toray Industries, Inc. | 166,100 | 1,105,041 | |||||
Tosoh Corp. | 58,300 | 1,005,471 | |||||
Toyo Seikan Group Holdings Ltd. | 30,500 | 416,477 | |||||
Toyoda Gosei Co. Ltd. | 15,300 | 376,664 | |||||
Toyota Motor Corp. | 137,990 | 12,060,695 | |||||
Toyota Motor Corp., ADR@ | 37,757 | 6,601,434 | |||||
Toyota Tsusho Corp. | 32,500 | 1,535,848 | |||||
Ube Industries Ltd. | 24,700 | 500,025 | |||||
Yamada Holdings Co. Ltd. | 93,100 | 429,905 | |||||
Yamaha Motor Co. Ltd.@ | 37,200 | 1,011,243 | |||||
Yamazaki Baking Co. Ltd. | 3,400 | 47,927 | |||||
Yokohama Rubber Co. Ltd. (The) @ | 27,600 | 591,029 | |||||
Zeon Corp. | 28,500 | 394,298 | |||||
141,869,622 | |||||||
Netherlands — 5.4% | |||||||
ABN AMRO Group NV*± | 42,957 | 519,142 | |||||
Aegon NV | 114,981 | 477,049 | |||||
Akzo Nobel NV | 7,067 | 873,164 | |||||
ArcelorMittal SA@ | 53,718 | 1,668,481 | |||||
ArcelorMittal SA= | 1,708 | 52,353 | |||||
Coca-Cola Europacific | |||||||
Partners PLC | 9,243 | 542,953 | |||||
Heineken NV | 16,812 | 2,037,340 | |||||
ING Groep NV | 253,754 | 3,351,902 | |||||
Koninklijke Ahold Delhaize NV | 237,160 | 7,049,997 | |||||
Koninklijke DSM NV | 33,748 | 6,298,628 | |||||
Koninklijke KPN NV | 54,934 | 171,574 | |||||
Koninklijke Philips NV¢ | 33,065 | 1,638,453 | |||||
Koninklijke Philips NV | 13,461 | 669,012 | |||||
NN Group NV | 32,452 | 1,530,733 | |||||
Randstad NV | 16,773 | 1,282,814 | |||||
Stellantis NV | 305,215 | 5,991,037 | |||||
Stellantis NV@ | 52,894 | 1,042,541 | |||||
35,197,173 | |||||||
New Zealand — 0.2% | |||||||
Auckland International Airport Ltd.* | 143,857 | 731,042 | |||||
EBOS Group Ltd. | 14,665 | 331,102 | |||||
Fletcher Building Ltd. | 49,614 | 260,795 | |||||
Ryman Healthcare Ltd. | 16,629 | 152,619 | |||||
Summerset Group Holdings Ltd. | 6,074 | 56,935 | |||||
1,532,493 | |||||||
Norway — 0.9% | |||||||
Austevoll Seafood ASA | 4,118 | 51,080 | |||||
DNB ASA | 96,212 | 2,096,290 | |||||
Equinor ASA | 43,535 | 921,146 | |||||
Norsk Hydro ASA | 156,773 | 1,000,344 | |||||
SpareBank 1 SR-Bank ASA | 25,719 | 339,628 | |||||
Storebrand ASA | 56,200 | 509,120 | |||||
Subsea 7 SA | 28,831 | 276,786 | |||||
Yara International ASA | 14,514 | 763,952 | |||||
5,958,346 | |||||||
Portugal — 0.1% | |||||||
Banco Espirito Santo SA§* | 414,564 | — | |||||
EDP Renovaveis SA | 32,371 | 750,022 | |||||
Galp Energia SGPS SA | 8,250 | 89,529 | |||||
839,551 | |||||||
Singapore — 0.9% | |||||||
CapitaLand Ltd. | 297,400 | 820,520 | |||||
City Developments Ltd. | 103,600 | 561,645 | |||||
Frasers Property Ltd.@ | 23,300 | 19,580 | |||||
Hongkong Land Holdings Ltd. | 101,200 | 481,712 | |||||
Jardine Cycle & Carriage Ltd. | 9,300 | 147,727 | |||||
Keppel Corp. Ltd. | 367,700 | 1,495,738 | |||||
Olam International Ltd.@ | 82,000 | 97,568 | |||||
Oversea-Chinese Banking Corp. Ltd. | 44,149 | 392,341 | |||||
Singapore Airlines Ltd.*@ | 301,449 | 1,087,252 | |||||
United Overseas Bank Ltd. | 33,300 | 639,404 | |||||
UOL Group Ltd. | 47,218 | 256,333 | |||||
5,999,820 | |||||||
Spain — 2.2% | |||||||
Banco Bilbao Vizcaya Argentaria SA * | 530,653 | 3,289,572 | |||||
Banco Bilbao Vizcaya Argentaria | |||||||
SA, ADR@* | 134,068 | 832,562 | |||||
Banco Santander SA* | 2,133,083 | 8,143,092 | |||||
Banco Santander SA, ADR@ | 210,864 | 824,478 | |||||
CaixaBank SA | 63,253 | 194,556 | |||||
Naturgy Energy Group SA | 5,501 | 141,415 | |||||
Repsol SA@ | 71,119 | 890,012 | |||||
14,315,687 | |||||||
Sweden — 2.8% | |||||||
BillerudKorsnas AB | 26,684 | 529,589 | |||||
Boliden AB | 68,429 | 2,630,624 | |||||
Dometic Group AB± | 22,074 | 375,935 | |||||
Getinge AB, B Shares | 21,260 | 801,899 | |||||
Holmen AB, B Shares | 11,612 | 524,149 | |||||
Husqvarna AB, Class B | 21,106 | 280,407 | |||||
ICA Gruppen AB@ | 15,599 | 725,988 | |||||
Intrum AB | 3,087 | 101,035 | |||||
Millicom International Cellular SA* | 8,745 | 346,199 | |||||
Peab AB Class B | 14,364 | 177,408 |
The accompanying notes are an integral part of these financial statements.
66
SA International Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Sweden (Continued) | |||||||
Skandinaviska Enskilda Banken | |||||||
AB, Class A | 166,703 | $ | 2,153,400 | ||||
Skanska AB, B Shares | 11,277 | 299,118 | |||||
SKF AB, B Shares | 64,782 | 1,649,431 | |||||
SSAB AB, B Shares* | 21,908 | 95,818 | |||||
Svenska Cellulosa AB, A Shares | 244 | 4,020 | |||||
Svenska Cellulosa AB, B Shares | 33,674 | 551,849 | |||||
Svenska Handelsbanken AB, A Shares | 75,888 | 856,235 | |||||
Svenska Handelsbanken AB, B Shares | 1,918 | 22,949 | |||||
Swedbank AB, A Shares | 38,879 | 723,419 | |||||
Tele2 AB, B Shares@ | 17,837 | 243,021 | |||||
Telia Co. AB | 343,398 | 1,523,966 | |||||
Trelleborg AB, B Shares | 28,547 | 662,798 | |||||
Volvo AB, A Shares@ | 21,144 | 524,270 | |||||
Volvo AB, B Shares@ | 104,968 | 2,525,433 | |||||
18,328,960 | |||||||
Switzerland — 8.4% | |||||||
ABB Ltd. | 79,542 | 2,698,539 | |||||
Adecco Group AG | 21,532 | 1,462,850 | |||||
Alcon, Inc. µ | 31,115 | 2,178,470 | |||||
Alcon, Inc.@ | 3,914 | 274,998 | |||||
Baloise Holding AG | 6,063 | 945,572 | |||||
Chocoladefabriken Lindt & | |||||||
Spruengli AG | 1 | 104,728 | |||||
Cie Financiere Richemont SA | 36,877 | 4,461,908 | |||||
Clariant AG* | 5,547 | 110,310 | |||||
Credit Suisse Group AG | 129,912 | 1,360,829 | |||||
Credit Suisse Group AG, ADR | 6,288 | 65,961 | |||||
Helvetia Holding AG | 1,249 | 134,316 | |||||
Holcim Ltd.* | 72,351 | 4,339,887 | |||||
Julius Baer Group Ltd. | 38,000 | 2,479,805 | |||||
Lonza Group AG | 796 | 564,190 | |||||
Novartis AG | 122,351 | 11,150,107 | |||||
Novartis AG, ADR | 5,175 | 472,167 | |||||
Swatch Group AG (The) µ | 6,226 | 410,805 | |||||
Swatch Group AG (The) µ | 1,834 | 629,140 | |||||
Swiss Life Holding AG | 4,192 | 2,036,988 | |||||
Swiss Prime Site AG | 1,574 | 156,167 | |||||
Swiss Re AG | 27,273 | 2,460,686 | |||||
Swisscom AG | 4,128 | 2,356,563 | |||||
UBS Group AG | 364,408 | 5,576,890 | |||||
Vifor Pharma AG | 3,119 | 403,675 | |||||
Zurich Insurance Group AG | 19,261 | 7,727,299 | |||||
54,562,850 | |||||||
United Kingdom — 13.7% | |||||||
Anglo American PLC | 117,865 | 4,683,400 | |||||
Aviva PLC | 745,467 | 4,185,659 | |||||
Barclays PLC, ADR@ | 330,258 | 3,186,990 | |||||
Barratt Developments PLC | 10,701 | 102,908 | |||||
BP PLC | 350,960 | 1,529,271 | |||||
BP PLC, ADR | 347,274 | 9,174,979 | |||||
British American Tobacco PLC | 183,504 | 7,107,550 | |||||
British American Tobacco PLC, ADR | 2,004 | 78,777 | |||||
BT Group PLC* | 1,280,249 | 3,435,679 | |||||
Carnival PLC* | 7,715 | 177,243 | |||||
DS Smith PLC | 96,352 | 556,993 | |||||
Glencore PLC* | 1,405,443 | 6,016,170 | |||||
HSBC Holdings PLC, ADR@ | 199,089 | 5,743,718 | |||||
J Sainsbury PLC | 422,622 | 1,588,978 | |||||
Kingfisher PLC | 420,977 | 2,122,620 | |||||
Lloyds Banking Group PLC | 8,348,692 | 5,392,109 | |||||
Lloyds Banking Group PLC, ADR | 217,015 | 553,388 | |||||
M&G PLC | 240,858 | 762,646 | |||||
Melrose Industries PLC | 351,390 | 753,907 | |||||
Natwest Group PLC | 105,541 | 296,662 | |||||
Natwest Group PLC, ADR@ | 162,939 | 918,976 | |||||
Pearson PLC | 17,918 | 205,723 | |||||
Pearson PLC, ADR | 1,200 | 13,932 | |||||
Phoenix Group Holdings PLC | 42,251 | 395,327 | |||||
Royal Dutch Shell PLC, ADR, Class B | 460,830 | 17,894,029 | |||||
Royal Mail PLC* | 17,244 | 137,731 | |||||
Standard Chartered PLC | 186,070 | 1,186,571 | |||||
Standard Life Aberdeen PLC | 202,084 | 757,561 | |||||
Tesco PLC | 22,721 | 70,073 | |||||
Vodafone Group PLC | 3,881,420 | 6,514,949 | |||||
Whitbread PLC* | 3,294 | 142,257 | |||||
WM Morrison Supermarkets PLC | 445,248 | 1,519,454 | |||||
WPP PLC | 92,413 | 1,245,368 | |||||
WPP PLC, ADR@ | 8,470 | 574,181 | |||||
89,025,779 | |||||||
TOTAL COMMON STOCKS | |||||||
(Identified Cost $519,010,305) | 633,662,536 | ||||||
PREFERRED STOCKS — 1.7% | |||||||
Germany — 1.6% | |||||||
Bayerische Motoren Werke | |||||||
AG, 2.540% | 9,731 | 874,621 | |||||
Porsche Automobil Holding | |||||||
SE, 2.420% | 17,284 | 1,851,883 | |||||
Volkswagen AG, 2.390% | 31,732 | 7,946,658 | |||||
10,673,162 | |||||||
Italy — 0.1% | |||||||
Telecom Italia SpA, 6.110% | 711,381 | 376,885 | |||||
TOTAL PREFERRED STOCKS | |||||||
(Identified Cost $9,502,759) | 11,050,047 | ||||||
RIGHTS AND WARRANTS — 0.0% | |||||||
Singapore — 0.0% | |||||||
Olam International Ltd.*<> | 12,300 | 3,110 | |||||
Switzerland — 0.0% | |||||||
Cie Financiere Richemont SA* | 124,562 | 83,468 | |||||
TOTAL RIGHTS AND WARRANTS | |||||||
(Identified Cost $0) | 86,578 | ||||||
SHORT-TERM INVESTMENTS — 5.7% | |||||||
Investment Company — 0.1% | |||||||
State Street Institutional U.S. | |||||||
Government Money Market | |||||||
Fund 0.025% | 585,555 | 585,555 |
The accompanying notes are an integral part of these financial statements.
67
SA International Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
Collateral For Securities On Loan — 5.6% | |||||||
State Street Navigator Securities | |||||||
Lending Government Money Market | |||||||
Portfolio, 0.020% | 36,521,759 | $ | 36,521,759 | ||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Identified Cost $37,107,314) | 37,107,314 | ||||||
Total Investments — 104.8% | |||||||
(Identified Cost $565,620,378) | 681,906,475 | ||||||
Liabilities, Less Cash and Other | |||||||
Assets — (4.8%) | (31,455,823 | ) | |||||
Net Assets — 100.0% | $ | 650,450,652 |
† | See Note 1 | ||
* | Non-income producing security | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $55,881,282. | ||
¥ | Traded on the Canada, Toronto Stock Exchange. | ||
± | 144A Securities. Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities have been deemed by the Fund to be liquid and at June 30, 2021 amounted to $2,968,894 or 0.46% of the net assets of the Fund. | ||
= | Traded on the France, Euronext Paris Exchange. | ||
¢ | Traded on the Netherlands, Euronext Amsterdam Stock Market. | ||
§ | Fair valued security. Security is valued using significant unobservable inputs as determined pursuant to procedures approved by the Fund's Board of Trustees. See Note 1 | ||
µ | Traded on the Switzerland, Swiss Exchange. | ||
<> | Fair valued security. Security is valued using significant observable inputs other than quoted prices as determined pursuant to procedures approved by the Fund’s Board of Trustees. See Note 1 |
Key to abbreviations:
ADR — American Depository Receipt
Top largest industry holdings as of June 30, 2021
(As a percentage of net assets) (Unaudited)
Industry | Percentage | ||||
Commercial Banks | 19.3% | ||||
Oil, Gas & Consumable Fuels | 11.0% | ||||
Automobiles | 10.5% | ||||
Insurance | 7.8% | ||||
Chemicals | 5.2% | ||||
Metals & Mining | 4.7% | ||||
Pharmaceuticals | 3.3% | ||||
Auto Components | 2.7% | ||||
Food & Staples Retailing | 2.5% | ||||
Capital Markets | 2.4% |
Country Weightings as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
68
SA International Small Company Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
MUTUAL FUNDS — 100.1% | |||||||
Other — 100.1% | |||||||
DFA International Small | |||||||
Company Portfolio£ | 14,770,023 | $ | 334,688,716 | ||||
TOTAL MUTUAL FUNDS | |||||||
(Identified Cost $161,347,654) | 334,688,716 | ||||||
Total Investments — 100.1% | |||||||
(Identified Cost $161,347,654) | 334,688,716 | ||||||
Liabilities, Less Cash and | |||||||
Other Assets — (0.1%) | (173,597 | ) | |||||
Net Assets — 100.0% | $ | 334,515,119 |
† | See Note 1 | ||
£ | Please refer to the Portfolio of Investments of the DFA International Small Company Portfolio included elsewhere in this report. |
The accompanying notes are an integral part of these financial statements.
69
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
COMMON STOCKS — 98.1% | |||||||
Belgium — 0.0% | |||||||
Titan Cement International SA* | 2,164 | $ | 41,979 | ||||
Brazil — 4.3% | |||||||
Banco Bradesco SA | 39,471 | 173,476 | |||||
Banco Bradesco SA, ADR | 123,982 | 636,028 | |||||
Banco do Brasil SA | 50,144 | 323,923 | |||||
Banco Santander Brasil SA | 15,497 | 126,187 | |||||
Cia Brasileira de Distribuicao | 3,300 | 25,650 | |||||
Cogna Educacao* | 32,240 | 28,067 | |||||
Cyrela Brazil Realty SA | |||||||
Empreendimentos e Participacoes | 8,100 | 38,010 | |||||
Enauta Participacoes SA | 13,118 | 47,500 | |||||
Gerdau SA, ADR | 73,328 | 432,635 | |||||
Hypera SA | 7,312 | 50,674 | |||||
International Meal Co. | |||||||
Alimentacao SA* | 16,347 | 13,377 | |||||
Iochpe Maxion SA* | 12,197 | 39,310 | |||||
JBS SA | 64,351 | 376,496 | |||||
JHSF Participacoes SA | 20,831 | 30,448 | |||||
MRV Engenharia e Participacoes SA | 7,300 | 23,967 | |||||
Petrobras Distribuidora SA | 11,000 | 59,005 | |||||
Petroleo Brasileiro SA | 294,300 | 1,792,261 | |||||
TIM SA/Brazil | 9,200 | 21,327 | |||||
Tupy SA* | 9,747 | 46,522 | |||||
Ultrapar Participacoes SA | 9,900 | 36,604 | |||||
Usinas Siderurgicas de Minas | |||||||
Gerais SA | 9,100 | 36,134 | |||||
Vale SA | 233,906 | 5,325,878 | |||||
9,683,479 | |||||||
British Virgin Islands — 0.0% | |||||||
AsiaInfo Technologies Ltd.± | 21,200 | 36,042 | |||||
C&D Property Management Group | |||||||
Co. Ltd.* | 18,000 | 11,151 | |||||
47,193 | |||||||
Cayman Islands — 0.0% | |||||||
DouYu International Holdings | |||||||
Ltd., ADR* | 2,931 | 20,048 | |||||
Chile — 0.4% | |||||||
CAP SA | 4,662 | 79,986 | |||||
Cencosud SA | 120,649 | 240,036 | |||||
Empresa Nacional de | |||||||
Telecomunicaciones SA | 13,467 | 74,084 | |||||
Empresas CMPC SA | 54,329 | 129,462 | |||||
Empresas COPEC SA | 19,032 | 187,368 | |||||
Enel Chile SA, ADR@ | 4,332 | 12,779 | |||||
Enersis Americas SA, ADR | 8,125 | 58,663 | |||||
Grupo Security SA | 123,808 | 20,805 | |||||
Hortifrut SA | 6,080 | 7,451 | |||||
Inversiones Aguas Metropolitanas SA | 40,036 | 21,861 | |||||
PAZ Corp. SA | 9,073 | 6,116 | |||||
Ripley Corp. SA | 71,991 | 18,527 | |||||
Salfacorp SA | 43,600 | 23,748 | |||||
Sigdo Koppers SA | 27,803 | 26,501 | |||||
SMU SA | 147,411 | 17,493 | |||||
Sociedad Matriz SAAM SA | 550,961 | 39,162 | |||||
Socovesa SA | 38,881 | 8,314 | |||||
SONDA SA | 26,216 | 14,819 | |||||
987,175 | |||||||
China — 34.5% | |||||||
360 Security Technology, Inc., | |||||||
Class A* | 20,500 | 38,738 | |||||
361 Degrees International Ltd.* | 71,000 | 38,681 | |||||
3SBio, Inc.*±@ | 106,000 | 131,061 | |||||
AAC Technologies Holdings, Inc.@ | 60,500 | 452,719 | |||||
Accelink Technologies Co. Ltd. | |||||||
Class A | 9,200 | 35,026 | |||||
Agile Group Holdings Ltd. | 131,091 | 169,851 | |||||
Agricultural Bank of China Ltd., | |||||||
H Shares | 1,793,000 | 623,508 | |||||
Air China Ltd., Class H* | 154,000 | 113,254 | |||||
Alibaba Group Holding Ltd.* | 14,400 | 408,021 | |||||
Aluminum Corp. of China Ltd., | |||||||
H Shares*@ | 290,000 | 172,933 | |||||
Angang Steel Co. Ltd., H Shares@ | 142,999 | 90,614 | |||||
Anhui Conch Cement Co. Ltd., | |||||||
H Shares | 117,500 | 623,495 | |||||
Anhui Guangxin Agrochemical Co. Ltd., | |||||||
Class A | 2,200 | 10,242 | |||||
Anhui Truchum Advanced Materials & | |||||||
Technology Co. Ltd., Class A | 13,800 | 18,645 | |||||
Anhui Zhongding Sealing Parts Co. | |||||||
Ltd., Class A | 13,300 | 24,865 | |||||
Anton Oilfield Services Group* | 226,000 | 15,136 | |||||
Asia Cement China Holdings Corp. | 40,000 | 31,323 | |||||
Atlas Corp.@ | 6,910 | 98,467 | |||||
Ausnutria Dairy Corp. Ltd.@* | 41,000 | 54,918 | |||||
Avary Holding Shenzhen Co. Ltd., | |||||||
Class A | 1,600 | 8,885 | |||||
AviChina Industry & Technology Co. | |||||||
Ltd., H Shares | 254,000 | 168,149 | |||||
BAIC Motor Corp., Ltd., | |||||||
H Shares±@ | 145,000 | 53,971 | |||||
Baidu, Inc., ADR* | 12,143 | 2,475,958 | |||||
BAIOO Family Interactive Ltd.± | 48,000 | 10,077 | |||||
Bank of Beijing Co. Ltd., Class A | 98,400 | 74,164 | |||||
Bank of Changsha Co. Ltd., Class A | 25,500 | 35,282 | |||||
Bank of Chengdu Co. Ltd., Class A | 26,000 | 50,862 | |||||
Bank of China Ltd., H Shares | 4,829,902 | 1,735,562 | |||||
Bank of Chongqing Co. Ltd., | |||||||
H Shares | 46,500 | 30,963 | |||||
Bank of Communications Co. Ltd., | |||||||
H Shares | 565,400 | 380,123 | |||||
Bank of Hangzhou Co. Ltd., Class A | 21,100 | 48,166 | |||||
Bank of Nanjing Co. Ltd., Class A | 61,300 | 99,804 | |||||
Bank of Ningbo Co. Ltd., Class A | 16,800 | 101,323 | |||||
Bank of Shanghai Co. Ltd., Class A | 68,500 | 86,931 | |||||
Bank of Suzhou Co. Ltd., Class A | 20,200 | 22,978 | |||||
Baoshan Iron & Steel Co. Ltd., | |||||||
Class A | 124,500 | 147,208 | |||||
BBMG Corp., H Shares | 184,000 | 34,599 | |||||
Beijing Capital Co. Ltd., Class A | 48,000 | 22,360 |
The accompanying notes are an integral part of these financial statements.
70
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Beijing Capital Development Co. Ltd., | |||||||
Class A | 12,200 | $ | 10,573 | ||||
Beijing Capital International Airport | |||||||
Co. Ltd., H Shares* | 190,000 | 126,026 | |||||
Beijing Capital Land Ltd., | |||||||
H Shares*@ | 150,000 | 32,649 | |||||
Beijing Dabeinong Technology Group | |||||||
Co. Ltd., Class A | 32,000 | 33,677 | |||||
Beijing Energy International Holding | |||||||
Co. Ltd.* | 310,000 | 11,379 | |||||
Beijing Enlight Media Co. Ltd., | |||||||
Class A | 11,300 | 18,905 | |||||
Beijing Enterprises Holdings Ltd. | 46,000 | 163,221 | |||||
Beijing Enterprises Water Group Ltd. | 448,000 | 169,638 | |||||
Beijing GeoEnviron Engineering & | |||||||
Technology, Inc., Class A | 9,360 | 20,976 | |||||
Beijing North Star Co. Ltd., Class H | 100,000 | 18,675 | |||||
Beijing Orient Landscape & | |||||||
Environment Co. Ltd., Class A* | 20,000 | 10,555 | |||||
Beijing Orient National Communication | |||||||
Science & Technology Co. Ltd., | |||||||
Class A* | 8,200 | 15,686 | |||||
Beijing Originwater Technology Co. | |||||||
Ltd., Class A | 18,000 | 20,364 | |||||
Beijing Shiji Information Technology | |||||||
Co. Ltd., Class A | 3,220 | 11,716 | |||||
Beijing Sinnet Technology Co. Ltd., | |||||||
Class A | 12,200 | 27,170 | |||||
Beijing SL Pharmaceutical Co. Ltd., | |||||||
Class A | 8,900 | 14,504 | |||||
Beijing Thunisoft Corp. Ltd., Class A | 4,400 | 13,109 | |||||
Beijing Tong Ren Tang Chinese | |||||||
Medicine Co. Ltd. | 15,000 | 24,767 | |||||
Beijing Yanjing Brewery Co. Ltd., | |||||||
Class A | 9,600 | 10,757 | |||||
Beijing Zhong Ke San Huan High-Tech | |||||||
Co. Ltd., Class A | 14,600 | 21,579 | |||||
Blue Sail Medical Co. Ltd., Class A | 12,900 | 41,626 | |||||
Bluefocus Intelligent Communications | |||||||
Group Co. Ltd., Class A | 23,100 | 21,629 | |||||
BOE Technology Group Co. Ltd., | |||||||
Class A | 220,300 | 212,750 | |||||
Bohai Leasing Co. Ltd., Class A* | 64,900 | 24,307 | |||||
Bosideng International Holdings Ltd. | 270,000 | 192,999 | |||||
Bright Dairy & Food Co. Ltd., Class A | 7,700 | 17,172 | |||||
Brilliance China Automotive | |||||||
Holdings Ltd.<> | 178,000 | 167,356 | |||||
BTG Hotels Group Co. Ltd., Class A | 5,700 | 21,048 | |||||
BYD Electronic International | |||||||
Co. Ltd.@ | 67,500 | 443,375 | |||||
C C Land Holdings Ltd. | 106,500 | 26,062 | |||||
C&D International Investment | |||||||
Group Ltd.*@ | 18,000 | 32,364 | |||||
CA Cultural Technology Group Ltd.* | 28,000 | 10,783 | |||||
Caitong Securities Co. Ltd., Class A | 11,900 | 19,319 | |||||
CECEP Solar Energy Co. Ltd., | |||||||
Class A | 30,100 | 29,022 | |||||
CECEP Wind-Power Corp., Class A | 37,700 | 21,821 | |||||
Central China Management | |||||||
Co. Ltd.*@ | 81,000 | 23,890 | |||||
Central China Real Estate Ltd. | 81,000 | 21,073 | |||||
CGN Meiya Power Holdings Co. Ltd. | 152,000 | 62,841 | |||||
Changjiang Securities Co. Ltd., | |||||||
Class A | 39,900 | 45,202 | |||||
Chaowei Power Holdings Ltd. | 71,000 | 22,221 | |||||
Chengdu Wintrue Holding Co. Ltd., | |||||||
Class A | 8,900 | 12,025 | |||||
Chengtun Mining Group Co. Ltd., | |||||||
Class A | 19,700 | 21,738 | |||||
China Aircraft Leasing Group | |||||||
Holdings Ltd. | 16,000 | 12,509 | |||||
China Aoyuan Group Ltd. | 103,000 | 86,891 | |||||
China Baoan Group Co. Ltd., | |||||||
Class A | 15,500 | 43,827 | |||||
China Beststudy Education Group | 16,000 | 2,720 | |||||
China BlueChemical Ltd., H Shares | 192,000 | 56,134 | |||||
China Cinda Asset Management Co. | |||||||
Ltd., Class H | 561,000 | 106,936 | |||||
China Citic Bank Corp., Ltd., | |||||||
H Shares | 613,000 | 290,540 | |||||
China Coal Energy Co. Ltd., | |||||||
H Shares | 158,000 | 94,218 | |||||
China Communication Services | |||||||
Corp., Ltd., H Shares | 231,600 | 115,736 | |||||
China Conch Venture Holdings Ltd. | 80,500 | 339,032 | |||||
China Construction Bank Corp., | |||||||
H Shares | 6,099,810 | 4,800,154 | |||||
China Development Bank Financial | |||||||
Leasing Co. Ltd., H Shares± | 128,000 | 19,783 | |||||
China Dongxiang Group Co. Ltd | 389,000 | 68,639 | |||||
China Eastern Airlines Corp. | |||||||
Ltd., ADR | 403 | 8,503 | |||||
China Eastern Airlines Corp., Ltd., | |||||||
H Shares | 142,000 | 60,170 | |||||
China Education Group | |||||||
Holdings Ltd.@ | 30,000 | 66,922 | |||||
China Energy Engineering Corp., Ltd., | |||||||
H Shares | 152,000 | 15,270 | |||||
China Everbright Bank Co. Ltd., | |||||||
H Shares | 241,000 | 98,395 | |||||
China Everbright Greentech Ltd.± | 65,000 | 24,780 | |||||
China Everbright Ltd. | 88,000 | 103,592 | |||||
China Evergrande Group@ | 200,000 | 260,680 | |||||
China Film Co. Ltd., Class A | 10,100 | 19,586 | |||||
China Foods Ltd. | 86,000 | 31,235 | |||||
China Fortune Land Development | |||||||
Co. Ltd., Class A | 19,211 | 15,579 | |||||
China Galaxy Securities Co. Ltd., | |||||||
H Shares | 194,500 | 115,984 | |||||
China Gas Holdings Ltd. | 211,800 | 646,505 | |||||
China Gezhouba Group Co. Ltd., | |||||||
Class A | 20,000 | 23,184 | |||||
China Grand Pharmaceutical and | |||||||
Healthcare Holdings Ltd., Class A | 68,000 | 63,583 | |||||
China Great Wall Securities Co. Ltd., | |||||||
Class A | 8,500 | 14,641 |
The accompanying notes are an integral part of these financial statements.
71
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
China Harmony Auto Holding Ltd.@ | 62,000 | $ | 27,230 | ||||
China High Speed Transmission | |||||||
Equipment Group Co. Ltd.*@ | 44,000 | 27,938 | |||||
China Hongqiao Group Ltd. | 162,500 | 220,174 | |||||
China Huarong Asset Management | |||||||
Co. Ltd., Class H±<> | 801,000 | 105,228 | |||||
China International Capital Corp., | |||||||
Ltd., H Shares± | 21,600 | 58,143 | |||||
China International Marine Containers | |||||||
Group Co. Ltd., Class H | 49,640 | 109,710 | |||||
China Jinmao Holdings Group Ltd. | 440,000 | 147,341 | |||||
China Jushi Co. Ltd., Class A | 22,631 | 54,323 | |||||
China Kepei Education Group Ltd. | 36,000 | 25,965 | |||||
China Lesso Group Holdings Ltd. | 100,000 | 246,770 | |||||
China Life Insurance Co. Ltd., | |||||||
Class H | 238,000 | 472,058 | |||||
China Lilang Ltd. | 31,000 | 20,123 | |||||
China Literature Ltd.*±@ | 16,600 | 184,615 | |||||
China Lumena New Materials | |||||||
Corp.*§ | 5,599 | — | |||||
China Machinery Engineering Corp., | |||||||
Class H | 57,000 | 26,429 | |||||
China Maple Leaf Educational | |||||||
Systems Ltd.*@ | 160,000 | 43,275 | |||||
China Medical System Holdings Ltd. | 97,000 | 255,483 | |||||
China Meheco Co. Ltd., Class A | 9,900 | 18,616 | |||||
China Mengniu Dairy Co. Ltd.* | 99,000 | 598,644 | |||||
China Merchants Bank Co. Ltd., | |||||||
H Shares | 287,500 | 2,453,135 | |||||
China Merchants Energy Shipping | |||||||
Co. Ltd., Class A | 56,880 | 40,670 | |||||
China Merchants Land Ltd.* | 118,000 | 16,566 | |||||
China Merchants Port Holdings | |||||||
Co. Ltd. | 142,891 | 208,697 | |||||
China Merchants Securities Co. Ltd., | |||||||
H Shares±@ | 10,660 | 14,828 | |||||
China Merchants Shekou Industrial | |||||||
Zone Holdings Co. Ltd., Class A | 22,000 | 37,283 | |||||
China Minsheng Banking Corp., Ltd., | |||||||
H Shares@ | 425,380 | 203,806 | |||||
China Modern Dairy Holdings Ltd. | 290,000 | 64,243 | |||||
China Molybdenum Co. Ltd., | |||||||
H Shares | 135,000 | 80,155 | |||||
China National Accord Medicines | |||||||
Corp. Ltd., Class A | 5,200 | 30,453 | |||||
China National Building Material Co. | |||||||
Ltd., H Shares | 440,850 | 517,825 | |||||
China National Medicines Corp. Ltd., | |||||||
Class A | 2,900 | 14,838 | |||||
China New Higher Education | |||||||
Group Ltd.± | 74,000 | 50,704 | |||||
China Oil & Gas Group Ltd.*@ | 200,000 | 10,819 | |||||
China Oilfield Services Ltd., | |||||||
H Shares | 180,000 | 161,354 | |||||
China Oriental Group Co. Ltd. | 122,000 | 39,439 | |||||
China Overseas Grand Oceans | |||||||
Group Ltd. | 131,500 | 76,553 | |||||
China Overseas Land & | |||||||
Investment Ltd. | 414,000 | 940,582 | |||||
China Pacific Insurance Group Co. Ltd., | |||||||
H Shares | 203,200 | 639,883 | |||||
China Petroleum & Chemical Corp., | |||||||
H Shares | 1,784,400 | 903,197 | |||||
China Railway Group Ltd., H Shares | 326,000 | 170,048 | |||||
China Railway Signal & Communication | |||||||
Corp. Ltd. H Shares±@ | 77,000 | 28,462 | |||||
China Reinsurance Group Corp., | |||||||
H Shares | 323,000 | 32,865 | |||||
China Resources Cement | |||||||
Holdings Ltd. | 238,000 | 226,220 | |||||
China Resources Double Crane | |||||||
Pharmaceutical Co. Ltd., Class A | 6,300 | 11,612 | |||||
China Resources Gas Group Ltd. | 70,000 | 420,128 | |||||
China Resources Land Ltd. | 372,000 | 1,506,820 | |||||
China Resources Medical Holdings | |||||||
Co. Ltd. | 71,500 | 86,839 | |||||
China Resources Pharmaceutical | |||||||
Group Ltd.± | 134,500 | 83,843 | |||||
China Resources Sanjiu Medical & | |||||||
Pharmaceutical Co. Ltd., Class A | 7,900 | 32,706 | |||||
China Risun Group Ltd. | 16,000 | 10,056 | |||||
China Sanjiang Fine Chemicals | |||||||
Co. Ltd. | 44,000 | 17,851 | |||||
China SCE Group Holdings Ltd. | 170,000 | 69,845 | |||||
China Shanshui Cement Group Ltd. * | 53,000 | 14,198 | |||||
China Shenhua Energy Co. Ltd., | |||||||
H Shares | 358,000 | 701,771 | |||||
China Shineway Pharmaceutical | |||||||
Group Ltd.@ | 36,000 | 36,907 | |||||
China South City Holdings Ltd. | 508,000 | 55,614 | |||||
China South Publishing & Media | |||||||
Group Co. Ltd., Class A | 11,600 | 15,834 | |||||
China Southern Airlines Co. Ltd., | |||||||
H Shares*@ | 170,000 | 105,534 | |||||
China Taiping Insurance Holdings | |||||||
Co. Ltd. | 137,800 | 229,303 | |||||
China Tianrui Group Cement | |||||||
Co. Ltd.* | 11,000 | 8,387 | |||||
China Tower Corp. Ltd., Class H± | 3,174,000 | 437,410 | |||||
China Traditional Chinese Medicine | |||||||
Holdings Co. Ltd. | 260,000 | 178,149 | |||||
China TransInfo Technology Co. Ltd., | |||||||
Class A | 6,900 | 17,833 | |||||
China Travel International Investment | |||||||
Hong Kong Ltd.* | 180,000 | 29,906 | |||||
China Vanke Co. Ltd., Class H | 149,400 | 467,579 | |||||
China Yongda Automobiles Services | |||||||
Holdings Ltd. | 84,000 | 150,381 | |||||
China Zhongwang Holdings Ltd.*@ | 154,000 | 35,900 | |||||
Chinasoft International Ltd. * | 216,000 | 393,926 | |||||
Chinese Universe Publishing and | |||||||
Media Group Co. Ltd., Class A | 9,200 | 14,039 | |||||
Chongqing Changan Automobile Co. | |||||||
Ltd., Class A* | 12,500 | 50,840 | |||||
Chongqing Department Store Co. Ltd., | |||||||
Class A | 2,400 | 10,196 |
The accompanying notes are an integral part of these financial statements.
72
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Chongqing Rural Commercial Bank Co. | |||||||
Ltd., H Shares | 226,000 | $ | 89,360 | ||||
CIFI Holdings Group Co. Ltd. | 285,364 | 222,725 | |||||
CIMC Enric Holdings Ltd. | 74,000 | 77,009 | |||||
CITIC Ltd. | 417,000 | 449,531 | |||||
CITIC Securities Co. Ltd., Class H | 64,000 | 160,571 | |||||
Citychamp Watch & Jewellery | |||||||
Group Ltd.* | 62,000 | 12,138 | |||||
CNHTC Jinan Truck Co. Ltd., | |||||||
Class A | 2,000 | 8,376 | |||||
CNNC Hua Yuan Titanium | |||||||
Dioxide Co. Ltd., Class A | 14,800 | 29,662 | |||||
COFCO Biotechnology Co. Ltd., | |||||||
Class A | 15,100 | 21,056 | |||||
Cogobuy Group*± | 40,000 | 14,477 | |||||
Concord New Energy Group Ltd. | 420,000 | 31,915 | |||||
Consun Pharmaceutical Group Ltd. | 23,000 | 15,019 | |||||
COSCO SHIPPING Development Co. | |||||||
Ltd., H Shares | 324,200 | 69,314 | |||||
COSCO SHIPPING Energy Transportation | |||||||
Co. Ltd., H Shares@ | 136,000 | 63,408 | |||||
COSCO Shipping Holdings Co Ltd., | |||||||
H Shares*@ | 179,000 | 450,941 | |||||
COSCO SHIPPING Ports Ltd. | 152,431 | 118,972 | |||||
Country Garden Holdings Co. Ltd. | 882,036 | 988,333 | |||||
CP Pokphand Co. Ltd. | 444,000 | 48,607 | |||||
CPMC Holdings Ltd. | 53,000 | 31,059 | |||||
CSG Holding Co. Ltd., Class A | 19,500 | 30,903 | |||||
CSPC Pharmaceutical Group Ltd. | 600,000 | 868,591 | |||||
CT Environmental Group Ltd.*@§ | 98,000 | — | |||||
CTS International Logistics Corp. Ltd., | |||||||
Class A | 11,000 | 23,987 | |||||
DaFa Properties Group Ltd. | 16,000 | 12,879 | |||||
Dali Foods Group Co. Ltd.± | 116,500 | 69,471 | |||||
Daqin Railway Co. Ltd., Class A | 85,800 | 87,374 | |||||
DBG Technology Co. Ltd.,Class A | 7,000 | 13,174 | |||||
Dexin China Holdings Co. Ltd. | 76,000 | 28,876 | |||||
DHC Software Co. Ltd., Class A | 28,100 | 34,487 | |||||
Digital China Holdings Ltd.@ | 62,000 | 40,964 | |||||
Digital China Information Service Co. | |||||||
Ltd., Class A | 10,000 | 22,394 | |||||
Dong-E-E-Jiao Co. Ltd., Class A | 3,300 | 18,340 | |||||
Dongfang Electric Corp. Ltd. | |||||||
H Shares@ | 29,800 | 23,873 | |||||
Dongfeng Motor Group Co. Ltd., | |||||||
H Shares | 184,000 | 165,413 | |||||
Dongxing Securities Co. Ltd., | |||||||
Class A | 12,000 | 20,299 | |||||
Dongyue Group Ltd. | 112,000 | 93,762 | |||||
Dynagreen Environmental Protection | |||||||
Group Co. Ltd., Class H | 52,000 | 23,909 | |||||
E-House China Enterprise | |||||||
Holdings Ltd.@ | 24,600 | 21,038 | |||||
Essex Bio-technology Ltd. | 37,000 | 36,169 | |||||
Everbright Securities Co. Ltd., | |||||||
Class H±@ | 16,000 | 13,683 | |||||
Fangda Carbon New Material Co. Ltd., | |||||||
Class A | 15,700 | 18,078 | |||||
Fangda Special Steel Technology Co. | |||||||
Ltd., Class A | 19,000 | 19,937 | |||||
Fantasia Holdings Group Co. Ltd.@* | 142,500 | 16,151 | |||||
Far East Horizon Ltd. | 200,000 | 209,162 | |||||
FAW Jiefang Group Co. Ltd., | |||||||
Class A* | 24,100 | 40,357 | |||||
Fiberhome Telecommunication | |||||||
Technologies Co. Ltd., Class A | 5,800 | 16,723 | |||||
FIH Mobile Ltd.*@ | 203,000 | 33,466 | |||||
Financial Street Holdings Co. Ltd., | |||||||
Class A | 23,300 | 24,341 | |||||
FinVolution Group, ADR@ | 11,439 | 108,899 | |||||
Fosun International Ltd. | 200,500 | 288,705 | |||||
Founder Securities Co. Ltd., | |||||||
Class A* | 23,800 | 34,476 | |||||
Fu Shou Yuan International | |||||||
Group Ltd. | 65,000 | 63,457 | |||||
Fufeng Group Ltd. | 153,000 | 49,067 | |||||
Fujian Funeng Co. Ltd., Class A | 14,100 | 22,891 | |||||
Fujian Star-net Communication Co. | |||||||
Ltd., Class A | 6,100 | 20,156 | |||||
Fujian Sunner Development Co. Ltd., | |||||||
Class A | 9,000 | 33,262 | |||||
Fuyao Glass Industry Group Co. Ltd., | |||||||
Class H± | 13,200 | 92,995 | |||||
Gansu Shangfeng Cement Co. Ltd., | |||||||
Class A | 5,200 | 14,067 | |||||
GCL-Poly Energy Holdings Ltd.*<> | 1,351,000 | 344,523 | |||||
GDS Holdings Ltd., Class A * | 3,200 | 31,694 | |||||
Geely Automobile Holdings Ltd. | 493,000 | 1,552,471 | |||||
GEM Co. Ltd., Class A | 33,500 | 48,476 | |||||
Gemdale Corp., Class A | 30,000 | 47,544 | |||||
Gemdale Properties & Investment | |||||||
Corp., Ltd. | 442,000 | 56,358 | |||||
Genertec Universal Medical Group | |||||||
Co. Ltd.± | 75,500 | 73,805 | |||||
GF Securities Co. Ltd., Class H | 75,800 | 98,212 | |||||
Giant Network Group Co. Ltd., | |||||||
Class A | 9,400 | 19,349 | |||||
Ginko International Co. Ltd. | 5,000 | 47,734 | |||||
Glory Sun Financial Group Ltd.*@ | 356,000 | 9,583 | |||||
Golden Eagle Retail Group Ltd. | 15,000 | 13,234 | |||||
GOME Retail Holdings Ltd.*@ | 438,000 | 56,412 | |||||
Gotion High-tech Co. Ltd., Class A* | 3,500 | 23,595 | |||||
Grandjoy Holdings Group Co. Ltd., | |||||||
Class A | 30,000 | 16,715 | |||||
Great Wall Motor Co. Ltd., H Shares | 181,000 | 585,127 | |||||
Greattown Holdings Ltd., Class A | 34,100 | 19,896 | |||||
Greatview Aseptic Packaging | |||||||
Co. Ltd. | 88,000 | 39,669 | |||||
Gree Electric Appliances, Inc., | |||||||
Class A | 6,600 | 53,217 | |||||
Greenland Hong Kong Holdings Ltd. | 112,000 | 36,062 | |||||
Greentown China Holdings Ltd.@ | 78,500 | 120,920 | |||||
GRG Banking Equipment Co. Ltd., | |||||||
Class A | 23,600 | 47,591 |
The accompanying notes are an integral part of these financial statements.
73
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Guangdong HEC Technology Holding | |||||||
Co. Ltd., Class A* | 28,100 | $ | 19,526 | ||||
Guangdong Huatie Tongda High-speed | |||||||
Railway Equipment Corp., | |||||||
Class A* | 22,300 | 20,259 | |||||
Guangdong Tapai Group Co. Ltd., | |||||||
Class A | 9,300 | 14,796 | |||||
Guanghui Energy Co. Ltd., Class A* | 26,800 | 13,812 | |||||
Guangxi Liugong Machinery Co. Ltd., | |||||||
Class A | 14,900 | 18,909 | |||||
Guangxi Wuzhou Zhongheng Group | |||||||
Co. Ltd., Class A | 24,500 | 12,475 | |||||
Guangzhou Automobile Group Co. Ltd., | |||||||
H Shares | 188,000 | 168,767 | |||||
Guangzhou Baiyun International Airport | |||||||
Co. Ltd., Class A | 11,000 | 19,033 | |||||
Guangzhou Baiyunshan Pharmaceutical | |||||||
Holdings Co. Ltd., Class H | 16,000 | 50,591 | |||||
Guangzhou Haige Communications | |||||||
Group, Inc. Co., Class A | 22,300 | 32,649 | |||||
Guangzhou R&F Properties Co. Ltd., | |||||||
H Shares@ | 212,400 | 242,374 | |||||
Guangzhou Yuexiu Financial Holdings | |||||||
Group Co. Ltd., Class A | 9,900 | 19,397 | |||||
Guizhou Panjiang Refined Coal Co. | |||||||
Ltd.,Class A | 9,269 | 10,185 | |||||
Guosen Securities Co. Ltd., Class A | 22,400 | 37,267 | |||||
Guosheng Financial Holding, Inc., | |||||||
Class A* | 14,131 | 24,910 | |||||
Guotai Junan Securities Co. Ltd., | |||||||
H Shares± | 29,000 | 41,235 | |||||
Haier Smart Home Co. Ltd., Class A | 20,500 | 82,204 | |||||
Haier Smart Home Co. Ltd., | |||||||
H Shares* | 60,800 | 212,212 | |||||
Hainan Meilan International Airport Co. | |||||||
Ltd., H Shares* | 4,000 | 16,718 | |||||
Haitian International Holdings Ltd. | 44,000 | 147,624 | |||||
Haitong Securities Co. Ltd., Class H | 169,600 | 148,536 | |||||
Hang Zhou Great Star Industrial Co. | |||||||
Ltd., Class A* | 4,400 | 23,207 | |||||
Hangzhou Binjiang Real Estate Group | |||||||
Co. Ltd., Class A | 45,200 | 29,310 | |||||
Harbin Electric Co. Ltd., H Shares | 54,000 | 14,675 | |||||
HC Group, Inc.* | 70,500 | 8,989 | |||||
Health & Happiness H&H International | |||||||
Holdings Ltd. | 18,500 | 77,557 | |||||
Hebei Construction Group Corp. Ltd., | |||||||
Class H | 41,000 | 12,673 | |||||
Heilongjiang Agriculture Co. Ltd., | |||||||
Class A | 8,000 | 18,522 | |||||
Hengan International Group Co. Ltd. | 55,500 | 371,701 | |||||
Hengdeli Holdings Ltd.* | 184,000 | 7,939 | |||||
Hengdian Group DMEGC Magnetics | |||||||
Co. Ltd., Class A | 9,300 | 18,711 | |||||
Hengli Petrochemical Co. Ltd., | |||||||
Class A | 19,900 | 80,814 | |||||
Hengtong Optic-electric Co. Ltd., | |||||||
Class A | 9,680 | 17,079 | |||||
Hengyi Petrochemical Co. Ltd., | |||||||
Class A | 25,000 | 46,236 | |||||
Hesteel Co. Ltd., Class A* | 65,500 | 24,937 | |||||
Hi Sun Technology China Ltd.* | 138,000 | 23,283 | |||||
Hisense Home Appliances Group Co. | |||||||
Ltd., Class H | 34,000 | 46,943 | |||||
Holitech Technology Co. Ltd., | |||||||
Class A | 35,900 | 19,835 | |||||
Hongda Xingye Co. Ltd., Class A | 21,200 | 12,894 | |||||
Hope Education Group Co. Ltd.± | 120,000 | 28,902 | |||||
Hopson Development Holdings Ltd. | 58,000 | 265,935 | |||||
Hua Hong Semiconductor Ltd.*± | 32,000 | 176,809 | |||||
Huaan Securities Co. Ltd., Class A | 23,372 | 20,147 | |||||
Huadong Medicine Co. Ltd., Ltd., | |||||||
Class A | 8,421 | 59,963 | |||||
Huafa Industrial Co. Ltd. Zhuhai, | |||||||
Class A | 11,600 | 12,100 | |||||
Huafon Microfibre Shanghai Technology | |||||||
Co. Ltd., Class T | 25,700 | 19,688 | |||||
Huagong Tech Co. Ltd., Class A | 6,200 | 22,568 | |||||
Huapont Life Sciences Co. Ltd., | |||||||
Class A | 27,600 | 26,526 | |||||
Huatai Securities Co. Ltd., Class H± | 58,600 | 86,040 | |||||
Huaxi Securities Co. Ltd., Class A | 12,600 | 18,779 | |||||
Huaxia Bank Co. Ltd., Class A | 43,300 | 41,481 | |||||
Huaxin Cement Co. Ltd., Class A | 7,000 | 19,034 | |||||
Huayu Automotive Systems Co. Ltd., | |||||||
Class A | 17,500 | 71,149 | |||||
Hubei Biocause Pharmaceutical Co. | |||||||
Ltd., Class A | 17,600 | 9,860 | |||||
Hubei Jumpcan Pharmaceutical Co. | |||||||
Ltd., Class A | 4,400 | 12,189 | |||||
Hubei Xingfa Chemicals Group Co. Ltd., | |||||||
Class A | 9,400 | 27,394 | |||||
Hunan Gold Corp. Ltd., Class A* | 15,800 | 18,951 | |||||
Hunan Valin Steel Co. Ltd., Class A | 47,300 | 48,314 | |||||
Huolinhe Opencut Coal Industry Corp. | |||||||
Ltd. of Inner Mongolia, Class A | 12,000 | 19,333 | |||||
Hytera Communications Corp. Ltd., | |||||||
Class A | 23,400 | 18,252 | |||||
IMAX China Holding, Inc.±@ | 6,300 | 9,396 | |||||
Industrial & Commercial Bank of China | |||||||
Ltd., H Shares | 4,684,000 | 2,750,929 | |||||
Industrial Bank Co. Ltd.,, Class A | 122,900 | 390,871 | |||||
Industrial Securities Co. Ltd., | |||||||
Class A | 40,700 | 60,847 | |||||
Infore Environment Technology Group | |||||||
Co. Ltd., Class A | 12,400 | 13,184 | |||||
Inner Mongolia BaoTou Steel Union Co. | |||||||
Ltd., Class A* | 169,960 | 40,771 | |||||
Inner Mongolia Junzheng Energy & | |||||||
Chemical Industry Group Co. Ltd., | |||||||
Class A | 55,300 | 43,563 | |||||
Inner Mongolia Yuan Xing Energy Co. | |||||||
Ltd., Class A* | 49,400 | 35,704 | |||||
JD.com, Inc., Class A* | 16,600 | 652,942 | |||||
Jiangsu Changshu Rural Commercial | |||||||
Bank Co. Ltd., Class A | 20,200 | 19,383 |
The accompanying notes are an integral part of these financial statements.
74
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Jiangsu Eastern Shenghong Co. Ltd., | |||||||
Class A | 5,100 | $ | 16,496 | ||||
Jiangsu Guotai International Group Co. | |||||||
Ltd., Class A | 10,400 | 14,647 | |||||
Jiangsu Jiangyin Rural Commercial | |||||||
Bank Co. Ltd., Class A | 34,700 | 21,159 | |||||
Jiangsu Nhwa Pharmaceutical Co. Ltd., | |||||||
Class A | 6,700 | 15,917 | |||||
Jiangsu Provincial Agricultural | |||||||
Reclamation and | |||||||
Development Corp. | 11,200 | 17,992 | |||||
Jiangsu Yuyue Medical Equipment & | |||||||
Supply Co. Ltd., Class A | 5,600 | 33,046 | |||||
Jiangsu Zhangjiagang Rural Commercial | |||||||
Bank Co. Ltd., Class A | 23,200 | 19,532 | |||||
Jiangsu Zhongnan Construction Group | |||||||
Co. Ltd., Class A | 13,900 | 12,735 | |||||
Jiangsu Zhongtian Technology Co. Ltd., | |||||||
Class A | 18,600 | 28,786 | |||||
Jiangxi Copper Co. Ltd., H Shares@ | 82,000 | 167,922 | |||||
Jiangxi Zhengbang Technology Co. | |||||||
Ltd., Class A | 25,000 | 46,236 | |||||
Jiaozuo Wanfang Aluminum | |||||||
Manufacturing Co. Ltd., Class A | 17,100 | 18,763 | |||||
Jiayuan International Group Ltd. | 135,695 | 57,673 | |||||
Jilin Aodong Pharmaceutical Group Co. | |||||||
Ltd., Class A | 7,300 | 17,500 | |||||
Jingrui Holdings Ltd. * | 43,000 | 12,295 | |||||
JinkoSolar Holding Co. Ltd., ADR*@ | 4,223 | 236,572 | |||||
Jinneng Science&Technology Co. Ltd., | |||||||
Class A | 10,600 | 29,627 | |||||
JNBY Design Ltd. | 16,500 | 29,327 | |||||
Joincare Pharmaceutical Group | |||||||
Industry Co. Ltd., Class A | 18,700 | 39,736 | |||||
Jointown Pharmaceutical Group Co. | |||||||
Ltd., Class A | 10,700 | 25,452 | |||||
Joy City Property Ltd. | 226,000 | 13,244 | |||||
JOYY, Inc., ADR | 4,334 | 285,914 | |||||
Ju Teng International Holdings Ltd. | 56,000 | 11,756 | |||||
Juneyao Airlines Co. Ltd., Class A | 9,700 | 22,908 | |||||
Kaisa Group Holdings Ltd.@ | 308,570 | 116,842 | |||||
Kaisa Prosperity Holdings Ltd. | 3,750 | 14,586 | |||||
Kehua Data Co. Ltd., Class A | 3,500 | 12,334 | |||||
Kingboard Holdings Ltd. | 71,500 | 396,900 | |||||
Kingboard Laminates Holdings Ltd. | 103,000 | 231,091 | |||||
Kingsoft Corp. Ltd. | 46,000 | 275,788 | |||||
Kunlun Energy Co. Ltd. | 378,000 | 348,580 | |||||
Kunlun Tech Co. Ltd., Class A | 5,800 | 14,703 | |||||
KWG Group Holdings Ltd. | 130,000 | 174,130 | |||||
KWG Living Group Holdings Ltd.* | 65,000 | 83,382 | |||||
Lao Feng Xiang Co. Ltd., Class A | 2,700 | 22,134 | |||||
Lee & Man Paper Manufacturing Ltd. | 122,000 | 92,863 | |||||
Lee's Pharmaceutical Holdings | |||||||
Ltd.@ | 34,500 | 21,595 | |||||
Legend Holdings Corp., H Shares± | 38,400 | 63,107 | |||||
Lenovo Group Ltd. | 632,000 | 726,886 | |||||
Lens Technology Co. Ltd., Class A | 13,140 | 59,808 | |||||
Leo Group Co. Ltd., Class A | 48,000 | 17,383 | |||||
LexinFintech Holdings Ltd., ADR* | 6,213 | 76,109 | |||||
Leyard Optoelectronic Co. Ltd., | |||||||
Class A | 20,300 | 24,568 | |||||
LianChuang Electronic Technology Co. | |||||||
Ltd., Class A | 10,200 | 20,758 | |||||
Liaoning Cheng Da Co. Ltd., Class A | 5,800 | 18,680 | |||||
Livzon Pharmaceutical Group, Inc., | |||||||
H Shares | 14,100 | 69,462 | |||||
Logan Group Co. Ltd. | 96,000 | 143,673 | |||||
Longfor Properties Co. Ltd.± | 139,000 | 778,757 | |||||
Longshine Technology Group Co. Ltd., | |||||||
Class A | 4,500 | 11,714 | |||||
Lonking Holdings Ltd. | 158,000 | 51,077 | |||||
Luenmei Quantum Co. Ltd., Class A | 13,300 | 18,381 | |||||
Luolai Lifestyle Technology Co. Ltd., | |||||||
Class A | 5,300 | 10,983 | |||||
Luoniushan Co. Ltd., Class A | 16,000 | 19,537 | |||||
Luxi Chemical Group Co. Ltd., | |||||||
Class A | 8,600 | 24,929 | |||||
Luye Pharma Group Ltd.± | 161,500 | 106,290 | |||||
LVGEM China Real Estate Investment | |||||||
Co. Ltd.* | 72,000 | 18,825 | |||||
Maanshan Iron & Steel Co. Ltd., | |||||||
H Shares | 38,000 | 16,493 | |||||
Maoyan Entertainment*±@ | 6,200 | 9,758 | |||||
Metallurgical Corp., of China Ltd., | |||||||
H Shares | 225,000 | 52,452 | |||||
Mingfa Group International Co. Ltd.* | 91,000 | 5,860 | |||||
Minth Group Ltd. | 60,000 | 285,151 | |||||
MLS Co. Ltd., Class A | 20,000 | 41,477 | |||||
MMG Ltd.* | 192,000 | 84,572 | |||||
Mobvista, Inc.*±@ | 10,000 | 12,879 | |||||
Momo, Inc. ADR | 12,916 | 197,744 | |||||
Nanjing Iron & Steel Co. Ltd., | |||||||
Class A | 36,600 | 20,165 | |||||
Nanjing Xinjiekou Department Store Co. | |||||||
Ltd., Class A | 6,900 | 10,743 | |||||
NARI Technology Co. Ltd., Class A | 29,206 | 105,046 | |||||
NavInfo Co. Ltd., Class A | 10,200 | 23,205 | |||||
NetDragon Websoft Holdings Ltd. | 25,500 | 67,984 | |||||
New China Life Insurance Co. Ltd., | |||||||
H Shares | 57,900 | 197,616 | |||||
New Hope Liuhe Co. Ltd., Class A* | 35,615 | 80,860 | |||||
Newland Digital Technology Co. Ltd., | |||||||
Class A | 10,000 | 25,675 | |||||
Nexteer Automotive Group Ltd. | 69,000 | 95,978 | |||||
Nine Dragons Paper Holdings Ltd. | 173,000 | 221,923 | |||||
Ningbo Huaxiang Electronic Co. Ltd., | |||||||
Class A | 8,950 | 27,010 | |||||
Ningbo Joyson Electronic Corp., | |||||||
Class A | 5,200 | 20,538 | |||||
Ningbo Zhoushan Port Co. Ltd., | |||||||
Class A | 33,200 | 20,296 | |||||
Northeast Securities Co. Ltd., | |||||||
Class A | 8,500 | 11,116 | |||||
OFILM Group Co. Ltd., Class A | 20,800 | 28,586 | |||||
ORG Technology Co. Ltd., Class A | 26,800 | 21,319 | |||||
Orient Securities Co. Ltd., Class H± | 52,400 | 37,996 |
The accompanying notes are an integral part of these financial statements.
75
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Oriental Pearl Group Co. Ltd., | |||||||
Class A | 10,700 | $ | 13,562 | ||||
Ourpalm Co. Ltd., Class A* | 27,500 | 18,088 | |||||
Pangang Group Vanadium Titanium & | |||||||
Resources Co. Ltd., Class A* | 61,900 | 21,938 | |||||
PAX Global Technology Ltd. | 75,000 | 86,260 | |||||
PCI Technology Group Co. Ltd., | |||||||
Class A | 15,600 | 17,890 | |||||
People's Insurance Co. Group of China | |||||||
Ltd. (The), H Shares | 305,000 | 101,741 | |||||
Perfect World Co. Ltd., Class A | 12,900 | 47,735 | |||||
PetroChina Co. Ltd., H Shares | 2,160,000 | 1,051,582 | |||||
PICC Property & Casualty Co. Ltd., | |||||||
H Shares | 494,000 | 432,647 | |||||
Ping An Bank Co. Ltd., Class A | 120,800 | 422,892 | |||||
Ping An Insurance Group Co. of China | |||||||
Ltd., Class H | 141,000 | 1,381,071 | |||||
Pingdingshan Tianan Coal Mining Co. | |||||||
Ltd., Class A | 15,900 | 17,496 | |||||
Poly Property Group Co. Ltd. | 186,000 | 48,391 | |||||
Postal Savings Bank of China Co. Ltd., | |||||||
Class H± | 595,000 | 400,790 | |||||
Pou Sheng International | |||||||
Holdings Ltd.* | 252,000 | 59,395 | |||||
Powerlong Real Estate Holdings Ltd. | 143,000 | 122,846 | |||||
Q Technology Group Co. Ltd. | 31,000 | 63,563 | |||||
Qingdao Hanhe Cable Co. Ltd., | |||||||
Class A | 35,800 | 19,835 | |||||
Qingling Motors Co. Ltd., Class H | 84,000 | 17,851 | |||||
Qudian, Inc.,ADR* | 3,805 | 9,170 | |||||
Red Star Macalline Group Corp., Ltd., | |||||||
H Shares±* | 35,700 | 25,151 | |||||
Redco Properties Group Ltd.±@ | 80,000 | 25,965 | |||||
Redsun Properties Group Ltd. | 82,000 | 27,248 | |||||
Renhe Pharmacy Co. Ltd., Class A | 19,700 | 33,293 | |||||
RISE Education Cayman Ltd., ADR* | 3,702 | 9,662 | |||||
RiseSun Real Estate Development Co. | |||||||
Ltd., Class A | 35,400 | 30,900 | |||||
Ronshine China Holdings Ltd.* | 43,500 | 25,099 | |||||
SAIC Motor Corp. Ltd., Class A | 29,700 | 100,985 | |||||
Sailun Group Co. Ltd., Class A | 13,900 | 21,491 | |||||
Sanan Optoelectronics Co. Ltd., | |||||||
Class A | 18,700 | 92,755 | |||||
Sansteel Minguang Co. Ltd., Class A | 13,700 | 14,291 | |||||
Sany Heavy Equipment International | |||||||
Holdings Co. Ltd. | 83,000 | 84,130 | |||||
Sealand Securities Co. Ltd., Class A | 24,800 | 16,274 | |||||
Seazen Group Ltd.* | 180,000 | 170,627 | |||||
Seazen Holdings Co. Ltd., Class A | 13,800 | 88,847 | |||||
Shaanxi Coal Industry Co. Ltd., | |||||||
Class A | 50,037 | 91,766 | |||||
Shan Xi Hua Yang Group New Energy | |||||||
Co. Ltd., Class A | 20,800 | 23,886 | |||||
Shandong Buchang Pharmaceuticals | |||||||
Co. Ltd., Class A | 9,200 | 32,022 | |||||
Shandong Chenming Paper Holdings | |||||||
Ltd., H Shares@ | 35,250 | 21,974 | |||||
Shandong Gold Mining Co. Ltd., | |||||||
H Shares±@ | 34,750 | 61,495 | |||||
Shandong Himile Mechanical Science & | |||||||
Technology Co. Ltd., Class A | 2,700 | 11,157 | |||||
Shandong Hualu Hengsheng Chemical | |||||||
Co. Ltd., Class A | 11,310 | 54,174 | |||||
Shandong Humon Smelting Co. Ltd., | |||||||
Class A | 10,800 | 19,205 | |||||
Shandong Jincheng Pharmaceutical | |||||||
Group Co. Ltd., Class A | 3,100 | 13,673 | |||||
Shandong Linglong Tyre Co. Ltd., | |||||||
Class A | 7,700 | 52,124 | |||||
Shandong Longda Meat Foodstuff Co. | |||||||
Ltd., Class A | 8,100 | 12,686 | |||||
Shandong Nanshan Aluminum Co. Ltd., | |||||||
Class A | 37,900 | 21,116 | |||||
Shandong Sun Paper Industry JSC | |||||||
Ltd., Class A | 16,800 | 34,710 | |||||
Shandong Weigao Group Medical | |||||||
Polymer Co. Ltd., H Shares | 188,000 | 438,747 | |||||
Shandong Yisheng Livestock & Poultry | |||||||
Breeding Co. Ltd., Class A | 7,471 | 11,528 | |||||
Shanghai AJ Group Co. Ltd., Class A | 16,900 | 18,256 | |||||
Shanghai Electric Group Co. Ltd., | |||||||
H Shares* | 166,000 | 44,256 | |||||
Shanghai Environment Group Co. Ltd., | |||||||
Class A | 11,600 | 21,489 | |||||
Shanghai Fosun Pharmaceutical Group | |||||||
Co. Ltd., H Shares@ | 29,500 | 238,225 | |||||
Shanghai Fudan Microelectronics | |||||||
Group Co. Ltd., Class H* | 16,000 | 39,854 | |||||
Shanghai Industrial Holdings Ltd. | 45,000 | 66,419 | |||||
Shanghai Industrial Urban Development | |||||||
Group Ltd. | 274,000 | 25,761 | |||||
Shanghai International Airport Co. Ltd., | |||||||
Class A | 2,300 | 17,132 | |||||
Shanghai International Port Group Co. | |||||||
Ltd., Class A | 48,600 | 35,878 | |||||
Shanghai Jahwa United Co. Ltd., | |||||||
Class A | 2,600 | 24,200 | |||||
Shanghai Jin Jiang International Hotels | |||||||
Group Co. Ltd., H Shares | 148,000 | 31,833 | |||||
Shanghai Jinjiang International Hotels | |||||||
Co. Ltd., Class A | 1,300 | 11,458 | |||||
Shanghai Lingang Holdings Corp. Ltd., | |||||||
Class A | 8,760 | 24,268 | |||||
Shanghai Lujiazui Finance & Trade Zone | |||||||
Development Co. Ltd., Class A | 13,500 | 27,830 | |||||
Shanghai Mechanical and Electrical | |||||||
Industry Co. Ltd., Class A | 7,100 | 17,856 | |||||
Shanghai Pharmaceuticals Holding Co. | |||||||
Ltd., Class H | 63,600 | 138,925 | |||||
Shanghai Pudong Development Bank | |||||||
Co. Ltd., Class A | 118,900 | 184,014 | |||||
Shanghai RAAS Blood Products Co. | |||||||
Ltd., Class A | 37,200 | 43,122 | |||||
Shanghai Shimao Co. Ltd., Class A | 23,100 | 14,443 |
The accompanying notes are an integral part of these financial statements.
76
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Shanghai Sinyang Semiconductor | |||||||
Materials Co. Ltd., Class A | 3,000 | $ | 22,537 | ||||
Shanghai Tunnel Engineering Co. Ltd., | |||||||
Class A | 25,600 | 20,959 | |||||
Shanghai Yuyuan Tourist Mart Group | |||||||
Co. Ltd., Class A | 18,000 | 32,287 | |||||
Shanghai Zhangjiang High-Tech Park | |||||||
Development Co. Ltd., Class A | 7,800 | 22,055 | |||||
Shanxi Coking Coal Energy Group Co. | |||||||
Ltd., Class A | 50,000 | 64,304 | |||||
Shanxi Lu'an Environmental Energy | |||||||
Development Co. Ltd., Class A | 22,000 | 40,211 | |||||
Shanxi Meijin Energy Co. Ltd., | |||||||
Class A* | 41,400 | 48,439 | |||||
Shanxi Securities Co. Ltd., Class A | 24,700 | 25,650 | |||||
Shanxi Taigang Stainless Steel Co. Ltd., | |||||||
Class A | 34,300 | 39,760 | |||||
Shanying International Holding Co. Ltd., | |||||||
Class A* | 37,500 | 20,023 | |||||
Shenwan Hongyuan Group Co. Ltd., | |||||||
H Shares± | 43,200 | 11,573 | |||||
Shenzhen Agricultural Products Group | |||||||
Co. Ltd., Class A | 15,600 | 13,327 | |||||
Shenzhen Airport Co. Ltd., Class A* | 16,200 | 19,481 | |||||
Shenzhen Aisidi Co. Ltd., Class A | 14,200 | 22,042 | |||||
Shenzhen Hepalink Pharmaceutical | |||||||
Group Co. Ltd., Class A | 4,900 | 12,080 | |||||
Shenzhen International Holdings Ltd. | 107,733 | 149,022 | |||||
Shenzhen Investment Ltd. | 323,060 | 99,444 | |||||
Shenzhen Jinjia Group Co. Ltd., | |||||||
Class A | 15,600 | 25,688 | |||||
Shenzhen Kinwong Electronic Co. Ltd., | |||||||
Class A | 2,300 | 9,326 | |||||
Shenzhen MTC Co. Ltd., Class A* | 42,300 | 39,737 | |||||
Shenzhen Neptunus Bioengineering Co. | |||||||
Ltd., Class A* | 28,200 | 14,228 | |||||
Shenzhen Overseas Chinese Town Co. | |||||||
Ltd., Class A | 61,400 | 70,699 | |||||
Shenzhen Tagen Group Co. Ltd., | |||||||
Class A | 25,000 | 21,396 | |||||
Shenzhen World Union Group, Inc., | |||||||
Class A | 33,300 | 31,592 | |||||
Shenzhen Yinghe Technology Co. Ltd., | |||||||
Class A | 7,000 | 21,515 | |||||
Shenzhen Zhongjin Lingnan Nonfemet | |||||||
Co. Ltd., Class A | 31,900 | 22,315 | |||||
Shijiazhuang Changshan BeiMing | |||||||
Technology Co. Ltd., Class A* | 24,200 | 43,033 | |||||
Shijiazhuang Yiling Pharmaceutical Co. | |||||||
Ltd., Class A | 8,000 | 36,103 | |||||
Shimao Group Holdings Ltd. | 131,000 | 321,245 | |||||
Shoucheng Holdings Ltd.@ | 134,400 | 32,197 | |||||
Shougang Fushan Resources | |||||||
Group Ltd. | 219,790 | 64,825 | |||||
Shui On Land Ltd.* | 280,000 | 45,439 | |||||
Siasun Robot & Automation Co. Ltd., | |||||||
Class A* | 12,500 | 20,642 | |||||
Sichuan Hebang Biotechnology Co. | |||||||
Ltd., Class A* | 84,300 | 27,137 | |||||
Sichuan Kelun Pharmaceutical Co. Ltd., | |||||||
Class A | 12,500 | 38,594 | |||||
Sichuan Languang Development Co. | |||||||
Ltd., Class A | 32,900 | 15,021 | |||||
Sieyuan Electric Co. Ltd., Class A | 4,300 | 20,490 | |||||
Sihuan Pharmaceutical Holdings | |||||||
Group Ltd. | 328,000 | 140,252 | |||||
Sino Biopharmaceutical Ltd. | 462,000 | 453,414 | |||||
Sino-Ocean Land Holdings Ltd. | 293,712 | 64,308 | |||||
Sinofert Holdings Ltd.* | 244,000 | 35,197 | |||||
Sinolink Securities Co. Ltd., Class A | 11,700 | 22,978 | |||||
Sinoma International Engineering Co., | |||||||
Class A | 14,600 | 20,720 | |||||
Sinoma Science & Technology Co. Ltd., | |||||||
Class A | 11,000 | 44,552 | |||||
Sinopec Engineering Group Co. Ltd., | |||||||
H Shares | 111,000 | 71,910 | |||||
Sinopec Kantons Holdings Ltd. | 90,000 | 33,731 | |||||
Sinopec Oilfield Service Corp, | |||||||
Class H* | 256,000 | 23,739 | |||||
Sinopec Shanghai Petrochemical Co. | |||||||
Ltd., Class H | 248,000 | 57,813 | |||||
Sinopharm Group Co. Ltd., H Shares | 140,400 | 417,712 | |||||
Sinotrans Ltd., H Shares | 145,000 | 60,321 | |||||
Sinotruk Hong Kong Ltd. | 67,000 | 143,591 | |||||
Skyfame Realty Holdings Ltd. | 158,000 | 19,332 | |||||
Skyworth Group Ltd.* | 156,114 | 43,832 | |||||
SOHO China Ltd. * | 153,500 | 82,441 | |||||
SooChow Securities Co. Ltd., | |||||||
Class A | 15,600 | 20,135 | |||||
Spring Airlines Co. Ltd., Class A | 2,300 | 20,254 | |||||
SSY Group Ltd. | 124,000 | 110,835 | |||||
Sun King Technology Group Ltd. | 88,000 | 33,888 | |||||
Sunac China Holdings Ltd. | 234,000 | 803,176 | |||||
Sunac Services Holdings Ltd.*± | 7,528 | 27,972 | |||||
Suning Universal Co. Ltd., Class A* | 32,100 | 41,184 | |||||
Suning.com Co. Ltd., Class A<> | 37,200 | 32,183 | |||||
Sunward Intelligent Equipment Co. Ltd., | |||||||
Class A | 10,800 | 14,341 | |||||
Suzhou Dongshan Precision | |||||||
Manufacturing Co. Ltd., Class A | 10,800 | 34,833 | |||||
Suzhou Gold Mantis Construction | |||||||
Decoration Co. Ltd., Class A | 15,000 | 18,386 | |||||
Tangshan Jidong Cement Co. Ltd., | |||||||
Class A | 10,000 | 19,113 | |||||
TangShan Port Group Co. Ltd., | |||||||
Class A | 55,900 | 20,850 | |||||
Tangshan Sanyou Chemical Industries | |||||||
Co. Ltd., Class A | 11,600 | 18,150 | |||||
TBEA Co. Ltd., Class A | 13,000 | 25,853 | |||||
TCL Electronics Holdings Ltd. | 54,667 | 32,599 | |||||
TCL Technology Group Corp., | |||||||
Class A | 28,300 | 33,506 | |||||
Tech-Bank Food Co. Ltd., Class A | 23,240 | 25,213 | |||||
Tencent Music Entertainment | |||||||
Group, ADR* | 17,611 | 272,618 | |||||
Texhong Textile Group Ltd. | 18,000 | 29,118 |
The accompanying notes are an integral part of these financial statements.
77
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Tian Di Science & Technology | |||||||
Co. Ltd. | 40,500 | $ | 24,445 | ||||
Tiangong International Co. Ltd.@ | 76,000 | 32,400 | |||||
Tianjin Chase Sun Pharmaceutical Co. | |||||||
Ltd., Class A | 30,700 | 20,193 | |||||
Tianjin Port Development Holdings Ltd. | 180,000 | 14,142 | |||||
Tianjin Zhonghuan Semiconductor Co. | |||||||
Ltd., Class A | 11,000 | 65,713 | |||||
Tianneng Power International Ltd.@ | 74,000 | 129,428 | |||||
Tianshui Huatian Technology Co. Ltd., | |||||||
Class A | 10,300 | 24,533 | |||||
Times China Holdings Ltd. | 10,000 | 11,437 | |||||
Tingyi Cayman Islands Holding Corp. | 154,000 | 307,433 | |||||
Titan Wind Energy Suzhou Co. Ltd. | 8,800 | 11,781 | |||||
Tomson Group Ltd. | 24,000 | 5,842 | |||||
Tong Ren Tang Technologies Co. Ltd., | |||||||
Class H | 41,000 | 37,651 | |||||
Tongcheng-Elong Holdings Ltd.* | 49,200 | 123,185 | |||||
Tongda Group Holdings Ltd.* | 340,000 | 20,800 | |||||
Tonghua Dongbao Pharmaceutical Co. | |||||||
Ltd., Class A | 11,000 | 20,327 | |||||
Tongkun Group Co. Ltd., Class A | 11,100 | 41,384 | |||||
Tongling Nonferrous Metals Group Co. | |||||||
Ltd., Class A | 49,000 | 20,627 | |||||
Tongyu Heavy Industry Co. Ltd., | |||||||
Class A | 40,800 | 19,322 | |||||
Topsec Technologies Group, Inc., | |||||||
Class A* | 7,000 | 21,418 | |||||
Transfar Zhilian Co. Ltd., Class A | 27,553 | 32,877 | |||||
TravelSky Technology Ltd., H Shares | 53,000 | 114,406 | |||||
Trip.com Group Ltd., ADR* | 31,580 | 1,119,827 | |||||
Truly International Holdings Ltd.* | 120,000 | 33,847 | |||||
Tsingtao Brewery Co. Ltd., Class H | 20,000 | 215,345 | |||||
Tus Environmental Science And | |||||||
Technology Development Co. Ltd., | |||||||
Class A* | 23,000 | 19,044 | |||||
Uni-President China Holdings Ltd. | 92,000 | 101,547 | |||||
Unisplendour Corp. Ltd., Class A | 20,640 | 69,892 | |||||
United Energy Group Ltd.@ | 412,000 | 59,431 | |||||
Universal Scientific Industrial Shanghai | |||||||
Co. Ltd., Class A | 10,000 | 26,016 | |||||
Untrade Hua Han Health§* | 504,000 | — | |||||
Untrade Huiyuan Juice§ | 84,500 | — | |||||
Vinda International Holdings Ltd.@ | 26,000 | 80,033 | |||||
Viomi Technology Co. Ltd., ADR* | 2,471 | 20,979 | |||||
Vipshop Holdings Ltd., ADR* | 5,905 | 118,572 | |||||
Virscend Education Co. Ltd.± | 106,000 | 14,881 | |||||
Wangfujing Group Co. Ltd., Class A | 4,200 | 18,772 | |||||
Wangsu Science & Technology Co. Ltd., | |||||||
Class A | 20,900 | 18,922 | |||||
Want Want China Holdings Ltd. | 349,000 | 247,221 | |||||
Wanxiang Qianchao Co. Ltd., | |||||||
Class A | 42,900 | 35,255 | |||||
Wasion Holdings Ltd. | 48,000 | 15,023 | |||||
Weibo Corp., ADR*@ | 2,537 | 133,497 | |||||
Weichai Power Co. Ltd., H Shares | 151,000 | 335,672 | |||||
Weifu High-Technology Group Co. Ltd., | |||||||
Class A | 5,600 | 18,053 | |||||
Wellhope Foods Co Ltd., Class A | 7,700 | 12,417 | |||||
Wens Foodstuffs Group Co. Ltd., | |||||||
Class A | 47,100 | 104,748 | |||||
West China Cement Ltd. | 198,000 | 30,347 | |||||
Wharf Holdings Ltd. (The) | 70,000 | 266,862 | |||||
Wingtech Technology Co. Ltd., | |||||||
Class A | 5,300 | 79,482 | |||||
Wisdom Education International | |||||||
Holdings Co. Ltd.@ | 40,000 | 10,922 | |||||
Wolong Electric Group Co. Ltd., | |||||||
Class A | 11,600 | 23,877 | |||||
Wuchan Zhongda Group Co. Ltd., | |||||||
Class A | 29,100 | 35,444 | |||||
Wuhan Department Store Group Co. | |||||||
Ltd., Class A | 12,600 | 22,815 | |||||
Wuhu Token Science Co. Ltd., | |||||||
Class A | 16,000 | 20,454 | |||||
Wuxi Taiji Industry Co. Ltd., Class A | 14,900 | 20,984 | |||||
XCMG Construction Machinery Co. | |||||||
Ltd., Class A | 47,400 | 46,729 | |||||
Xiamen C & D, Inc., Class A | 17,600 | 22,063 | |||||
Xiamen Comfort Science & Technology | |||||||
Group Co. Ltd., Class A | 8,700 | 30,470 | |||||
Xiamen International Port Co. Ltd., | |||||||
Class H | 94,000 | 11,501 | |||||
Xiamen ITG Group Corp. Ltd., | |||||||
Class A | 17,300 | 21,982 | |||||
Xiamen Tungsten Co. Ltd., Class A | 7,300 | 23,533 | |||||
Xiamen Xiangyu Co. Ltd., Class A | 22,200 | 21,474 | |||||
Xilinmen Furniture Co. Ltd., Class A | 5,200 | 26,566 | |||||
Xinfengming Group Co. Ltd., Class A | 4,000 | 12,567 | |||||
Xingda International Holdings Ltd. | 88,123 | 21,224 | |||||
Xinhu Zhongbao Co. Ltd., Class A | 44,900 | 21,125 | |||||
Xinhua Winshare Publishing and Media | |||||||
Co. Ltd., Class H | 36,000 | 25,780 | |||||
Xinjiang Goldwind Science & | |||||||
Technology Co. Ltd., H Shares@ | 47,800 | 74,738 | |||||
Xinjiang Tianshan Cement Co. Ltd., | |||||||
Class A | 4,500 | 9,075 | |||||
Xinjiang Zhongtai Chemical Co. Ltd., | |||||||
Class A | 14,500 | 23,047 | |||||
Xinxing Ductile Iron Pipes Co. Ltd., | |||||||
Class A | 18,100 | 10,421 | |||||
Xinyangfeng Agricultural Technology | |||||||
Co. Ltd., Class A | 6,900 | 16,691 | |||||
Xinyu Iron & Steel Co. Ltd., Class A | 27,300 | 23,576 | |||||
Xinyuan Real Estate Co. Ltd., ADR | 4,102 | 10,870 | |||||
Xtep International Holdings Ltd. | 98,647 | 186,004 | |||||
Xuji Electric Co. Ltd., Class A | 9,300 | 18,222 | |||||
YaGuang Technology Group Co. Ltd., | |||||||
Class A | 8,000 | 13,817 | |||||
Yango Group Co. Ltd., Class A | 22,400 | 18,027 | |||||
Yantai Changyu Pioneer Wine Co. Ltd., | |||||||
Class A | 3,700 | 21,267 | |||||
Yantai Jereh Oilfield Services Group Co. | |||||||
Ltd., Class A | 7,300 | 50,501 |
The accompanying notes are an integral part of these financial statements.
78
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
China (Continued) | |||||||
Yanzhou Coal Mining Co. Ltd., | |||||||
H Shares | 186,000 | $ | 250,099 | ||||
YiChang HEC ChangJiang | |||||||
Pharmaceutical Co. Ltd., | |||||||
H Shares±@ | 25,600 | 28,257 | |||||
Yifan Pharmaceutical Co. Ltd., | |||||||
Class A | 7,200 | 19,222 | |||||
Yintai Gold Co. Ltd., Class A | 31,600 | 46,509 | |||||
Yiren Digital Ltd., ADR*@ | 6,796 | 40,844 | |||||
Yixintang Pharmaceutical Group Co. | |||||||
Ltd., Class A | 2,800 | 14,348 | |||||
Yonghui Superstores Co. Ltd., | |||||||
Class A | 58,500 | 42,824 | |||||
Youngor Group Co. Ltd., Class A | 11,500 | 11,729 | |||||
Youzu Interactive Co. Ltd., Class A | 8,100 | 21,524 | |||||
Yum China Holdings, Inc. | 23,604 | 1,563,765 | |||||
Yunda Holding Co. Ltd., Class A | 23,700 | 49,627 | |||||
Yunnan Aluminium Co. Ltd., | |||||||
Class A* | 18,200 | 33,519 | |||||
Yunnan Baiyao Group Co. Ltd., | |||||||
Class A | 2,000 | 35,819 | |||||
Yunnan Copper Co. Ltd., Class A | 8,100 | 16,084 | |||||
Yunnan Tin Co. Ltd., Class A* | 14,600 | 36,221 | |||||
Yutong Bus Co. Ltd., Class A | 13,300 | 25,709 | |||||
Yuzhou Properties Co. Ltd. | 180,216 | 46,190 | |||||
Zhaojin Mining Industry Co. Ltd., | |||||||
Class H@ | 120,000 | 114,061 | |||||
Zhefu Holding Group Co. Ltd., | |||||||
Class A | 16,400 | 12,665 | |||||
Zhejiang Century Huatong Group Co. | |||||||
Ltd., Class A* | 39,280 | 39,028 | |||||
Zhejiang Chint Electrics Co. Ltd., | |||||||
Class A | 13,100 | 67,675 | |||||
Zhejiang Crystal-Optech Co. Ltd., | |||||||
Class A | 12,400 | 28,191 | |||||
Zhejiang Dahua Technology Co. Ltd., | |||||||
Class A | 19,700 | 64,331 | |||||
Zhejiang Hailiang Co. Ltd., Class A | 19,700 | 32,440 | |||||
Zhejiang Hisoar Pharmaceutical Co. | |||||||
Ltd., Class A | 12,700 | 15,862 | |||||
Zhejiang Jiahua Energy Chemical | |||||||
Industry Co. Ltd., Class A | 9,000 | 12,118 | |||||
Zhejiang Juhua Co. Ltd., Class A | 7,900 | 10,808 | |||||
Zhejiang Longsheng Group Co. Ltd., | |||||||
Class A | 19,300 | 41,041 | |||||
Zhejiang Medicine Co. Ltd., Class A | 10,400 | 25,769 | |||||
Zhejiang Narada Power Source Co. | |||||||
Ltd., Class A* | 9,800 | 16,077 | |||||
Zhejiang NHU Co. Ltd., Class A | 10,200 | 45,274 | |||||
Zhejiang Orient Financial Holdings | |||||||
Group Co. Ltd., Class A | 17,420 | 11,539 | |||||
Zhejiang Satellite Petrochemical Co. | |||||||
Ltd., Class A | 6,048 | 36,682 | |||||
Zhejiang Semir Garment Co. Ltd., | |||||||
Class A | 21,700 | 40,133 | |||||
Zhejiang Wanfeng Auto Wheel Co. Ltd., | |||||||
Class A | 24,800 | 21,494 | |||||
Zhejiang Wanliyang Co. Ltd., Class A | 11,400 | 14,309 | |||||
Zhejiang Xinan Chemical Industrial | |||||||
Group Co. Ltd., Class A | 10,700 | 29,344 | |||||
Zhejiang Yasha Decoration Co. Ltd., | |||||||
Class A | 16,000 | 19,612 | |||||
Zhengzhou Coal Mining Machinery | |||||||
Group Co. Ltd., H Shares | 21,400 | 27,259 | |||||
Zhenro Properties Group Ltd.@ | 93,000 | 51,984 | |||||
Zhongji Innolight Co. Ltd., Class A | 3,700 | 22,058 | |||||
Zhongjin Gold Corp. Ltd., Class A | 32,000 | 42,690 | |||||
Zhongshan Broad Ocean Motor Co. | |||||||
Ltd., Class A* | 22,200 | 18,038 | |||||
Zhongsheng Group Holdings Ltd. | 18,000 | 149,762 | |||||
Zhongtian Financial Group Co. Ltd., | |||||||
Class A* | 38,300 | 16,182 | |||||
Zhou Hei Ya International Holdings | |||||||
Co. Ltd. ±* | 57,000 | 68,347 | |||||
Zhuzhou CRRC Times Electric Co. Ltd., | |||||||
Class H* | 43,800 | 258,931 | |||||
Zhuzhou Kibing Group Co. Ltd., | |||||||
Class A | 10,500 | 30,160 | |||||
Zibo Qixiang Tengda Chemical Co. Ltd., | |||||||
Class A | 15,800 | 30,370 | |||||
Zoomlion Heavy Industry Science & | |||||||
Technology Co. Ltd., H Shares | 85,800 | 89,841 | |||||
ZTE Corp., H Shares | 55,800 | 174,278 | |||||
ZTO Express Cayman, Inc. | 1,700 | 51,234 | |||||
ZTO Express Cayman, Inc., ADR | 15,793 | 479,318 | |||||
78,326,391 | |||||||
Colombia — 0.1% | |||||||
Cementos Argos SA | 31,937 | 45,527 | |||||
CEMEX Latam Holdings SA* | 13,000 | 12,238 | |||||
Grupo Argos SA | 29,921 | 79,726 | |||||
Grupo de Inversiones | |||||||
Suramericana SA | 22,033 | 108,609 | |||||
246,100 | |||||||
Czech Republic — 0.1% | |||||||
CEZ, AS | 6,411 | 190,184 | |||||
Komercni banka as* | 2,478 | 87,222 | |||||
277,406 | |||||||
Greece — 0.2% | |||||||
Alpha Services and Holdings SAAlpha | |||||||
Services and Holdings SA* | 81,255 | 103,863 | |||||
Autohellas Tourist and Trading SA | 1,184 | 9,898 | |||||
Bank of Greece | 859 | 15,421 | |||||
Ellaktor SA* | 3,635 | 6,508 | |||||
Eurobank Ergasias Services and | |||||||
Holdings SA* | 150,057 | 151,240 | |||||
Fourlis Holdings SA* | 3,046 | 16,109 | |||||
Hellenic Petroleum SA | 3,804 | 27,695 | |||||
Mytilineos SA | 5,774 | 105,026 | |||||
National Bank of Greece SA* | 43,869 | 124,842 | |||||
Piraeus Financial Holdings SA* | 1,862 | 3,290 | |||||
563,892 | |||||||
Hong Kong — 0.1% | |||||||
Yuexiu Property Co. Ltd. | 135,006 | 142,234 |
The accompanying notes are an integral part of these financial statements.
79
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Hungary — 0.2% | |||||||
MOL Hungarian Oil & Gas PLC* | 51,666 | $ | 411,069 | ||||
India — 11.7% | |||||||
ACC Ltd. | 5,165 | 140,087 | |||||
Adani Enterprises Ltd.* | 12,586 | 255,174 | |||||
Adani Ports & Special Economic | |||||||
Zone Ltd. | 15,271 | 144,718 | |||||
Adani Transmissions Ltd.* | 664 | 9,464 | |||||
Aditya Birla Capital Ltd. * | 44,000 | 69,081 | |||||
Ambuja Cements Ltd. | 41,841 | 191,501 | |||||
Apollo Tyres Ltd.* | 31,532 | 95,449 | |||||
Arvind Fashions Ltd.* | 5,200 | 9,553 | |||||
Arvind Ltd.* | 13,452 | 14,234 | |||||
Ashok Leyland Ltd.* | 4,527 | 7,485 | |||||
Aster DM Healthcare Ltd.*± | 5,299 | 10,986 | |||||
Aurobindo Pharma Ltd. | 25,561 | 331,849 | |||||
Axis Bank Ltd.* | 92,879 | 935,288 | |||||
Axis Bank Ltd., GDR* | 1,837 | 92,401 | |||||
Bajaj Holdings & Investment Ltd.* | 3,496 | 169,669 | |||||
Balrampur Chini Mills Ltd. | 14,783 | 71,121 | |||||
Bank of Baroda* | 66,538 | 76,940 | |||||
Bharat Electronics Ltd. | 88,362 | 211,959 | |||||
Bharat Heavy Electricals Ltd.* | 96,730 | 85,109 | |||||
Bharti Airtel Ltd. | 39,180 | 278,313 | |||||
Birla Corp., Ltd. | 3,237 | 52,781 | |||||
Birlasoft Ltd. | 13,059 | 70,100 | |||||
Brigade Enterprises Ltd.* | 1,061 | 3,997 | |||||
Canara Bank* | 19,961 | 40,819 | |||||
Ceat Ltd.* | 3,536 | 64,602 | |||||
Chambal Fertilizers and | |||||||
Chemicals Ltd. | 14,403 | 59,139 | |||||
Cholamandalam Financial | |||||||
Holdings Ltd.* | 5,137 | 45,509 | |||||
Cipla Ltd.* | 32,099 | 419,343 | |||||
City Union Bank Ltd. | 8,853 | 19,843 | |||||
Cochin Shipyard Ltd.± | 3,997 | 20,749 | |||||
Container Corp. Of India Ltd. | 7,508 | 70,696 | |||||
Cyient Ltd. | 7,451 | 86,509 | |||||
Dalmia Bharat Ltd.* | 5,110 | 130,414 | |||||
DCB Bank Ltd.* | 19,962 | 27,850 | |||||
DCM Shriram Ltd. | 4,319 | 52,876 | |||||
Dilip Buildcon Ltd.± | 2,860 | 22,018 | |||||
Dishman Carbogen Amcis Ltd. * | 5,292 | 15,165 | |||||
DLF Ltd. | 37,826 | 143,126 | |||||
eClerx Services Ltd. | 1,042 | 27,176 | |||||
Edelweiss Financial Services Ltd. | 37,825 | 36,996 | |||||
EID Parry India Ltd.* | 7,288 | 41,872 | |||||
Escorts Ltd. | 6,126 | 100,795 | |||||
Exide Industries Ltd. | 26,178 | 64,133 | |||||
Federal Bank Ltd.* | 161,831 | 189,852 | |||||
Finolex Cables Ltd. | 3,726 | 26,129 | |||||
Finolex Industries Ltd.* | 6,330 | 15,729 | |||||
Firstsource Solutions Ltd. | 20,730 | 52,543 | |||||
Fortis Healthcare Ltd.* | 28,405 | 93,320 | |||||
GAIL India Ltd. | 175,583 | 353,741 | |||||
Gateway Distriparks Ltd. | 6,284 | 24,517 | |||||
General Insurance Corp. of India*± | 7,543 | 21,128 | |||||
Glenmark Pharmaceuticals Ltd. | 12,966 | 113,612 | |||||
Godfrey Phillips India Ltd.* | 794 | 10,468 | |||||
Granules India Ltd. | 17,305 | 77,608 | |||||
Grasim Industries Ltd. | 22,682 | 457,622 | |||||
Great Eastern Shipping Co. Ltd. (The) | 4,320 | 22,579 | |||||
Gujarat Alkalies & Chemicals Ltd. | 2,551 | 13,814 | |||||
Gujarat Fluorochemicals Ltd.* | 4,451 | 69,756 | |||||
Gujarat Narmada Valley Fertilizers & | |||||||
Chemicals Ltd. | 4,596 | 23,382 | |||||
Gujarat Pipavav Port Ltd. | 19,498 | 29,524 | |||||
Gujarat State Petronet Ltd. | 17,561 | 79,146 | |||||
HFCL Ltd.* | 69,784 | 63,653 | |||||
Hindalco Industries Ltd. | 170,691 | 855,177 | |||||
Hindustan Aeronautics Ltd. | 917 | 12,596 | |||||
ICICI Bank Ltd.* | 15,316 | 130,113 | |||||
ICICI Bank Ltd., ADR *@ | 93,780 | 1,603,638 | |||||
IDFC Bank Ltd.* | 81,058 | 59,269 | |||||
IDFC Ltd.* | 48,080 | 34,962 | |||||
IFCI Ltd.* | 68,818 | 12,869 | |||||
IIFL Holdings Ltd. | 11,597 | 39,692 | |||||
IIFL Securities Ltd. | 25,376 | 25,571 | |||||
IIFL Wealth Management Ltd. | 2,805 | 43,800 | |||||
India Cements Ltd. (The) | 18,543 | 47,873 | |||||
Indiabulls Housing Finance Ltd. | 31,451 | 110,140 | |||||
Indian Bank* | 2,394 | 4,617 | |||||
Jindal Saw Ltd. | 14,261 | 22,352 | |||||
Jindal Stainless Hisar Ltd.* | 5,205 | 14,670 | |||||
Jindal Stainless Ltd.* | 4,143 | 6,075 | |||||
Jindal Steel & Power Ltd.* | 46,366 | 248,142 | |||||
JK Cement Ltd.* | 419 | 16,071 | |||||
JM Financial Ltd. | 26,872 | 32,157 | |||||
JSW Energy Ltd. | 46,779 | 105,887 | |||||
JSW Steel Ltd. | 94,084 | 867,299 | |||||
Jubilant Ingrevia Ltd.* | 9,690 | 68,181 | |||||
Jubilant Pharmova Ltd. | 9,690 | 95,420 | |||||
Kalpataru Power Transmission Ltd. | 5,415 | 31,067 | |||||
Karnataka Bank Ltd. (The)* | 14,840 | 12,438 | |||||
Kaveri Seed Co. Ltd. | 2,043 | 20,037 | |||||
KEC International Ltd.* | 2,756 | 16,889 | |||||
KEI Industries Ltd. | 1,528 | 14,225 | |||||
KPR Mill Ltd. | 1,232 | 25,194 | |||||
KRBL Ltd.* | 2,340 | 7,434 | |||||
L&T Finance Holdings Ltd.* | 78,972 | 98,702 | |||||
Larsen & Toubro Ltd. | 9,327 | 188,165 | |||||
Larsen & Toubro Ltd., GDR | 22,239 | 447,004 | |||||
Laurus Labs Ltd.± | 14,785 | 137,546 | |||||
LIC Housing Finance Ltd. | 20,180 | 127,656 | |||||
Lupin Ltd. | 22,898 | 353,852 | |||||
Maharashtra Scooters Ltd.* | 198 | 9,949 | |||||
Mahindra & Mahindra Financial | |||||||
Services Ltd.* | 63,808 | 135,076 | |||||
Mahindra & Mahindra Ltd. | 65,830 | 691,689 | |||||
Mahindra CIE Automotive Ltd.* | 6,907 | 21,921 | |||||
Manappuram Finance Ltd. | 11,117 | 25,254 | |||||
Mphasis Ltd. | 4,569 | 131,224 | |||||
MRF Ltd. | 148 | 159,290 | |||||
Natco Pharma Ltd. | 2,129 | 32,395 | |||||
National Aluminium Co. Ltd. | 40,705 | 43,098 |
The accompanying notes are an integral part of these financial statements.
80
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
India (Continued) | |||||||
NCC Ltd. | 30,074 | $ | 35,241 | ||||
NMDC Ltd. | 23,037 | 57,104 | |||||
Oberoi Realty Ltd.* | 6,703 | 56,673 | |||||
Persistent Systems Ltd. | 4,699 | 188,444 | |||||
Petronet LNG Ltd. | 41,964 | 127,958 | |||||
Phillips Carbon Black Ltd. | 5,693 | 17,490 | |||||
Phoenix Mills Ltd. (The)* | 4,600 | 50,623 | |||||
Piramal Enterprises Ltd. | 5,591 | 181,728 | |||||
PNB Housing Finance Ltd.*± | 4,224 | 38,944 | |||||
PNC Infratech Ltd.* | 4,201 | 16,221 | |||||
Power Finance Corp. Ltd. | 75,664 | 131,875 | |||||
Prestige Estates Projects Ltd.* | 14,610 | 57,198 | |||||
Punjab National Bank* | 115,447 | 65,699 | |||||
Quess Corp., Ltd.± | 2,433 | 26,770 | |||||
Rain Industries Ltd. | 17,328 | 45,424 | |||||
Rajesh Exports Ltd. | 7,411 | 56,233 | |||||
Rashtriya Chemicals & Fertilizers Ltd. | 7,262 | 8,177 | |||||
Raymond Ltd.* | 3,276 | 18,224 | |||||
RBL Bank Ltd.*± | 23,980 | 67,911 | |||||
REC Ltd. | 93,608 | 187,455 | |||||
Redington India Ltd.* | 28,950 | 104,400 | |||||
Reliance Industries Ltd. | 212,262 | 6,031,176 | |||||
Shipping Corp. of India Ltd. | 14,166 | 21,136 | |||||
Shriram City Union Finance Ltd. | 2,635 | 60,620 | |||||
Shriram Transport Finance Co. Ltd. | 14,361 | 259,282 | |||||
Sobha Ltd. | 6,105 | 38,767 | |||||
State Bank of India | 62,809 | 354,056 | |||||
State Bank of India, GDR | 2,800 | 156,520 | |||||
Steel Authority of India Ltd. | 89,762 | 157,775 | |||||
Strides Pharma Science Ltd. | 5,470 | 55,855 | |||||
Sun Pharmaceutical Industries Ltd. | 38,050 | 345,153 | |||||
Sun TV Network Ltd. | 5,489 | 39,065 | |||||
Sunteck Realty Ltd. | 5,951 | 23,606 | |||||
Tata Chemicals Ltd. | 13,719 | 133,462 | |||||
Tata Consumer Products Ltd. | 32,805 | 333,721 | |||||
Tata Motors Ltd.* | 178,887 | 818,264 | |||||
Tata Motors Ltd., ADR*@ | 2,406 | 54,809 | |||||
Tata Steel BSL Ltd.* | 28,400 | 34,158 | |||||
Tata Steel Ltd. | 31,314 | 490,774 | |||||
Tata Steel Ltd., GDR | 2,657 | 40,918 | |||||
Tube Investments of India Ltd. | 2,032 | 31,897 | |||||
TV18 Broadcast Ltd.* | 55,772 | 32,339 | |||||
Uflex Ltd. | 3,166 | 24,398 | |||||
Union Bank of India* | 36,541 | 18,976 | |||||
UPL Ltd. | 25,798 | 275,577 | |||||
Vardhman Textiles Ltd.* | 805 | 14,805 | |||||
Vedanta Ltd., ADR | 11,569 | 164,280 | |||||
Welspun Corp., Ltd. | 11,246 | 21,628 | |||||
Welspun India Ltd. | 31,519 | 40,878 | |||||
Wipro Ltd. | 126,620 | 930,273 | |||||
Wockhardt Ltd.* | 4,111 | 28,649 | |||||
Yes Bank Ltd.* | 193,770 | 35,454 | |||||
Zee Entertainment Enterprises Ltd. | 51,165 | 147,685 | |||||
Zensar Technologies Ltd. | 5,610 | 23,548 | |||||
26,520,984 | |||||||
Indonesia — 1.3% | |||||||
Adaro Energy Tbk PT | 1,844,400 | 153,276 | |||||
AKR Corporindo Tbk PT | 184,700 | 40,124 | |||||
Astra Agro Lestari Tbk PT | 61,744 | 32,362 | |||||
Astra International Tbk PT | 1,609,400 | 548,306 | |||||
Astra Otoparts Tbk PT | 19,600 | 1,467 | |||||
Bank Mandiri Persero Tbk PT | 710,600 | 289,141 | |||||
Bank Maybank Indonesia Tbk PT | 568,800 | 13,259 | |||||
Bank Negara Indonesia Persero Tbk PT | 499,366 | 159,453 | |||||
Bank Pan Indonesia Tbk PT* | 626,700 | 33,712 | |||||
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 173,300 | 14,462 | |||||
Bank Pembangunan Daerah Jawa Timur Tbk PT | 403,000 | 19,594 | |||||
Bank Tabungan Negara Persero Tbk PT* | 405,590 | 38,321 | |||||
BISI International Tbk PT | 94,000 | 7,293 | |||||
Buana Lintas Lautan Tbk PT* | 1,041,300 | 20,251 | |||||
Bukit Asam Tbk PT | 339,600 | 46,841 | |||||
Bumi Serpong Damai Tbk PT* | 435,700 | 28,997 | |||||
Ciputra Development Tbk PT | 924,577 | 59,300 | |||||
Delta Dunia Makmur Tbk PT* | 589,400 | 13,739 | |||||
Eagle High Plantations Tbk PT* | 1,380,100 | 8,185 | |||||
Erajaya Swasembada Tbk PT | 1,042,500 | 49,609 | |||||
Gudang Garam Tbk PT* | 38,200 | 116,444 | |||||
Hanson International Tbk PT*§ | 5,335,700 | — | |||||
Indah Kiat Pulp & Paper Tbk PT | 294,700 | 151,415 | |||||
Indo Tambangraya Megah Tbk PT | 52,800 | 51,708 | |||||
Indocement Tunggal Prakarsa Tbk PT | 32,100 | 22,802 | |||||
Indofood Sukses Makmur Tbk PT | 407,500 | 173,539 | |||||
Japfa Comfeed Indonesia Tbk PT | 567,600 | 67,721 | |||||
Lippo Karawaci Tbk PT* | 3,192,872 | 33,911 | |||||
Medco Energi Internasional Tbk PT* | 1,248,052 | 55,086 | |||||
Media Nusantara Citra Tbk PT* | 629,000 | 40,343 | |||||
MNC Vision Networks Tbk PT* | 1,301,600 | 23,519 | |||||
Pabrik Kertas Tjiwi Kimia Tbk PT | 61,000 | 32,814 | |||||
Panin Financial Tbk PT* | 1,598,900 | 20,731 | |||||
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT | 296,500 | 20,959 | |||||
PP Persero Tbk PT* | 442,900 | 27,949 | |||||
Ramayana Lestari Sentosa Tbk PT | 70,400 | 3,277 | |||||
Sawit Sumbermas Sarana Tbk PT | 240,200 | 13,749 | |||||
Semen Indonesia Persero Tbk PT | 203,700 | 133,459 | |||||
Sri Rejeki Isman Tbk PT<> | 996,900 | 10,038 | |||||
Surya Semesta Internusa Tbk PT | 393,100 | 11,820 | |||||
Tunas Baru Lampung Tbk PT | 317,700 | 17,528 | |||||
United Tractors Tbk PT | 167,100 | 233,364 | |||||
Vale Indonesia Tbk PT | 184,400 | 58,626 | |||||
Waskita Karya Persero Tbk PT* | 606,100 | 36,784 | |||||
Wijaya Karya Persero Tbk PT | 459,200 | 31,352 | |||||
XL Axiata Tbk PT | 426,800 | 78,590 | |||||
3,045,220 | |||||||
Korea — 15.1% | |||||||
AK Holdings, Inc. | 449 | 12,998 | |||||
AMOREPACIFIC Group | 612 | 34,780 | |||||
Aprogen Medicines Inc.* | 11,871 | 23,718 |
The accompanying notes are an integral part of these financial statements.
81
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Korea (Continued) | |||||||
Aprogen pharmaceuticals, Inc.* | 18,660 | $ | 20,464 | ||||
Asia Paper Manufacturing Co. Ltd. | 567 | 28,044 | |||||
BGF Co. Ltd. | 4,970 | 29,392 | |||||
Binggrae Co. Ltd. | 417 | 23,550 | |||||
BNK Financial Group, Inc. | 26,425 | 181,384 | |||||
Capro Corp.* | 3,814 | 16,849 | |||||
Chongkundang Holdings Corp. | 196 | 18,710 | |||||
CJ CheilJedang Corp. | 1,017 | 416,318 | |||||
CJ Corp. | 2,104 | 199,909 | |||||
CJ Korea Express Co. Ltd.* | 395 | 62,083 | |||||
Dae Han Flour Mills Co. Ltd. | 157 | 25,164 | |||||
Daesang Corp. | 2,426 | 59,780 | |||||
Daewoo Engineering & Construction Co. Ltd.* | 22,242 | 157,016 | |||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd.* | 5,100 | 162,128 | |||||
Daihan Pharmaceutical Co. Ltd. | 296 | 9,121 | |||||
Daishin Securities Co. Ltd. | 3,671 | 64,381 | |||||
Daou Technology, Inc. | 3,137 | 79,390 | |||||
DB Insurance Co. Ltd. | 6,249 | 304,085 | |||||
DGB Financial Group, Inc. | 21,295 | 175,859 | |||||
DL E&C Co. Ltd.* | 1,923 | 242,478 | |||||
DL Holdings Co. Ltd. | 1,534 | 108,973 | |||||
Dong-A ST Co. Ltd. | 233 | 17,793 | |||||
Dongkuk Steel Mill Co. Ltd. | 6,894 | 135,903 | |||||
Dongkuk Structures & Construction Co. Ltd. | 3,960 | 20,817 | |||||
Dongwha Pharm Co. Ltd. | 736 | 10,228 | |||||
Dongwon Development Co. Ltd. | 7,412 | 40,741 | |||||
Dongwon F&B Co. Ltd. | 128 | 25,915 | |||||
Dongwon Industries Co. Ltd. | 143 | 33,396 | |||||
Doosan Bobcat, Inc.* | 4,924 | 209,876 | |||||
Doosan Corp. | 930 | 79,031 | |||||
Doosan Infracore Co. Ltd.*<> | 15,930 | 204,403 | |||||
DTR Automotive Corp. | 17 | 630 | |||||
E-MART Inc. | 1,350 | 191,804 | |||||
Easy Holdings Co. Ltd. | 5,023 | 23,194 | |||||
Eugene Investment & Securities Co. Ltd. | 8,694 | 35,281 | |||||
GS Engineering & Construction Corp. | 7,410 | 282,279 | |||||
GS Holdings Corp. | 6,251 | 256,723 | |||||
GS Home Shopping, Inc.<> | 400 | 55,019 | |||||
GS Retail Co. Ltd. | 1,230 | 42,214 | |||||
Halla Holdings Corp. | 1,090 | 47,524 | |||||
Han Kuk Carbon Co. Ltd. | 2,014 | 21,282 | |||||
Hana Financial Group, Inc. | 32,602 | 1,333,146 | |||||
Handok, Inc. | 492 | 12,255 | |||||
Handsome Co. Ltd. | 1,970 | 75,133 | |||||
Hanil Holdings Co Ltd. | 955 | 11,618 | |||||
Hanjin Transportation Co. Ltd. | 1,142 | 43,402 | |||||
Hankook Tire & Technology Co. Ltd. | 8,825 | 405,144 | |||||
Hansol Paper Co. Ltd. | 2,232 | 32,405 | |||||
Hansol Technics Co. Ltd.* | 1,664 | 13,505 | |||||
Hanwha Aerospace Co. Ltd. | 4,107 | 171,406 | |||||
Hanwha Chem Corp. * | 9,139 | 361,535 | |||||
Hanwha Corp. | 3,953 | 111,449 | |||||
Hanwha General Insurance Co. Ltd.* | 8,055 | 34,869 | |||||
Hanwha Investment & Securities Co. Ltd.* | 13,449 | 57,085 | |||||
Hanwha Life Insurance Co. Ltd. | 20,246 | 67,508 | |||||
Harim Holdings Co. Ltd. | 3,907 | 36,428 | |||||
HDC Hyundai Development Co.- Engineering & Construction | 2,554 | 71,439 | |||||
Huchems Fine Chemical Corp. | 548 | 11,338 | |||||
Hy-Lok Corp. | 918 | 14,632 | |||||
Hyosung Corp. | 902 | 82,499 | |||||
Hyosung Heavy Industries Corp.* | 306 | 19,836 | |||||
Hyundai Construction Equipment Co. Ltd.* | 1,558 | 76,506 | |||||
Hyundai Department Store Co. Ltd. | 1,286 | 99,806 | |||||
Hyundai Electric & Energy System Co. Ltd.* | 1,980 | 36,219 | |||||
Hyundai Engineering & Construction Co. Ltd. | 5,317 | 275,257 | |||||
Hyundai Futurenet Co. Ltd. | 3,997 | 16,202 | |||||
Hyundai Greenfood Co. Ltd. | 5,396 | 51,509 | |||||
Hyundai Heavy Industries Holdings Co. Ltd. | 3,175 | 199,609 | |||||
Hyundai Home Shopping | |||||||
Network Corp. | 716 | 57,476 | |||||
Hyundai Livart Furniture Co. Ltd. | 1,625 | 28,354 | |||||
Hyundai Marine & Fire Insurance Co. Ltd. | 8,519 | 192,900 | |||||
Hyundai Mipo Dockyard Co. Ltd.* | 1,761 | 136,670 | |||||
Hyundai Mobis Co. Ltd. | 4,144 | 1,074,500 | |||||
Hyundai Motor Co. | 8,003 | 1,702,010 | |||||
Hyundai Motor Securities Co. Ltd. | 1,658 | 20,465 | |||||
Hyundai Steel Co. | 6,102 | 290,971 | |||||
Hyundai Wia Corp. | 1,441 | 129,878 | |||||
Industrial Bank of Korea | 26,675 | 248,712 | |||||
Innocean Worldwide, Inc. | 407 | 23,853 | |||||
Interpark Corp. | 7,348 | 36,017 | |||||
INTOPS Co. Ltd. | 1,491 | 40,646 | |||||
IS Dongseo Co. Ltd. | 1,364 | 73,641 | |||||
Jahwa Electronics Co. Ltd.* | 1,250 | 24,808 | |||||
JB Financial Group Co. Ltd. | 15,958 | 106,703 | |||||
KB Financial Group, Inc., ADR * | 42,573 | 2,098,849 | |||||
KC Co. Ltd. | 887 | 21,266 | |||||
KCC Corp. | 376 | 114,688 | |||||
KCC Glass Corp. | 444 | 24,720 | |||||
Kia Corp. | 16,414 | 1,305,949 | |||||
KISWIRE Ltd. | 1,072 | 23,893 | |||||
KIWOOM Securities Co. Ltd. | 1,398 | 162,623 | |||||
Kolmar Korea Holdings Co. Ltd. | 830 | 22,406 | |||||
Kolon Corp. | 985 | 30,088 | |||||
Kolon Industries, Inc. | 2,186 | 156,843 | |||||
Korea Asset In Trust Co. Ltd. | 5,452 | 23,214 | |||||
Korea Electric Terminal Co. Ltd. | 682 | 61,166 | |||||
Korea Investment Holdings Co. Ltd. | 3,650 | 333,837 | |||||
Korea Line Corp.* | 16,631 | 52,131 | |||||
Korea Petrochemical Ind Co. Ltd. | 384 | 81,154 | |||||
Korea Real Estate Investment & Trust Co. Ltd. | 13,613 | 28,528 |
The accompanying notes are an integral part of these financial statements.
82
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Korea (Continued) | |||||||
Korea Shipbuilding & Offshore Engineering Co. Ltd.* | 2,470 | $ | 293,904 | ||||
Korea Zinc Co. Ltd. | 678 | 259,785 | |||||
Korean Air Lines Co. Ltd.* | 11,113 | 310,846 | |||||
Korean Reinsurance Co. | 8,995 | 78,676 | |||||
KT Skylife Co. Ltd. | 3,507 | 33,477 | |||||
KT&G Corp. | 4,337 | 325,039 | |||||
Kumho Tire Co., Inc.* | 7,034 | 50,093 | |||||
Kwang Dong Pharmaceutical Co. Ltd. | 5,019 | 40,200 | |||||
Kyobo Securities Co. Ltd. | 2,156 | 16,924 | |||||
LF Corp. | 3,054 | 55,187 | |||||
LG Corp. | 5,347 | 486,674 | |||||
LG Display Co. Ltd.* | 12,166 | 264,678 | |||||
LG Display Co. Ltd., ADR*@ | 33,235 | 355,282 | |||||
LG Electronics, Inc. | 10,656 | 1,547,091 | |||||
LG Hausys Ltd. | 907 | 79,171 | |||||
LG HelloVision Co. Ltd. | 4,225 | 33,878 | |||||
LG International Corp. | 3,459 | 95,832 | |||||
LG Uplus Corp. | 15,900 | 216,725 | |||||
Lotte Chemical Corp. | 1,056 | 246,148 | |||||
Lotte Chilsung Beverage Co. Ltd. | 470 | 60,516 | |||||
Lotte Confectionery Co. Ltd. | 72 | 8,855 | |||||
Lotte Corp. | 1,582 | 56,472 | |||||
LOTTE Fine Chemicals Co. Ltd. | 2,473 | 144,935 | |||||
Lotte Food Co. Ltd. | 34 | 14,281 | |||||
LOTTE Himart Co. Ltd. | 1,461 | 46,445 | |||||
Lotte Shopping Co. Ltd. | 885 | 90,767 | |||||
LS Corp. | 1,543 | 97,007 | |||||
LX Holdings Corp.* | 2,593 | 25,904 | |||||
Maeil Dairies Co. Ltd. | 341 | 23,407 | |||||
Meritz Financial Group, Inc. | 4,689 | 88,271 | |||||
Meritz Fire & Marine Insurance Co. Ltd. | 6,331 | 114,685 | |||||
Meritz Securities Co. Ltd. | 31,284 | 131,536 | |||||
Mirae Asset Securities Co. Ltd. | 28,671 | 240,081 | |||||
Muhak Co. Ltd. | 2,076 | 16,868 | |||||
Namyang Dairy Products Co. Ltd. | 41 | 27,524 | |||||
Neowiz* | 1,039 | 23,296 | |||||
Nexen Corp. | 2,630 | 12,891 | |||||
Nexen Tire Corp. | 5,151 | 48,484 | |||||
NH Investment & Securities Co. Ltd. | 10,116 | 115,878 | |||||
NHN Corp.* | 1,188 | 87,980 | |||||
NICE Holdings Co. Ltd. | 708 | 11,977 | |||||
Nong Shim Co. Ltd. | 255 | 70,987 | |||||
Nong Shim Holdings Co. Ltd. | 185 | 13,339 | |||||
NS Shopping Co. Ltd. | 1,784 | 22,178 | |||||
OCI Co. Ltd.* | 1,256 | 131,048 | |||||
Orion Holdings Corp. | 2,572 | 38,940 | |||||
Pan Ocean Co. Ltd. | 26,033 | 197,418 | |||||
Partron Co. Ltd. | 2,142 | 19,781 | |||||
Poongsan Corp. | 1,950 | 66,059 | |||||
POSCO | 984 | 304,073 | |||||
Posco International Corp. | 5,870 | 121,450 | |||||
POSCO, ADR | 17,853 | 1,370,575 | |||||
Power Logics Co. Ltd.* | 2,246 | 19,206 | |||||
S&T Motiv Co. Ltd. | 1,086 | 68,469 | |||||
S-MAC Co. Ltd.* | 9,909 | 12,363 | |||||
Sajo Industries Co. Ltd. | 327 | 18,177 | |||||
Samjin Pharmaceutical Co. Ltd. | 808 | 19,839 | |||||
Samsung C&T Corp. | 4,716 | 571,624 | |||||
Samsung Card Co. Ltd. | 2,904 | 88,449 | |||||
Samsung Electronics Co. Ltd. | 22,336 | 1,600,600 | |||||
Samsung Electronics Co. Ltd., GDR | 485 | 864,998 | |||||
Samsung Fire & Marine Insurance Co. Ltd. | 3,466 | 678,642 | |||||
Samsung Heavy Industries Co. Ltd.* | 32,079 | 191,138 | |||||
Samsung Life Insurance Co. Ltd. | 4,656 | 329,928 | |||||
Samsung Securities Co. Ltd. | 4,339 | 173,190 | |||||
Samyang Corp. | 427 | 23,963 | |||||
Samyang Holdings Corp. | 409 | 40,132 | |||||
Sangsangin Co. Ltd.* | 4,957 | 34,510 | |||||
SeAH Steel Holdings Corp. | 235 | 15,839 | |||||
Sebang Co. Ltd. | 1,306 | 17,164 | |||||
Sebang Global Battery Co. Ltd. | 697 | 60,036 | |||||
Seohan Co. Ltd. | 5,607 | 11,003 | |||||
Seoul Semiconductor Co. Ltd. | 1,842 | 31,078 | |||||
Shinhan Financial Group Co. Ltd. | 24,135 | 870,116 | |||||
Shinhan Financial Group Co. Ltd., ADR* | 15,298 | 548,433 | |||||
Shinsegae Inc. | 727 | 184,308 | |||||
Shinyoung Securities Co. Ltd. | 511 | 29,540 | |||||
SK Discovery Co Ltd. | 1,247 | 58,577 | |||||
SK Gas Co. Ltd. | 364 | 39,595 | |||||
SK Holdings Co. Ltd. | 2,775 | 696,122 | |||||
SK Innovation Co. Ltd.* | 1,070 | 280,766 | |||||
SK Networks Co. Ltd. | 17,486 | 93,474 | |||||
SK Securities Co. Ltd. | 36,346 | 33,081 | |||||
SL Corp. | 1,820 | 57,696 | |||||
Solus Advanced Materials Co. Ltd. | 1,715 | 78,581 | |||||
Songwon Industrial Co. Ltd. | 1,925 | 33,076 | |||||
Soulbrain Holdings Co. Ltd.* | 523 | 17,183 | |||||
Spigen Korea Co. Ltd. | 361 | 18,208 | |||||
Suheung Co. Ltd. | 475 | 23,325 | |||||
Sungwoo Hitech Co. Ltd. | 7,756 | 50,414 | |||||
Sunjin Co. Ltd. | 941 | 14,790 | |||||
Taekwang Industrial Co. Ltd. | 36 | 37,274 | |||||
Taeyoung Engineering & Construction Co. Ltd. | 2,546 | 28,260 | |||||
Theragen Etex Co. Ltd.* | 2,386 | 18,052 | |||||
Tongyang, Inc. | 18,180 | 36,000 | |||||
Toptec Co. Ltd. | 1,934 | 21,810 | |||||
TY Holdings Co. Ltd/Korea* | 2,455 | 63,656 | |||||
Unid Co. Ltd. | 672 | 46,306 | |||||
WiSoL Co. Ltd. | 914 | 10,470 | |||||
Wonik Holdings Co. Ltd.* | 5,077 | 30,476 | |||||
Woori Financial Group, Inc. | 50,940 | 517,927 | |||||
Young Poong Corp. | 46 | 26,428 | |||||
Youngone Corp. | 2,640 | 104,086 | |||||
Youngone Holdings Co. Ltd. | 787 | 33,754 | |||||
Yuanta Securities Korea Co. Ltd. | 11,552 | 49,443 | |||||
34,296,419 |
The accompanying notes are an integral part of these financial statements.
83
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Malaysia — 1.6% | |||||||
Aeon Co. M Bhd | 64,400 | $ | 20,011 | ||||
Alliance Financial Group Berhad | 118,600 | 68,849 | |||||
AMMB Holdings Berhad | 220,887 | 156,959 | |||||
Batu Kawan Berhad | 18,200 | 84,435 | |||||
Boustead Plantations Bhd | 55,720 | 7,583 | |||||
Bumi Armada Bhd* | 264,700 | 28,692 | |||||
Cahya Mata Sarawak Bhd | 68,100 | 18,700 | |||||
CIMB Group Holdings Bhd | 517,422 | 574,567 | |||||
DRB-Hicom Berhad | 119,100 | 46,762 | |||||
Ekovest Bhd | 165,800 | 16,374 | |||||
Gamuda Bhd* | 145,185 | 109,461 | |||||
Genting Bhd | 170,000 | 201,879 | |||||
Genting Malaysia Bhd | 182,600 | 121,836 | |||||
HAP Seng Consolidated Bhd | 18,200 | 34,195 | |||||
Hengyuan Refining Co. Bhd | 9,900 | 11,494 | |||||
Hong Leong Financial Group Berhad | 29,521 | 126,574 | |||||
IJM Corp. Berhad | 250,560 | 108,034 | |||||
IOI Properties Group Bhd | 50,050 | 13,503 | |||||
Lotte Chemical Titan Holding Bhd± | 36,723 | 24,591 | |||||
Mah Sing Group Bhd | 205,885 | 41,906 | |||||
Malayan Banking Bhd | 274,144 | 535,543 | |||||
Malaysia Airports Holdings Bhd | 31,300 | 45,237 | |||||
Malaysia Building Society Bhd | 197,932 | 28,845 | |||||
Malaysian Resources Corp. Bhd | 136,329 | 13,300 | |||||
Matrix Concepts Holdings Bhd | 42,800 | 20,310 | |||||
Mega First Corp. Bhd | 12,800 | 10,760 | |||||
MISC Bhd | 94,320 | 154,038 | |||||
MKH Bhd | 36,950 | 11,482 | |||||
MMC Corp. Bhd | 61,400 | 26,770 | |||||
Multi-Purpose Holdings Bhd | 86,961 | 41,475 | |||||
Oriental Holdings Berhad | 25,760 | 31,645 | |||||
OSK Holdings Berhad | 74,455 | 15,244 | |||||
Pos Malaysia Berhad* | 53,800 | 10,367 | |||||
PPB Group Berhad | 37,500 | 165,302 | |||||
RHB Capital Berhad | 177,571 | 230,973 | |||||
Sarawak Oil Palms Bhd | 20,500 | 17,036 | |||||
Sime Darby Bhd | 293,600 | 154,173 | |||||
Sime Darby Property Bhd | 308,000 | 44,514 | |||||
SP Setia Bhd Group* | 143,480 | 36,635 | |||||
Sunway Bhd | 96,197 | 40,319 | |||||
Ta Ann Holdings Bhd | 60 | 37 | |||||
United Malacca Bhd | 14,600 | 17,760 | |||||
UOA Development Bhd | 12,900 | 5,096 | |||||
WCT Holdings Bhd* | 115,937 | 14,382 | |||||
YTL Corp. Berhad * | 464,943 | 73,356 | |||||
3,561,004 | |||||||
Mexico — 2.2% | |||||||
ALEATICA SAB de CV | 17,691 | 17,936 | |||||
Alfa SAB de CV, Class A | 260,453 | 194,941 | |||||
Alpek SA de CV | 27,384 | 33,684 | |||||
Alterna Asesoria Internacional SAB de CV* | 15,700 | 740 | |||||
Arca Continental SAB de CV | 21,120 | 122,224 | |||||
Banco del Bajio SA± | 52,670 | 94,565 | |||||
Cemex SAB de CV* | 605,139 | 509,393 | |||||
Coca-Cola Femsa SAB de CV | 24,353 | 128,887 | |||||
Consorcio ARA SAB de CV* | 72,788 | 16,797 | |||||
Controladora Nemak SAB de CV* | 260,453 | 42,333 | |||||
Corp. Actinver SAB de CV | 15,700 | 7,679 | |||||
El Puerto de Liverpool SAB de CV, Series C1 | 8,547 | 37,839 | |||||
Fomento Economico Mexicano SAB de CV | 3,768 | 31,871 | |||||
Gentera SAB de CV* | 67,054 | 39,356 | |||||
Grupo Carso SAB de CV, Series A1 | 24,499 | 76,272 | |||||
Grupo Cementos de Chihuahua SAB de CV | 9,847 | 79,170 | |||||
Grupo Comercial Chedraui SA de CV | 29,127 | 46,641 | |||||
Grupo Elektra SAB de CV | 1,119 | 90,580 | |||||
Grupo Financiero Banorte SAB de CV | 142,853 | 919,866 | |||||
Grupo Financiero Inbursa SAB de CV, Class O* | 133,245 | 131,280 | |||||
Grupo Hotelero Santa Fe SAB de CV* | 22,600 | 5,986 | |||||
Grupo Mexico SAB de CV, Series B | 191,656 | 903,381 | |||||
Grupo Sanborns SAB de CV* | 34,641 | 33,904 | |||||
Grupo Televisa SAB | 189,926 | 542,700 | |||||
Industrias Bachoco SAB de CV, ADR@ | 1,239 | 57,391 | |||||
Industrias Bachoco SAB de CV, Series B | 5,634 | 21,265 | |||||
Industrias CH SAB de CV, Series B* | 23,916 | 208,746 | |||||
Industrias Penoles SAB de CV* | 8,090 | 112,008 | |||||
La Comer SAB de CV | 37,216 | 78,431 | |||||
Minera Frisco SAB de CV, Class A1* | 52,254 | 10,721 | |||||
Orbia Advance Corp. SAB de CV | 82,897 | 216,703 | |||||
Organizacion Soriana SAB de CV, Class B* | 68,987 | 62,432 | |||||
Promotora y Operadora de Infraestructura SAB de CV | 5,185 | 41,401 | |||||
Promotora y Operadora de Infraestructura SAB de CV | 1,600 | 8,188 | |||||
Unifin Financiera SAB de CV* | 10,214 | 15,628 | |||||
4,940,939 | |||||||
Philippines — 0.7% | |||||||
Alliance Global Group, Inc. | 253,300 | 52,720 | |||||
Ayala Corp. | 7,430 | 121,766 | |||||
Bank of the Philippine Islands | 67,429 | 122,523 | |||||
BDO Unibank, Inc. | 78,217 | 181,382 | |||||
Belle Corp.* | 176,000 | 5,372 | |||||
Cebu Air, Inc.* | 23,560 | 26,159 | |||||
CEMEX Holdings Philippines, Inc.*± | 324,537 | 8,443 | |||||
China Banking Corp. | 74,676 | 39,009 | |||||
Cosco Capital, Inc. | 257,000 | 28,114 | |||||
DMCI Holdings, Inc. | 385,900 | 49,725 | |||||
East West Banking Corp.* | 27,450 | 5,848 | |||||
Filinvest Land, Inc. | 1,435,000 | 32,336 | |||||
First Philippine Holdings Corp. | 26,510 | 42,957 | |||||
GT Capital Holdings, Inc. | 3,472 | 43,173 | |||||
JG Summit Holdings, Inc. | 152,183 | 193,756 | |||||
LT Group, Inc. | 132,300 | 34,962 | |||||
Megaworld Corp. | 1,004,700 | 66,479 |
The accompanying notes are an integral part of these financial statements.
84
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Philippines (Continued) | |||||||
Metropolitan Bank & Trust | 120,747 | $ | 120,463 | ||||
Puregold Price Club, Inc. | 33,600 | 27,877 | |||||
Rizal Commercial Banking Corp. | 47,790 | 22,125 | |||||
Robinsons Land Corp. | 247,455 | 87,597 | |||||
Robinsons Retail Holdings, Inc. | 43,490 | 47,842 | |||||
San Miguel Corp. | 41,650 | 100,254 | |||||
Security Bank Corp. | 23,180 | 56,033 | |||||
Top Frontier Investment Holdings, Inc.* | 4,630 | 13,089 | |||||
Union Bank of the Philippines | 24,340 | 38,169 | |||||
Vista Land & Lifescapes, Inc. | 491,200 | 38,237 | |||||
1,606,410 | |||||||
Poland — 0.7% | |||||||
AB SA | 845 | 12,188 | |||||
Alior Bank SA* | 9,079 | 79,361 | |||||
Amica SA | 306 | 13,257 | |||||
Asseco Poland SA | 2,698 | 54,590 | |||||
Bank Handlowy w Warszawie SA* | 2,875 | 34,458 | |||||
Bank Millennium SA* | 61,785 | 75,510 | |||||
Ciech SA | 1,973 | 25,096 | |||||
Develia SA | 16,364 | 14,377 | |||||
Echo Investment SA* | 1,732 | 2,089 | |||||
Enea SA* | 22,161 | 49,431 | |||||
Famur SA* | 51,375 | 30,787 | |||||
Grupa Azoty SA* | 5,354 | 46,337 | |||||
Grupa Lotos SA | 6,358 | 89,542 | |||||
Jastrzebska Spolka Weglowa SA* | 2,892 | 26,713 | |||||
Kernel Holding SA | 6,315 | 90,593 | |||||
KGHM Polska Miedz SA | 2,714 | 133,565 | |||||
mBank SA* | 1,049 | 89,411 | |||||
PGE SA* | 69,342 | 171,127 | |||||
Polski Koncern Naftowy Orlen SA | 28,302 | 569,900 | |||||
Tauron Polska Energia SA* | 107,603 | 94,255 | |||||
1,702,587 | |||||||
Russia — 1.4% | |||||||
Gazprom PAO, ADR | 162,760 | 1,240,557 | |||||
Lukoil PJSC, ADR | 18,875 | 1,748,202 | |||||
RusHydro PJSC, ADR | 61,905 | 70,200 | |||||
VTB Bank PJSC, GDR | 92,145 | 122,553 | |||||
3,181,512 | |||||||
Singapore — 0.0% | |||||||
China XLX Fertiliser Ltd. | 24,000 | 13,724 | |||||
South Africa — 3.9% | |||||||
Absa Group Ltd.* | 40,917 | 388,883 | |||||
Advtech Ltd. | 40,887 | 40,801 | |||||
Aeci Ltd. | 11,902 | 81,939 | |||||
African Rainbow Minerals Ltd. | 9,314 | 166,550 | |||||
Alexander Forbes Group Holdings Ltd. | 100,385 | 29,174 | |||||
AngloGold Ashanti Ltd., ADR | 16,757 | 311,345 | |||||
Aspen Pharmacare Holdings Ltd. * | 21,622 | 245,428 | |||||
Astral Foods Ltd. | 5,245 | 58,084 | |||||
Barloworld Ltd.@ | 20,449 | 152,566 | |||||
Bidvest Group Ltd. (The) | 7,758 | 103,473 | |||||
DataTec Ltd.* | 27,420 | 52,920 | |||||
Discovery Ltd.* | 25,478 | 225,288 | |||||
Exxaro Resources Ltd. | 16,359 | 192,940 | |||||
FirstRand Ltd. | 67,549 | 253,498 | |||||
Gold Fields Ltd., ADR | 59,766 | 531,917 | |||||
Grindrod Ltd.*@ | 33,342 | 11,347 | |||||
Grindrod Shipping Holdings Ltd.* | 905 | 9,703 | |||||
Harmony Gold Mining Co. Ltd., ADR@ | 25,436 | 94,876 | |||||
Impala Platinum Holdings Ltd. | 51,232 | 844,862 | |||||
Imperial Logistics Ltd. | 19,398 | 64,415 | |||||
Investec Ltd. | 21,334 | 81,452 | |||||
KAP Industrial Holdings Ltd.* | 75,439 | 21,818 | |||||
Lewis Group Ltd. | 3,337 | 7,922 | |||||
Liberty Holdings Ltd.* | 2,624 | 11,349 | |||||
Life Healthcare Group Holdings Ltd.* | 128,351 | 204,211 | |||||
Long4Life Ltd.* | 66,407 | 19,671 | |||||
Metair Investments Ltd. | 23,331 | 36,761 | |||||
Momentum Metropolitan Holdings | 100,980 | 137,893 | |||||
Motus Holdings Ltd. | 16,843 | 110,093 | |||||
Mpact Ltd. | 15,365 | 27,975 | |||||
MTN Group Ltd.* | 167,369 | 1,209,909 | |||||
Murray & Roberts Holdings Ltd.* | 24,454 | 17,724 | |||||
Nedbank Group Ltd.* | 22,549 | 269,814 | |||||
Ninety One Ltd. | 10,667 | 31,934 | |||||
Oceana Group Ltd. | 7,336 | 33,628 | |||||
Old Mutual Ltd. | 280,462 | 265,143 | |||||
Omnia Holdings Ltd.* | 16,030 | 62,021 | |||||
Pepkor Holdings Ltd.*± | 25,371 | 35,818 | |||||
PPC Ltd.* | 147,503 | 40,181 | |||||
Raubex Group Ltd. | 16,897 | 38,622 | |||||
Reunert Ltd. | 17,924 | 63,663 | |||||
RFG Holdings Ltd.@ | 12,062 | 10,955 | |||||
Royal Bafokeng Platinum Ltd. | 7,872 | 56,267 | |||||
Sanlam Ltd. | 18,127 | 77,903 | |||||
Sappi Ltd.* | 65,485 | 189,760 | |||||
Sasol Ltd.* | 25,120 | 383,502 | |||||
Sasol Ltd., ADR* | 4,634 | 71,039 | |||||
Sibanye Stillwater Ltd. | 69,281 | 289,447 | |||||
Standard Bank Group Ltd. | 98,986 | 884,566 | |||||
Super Group Ltd.* | 41,508 | 90,283 | |||||
Telkom SA SOC Ltd. | 36,286 | 117,828 | |||||
Tiger Brands Ltd. | 2,333 | 34,145 | |||||
Wilson Bayly Holmes-Ovcon Ltd.* | 5,488 | 43,427 | |||||
8,836,733 | |||||||
Taiwan — 17.3% | |||||||
Acer, Inc. | 187,884 | 197,577 | |||||
Alpha Networks, Inc. | 24,973 | 25,589 | |||||
Ambassador Hotel (The)* | 20,000 | 20,099 | |||||
AmTRAN Technology Co. Ltd.* | 99,360 | 62,050 | |||||
Apex International Co. Ltd. | 15,000 | 32,571 | |||||
Ardentec Corp. | 39,092 | 63,417 | |||||
ASE Technology Holding Co. Ltd. | 144,000 | 578,843 | |||||
Asia Cement Corp. | 253,269 | 460,861 | |||||
Asia Pacific Telecom Co. Ltd.* | 125,842 | 39,339 | |||||
Asia Polymer Corp. | 30,983 | 38,920 | |||||
Asia Vital Components Co. Ltd. | 36,000 | 104,269 | |||||
Asustek Computer, Inc. | 56,000 | 746,667 |
The accompanying notes are an integral part of these financial statements.
85
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Taiwan (Continued) | |||||||
AU Optronics Corp. | 628,000 | $ | 510,514 | ||||
Avermedia Technologies | 14,000 | 20,249 | |||||
Basso Industry Corp. | 9,000 | 16,409 | |||||
Capital Securities Corp. | 184,437 | 112,201 | |||||
Career Technology MFG. Co. Ltd. | 20,400 | 22,844 | |||||
Catcher Technology Co. Ltd. | 78,000 | 509,502 | |||||
Cathay Financial Holding Co. Ltd. | 690,166 | 1,335,126 | |||||
Cathay Real Estate Development | |||||||
Co. Ltd. | 70,000 | 49,744 | |||||
Chang Hwa Commercial Bank Ltd. | 332,561 | 192,763 | |||||
Cheng Loong Corp. | 82,000 | 142,737 | |||||
Cheng Shin Rubber Industry Co. Ltd. | 16,000 | 26,846 | |||||
Cheng Uei Precision Industry Co. Ltd. | 44,543 | 67,544 | |||||
Chia Hsin Cement Corp. | 22,000 | 17,687 | |||||
Chilisin Electronics Corp. | 19,380 | 70,251 | |||||
Chin-Poon Industrial Co. Ltd. | 36,000 | 42,121 | |||||
China Airlines Ltd.* | 315,111 | 215,446 | |||||
China Bills Finance Corp. | 89,000 | 51,747 | |||||
China Chemical & Pharmaceutical | |||||||
Co. Ltd. | 19,000 | 16,639 | |||||
China Development Financial | |||||||
Holding Corp. | 849,468 | 400,915 | |||||
China General Plastics Corp. | 27,300 | 37,086 | |||||
China Life Insurance Co. Ltd. | 56,600 | 53,528 | |||||
China Manmade Fibers Corp.* | 110,595 | 44,059 | |||||
China Metal Products | 31,000 | 37,884 | |||||
China Motor Corp.* | 22,478 | 61,958 | |||||
China Petrochemical Development | |||||||
Corp. | 347,550 | 174,009 | |||||
China Steel Corp. | 739,800 | 1,051,452 | |||||
Chipbond Technology Corp. | 42,000 | 108,533 | |||||
ChipMOS TECHNOLOGIES, Inc. | 28,897 | 49,367 | |||||
Chun Yuan Steel Industry Co. Ltd. | 30,000 | 36,770 | |||||
Chung Hung Steel Corp.* | 60,000 | 131,790 | |||||
Chung-Hsin Electric & Machinery | |||||||
Manufacturing Corp. | 28,000 | 51,051 | |||||
Clevo Co. | 53,000 | 57,637 | |||||
CMC Magnetics Corp. | 93,595 | 34,096 | |||||
Compal Electronics, Inc. | 490,000 | 393,055 | |||||
Compeq Manufacturing Co. Ltd. | 109,000 | 164,307 | |||||
Continental Holdings Corp. | 42,000 | 41,152 | |||||
Coretronic Corp. | 40,800 | 89,764 | |||||
CTBC Financial Holding Co. Ltd. | 1,754,280 | 1,429,238 | |||||
CyberTAN Technology, Inc. | 37,000 | 25,231 | |||||
Darfon Electronics Corp. | 17,000 | 28,005 | |||||
Darwin Precisions Corp.* | 55,000 | 26,649 | |||||
Depo Auto Parts Ind Co. Ltd. | 12,000 | 25,281 | |||||
E Ink Holdings, Inc. | 61,000 | 163,323 | |||||
E.Sun Financial Holding Co. Ltd. | 658,545 | 621,615 | |||||
Elite Advanced Laser Corp. | 8,000 | 16,309 | |||||
Elitegroup Computer Systems | |||||||
Co. Ltd.* | 35,877 | 28,328 | |||||
ENNOSTAR, Inc.* | 17,414 | 49,062 | |||||
Entie Commercial Bank Co. Ltd. | 68,000 | 38,439 | |||||
Eva Airways Corp. | 265,478 | 191,992 | |||||
Everest Textile Co. Ltd.* | 45,444 | 17,044 | |||||
Evergreen International Storage & | |||||||
Transport Corp. | 54,000 | 96,129 | |||||
Evergreen Marine Corp., Taiwan Ltd.* | 215,459 | 1,523,389 | |||||
Everlight Chemical Industrial Corp. | 56,000 | 39,695 | |||||
Everlight Electronics Co. Ltd. | 51,000 | 96,463 | |||||
Far Eastern Department Stores Ltd. | 121,220 | 98,977 | |||||
Far Eastern International Bank | 245,962 | 93,574 | |||||
Far Eastern New Century Corp. | 322,338 | 370,204 | |||||
Farglory Land Development Co. Ltd. | 26,721 | 51,116 | |||||
Federal Corp.* | 33,000 | 33,281 | |||||
First Financial Holding Co. Ltd. | 675,034 | 549,960 | |||||
First Steamship Co. Ltd. | 39,240 | 36,547 | |||||
Formosa Advanced Technologies | |||||||
Co. Ltd. | 20,000 | 28,748 | |||||
Formosa Chemicals & Fibre Corp. | 161,000 | 489,428 | |||||
Formosa Plastics Corp. | 28,000 | 103,508 | |||||
Formosa Taffeta Co. Ltd. | 50,000 | 58,502 | |||||
Formosan Rubber Group, Inc. | 20,080 | 17,873 | |||||
Formosan Union Chemical | 48,179 | 36,140 | |||||
Foxconn Technology Co. Ltd. | 64,127 | 151,212 | |||||
Fubon Financial Holding Co. Ltd. | 595,211 | 1,578,684 | |||||
Fulltech Fiber Glass Corp.* | 31,310 | 21,463 | |||||
Gemtek Technology Corp. | 47,000 | 55,666 | |||||
General Interface Solution | |||||||
Holding Ltd. | 30,000 | 132,974 | |||||
Getac Technology Corp. | 9,000 | 17,766 | |||||
Giantplus Technology Co. Ltd. | 37,000 | 17,728 | |||||
Gigastorage Corp.* | 294 | 248 | |||||
Gloria Material Technology Corp. | 50,392 | 49,736 | |||||
Gold Circuit Electronics Ltd.* | 45,000 | 108,048 | |||||
Goldsun Building Materials Co. Ltd. | 82,973 | 75,491 | |||||
Grand Pacific Petrochemical* | 102,000 | 109,642 | |||||
Great Wall Enterprise Co. Ltd. | 56,155 | 121,128 | |||||
Hannstar Board Corp. | 38,929 | 66,506 | |||||
HannStar Display Corp.* | 109,770 | 87,067 | |||||
HannsTouch Solution, Inc. | 32,279 | 14,018 | |||||
Hey Song Corp. | 18,750 | 23,957 | |||||
Highwealth Construction Corp. | 9,900 | 15,510 | |||||
Hiroca Holdings Ltd. | 8,000 | 18,950 | |||||
Ho Tung Chemical Corp.* | 108,688 | 47,786 | |||||
Hon Hai Precision Industry Co. Ltd. | 703,068 | 2,826,150 | |||||
Hong Pu Real Estate Development | |||||||
Co. Ltd. | 20,000 | 15,541 | |||||
HTC Corp.* | 9,000 | 12,694 | |||||
Hua Nan Financial Holdings Co. Ltd. | 462,959 | 306,562 | |||||
Hung Sheng Construction Co. Ltd. | 50,688 | 35,384 | |||||
IBF Financial Holdings Co. Ltd. | 266,512 | 157,827 | |||||
IEI Integration Corp. | 8,000 | 14,328 | |||||
Innolux Corp.* | 607,757 | 452,614 | |||||
International CSRC Investment | |||||||
Holdings Co. Ltd. | 84,604 | 81,530 | |||||
Inventec Co. Ltd. | 261,282 | 246,161 | |||||
Kindom Development Co. Ltd. | 42,000 | 58,939 | |||||
King Slide Works Co. Ltd. | 2,000 | 28,174 | |||||
King Yuan Electronics Co. Ltd. | 127,100 | 204,820 | |||||
King's Town Bank Co. Ltd. | 98,000 | 140,163 | |||||
Kinpo Electronics | 138,000 | 64,140 |
The accompanying notes are an integral part of these financial statements.
86
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Taiwan (Continued) | |||||||
Kinsus Interconnect Technology | |||||||
Corp. | 31,000 | $ | 150,202 | ||||
L&K Engineering Co. Ltd. | 16,000 | 16,854 | |||||
Lien Hwa Industrial Corp. | 13,345 | 23,948 | |||||
Lingsen Precision Industries Ltd.* | 41,000 | 28,695 | |||||
Lite-On Technology Corp. | 234,874 | 485,554 | |||||
Longchen Paper & Packaging | |||||||
Co. Ltd. | 89,648 | 93,630 | |||||
Macronix International Co. Ltd. | 119,171 | 195,464 | |||||
MediaTek, Inc. | 11,000 | 379,794 | |||||
Mega Financial Holding Co. Ltd. | 638,850 | 753,207 | |||||
Mercuries & Associates | |||||||
Holdings Ltd. | 42,344 | 34,270 | |||||
Mercuries Life Insurance Co. Ltd.* | 142,740 | 47,849 | |||||
Mitac Holdings Corp. | 27,637 | 27,377 | |||||
Namchow Holdings Co. Ltd. | 7,000 | 12,838 | |||||
Nan Ya Plastics Corp. | 100,000 | 298,609 | |||||
Nanya Technology Corp. | 126,000 | 360,420 | |||||
O-Bank Co. Ltd. | 91,943 | 23,363 | |||||
OptoTech Corp. | 49,063 | 44,991 | |||||
Orient Semiconductor | |||||||
Electronics Ltd. | 42,485 | 31,487 | |||||
Oriental Union Chemical Corp. | 16,000 | 12,633 | |||||
Pan Jit International, Inc. | 21,600 | 66,825 | |||||
Pan-International Industrial Corp. | 34,380 | 49,110 | |||||
Pegatron Corp. | 227,249 | 561,139 | |||||
POU Chen Corp. | 169,133 | 238,562 | |||||
Powertech Technology, Inc. | 23,000 | 88,739 | |||||
President Securities Corp. | 95,304 | 91,499 | |||||
Prince Housing & Development Corp. | 77,970 | 33,301 | |||||
Qisda Corp. | 187,400 | 207,157 | |||||
Quanta Computer, Inc. | 41,000 | 128,757 | |||||
Radiant Opto-Electronics Corp. | 7,000 | 30,525 | |||||
Radium Life Tech Co. Ltd. | 101,477 | 39,881 | |||||
Rich Development Co. Ltd. | 19,978 | 6,840 | |||||
Ritek Corp.* | 47,211 | 15,657 | |||||
Ruentex Development Co. Ltd. | 56,423 | 114,618 | |||||
Ruentex Industries Ltd. | 41,400 | 130,608 | |||||
Sampo Corp. | 10,600 | 11,451 | |||||
San Fang Chemical Industry Co. Ltd. | 13,000 | 10,988 | |||||
Sanyang Motor Co. Ltd. | 41,573 | 45,061 | |||||
Sesoda Corp. | 24,948 | 36,085 | |||||
Shanghai Commercial & Savings | |||||||
Bank Ltd. (The) | 30,000 | 48,721 | |||||
Shihlin Electric & Engineering Corp. | 26,000 | 49,550 | |||||
Shin Kong Financial Holding Co. Ltd. | 806,983 | 276,018 | |||||
Shin Zu Shing Co. Ltd. | 16,660 | 69,959 | |||||
Shinkong Insurance Co. Ltd. | 30,000 | 43,230 | |||||
Shinkong Synthetic Fibers Corp. | 140,151 | 114,435 | |||||
Sigurd Microelectronics Corp. | 54,694 | 109,928 | |||||
Sincere Navigation Corp. | 27,810 | 53,798 | |||||
Sinon Corp. | 56,000 | 45,222 | |||||
SinoPac Financial Holdings Co. Ltd. | 907,094 | 447,646 | |||||
Sirtec International Co. Ltd. | 12,000 | 13,071 | |||||
Supreme Electronics Co. Ltd. | 43,121 | 62,292 | |||||
Synnex Technology International Corp. | 138,300 | 252,650 | |||||
Ta Ya Electric Wire & Cable | 47,840 | 52,369 | |||||
Taichung Commercial Bank Co. Ltd. | 334,893 | 139,426 | |||||
Taiflex Scientific Co. Ltd. | 25,740 | 49,425 | |||||
Tainan Spinning Co. Ltd. | 115,427 | 122,418 | |||||
Taishin Financial Holding Co. Ltd. | 914,301 | 500,425 | |||||
Taiwan Business Bank | 418,414 | 141,912 | |||||
Taiwan Cement Corp. | 547,360 | 1,001,897 | |||||
Taiwan Cooperative Financial Holding | |||||||
Co. Ltd. | 576,772 | 439,889 | |||||
Taiwan Fertilizer Co. Ltd. | 61,000 | 128,951 | |||||
Taiwan FU Hsing Industrial Co. Ltd. | 21,000 | 34,557 | |||||
Taiwan Glass Industrial Corp.* | 109,321 | 146,742 | |||||
Taiwan Hon Chuan Enterprise Co. Ltd. | 30,925 | 85,352 | |||||
Taiwan PCB Techvest Co. Ltd. | 28,000 | 47,232 | |||||
Taiwan Sakura Corp. | 6,000 | 14,299 | |||||
Taiwan Shin Kong Security Co. Ltd. | 10,100 | 14,101 | |||||
Taiwan Surface Mounting Technology | |||||||
Co. Ltd. | 21,518 | 93,447 | |||||
Tatung Co. Ltd.* | 115,000 | 101,947 | |||||
Teco Electric & Machinery Co. Ltd. | 141,000 | 168,011 | |||||
Thye Ming Industrial Co. Ltd. | 10,000 | 13,728 | |||||
Ton Yi Industrial Corp.* | 82,000 | 46,205 | |||||
Tong Yang Industry Co. Ltd. | 41,921 | 54,315 | |||||
TPK Holding Co. Ltd.* | 34,000 | 56,865 | |||||
Tripod Technology Corp. | 25,000 | 121,131 | |||||
TSRC Corp. | 26,000 | 33,547 | |||||
Tung Ho Steel Enterprise Corp. | 87,000 | 163,930 | |||||
TYC Brother Industrial Co. Ltd. | 21,000 | 16,544 | |||||
U-Ming Marine Transport Corp. | 43,000 | 137,507 | |||||
Unimicron Technology Corp. | 119,000 | 550,956 | |||||
Union Bank of Taiwan | 174,047 | 73,086 | |||||
Unitech Printed Circuit Board Corp. | 67,320 | 53,276 | |||||
United Microelectronics Corp. | 948,513 | 1,807,664 | |||||
Universal Cement Corp. | 46,836 | 39,251 | |||||
Unizyx Holding Corp.* | 35,000 | 36,869 | |||||
UPC Technology Corp. | 80,916 | 78,992 | |||||
USI Corp. | 77,130 | 102,702 | |||||
Wah Lee Industrial Corp. | 25,000 | 73,845 | |||||
Walsin Lihwa Corp. | 209,000 | 219,783 | |||||
Weikeng Industrial Co. Ltd. | 32,945 | 28,141 | |||||
Winbond Electronics Corp. | 331,893 | 415,127 | |||||
Wisdom Marine Lines Co. Ltd. | 32,019 | 126,984 | |||||
Wistron Corp. | 348,431 | 387,667 | |||||
WPG Holdings Ltd. | 174,400 | 319,851 | |||||
WT Microelectronics Co. Ltd. | 31,265 | 60,258 | |||||
Yang Ming Marine Transport Corp.* | 11,100 | 72,705 | |||||
YC Co. Ltd. | 21,396 | 14,552 | |||||
YC INOX Co. Ltd. | 44,763 | 69,082 | |||||
YFY, Inc. | 142,385 | 233,540 | |||||
Yieh Phui Enterprise Co. Ltd.* | 52,525 | 62,681 | |||||
Youngtek Electronics Corp. | 12,000 | 37,513 | |||||
Yuanta Financial Holding Co. Ltd. | 1,002,007 | 965,595 | |||||
Yulon Motor Co. Ltd.* | 62,371 | 95,361 | |||||
Zhen Ding Technology Holding Ltd. | 62,000 | 233,647 | |||||
Zinwell Corp.* | 24,000 | 18,261 | |||||
39,169,711 |
The accompanying notes are an integral part of these financial statements.
87
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Thailand — 1.8% | |||||||
Ananda Development PCL | 180,700 | $ | 11,614 | ||||
AP Thailand PCL | 242,500 | 63,179 | |||||
Bangchak Corp. PCL | 112,900 | 87,009 | |||||
Bangkok Bank PCL | 16,600 | 58,527 | |||||
Bangkok Bank PCL, NVDR | 13,300 | 46,892 | |||||
Bangkok Insurance PCL | 2,100 | 18,412 | |||||
Bangkok Land PCL | 1,039,700 | 35,684 | |||||
Bangkok Life Assurance PCL | 35,300 | 32,216 | |||||
Banpu PCL | 429,750 | 209,176 | |||||
Cal-Comp Electronics Thailand PCL | 264,550 | 28,395 | |||||
Charoen Pokphand Foods PCL | 322,300 | 266,488 | |||||
Indorama Ventures PCL | 50,700 | 64,463 | |||||
IRPC PCL | 633,100 | 75,853 | |||||
Italian-Thai Development PCL* | 563,700 | 41,860 | |||||
Kasikornbank PCL, NVDR | 65,600 | 241,523 | |||||
Khon Kaen Sugar Industry PCL* | 135,600 | 15,739 | |||||
Kiatnakin Phatra Bank PCL | 21,900 | 38,094 | |||||
Krung Thai Bank PCL | 257,575 | 85,189 | |||||
Lanna Resources PCL | 2,500 | 1,248 | |||||
LH Financial Group PCL | 302,400 | 10,662 | |||||
LPN Development PCL | 151,700 | 24,376 | |||||
Power Solution Technologies PCL, | |||||||
Class F* | 224,400 | 18,204 | |||||
Property Perfect PCL | 952,490 | 13,968 | |||||
Pruksa Holding PCL | 88,800 | 38,235 | |||||
PTT Exploration & Production PCL | 107,800 | 395,211 | |||||
PTT Global Chemical PCL | 116,228 | 213,961 | |||||
PTT PCL | 883,900 | 1,089,362 | |||||
Quality Houses PCL | 625,100 | 44,469 | |||||
Sansiri PCL | 1,106,700 | 45,925 | |||||
SC Asset Corp. PCL | 188,600 | 18,242 | |||||
Siam Commercial Bank PCL | 56,800 | 173,679 | |||||
Supalai PCL | 169,900 | 109,203 | |||||
Thai Oil PCL | 72,700 | 123,624 | |||||
Thai Stanley Electric PCL | 3,100 | 17,991 | |||||
Thanachart Capital PCL | 33,100 | 35,630 | |||||
Thitikorn PCL | 10,500 | 3,096 | |||||
TMBThanachart Bank PCL | 1,521,854 | 53,182 | |||||
TPI Polene PCL | 676,600 | 37,788 | |||||
True Corp. PCL | 1,146,800 | 118,795 | |||||
Unique Engineering & | |||||||
Construction PCL* | 54,500 | 12,328 | |||||
4,019,492 | |||||||
Turkey — 0.5% | |||||||
Akbank TAS | 269,661 | 163,530 | |||||
Anadolu Efes Biracilik Ve Malt | |||||||
Sanayii AS | 16,612 | 42,471 | |||||
Enka Insaat ve Sanayi AS | 61,872 | 66,301 | |||||
Eregli Demir ve Celik Fabrikalari TAS | 47,339 | 97,867 | |||||
KOC Holding AS | 57,668 | 121,405 | |||||
Koza Anadolu Metal Madencilik | |||||||
Isletmeleri AS* | 15,673 | 25,453 | |||||
Tekfen Holding AS | 12,307 | 20,807 | |||||
Turk Hava Yollari AO* | 67,522 | 103,686 | |||||
Turk Sise ve Cam Fabrikalari AS | 75,893 | 66,595 | |||||
Turkiye Garanti Bankasi AS | 241,936 | 230,634 | |||||
Turkiye Halk Bankasi AS* | 35,220 | 20,428 | |||||
Turkiye Is Bankasi | 92,912 | 54,423 | |||||
Turkiye Sinai Kalkinma Bankasi AS | 190,047 | 27,939 | |||||
Turkiye Vakiflar Bankasi TAO* | 80,351 | 32,300 | |||||
Ulker Biskuvi Sanayi AS | 9,180 | 21,867 | |||||
Vestel Elektronik Sanayi ve | |||||||
Ticaret AS* | 6,125 | 21,315 | |||||
Yapi ve Kredi Bankasi AS | 194,984 | 48,372 | |||||
1,165,393 | |||||||
TOTAL COMMON STOCKS | |||||||
(Identified Cost $176,600,472) | 222,807,094 | ||||||
PREFERRED STOCKS — 1.2% | |||||||
Brazil — 1.1% | |||||||
Banco ABC Brasil SA, 6.130% | 11,102 | 35,446 | |||||
Banco Bradesco SA, 4.670% | 26,741 | 138,334 | |||||
Banco do Estado do Rio Grande do | |||||||
Sul SA, PF B, 5.990% | 14,808 | 39,478 | |||||
Cia Ferro Ligas da Bahia - | |||||||
Ferbasa, 2.490% | 4,895 | 43,637 | |||||
Marcopolo SA, 2.610% | 2,983 | 2,033 | |||||
Petroleo Brasileiro SA, 2.890% | 382,139 | 2,261,118 | |||||
Usinas Siderurgicas de Minas Gerais | |||||||
SA, Class A, 0.700% | 6,900 | 26,497 | |||||
2,546,543 | |||||||
Colombia — 0.1% | |||||||
Grupo Argos SA, 4.530% | 12,517 | 26,748 | |||||
Grupo de Inversiones Suramericana | |||||||
SA, 3.460% | 8,046 | 35,417 | |||||
62,165 | |||||||
Philippines — 0.0% | |||||||
Cebu Air, Inc. | 12,909 | 14,016 | |||||
TOTAL PREFERRED STOCKS | |||||||
(Identified Cost $1,928,274) | 2,622,724 | ||||||
RIGHTS AND WARRANTS — 0.0% | |||||||
Brazil — 0.0% | |||||||
Ultrapar Participacoes SA Right* | 12,211 | 98 | |||||
TOTAL RIGHTS AND WARRANTS | |||||||
(Identified Cost $0) | 98 | ||||||
SHORT-TERM INVESTMENTS — 1.5% | |||||||
Investment Company — 0.1% | |||||||
State Street Institutional U.S. | |||||||
Government Money Market Fund | |||||||
0.025% | 152,865 | 152,865 | |||||
Collateral For Securities On Loan — 1.4% | |||||||
State Street Navigator Securities | |||||||
Lending Government Money Market | |||||||
Portfolio, 0.020% | 3,205,562 | 3,205,562 | |||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Identified Cost $3,358,427) | 3,358,427 |
The accompanying notes are an integral part of these financial statements.
88
SA Emerging Markets Value Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
SHORT-TERM INVESTMENTS (Continued) | |||||||
Total Investments — 100.8% | |||||||
(Identified Cost $181,887,173) | $ | 228,788,343 | |||||
Liabilities, Less Cash and Other Assets | |||||||
— (0.8%) | (1,763,905 | ) | |||||
Net Assets — 100.0% | $ | 227,024,438 |
† | See Note 1 | ||
* | Non-income producing security | ||
± | 144A Securities. Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities have been deemed by the Fund to be liquid and at June 30, 2021 amounted to $4,028,446 or 1.77% of the net assets of the Fund. | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $6,850,625. | ||
<> | Fair valued security. Security is valued using significant observable inputs other than quoted prices as determined pursuant to procedures approved by the Fund’s Board of Trustees. See Note 1 | ||
§ | Fair valued security. Security is valued using significant unobservable inputs as determined pursuant to procedures approved by the Fund’s Board of Trustees. See Note 1 |
Key to abbreviations:
ADR — American Depository Receipt
GDR — Global Depository Receipt
NVDR — Non-Voting Depository Receipt
Ten largest industry holdings as of June 30, 2021
(As a percentage of net assets) (Unaudited)
Industry | Percentage | |||||
Commercial Banks | 17.9 | % | ||||
Oil, Gas & Consumable Fuels | 9.5 | % | ||||
Metals & Mining | 8.4 | % | ||||
Real Estate Management & Development | 5.4 | % | ||||
Electronic Equipment, Instruments & Components | 4.5 | % | ||||
Insurance | 4.4 | % | ||||
Automobiles | 3.7 | % | ||||
Computers & Peripherals | 3.3 | % | ||||
Chemicals | 3.0 | % | ||||
Semiconductors & Semiconductor Equipment | 2.8 | % |
Country Weightings as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
89
SA Real Estate Securities Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
COMMON STOCKS — 99.4% | |||||||
Real Estate Investment Trusts (REITs) — 99.4% | |||||||
Acadia Realty Trust | 13,367 | $ | 293,539 | ||||
Agree Realty Corp. | 8,678 | 611,712 | |||||
Alexander’s, Inc. | 303 | 81,189 | |||||
Alexandria Real Estate Equities, Inc. | 19,966 | 3,632,614 | |||||
American Assets Trust, Inc. | 7,620 | 284,150 | |||||
American Campus Communities, Inc. | 19,443 | 908,377 | |||||
American Finance Trust, Inc. | 10,986 | 93,161 | |||||
American Homes 4 Rent., Class A | 41,617 | 1,616,820 | |||||
American Tower Corp. | 63,914 | 17,265,728 | |||||
Apartment Income REIT Corp. | 21,176 | 1,004,378 | |||||
Apartment Investment and | |||||||
Management Co., Class A | 23,228 | 155,860 | |||||
Apple Hospitality REIT, Inc. | 32,040 | 488,930 | |||||
AvalonBay Communities, Inc. | 19,981 | 4,169,835 | |||||
Bluerock Residential Growth REIT, Inc. | 3,300 | 33,561 | |||||
Boston Properties, Inc. | 21,017 | 2,408,338 | |||||
Braemar Hotels & Resorts, Inc.* | 5,308 | 32,963 | |||||
Brandywine Realty Trust | 25,766 | 353,252 | |||||
Brixmor Property Group, Inc. | 43,009 | 984,476 | |||||
Brookfield Property REIT, Inc., Class A | 5,650 | 106,728 | |||||
BRT Apartments Corp. | 400 | 6,936 | |||||
Camden Property Trust | 14,281 | 1,894,660 | |||||
CareTrust REIT, Inc. | 13,678 | 317,740 | |||||
Centerspace | 1,935 | 152,671 | |||||
Chatham Lodging Trust* | 8,341 | 107,349 | |||||
City Office REIT, Inc. | 5,176 | 64,338 | |||||
Clipper Realty, Inc. | 1,167 | 8,577 | |||||
Columbia Property Trust, Inc. | 17,398 | 302,551 | |||||
Community Healthcare Trust, Inc. | 3,480 | 165,161 | |||||
CorePoint Lodging, Inc.* | 3,711 | 39,708 | |||||
CoreSite Realty Corp. | 6,249 | 841,115 | |||||
Corporate Office Properties Trust | 17,049 | 477,201 | |||||
Cousins Properties, Inc. | 21,291 | 783,083 | |||||
Crown Castle International Corp. | 61,329 | 11,965,288 | |||||
CTO Realty Growth, Inc. | 764 | 40,889 | |||||
CubeSmart | 28,493 | 1,319,796 | |||||
CyrusOne, Inc. | 17,653 | 1,262,543 | |||||
DiamondRock Hospitality Co.* | 30,400 | 294,880 | |||||
Digital Realty Trust, Inc. | 40,274 | 6,059,626 | |||||
Diversified Healthcare Trust | 29,638 | 123,887 | |||||
Douglas Emmett, Inc. | 25,276 | 849,779 | |||||
Duke Realty Corp. | 53,874 | 2,550,934 | |||||
Easterly Government Properties, Inc. | 12,305 | 259,389 | |||||
EastGroup Properties, Inc. | 5,854 | 962,690 | |||||
Empire State Realty Trust, Inc., Class A | 21,950 | 263,400 | |||||
EPR Properties* | 11,329 | 596,812 | |||||
Equinix, Inc. | 11,391 | 9,142,417 | |||||
Equity Commonwealth | 4,141 | 108,494 | |||||
Equity LifeStyle Properties, Inc. | 25,178 | 1,870,977 | |||||
Equity Residential | 50,661 | 3,900,897 | |||||
Esc War Ind§* | 9,141 | 1,835 | |||||
Essential Properties Realty Trust, Inc. | 16,165 | 437,102 | |||||
Essex Property Trust, Inc. | 9,367 | 2,810,194 | |||||
Extra Space Storage, Inc. | 19,212 | 3,147,310 | |||||
Federal Realty Investment Trust | 10,531 | 1,233,917 | |||||
First Industrial Realty Trust, Inc. | 18,210 | 951,108 | |||||
Four Corners Property Trust, Inc. | 10,646 | 293,936 | |||||
Franklin Street Properties Corp. | 17,095 | 89,920 | |||||
Gaming and Leisure Properties, Inc. | 31,595 | 1,463,796 | |||||
Getty Realty Corp. | 5,638 | 175,624 | |||||
Gladstone Commercial Corp. | 5,309 | 119,771 | |||||
Global Medical REIT, Inc. | 5,127 | 75,675 | |||||
Global Net Lease, Inc. | 12,591 | 232,933 | |||||
Global Self Storage, Inc. | 2,195 | 11,436 | |||||
Healthcare Realty Trust, Inc. | 20,674 | 624,355 | |||||
Healthcare Trust of America, Inc., | |||||||
Class A | 32,224 | 860,381 | |||||
Healthpeak Properties, Inc. | 77,686 | 2,586,167 | |||||
Hersha Hospitality Trust* | 6,188 | 66,583 | |||||
Highwoods Properties, Inc. | 15,731 | 710,569 | |||||
Host Hotels & Resorts, Inc.* | 101,419 | 1,733,251 | |||||
Hudson Pacific Properties, Inc. | 22,057 | 613,626 | |||||
Independence Realty Trust, Inc. | 13,010 | 237,172 | |||||
Industrial Logistics Properties Trust | 8,397 | 219,498 | |||||
Invitation Homes, Inc. | 80,763 | 3,011,652 | |||||
Iron Mountain, Inc.@ | 41,819 | 1,769,780 | |||||
JBG SMITH Properties | 18,060 | 569,071 | |||||
Kilroy Realty Corp. | 15,316 | 1,066,606 | |||||
Kimco Realty Corp. | 63,190 | 1,317,511 | |||||
Kite Realty Group Trust | 12,936 | 284,721 | |||||
Lamar Advertising Co., Class A | 12,404 | 1,295,226 | |||||
Lexington Realty Trust | 40,924 | 489,042 | |||||
Life Storage, Inc. | 10,722 | 1,151,007 | |||||
LTC Properties, Inc. | 5,953 | 228,536 | |||||
Macerich Co. (The) | 28,002 | 511,036 | |||||
Mack-Cali Realty Corp. | 14,310 | 245,416 | |||||
Medical Properties Trust, Inc. | 82,782 | 1,663,918 | |||||
MGM Growth Properties LLC, Class A | 20,481 | 750,014 | |||||
Mid-America Apartment | |||||||
Communities, Inc. | 16,540 | 2,785,667 | |||||
Monmouth Real Estate | |||||||
Investment Corp. | 14,037 | 262,773 | |||||
National Health Investors, Inc. | 6,779 | 454,532 | |||||
National Retail Properties, Inc. | 25,066 | 1,175,094 | |||||
National Storage Affiliates Trust | 10,555 | 533,661 | |||||
New Senior Investment Group, Inc. | 12,143 | 106,616 | |||||
NexPoint Residential Trust, Inc. | 2,800 | 153,944 | |||||
Office Properties Income Trust | 7,396 | 216,777 | |||||
Omega Healthcare Investors, Inc. | 33,213 | 1,205,300 | |||||
One Liberty Properties, Inc. | 2,915 | 82,757 | |||||
Outfront Media, Inc.* | 22,006 | 528,804 | |||||
Paramount Group, Inc. | 26,721 | 269,080 | |||||
Park Hotels & Resorts, Inc.* | 33,661 | 693,753 | |||||
Pebblebrook Hotel Trust | 18,984 | 447,073 | |||||
Physicians Realty Trust | 30,813 | 569,116 | |||||
Piedmont Office Realty Trust, Inc., | |||||||
Class A | 19,163 | 353,941 | |||||
Plymouth Industrial REIT, Inc. | 2,437 | 48,789 | |||||
Preferred Apartment Communities, Inc., | |||||||
Class A | 3,100 | 30,225 | |||||
Prologis, Inc. | 105,003 | 12,551,009 | |||||
PS Business Parks, Inc. | 3,086 | 456,975 | |||||
Public Storage | 22,412 | 6,739,064 | |||||
QTS Realty Trust, Inc., Class A | 9,030 | 698,019 |
The accompanying notes are an integral part of these financial statements.
90
SA Real Estate Securities Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021 (Continued)
SHARES | VALUE† | ||||||
COMMON STOCKS (Continued) | |||||||
Real Estate Investment Trusts (REITs) (Continued) | |||||||
Realty Income Corp. | 53,722 | $ | 3,585,406 | ||||
Regency Centers Corp. | 22,755 | 1,457,913 | |||||
Retail Opportunity Investments Corp. | 18,201 | 321,430 | |||||
Retail Properties of America, Inc., | |||||||
Class A | 32,721 | 374,655 | |||||
Retail Value, Inc. | 2,965 | 64,489 | |||||
Rexford Industrial Realty, Inc. | 18,869 | 1,074,590 | |||||
RLJ Lodging Trust | 25,067 | 381,770 | |||||
RPT Realty | 12,520 | 162,510 | |||||
Ryman Hospitality Properties, Inc.* | 7,916 | 625,047 | |||||
Sabra Health Care REIT, Inc. | 31,344 | 570,461 | |||||
Saul Centers, Inc. | 2,195 | 99,763 | |||||
SBA Communications Corp. | 15,499 | 4,939,531 | |||||
Seritage Growth Properties, Class A* | 3,790 | 69,736 | |||||
Service Properties Trust | 20,700 | 260,820 | |||||
Simon Property Group, Inc. | 46,940 | 6,124,731 | |||||
SITE Centers Corp. | 24,456 | 368,307 | |||||
SL Green Realty Corp.@ | 9,819 | 785,520 | |||||
Sotherly Hotels, Inc.* | 3,111 | 9,333 | |||||
Spirit Realty Capital, Inc. | 16,707 | 799,263 | |||||
STAG Industrial, Inc.@ | 21,962 | 822,038 | |||||
STORE Capital Corp. | 36,497 | 1,259,511 | |||||
Summit Hotel Properties, Inc.* | 16,205 | 151,193 | |||||
Sun Communities, Inc. | 15,957 | 2,735,030 | |||||
Sunstone Hotel Investors, Inc.* | 32,748 | 406,730 | |||||
Tanger Factory Outlet Centers, Inc. | 14,602 | 275,248 | |||||
Terreno Realty Corp. | 10,373 | 669,266 | |||||
UDR, Inc. | 43,143 | 2,113,144 | |||||
UMH Properties, Inc. | 5,369 | 117,152 | |||||
Uniti Group, Inc. | 30,428 | 322,232 | |||||
Universal Health Realty Income Trust | 1,815 | 111,713 | |||||
Urban Edge Properties | 17,737 | 338,777 | |||||
Urstadt Biddle Properties, Inc. | 1,000 | 16,060 | |||||
Urstadt Biddle Properties, Inc., Class A | 4,732 | 91,706 | |||||
Ventas, Inc. | 54,145 | 3,091,679 | |||||
VEREIT, Inc. | 32,374 | 1,486,938 | |||||
VICI Properties, Inc.@ | 40,497 | 1,256,217 | |||||
Vornado Realty Trust | 23,137 | 1,079,804 | |||||
Washington Real Estate | |||||||
Investment Trust | 12,497 | 287,431 | |||||
Weingarten Realty Investors | 18,472 | 592,397 | |||||
Welltower, Inc. | 59,758 | 4,965,890 | |||||
Whitestone REIT | 6,078 | 50,143 | |||||
WP Carey, Inc. | 25,357 | 1,892,139 | |||||
Xenia Hotels & Resorts, Inc.* | 17,324 | 324,478 | |||||
191,204,254 | |||||||
TOTAL COMMON STOCKS | |||||||
(Identified Cost $96,613,820) | 191,204,254 | ||||||
SHORT-TERM INVESTMENTS — 0.4% | |||||||
Investment Company — 0.4% | |||||||
State Street Institutional U.S. Government | |||||||
Money Market Fund 0.025% | 865,704 | 865,704 | |||||
TOTAL SHORT-TERM INVESTMENTS | |||||||
(Identified Cost $865,704) | 865,704 | ||||||
Total Investments — 99.8% | |||||||
(Identified Cost $97,479,524) | 192,069,958 | ||||||
Cash and Other Assets, | |||||||
Less Liabilities — 0.2% | 453,674 | ||||||
Net Assets — 100.0% | $ | 192,523,632 |
† | See Note 1 | ||
* | Non-income producing security | ||
§ | Fair valued security. Security is valued using significant unobservable inputs as determined pursuant to procedures approved by the Fund’s Board of Trustees. See Note 1 | ||
@ | A portion or all of the security was held on loan. As of June 30, 2021, the fair value of the securities on loan was $4,350,245. |
Key to abbreviations:
REIT — Real Estate Investment Trust
Portfolio Sectors as of June 30, 2021
(As a percentage of long-term investments) (Unaudited)
The accompanying notes are an integral part of these financial statements.
91
SA Worldwide Moderate Growth Fund
PORTFOLIO OF INVESTMENTS — AS OF JUNE 30, 2021
SHARES | VALUE† | ||||||
MUTUAL FUNDS — 100.0% | |||||||
Other — 100.0% | |||||||
SA Emerging Markets Value Fund€ | 267,299 | $ | 2,980,383 | ||||
SA Global Fixed Income Fund€ | 434,053 | 4,088,783 | |||||
SA International Value Fund€ | 418,917 | 5,114,979 | |||||
SA Real Estate Securities Fund€ | 116,623 | 1,621,056 | |||||
SA U.S. Core Market Fund€ | 108,810 | 3,272,995 | |||||
SA U.S. Fixed Income Fund€ | 268,766 | 2,722,602 | |||||
SA U.S. Small Company Fund€ | 88,940 | 2,996,405 | |||||
SA U.S. Value Fund€ | 211,904 | 4,371,572 | |||||
27,168,775 | |||||||
TOTAL MUTUAL FUNDS | |||||||
(Identified Cost $21,740,430) | 27,168,775 | ||||||
Total Investments — 100.0% | |||||||
(Identified Cost $21,740,430) | 27,168,775 | ||||||
Liabilities, Less Cash and Other | |||||||
Assets — 0.0% | (267 | ) | |||||
Net Assets — 100.0% | $ | 27,168,508 |
† | See Note 1 | ||
€ | SA Worldwide Moderate Growth Fund invests substantially all of its assets in the Select Class shares of the affiliated Underlying SA Funds |
The accompanying notes are an integral part of these financial statements.
92
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STATEMENTS OF ASSETS AND LIABILITIES — JUNE 30, 2021
SA | SA | |||||||||
U.S. Fixed | Global Fixed | |||||||||
Income Fund | Income Fund | |||||||||
ASSETS | ||||||||||
Investments in unaffiliated securities, at value(1) | $ | 548,088,895 | $ | 781,718,889 | ||||||
Cash | — | — | ||||||||
Foreign currency, at value | — | 150,970 | ||||||||
Receivable for investments sold | — | 3,991,813 | ||||||||
Dividends and interest receivable | 1,648,074 | 1,579,296 | ||||||||
Receivable for fund shares sold | 978,063 | 1,247,021 | ||||||||
Unrealized appreciation on forward foreign currency | ||||||||||
exchange contracts (Note 1) | — | 5,593,917 | ||||||||
Receivable from the Adviser (Note 2) | — | — | ||||||||
Receivable for tax reclaims | — | — | ||||||||
Prepaid expenses | 27,636 | 29,940 | ||||||||
Other assets | — | 73,407 | ||||||||
Total Assets | 550,742,668 | 794,385,253 | ||||||||
LIABILITIES | ||||||||||
Payable for investments purchased | — | 12,592,723 | ||||||||
Payable for fund shares redeemed | 258,239 | 751,884 | ||||||||
Due to custodian bank | — | — | ||||||||
Collateral for securities on loan (Note 1) | — | 41,360,643 | ||||||||
Unrealized depreciation on forward foreign currency | ||||||||||
exchange contracts (Note 1) | — | 2,629,046 | ||||||||
Advisory fee payable (Note 2) | 67,748 | 150,839 | ||||||||
Sub-Advisory fee payable (Note 2) | 13,541 | 18,101 | ||||||||
Administration fee payable (Note 2) | 45,136 | 60,336 | ||||||||
Sub-Administration fee payable (Note 2) | 16,430 | 21,512 | ||||||||
Custody and accounting fees payable | 20,051 | 42,631 | ||||||||
Shareholder servicing fee payable (Note 2) | 33,867 | 44,636 | ||||||||
Transfer agent fee payable | 10,054 | 10,952 | ||||||||
Professional fees payable | 30,350 | 31,843 | ||||||||
Accrued foreign capital gains tax | — | — | ||||||||
Accrued expenses and other liabilities | 24,551 | 31,651 | ||||||||
Total Liabilities | 519,967 | 57,746,797 | ||||||||
NET ASSETS | $ | 550,222,701 | $ | 736,638,456 | ||||||
NET ASSETS CONSIST OF: | ||||||||||
Paid-in capital | $ | 553,884,543 | $ | 738,840,493 | ||||||
Total distributable earnings (loss)(2) | (3,661,842 | ) | (2,202,037 | ) | ||||||
NET ASSETS | $ | 550,222,701 | $ | 736,638,456 |
The accompanying notes are an integral part of these financial statements.
94
SA | SA | SA | SA | SA International | SA Emerging | SA | |||||||||||||||
U.S. Core | U.S. Value | U.S. Small | International | Small Company | Markets | Real Estate | |||||||||||||||
Market Fund | Fund | Company Fund | Value Fund | Fund | Value Fund | Securities Fund | |||||||||||||||
$ | 676,985,736 | $ | 607,882,907 | $ | 433,742,009 | $ | 681,906,475 | $ | 334,688,716 | $ | 228,788,343 | $ | 192,069,958 | ||||||||
4,167 | 11,574 | 3,063 | 2,280 | — | — | 1,720 | |||||||||||||||
— | — | — | 1,125,935 | — | 885,979 | — | |||||||||||||||
385,216 | 910,888 | 1,296,782 | 770,586 | 150,000 | 194,073 | — | |||||||||||||||
339,563 | 427,053 | 230,729 | 1,486,842 | — | 1,253,357 | 575,637 | |||||||||||||||
452,824 | 493,899 | 365,390 | 530,750 | 233,153 | 217,849 | 168,267 | |||||||||||||||
— | — | — | — | — | — | — | |||||||||||||||
— | — | — | — | 830 | 47,811 | 5,274 | |||||||||||||||
— | — | — | 2,538,753 | — | 2,801 | — | |||||||||||||||
27,093 | 27,787 | 26,498 | 27,840 | 26,206 | 24,740 | 24,556 | |||||||||||||||
677 | — | — | — | — | — | — | |||||||||||||||
678,195,276 | 609,754,108 | 435,664,471 | 688,389,461 | 335,098,905 | 231,414,953 | 192,845,412 | |||||||||||||||
— | 761,548 | 1,173,603 | 328,943 | — | 22,533 | — | |||||||||||||||
876,037 | 641,389 | 552,507 | 498,585 | 216,045 | 161,490 | 150,994 | |||||||||||||||
— | — | — | — | 149,859 | — | — | |||||||||||||||
216,928 | 709,149 | 1,736,955 | 36,521,759 | — | 3,205,562 | — | |||||||||||||||
— | — | — | — | — | — | — | |||||||||||||||
219,905 | 202,134 | 143,174 | 249,567 | 70,261 | 84,710 | 56,112 | |||||||||||||||
16,493 | 50,534 | 89,484 | 110,919 | — | 77,180 | 16,032 | |||||||||||||||
54,976 | 50,534 | 35,793 | 55,459 | 28,122 | 18,824 | 16,032 | |||||||||||||||
19,490 | 17,479 | 13,485 | 19,508 | 9,933 | 6,549 | 4,940 | |||||||||||||||
25,670 | 18,710 | 31,701 | 40,429 | 8,778 | 74,435 | 12,021 | |||||||||||||||
44,780 | 38,723 | 27,818 | 41,452 | 21,364 | 13,431 | 11,985 | |||||||||||||||
12,289 | 11,794 | 11,669 | 11,843 | 11,359 | 10,398 | 10,605 | |||||||||||||||
28,714 | 27,214 | 27,214 | 29,778 | 28,753 | 28,797 | 31,278 | |||||||||||||||
— | — | — | — | — | 658,428 | — | |||||||||||||||
20,825 | 23,435 | 17,843 | 30,567 | 39,312 | 28,178 | 11,781 | |||||||||||||||
1,536,107 | 2,552,643 | 3,861,246 | 37,938,809 | 583,786 | 4,390,515 | 321,780 | |||||||||||||||
$ | 676,659,169 | $ | 607,201,465 | $ | 431,803,225 | $ | 650,450,652 | $ | 334,515,119 | $ | 227,024,438 | $ | 192,523,632 | ||||||||
$ | 79,467,120 | $ | 327,478,339 | $ | 176,121,897 | $ | 572,327,456 | $ | 184,991,970 | $ | 198,006,572 | $ | 95,898,661 | ||||||||
597,192,049 | 279,723,126 | 255,681,328 | 78,123,196 | 149,523,149 | 29,017,866 | 96,624,971 | |||||||||||||||
$ | 676,659,169 | $ | 607,201,465 | $ | 431,803,225 | $ | 650,450,652 | $ | 334,515,119 | $ | 227,024,438 | $ | 192,523,632 |
The accompanying notes are an integral part of these financial statements.
95
STATEMENTS OF ASSETS AND LIABILITIES — JUNE 30, 2021 (Continued)
SA U.S. Fixed Income Fund | SA Global Fixed Income Fund | |||||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 68,818,279 | $ | 88,377,557 | ||||
Shares of beneficial interest outstanding | ||||||||
($0.01 par value, unlimited shares authorized) | 6,799,058 | 9,365,868 | ||||||
Net asset value per share | $ | 10.12 | $ | 9.44 | ||||
SELECT CLASS SHARES | ||||||||
Net Assets | $ | 481,404,422 | $ | 648,260,899 | ||||
Shares of beneficial interest outstanding | ||||||||
($0.01 par value, unlimited shares authorized) | 47,527,667 | 68,828,064 | ||||||
Net asset value per share | $ | 10.13 | $ | 9.42 | ||||
Identified cost of unaffiliated investments | $ | 548,740,828 | $ | 775,365,517 | ||||
Cost of foreign currency | $ | — | $ | 151,542 | ||||
(1) Including securities on loan, at value (see Note 1) | $ | — | $ | 40,520,535 | ||||
(2) Net of deferred capital gain country tax of: | $ | — | $ | — |
The accompanying notes are an integral part of these financial statements.
96
SA U.S. Core Market Fund | SA U.S. Value Fund | SA U.S. Small Company Fund | SA International Value Fund | SA International Small Company Fund | SA Emerging Markets Value Fund | SA Real Estate Securities Fund | |||||||||||||||
$ | 106,102,093 | $ | 80,613,068 | $ | 59,623,487 | $ | 80,507,344 | $ | 43,415,551 | $ | 24,222,251 | $ | 23,827,578 | ||||||||
3,511,273 | 3,892,602 | 1,766,933 | 6,572,078 | 1,776,551 | 2,171,847 | 1,708,506 | |||||||||||||||
$ | 30.22 | $ | 20.71 | $ | 33.74 | $ | 12.25 | $ | 24.44 | $ | 11.15 | $ | 13.95 | ||||||||
$ | 570,557,076 | $ | 526,588,397 | $ | 372,179,738 | $ | 569,943,308 | $ | 291,099,568 | $ | 202,802,187 | $ | 168,696,054 | ||||||||
18,970,080 | 25,529,780 | 11,048,263 | 46,690,774 | 11,967,398 | 18,190,300 | 12,139,515 | |||||||||||||||
$ | 30.08 | $ | 20.63 | $ | 33.69 | $ | 12.21 | $ | 24.32 | $ | 11.15 | $ | 13.90 | ||||||||
$ | 124,235,185 | $ | 335,286,707 | $ | 225,619,200 | $ | 565,620,378 | $ | 161,347,654 | $ | 181,887,173 | $ | 97,479,524 | ||||||||
$ | — | $ | — | $ | — | $ | 1,133,949 | $ | — | $ | 894,268 | $ | — | ||||||||
$ | 2,299,153 | $ | 701,720 | $ | 11,584,112 | $ | 55,881,282 | $ | — | $ | 6,850,625 | $ | 4,350,245 | ||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 658,428 | $ | — |
The accompanying notes are an integral part of these financial statements.
97
STATEMENTS OF ASSETS AND LIABILITIES — JUNE 30, 2021 (Continued)
SA Worldwide Moderate Growth Fund | |||||
ASSETS | |||||
Investments in affiliated securities, at value | $ | 27,168,775 | |||
Receivable for investments sold | 1,300 | ||||
Receivable from the Adviser (Note 2) | 22,008 | ||||
Prepaid expenses | 21,384 | ||||
Total Assets | 27,213,467 | ||||
LIABILITIES | |||||
Payable for fund shares redeemed | 1,300 | ||||
Sub-Administration fee payable (Note 2) | 855 | ||||
Custody and accounting fees payable | 7,124 | ||||
Transfer agent fee payable | 569 | ||||
Professional fees payable | 28,237 | ||||
Accrued expenses and other liabilities | 6,874 | ||||
Total Liabilities | 44,959 | ||||
NET ASSETS | $ | 27,168,508 | |||
NET ASSETS CONSIST OF: | |||||
Paid-in capital | $ | 22,264,423 | |||
Total distributable earnings (loss) | 4,904,085 | ||||
NET ASSETS | $ | 27,168,508 | |||
INVESTOR CLASS SHARES | |||||
Shares of beneficial interest outstanding | |||||
($0.01 par value, unlimited shares authorized) | 2,233,707 | ||||
Net asset value per share | $ | 12.16 | |||
Identified cost of affiliated investments | $ | 21,740,430 |
The accompanying notes are an integral part of these financial statements.
98
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STATEMENTS OF OPERATIONS — YEAR ENDED JUNE 30, 2021
SA U.S. Fixed Income Fund | SA Global Fixed Income Fund | SA U.S. Core Market Fund | |||||||||||||
INVESTMENT INCOME | |||||||||||||||
Income: | |||||||||||||||
Unaffiliated dividends | $ | — | $ | — | $ | 8,949,844 | |||||||||
Affiliated dividends | — | — | — | ||||||||||||
Interest(1) | 2,568,392 | 3,078,435 | 5,886 | ||||||||||||
Non-cash dividends | — | — | — | ||||||||||||
Other income | 20 | — | 2,004 | ||||||||||||
Taxes withheld | (97 | ) | 94 | (360 | ) | ||||||||||
Total Income | 2,568,315 | 3,078,529 | 8,957,374 | ||||||||||||
Expenses: | |||||||||||||||
Advisory fees (Note 2) | 801,089 | 1,749,781 | 2,552,693 | ||||||||||||
Shareholder Servicing fees (Note 2) | |||||||||||||||
Investor Class | 186,748 | 236,253 | 279,643 | ||||||||||||
Select Class | 229,680 | 302,706 | 263,158 | ||||||||||||
Administration fees (Note 2) | 534,060 | 699,912 | 638,173 | ||||||||||||
Sub-Advisory fees (Note 2) | 160,218 | 209,974 | 183,528 | ||||||||||||
Sub-Administration fees (Note 2) | 97,358 | 127,202 | 116,317 | ||||||||||||
Trustees’ fees and expenses (Note 2) | 34,953 | 34,953 | 34,953 | ||||||||||||
Custody and accounting fees | 92,589 | 174,247 | 115,192 | ||||||||||||
Transfer agent fees | 85,848 | 91,310 | 101,174 | ||||||||||||
Professional fees* | 56,487 | 58,115 | 56,357 | ||||||||||||
Registration fees | 42,152 | 45,639 | 42,940 | ||||||||||||
Shareholders report printing expenses | 44,511 | 61,855 | 42,759 | ||||||||||||
Other expenses** | 30,161 | 33,600 | 37,849 | ||||||||||||
Total expenses before waivers and reimbursements: | 2,395,854 | 3,825,547 | 4,464,736 | ||||||||||||
Less: Fee waiver by the Adviser (Note 2) | — | — | — | ||||||||||||
Net expenses | 2,395,854 | 3,825,547 | 4,464,736 | ||||||||||||
Net investment income (loss) | 172,461 | (747,018 | ) | 4,492,638 | |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||||||||||||||
Realized gain (loss) on: | |||||||||||||||
Investments(2) | 936,701 | 34,965,776 | 79,749,079 | ||||||||||||
Investments in affiliates | — | — | — | ||||||||||||
Forward foreign currency exchange contracts | — | (59,871,400 | ) | — | |||||||||||
Foreign currency transactions | — | 117,327 | — | ||||||||||||
Capital gain distributions from underlying funds | — | — | — | ||||||||||||
Increase (decrease) in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments(3) | (2,531,072 | ) | 12,402,347 | 129,997,103 | |||||||||||
Investments in affiliates | — | — | — | ||||||||||||
Forward foreign currency exchange contracts | — | 15,574,875 | — | ||||||||||||
Foreign currency transactions | — | (34,097 | ) | — | |||||||||||
Net realized and unrealized gain (loss) on investments and | |||||||||||||||
foreign currency transactions and translation | (1,594,371 | ) | 3,154,828 | 209,746,182 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,421,910 | ) | $ | 2,407,810 | $ | 214,238,820 | ||||||||
(1) | Interest income includes security lending income of: | $ | — | $ | 13,603 | $ | 5,790 | ||||||||
(2) | Net of capital gain country tax of: | $ | — | $ | — | $ | — | ||||||||
(3) | Net of increase of deferred capital gain country tax accrual of: | $ | — | $ | — | $ | — | ||||||||
* | Professional fees include, but are not limited to, fees associated | ||||||||||||||
with legal, audit and tax services. | |||||||||||||||
** | Other expenses include, but are not limited to, fees associated | ||||||||||||||
with insurance. |
The accompanying notes are an integral part of these financial statements.
100
SA U.S. | SA U.S. | SA | SA International | SA Emerging | SA Real Estate | ||||||||||||||||||
Value | Small Company | International | Small Company | Markets Value | Securities | ||||||||||||||||||
Fund | Fund | Value Fund | Fund | Fund | Fund | ||||||||||||||||||
$ | 11,984,945 | $ | 5,379,540 | $ | 22,353,034 | $ | 5,806,198 | $ | 7,052,552 | $ | 2,962,757 | ||||||||||||
— | — | — | — | — | — | ||||||||||||||||||
7,765 | 60,669 | 208,281 | — | 54,554 | 22,523 | ||||||||||||||||||
— | 34,367 | 2,452,615 | — | 124,067 | 1,053,557 | ||||||||||||||||||
4,815 | 17,877 | 2,870 | — | 101 | — | ||||||||||||||||||
— | (3,903 | ) | (2,134,962 | ) | — | (847,593 | ) | — | |||||||||||||||
11,997,525 | 5,488,550 | 22,881,838 | 5,806,198 | 6,383,681 | 4,038,837 | ||||||||||||||||||
2,202,396 | 1,634,026 | 2,740,051 | 777,225 | 903,030 | 586,779 | ||||||||||||||||||
202,304 | 153,557 | 210,088 | 111,083 | 60,452 | 58,484 | ||||||||||||||||||
234,839 | 173,542 | 262,432 | 133,228 | 88,246 | 72,129 | ||||||||||||||||||
550,599 | 408,507 | 608,900 | 310,890 | 200,673 | 167,651 | ||||||||||||||||||
550,599 | 1,021,266 | 1,217,800 | — | 873,487 | 167,651 | ||||||||||||||||||
98,935 | 75,154 | 110,414 | 56,524 | 36,279 | 29,643 | ||||||||||||||||||
34,953 | 34,953 | 34,953 | 34,953 | 34,953 | 34,953 | ||||||||||||||||||
80,021 | 122,667 | 161,508 | 37,525 | 303,094 | 51,006 | ||||||||||||||||||
98,756 | 97,985 | 99,702 | 95,348 | 86,378 | 88,689 | ||||||||||||||||||
53,357 | 63,708 | 55,986 | 56,293 | 96,267 | 59,259 | ||||||||||||||||||
42,485 | 40,817 | 43,744 | 38,942 | 37,070 | 35,672 | ||||||||||||||||||
44,139 | 31,942 | 37,344 | 21,891 | 16,066 | 17,595 | ||||||||||||||||||
29,910 | 39,393 | 47,989 | 49,733 | 49,307 | 23,847 | ||||||||||||||||||
4,223,293 | 3,897,517 | 5,630,911 | 1,723,635 | 2,785,302 | 1,393,358 | ||||||||||||||||||
— | — | — | (905 | ) | (498,875 | ) | (89,188 | ) | |||||||||||||||
4,223,293 | 3,897,517 | 5,630,911 | 1,722,730 | 2,286,427 | 1,304,170 | ||||||||||||||||||
7,774,232 | 1,591,033 | 17,250,927 | 4,083,468 | 4,097,254 | 2,734,667 | ||||||||||||||||||
14,498,398 | 62,074,223 | 5,296,185 | 5,673,754 | (3,004,124 | ) | 5,386,118 | |||||||||||||||||
— | — | — | — | — | — | ||||||||||||||||||
— | — | — | — | — | — | ||||||||||||||||||
— | — | 119,768 | — | (37,301 | ) | — | |||||||||||||||||
— | — | — | — | — | — | ||||||||||||||||||
196,796,995 | 124,429,279 | 196,706,262 | 101,590,899 | 74,688,466 | 39,325,976 | ||||||||||||||||||
— | — | — | — | — | — | ||||||||||||||||||
— | — | — | — | — | — | ||||||||||||||||||
— | — | 42,223 | — | 21,102 | — | ||||||||||||||||||
211,295,393 | 186,503,502 | 202,164,438 | 107,264,653 | 71,668,143 | 44,712,094 | ||||||||||||||||||
$ | 219,069,625 | $ | 188,094,535 | $ | 219,415,365 | $ | 111,348,121 | $ | 75,765,397 | $ | 47,446,761 | ||||||||||||
$ | 7,713 | $ | 60,645 | $ | 209,541 | $ | — | $ | 54,532 | $ | 22,489 | ||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 37,303 | $ | — | ||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 596,411 | $ | — |
The accompanying notes are an integral part of these financial statements.
101
STATEMENTS OF OPERATIONS — YEAR ENDED JUNE 30, 2021 (Continued)
SA | |||||||
Worldwide | |||||||
Moderate | |||||||
Growth Fund | |||||||
INVESTMENT INCOME | |||||||
Income: | |||||||
Affiliated dividends | 341,933 | ||||||
Total Income | 341,933 | ||||||
Expenses: | |||||||
Sub-Administration fees (Note 2) | 4,988 | ||||||
Trustees' fees and expenses (Note 2) | 34,953 | ||||||
Custody and accounting fees | 30,604 | ||||||
Transfer agent fees | 4,641 | ||||||
Professional fees * | 55,760 | ||||||
Registration fees | 25,635 | ||||||
Shareholders report printing expenses | 14,581 | ||||||
Insurance expenses | 7,740 | ||||||
Miscellaneous expenses | 11,492 | ||||||
Total expenses before waivers and reimbursements: | 190,394 | ||||||
Less: Fee waiver by the Adviser (Note 2) | (190,394 | ) | |||||
Net investment income | 341,933 | ||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||||||
Realized loss on: | |||||||
Investments in affiliates | (278,780 | ) | |||||
Capital gain distributions from underlying funds | 309,155 | ||||||
Increase (decrease) in unrealized appreciation (depreciation) on: | |||||||
Investments in affiliates | 7,682,280 | ||||||
Net realized and unrealized gain on investments and | |||||||
foreign currency transactions and translation | 7,712,655 | ||||||
Net increase in net assets resulting from operations | $ | 8,054,588 | |||||
* | Professional fees include, but are not limited to, fees associated with legal, audit and tax services. |
The accompanying notes are an integral part of these financial statements.
102
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STATEMENTS OF CHANGES IN NET ASSETS
SA U.S. Fixed Income Fund | |||||||||||
Year Ended | Year Ended | ||||||||||
June 30, 2021 | June 30, 2020 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||
Operations: | |||||||||||
Net investment income (loss) | $ | 172,461 | $ | 8,587,118 | |||||||
Net realized gain (loss) on investments and foreign currency transactions | 936,701 | 659,156 | |||||||||
Net increase (decrease) in unrealized appreciation (depreciation) | (2,531,072 | ) | 342,424 | ||||||||
Net increase (decrease) in net assets from operations | (1,421,910 | ) | 9,588,698 | ||||||||
Distributions to shareholders: | |||||||||||
Investor Class | (5,981 | ) | (1,325,810 | ) | |||||||
Select Class | (538,634 | ) | (7,519,379 | ) | |||||||
Total distributions to shareholders | (544,615 | ) | (8,845,189 | ) | |||||||
Capital share transactions | |||||||||||
Proceeds from sale of shares | |||||||||||
Investor Class | 15,674,856 | 12,071,114 | |||||||||
Select Class | 112,726,044 | 82,796,867 | |||||||||
128,400,900 | 94,867,981 | ||||||||||
Value of distributions reinvested | |||||||||||
Investor Class | 5,905 | 1,307,312 | |||||||||
Select Class | 530,259 | 7,379,380 | |||||||||
536,164 | 8,686,692 | ||||||||||
Cost of shares redeemed | |||||||||||
Investor Class | (19,886,868 | ) | (37,021,259 | ) | |||||||
Select Class | (96,252,541 | ) | (157,782,049 | ) | |||||||
(116,139,409 | ) | (194,803,308 | ) | ||||||||
Tax-free interclass conversion | |||||||||||
Investor Class | (7,093,927 | ) | (9,430,941 | ) | |||||||
Select Class | 7,093,927 | 9,430,941 | |||||||||
— | — | ||||||||||
Total capital share transactions | 12,797,655 | (91,248,635 | ) | ||||||||
Total increase (decrease) in net assets | 10,831,130 | (90,505,126 | ) | ||||||||
NET ASSETS | |||||||||||
Beginning of year | $ | 539,391,571 | $ | 629,896,697 | |||||||
End of year | $ | 550,222,701 | $ | 539,391,571 | |||||||
CAPITAL SHARE TRANSACTIONS | |||||||||||
Shares sold by subscription | |||||||||||
Investor Class | 1,542,952 | 1,188,116 | |||||||||
Select Class | 11,096,106 | 8,156,361 |
The accompanying notes are an integral part of these financial statements.
104
SA Global Fixed Income Fund | SA U.S. Core Market Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||||||
$ | (747,018 | ) | $ | 1,383,908 | $ | 4,492,638 | $ | 7,557,488 | ||||||||
(24,788,297 | ) | 20,439,764 | 79,749,079 | 51,273,046 | ||||||||||||
27,943,125 | (9,630,572 | ) | 129,997,103 | (18,767,616 | ) | |||||||||||
2,407,810 | 12,193,100 | 214,238,820 | 40,062,918 | |||||||||||||
— | (4,148,976 | ) | (8,604,685 | ) | (16,802,237 | ) | ||||||||||
— | (23,851,052 | ) | (40,905,545 | ) | (65,886,578 | ) | ||||||||||
— | (28,000,028 | ) | (49,510,230 | ) | (82,688,815 | ) | ||||||||||
20,264,019 | 20,881,450 | 5,628,094 | 8,125,897 | |||||||||||||
165,355,289 | 147,764,376 | 56,340,019 | 63,057,750 | |||||||||||||
185,619,308 | 168,645,826 | 61,968,113 | 71,183,647 | |||||||||||||
— | 4,095,942 | 8,082,999 | 15,971,544 | |||||||||||||
— | 23,507,692 | 40,366,393 | 65,017,485 | |||||||||||||
— | 27,603,634 | 48,449,392 | 80,989,029 | |||||||||||||
(24,553,764 | ) | (44,611,309 | ) | (37,968,311 | ) | (58,504,238 | ) | |||||||||
(120,681,397 | ) | (193,298,631 | ) | (160,863,649 | ) | (206,000,192 | ) | |||||||||
(145,235,161 | ) | (237,909,940 | ) | (198,831,960 | ) | (264,504,430 | ) | |||||||||
(8,063,216 | ) | (11,372,926 | ) | (11,143,325 | ) | (9,010,402 | ) | |||||||||
8,063,216 | 11,372,926 | 11,143,325 | 9,010,402 | |||||||||||||
— | — | — | — | |||||||||||||
40,384,147 | (41,660,480 | ) | (88,414,455 | ) | (112,331,754 | ) | ||||||||||
42,791,957 | (57,467,408 | ) | 76,314,135 | (154,957,651 | ) | |||||||||||
$ | 693,846,499 | $ | 751,313,907 | $ | 600,345,034 | $ | 755,302,685 | |||||||||
$ | 736,638,456 | $ | 693,846,499 | $ | 676,659,169 | $ | 600,345,034 | |||||||||
2,147,141 | 2,173,001 | 206,937 | 340,329 | |||||||||||||
17,570,504 | 15,451,976 | 2,086,752 | 2,728,044 |
The accompanying notes are an integral part of these financial statements.
105
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
SA U.S. Fixed Income Fund | |||||||
Year Ended | Year Ended | ||||||
June 30, 2021 | June 30, 2020 | ||||||
Shares issued for distributions reinvested | |||||||
Investor Class | 581 | 128,916 | |||||
Select Class | 52,167 | 728,143 | |||||
Shares redeemed | |||||||
Investor Class | (1,956,816 | ) | (3,646,934 | ) | |||
Select Class | (9,472,444 | ) | (15,555,449 | ) | |||
Tax-free interclass conversion | |||||||
Investor Class | (698,734 | ) | (928,091 | ) | |||
Select Class | 698,237 | 928,920 | |||||
Net increase (decrease) in fund shares | 1,262,049 | (9,000,018 | ) |
The accompanying notes are an integral part of these financial statements.
106
SA Global Fixed Income Fund | SA U.S. Core Market Fund | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||
June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||
— | 430,854 | 308,394 | 664,374 | |||||||||
— | 2,485,743 | 1,548,979 | 2,719,259 | |||||||||
(2,602,042 | ) | (4,653,088 | ) | (1,420,874 | ) | (2,467,312 | ) | |||||
(12,827,183 | ) | (20,257,790 | ) | (6,024,114 | ) | (8,752,171 | ) | |||||
(854,218 | ) | (1,183,519 | ) | (393,649 | ) | (415,754 | ) | |||||
856,169 | 1,188,290 | 395,676 | 417,360 | |||||||||
4,290,371 | (4,364,533 | ) | (3,291,899 | ) | (4,765,871 | ) |
The accompanying notes are an integral part of these financial statements.
107
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
SA U.S. Value Fund | ||||||||||
Year Ended | Year Ended | |||||||||
June 30, 2021 | June 30, 2020 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 7,774,232 | $ | 10,728,909 | ||||||
Net realized gain (loss) on investments and foreign currency transactions | 14,498,398 | (5,144,102 | ) | |||||||
Net increase (decrease) in unrealized appreciation (depreciation) | 196,796,995 | (81,542,513 | ) | |||||||
Net increase (decrease) in net assets from operations | 219,069,625 | (75,957,706 | ) | |||||||
Distributions to shareholders: | ||||||||||
Investor Class | (1,207,898 | ) | (5,623,754 | ) | ||||||
Select Class | (8,067,613 | ) | (27,287,842 | ) | ||||||
Total distributions to shareholders | (9,275,511 | ) | (32,911,596 | ) | ||||||
Capital share transactions | ||||||||||
Proceeds from sale of shares | ||||||||||
Investor Class | 6,638,104 | 13,384,483 | ||||||||
Select Class | 55,712,967 | 106,667,979 | ||||||||
62,351,071 | 120,052,462 | |||||||||
Value of distributions reinvested | ||||||||||
Investor Class | 1,179,365 | 5,494,859 | ||||||||
Select Class | 7,951,055 | 25,473,417 | ||||||||
9,130,420 | 30,968,276 | |||||||||
Cost of shares redeemed | ||||||||||
Investor Class | (24,970,747 | ) | (34,730,745 | ) | ||||||
Select Class | (125,425,701 | ) | (124,074,322 | ) | ||||||
(150,396,448 | ) | (158,805,067 | ) | |||||||
Tax-free interclass conversion | ||||||||||
Investor Class | (8,011,110 | ) | (7,478,716 | ) | ||||||
Select Class | 8,011,110 | 7,478,716 | ||||||||
— | — | |||||||||
Total capital share transactions | (78,914,957 | ) | (7,784,329 | ) | ||||||
Total increase (decrease) in net assets | 130,879,157 | (116,653,631 | ) | |||||||
NET ASSETS | ||||||||||
Beginning of year | $ | 476,322,308 | $ | 592,975,939 | ||||||
End of year | $ | 607,201,465 | $ | 476,322,308 |
The accompanying notes are an integral part of these financial statements.
108
SA U.S. Small Company Fund | SA International Value Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||||||
$ | 1,591,033 | $ | 2,255,606 | $ | 17,250,927 | $ | 13,426,520 | |||||||||
62,074,223 | 3,292,073 | 5,415,953 | (27,549,236 | ) | ||||||||||||
124,429,279 | (48,379,710 | ) | 196,748,485 | (99,951,761 | ) | |||||||||||
188,094,535 | (42,832,031 | ) | 219,415,365 | (114,074,477 | ) | |||||||||||
(1,519,636 | ) | (3,409,041 | ) | (1,756,435 | ) | (4,103,404 | ) | |||||||||
(9,388,798 | ) | (16,655,015 | ) | (12,115,207 | ) | (22,391,509 | ) | |||||||||
(10,908,434 | ) | (20,064,056 | ) | (13,871,642 | ) | (26,494,913 | ) | |||||||||
4,611,386 | 12,040,529 | 6,935,571 | 16,696,723 | |||||||||||||
39,345,116 | 90,783,911 | 59,038,515 | 116,243,270 | |||||||||||||
43,956,502 | 102,824,440 | 65,974,086 | 132,939,993 | |||||||||||||
1,486,419 | 3,321,886 | 1,724,585 | 4,025,053 | |||||||||||||
9,264,524 | 15,495,388 | 11,951,797 | 21,118,863 | |||||||||||||
10,750,943 | 18,817,274 | 13,676,382 | 25,143,916 | |||||||||||||
(23,775,328 | ) | (24,034,625 | ) | (29,084,239 | ) | (33,515,415 | ) | |||||||||
(133,706,769 | ) | (88,558,580 | ) | (151,135,720 | ) | (131,201,984 | ) | |||||||||
(157,482,097 | ) | (112,593,205 | ) | (180,219,959 | ) | (164,717,399 | ) | |||||||||
(5,262,672 | ) | (4,997,884 | ) | (8,503,066 | ) | (7,790,925 | ) | |||||||||
5,262,672 | 4,997,884 | 8,503,066 | 7,790,925 | |||||||||||||
— | — | — | — | |||||||||||||
(102,774,652 | ) | 9,048,509 | (100,569,491 | ) | (6,633,490 | ) | ||||||||||
74,411,449 | (53,847,578 | ) | 104,974,232 | (147,202,880 | ) | |||||||||||
$ | 357,391,776 | $ | 411,239,354 | $ | 545,476,420 | $ | 692,679,300 | |||||||||
$ | 431,803,225 | $ | 357,391,776 | $ | 650,450,652 | $ | 545,476,420 |
The accompanying notes are an integral part of these financial statements.
109
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
SA U.S. Value Fund | |||||||
Year Ended | Year Ended | ||||||
June 30, 2021 | June 30, 2020 | ||||||
CAPITAL SHARE TRANSACTIONS | |||||||
Shares sold by subscription | |||||||
Investor Class | 390,818 | 862,159 | |||||
Select Class | 3,252,551 | 7,069,084 | |||||
Shares issued for distributions reinvested | |||||||
Investor Class | 70,284 | 310,620 | |||||
Select Class | 476,396 | 1,446,531 | |||||
Shares redeemed | |||||||
Investor Class | (1,464,984 | ) | (2,214,345 | ) | |||
Select Class | (7,202,382 | ) | (8,287,743 | ) | |||
Tax-free interclass conversion | |||||||
Investor Class | (393,583 | ) | (526,768 | ) | |||
Select Class | 395,144 | 528,755 | |||||
Net decrease in fund shares | (4,475,756 | ) | (811,707 | ) |
The accompanying notes are an integral part of these financial statements.
110
SA U.S. Small Company Fund | SA International Value Fund | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||
June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||
168,046 | 530,838 | 670,920 | 1,876,884 | |||||||||
1,398,177 | 4,130,316 | 5,688,830 | 13,134,152 | |||||||||
53,181 | 128,955 | 166,305 | 363,272 | |||||||||
332,419 | 602,933 | 1,158,120 | 1,914,675 | |||||||||
(850,806 | ) | (1,063,077 | ) | (2,821,558 | ) | (3,476,298 | ) | |||||
(4,721,618 | ) | (4,059,771 | ) | (14,402,511 | ) | (14,374,582 | ) | |||||
(162,072 | ) | (246,057 | ) | (702,982 | ) | (893,333 | ) | |||||
162,347 | 246,413 | 705,751 | 896,375 | |||||||||
(3,620,326 | ) | 270,550 | (9,537,125 | ) | (558,855 | ) |
The accompanying notes are an integral part of these financial statements.
111
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
SA International Small Company Fund | |||||||||||
Year Ended | Year Ended | ||||||||||
June 30, 2021 | June 30, 2020 | ||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||
Operations: | |||||||||||
Net investment income (loss) | $ | 4,083,468 | $ | 5,509,953 | |||||||
Net realized gain (loss) on investments and foreign currency transactions | 5,673,754 | 3,383,298 | |||||||||
Net increase (decrease) in unrealized appreciation (depreciation) | 101,590,899 | (31,780,465 | ) | ||||||||
Net increase (decrease) in net assets from operations | 111,348,121 | (22,887,214 | ) | ||||||||
Distributions to shareholders: | |||||||||||
Investor Class | (873,744 | ) | (3,310,038 | ) | |||||||
Select Class | (5,861,440 | ) | (16,168,256 | ) | |||||||
Total distributions to shareholders | (6,735,184 | ) | (19,478,294 | ) | |||||||
Capital share transactions | |||||||||||
Proceeds from sale of shares | |||||||||||
Investor Class | 3,012,303 | 4,956,614 | |||||||||
Select Class | 25,421,113 | 38,036,789 | |||||||||
28,433,416 | 42,993,403 | ||||||||||
Value of distributions reinvested | |||||||||||
Investor Class | 855,595 | 3,235,712 | |||||||||
Select Class | 5,783,462 | 15,954,808 | |||||||||
6,639,057 | 19,190,520 | ||||||||||
Cost of shares redeemed | |||||||||||
Investor Class | (12,505,585 | ) | (17,749,929 | ) | |||||||
Select Class | (64,723,253 | ) | (54,607,570 | ) | |||||||
(77,228,838 | ) | (72,357,499 | ) | ||||||||
Tax-free interclass conversion | |||||||||||
Investor Class | (4,359,529 | ) | (3,920,462 | ) | |||||||
Select Class | 4,359,529 | 3,920,462 | |||||||||
— | — | ||||||||||
Total capital share transactions | (42,156,365 | ) | (10,173,576 | ) | |||||||
Total increase (decrease) in net assets | 62,456,572 | (52,539,084 | ) | ||||||||
NET ASSETS | |||||||||||
Beginning of year | $ | 272,058,547 | $ | 324,597,631 | |||||||
End of year | $ | 334,515,119 | $ | 272,058,547 |
The accompanying notes are an integral part of these financial statements.
112
SA Emerging Markets Value Fund | SA Real Estate Securities Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||||||
$ | 4,097,254 | $ | 4,322,218 | $ | 2,734,667 | $ | 3,755,697 | |||||||||
(3,041,425 | ) | (13,419,899 | ) | 5,386,118 | 2,066,537 | |||||||||||
74,709,568 | (34,218,162 | ) | 39,325,976 | (18,859,844 | ) | |||||||||||
75,765,397 | (43,315,843 | ) | 47,446,761 | (13,037,610 | ) | |||||||||||
(428,638 | ) | (713,402 | ) | (851,947 | ) | (1,423,502 | ) | |||||||||
(3,427,507 | ) | (4,453,559 | ) | (5,539,852 | ) | (7,112,402 | ) | |||||||||
(3,856,145 | ) | (5,166,961 | ) | (6,391,799 | ) | (8,535,904 | ) | |||||||||
2,790,881 | 4,976,831 | 2,220,122 | 2,960,123 | |||||||||||||
25,028,628 | 43,876,587 | 21,037,512 | 25,548,122 | |||||||||||||
27,819,509 | 48,853,418 | 23,257,634 | 28,508,245 | |||||||||||||
422,384 | 702,205 | 838,814 | 1,402,951 | |||||||||||||
3,382,640 | 4,137,606 | 5,463,111 | 7,014,151 | |||||||||||||
3,805,024 | 4,839,811 | 6,301,925 | 8,417,102 | |||||||||||||
(7,020,768 | ) | (10,220,751 | ) | (6,652,487 | ) | (10,870,757 | ) | |||||||||
(40,207,149 | ) | (41,080,546 | ) | (30,588,293 | ) | (34,929,458 | ) | |||||||||
(47,227,917 | ) | (51,301,297 | ) | (37,240,780 | ) | (45,800,215 | ) | |||||||||
(2,758,955 | ) | (2,830,219 | ) | (2,235,345 | ) | (2,627,760 | ) | |||||||||
2,758,955 | 2,830,219 | 2,235,345 | 2,627,760 | |||||||||||||
— | — | — | — | |||||||||||||
(15,603,384 | ) | 2,391,932 | (7,681,221 | ) | (8,874,868 | ) | ||||||||||
56,305,868 | (46,090,872 | ) | 33,373,741 | (30,448,382 | ) | |||||||||||
$ | 170,718,570 | $ | 216,809,442 | $ | 159,149,891 | $ | 189,598,273 | |||||||||
$ | 227,024,438 | $ | 170,718,570 | $ | 192,523,632 | $ | 159,149,891 |
The accompanying notes are an integral part of these financial statements.
113
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
SA International Small Company Fund | ||||||||
Year Ended | Year Ended | |||||||
June 30, 2021 | June 30, 2020 | |||||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Shares sold by subscription | ||||||||
Investor Class | 140,754 | 266,159 | ||||||
Select Class | 1,188,982 | 2,143,493 | ||||||
Shares issued for distributions reinvested | ||||||||
Investor Class | 40,282 | 159,552 | ||||||
Select Class | 273,838 | 791,017 | ||||||
Shares redeemed | ||||||||
Investor Class | (602,870 | ) | (989,404 | ) | ||||
Select Class | (3,068,620 | ) | (3,092,356 | ) | ||||
Tax-free interclass conversion | ||||||||
Investor Class | (180,888 | ) | (242,521 | ) | ||||
Select Class | 181,760 | 243,578 | ||||||
Net decrease in fund shares | (2,026,762 | ) | (720,482 | ) |
The accompanying notes are an integral part of these financial statements.
114
SA Emerging Markets Value Fund | SA Real Estate Securities Fund | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||
June 30, 2021 | June 30, 2020 | June 30, 2021 | June 30, 2020 | |||||||||
295,977 | 592,694 | 185,442 | 241,020 | |||||||||
2,654,066 | 5,294,978 | 1,772,822 | 2,143,463 | |||||||||
45,516 | 72,095 | 74,231 | 112,146 | |||||||||
364,901 | 425,680 | 485,610 | 562,934 | |||||||||
(758,302 | ) | (1,210,793 | ) | (567,332 | ) | (903,052 | ) | |||||
(4,288,934 | ) | (5,153,190 | ) | (2,585,148 | ) | (2,958,229 | ) | |||||
(261,677 | ) | (361,496 | ) | (170,860 | ) | (234,761 | ) | |||||
261,749 | 361,701 | 171,486 | 235,455 | |||||||||
(1,686,704 | ) | 21,669 | (633,749 | ) | (801,024 | ) |
The accompanying notes are an integral part of these financial statements.
115
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
SA Worldwide Moderate Growth Fund | ||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 341,933 | $ | 816,155 | ||||||
Net realized gain on investments and foreign currency transactions | 30,375 | 891,514 | ||||||||
Net increase (decrease) in unrealized appreciation (depreciation) | 7,682,280 | (4,256,602 | ) | |||||||
Net increase (decrease) in net assets from operations | 8,054,588 | (2,548,933 | ) | |||||||
Distributions to shareholders | (1,248,295 | ) | (1,858,952 | ) | ||||||
Capital share transactions | ||||||||||
Proceeds from sale of shares | 4,380,054 | 6,857,356 | ||||||||
Value of distributions reinvested | 1,243,187 | 1,851,726 | ||||||||
Cost of shares redeemed | (15,725,106 | ) | (12,046,911 | ) | ||||||
Total capital share transactions | (10,101,865 | ) | (3,337,829 | ) | ||||||
Total decrease in net assets | (3,295,572 | ) | (7,745,714 | ) | ||||||
NET ASSETS | ||||||||||
Beginning of year | $ | 30,464,080 | $ | 38,209,794 | ||||||
End of year | $ | 27,168,508 | $ | 30,464,080 | ||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||
Shares sold by subscription | 408,508 | 688,179 | ||||||||
Shares issued for distributions reinvested | 116,077 | 170,666 | ||||||||
Shares redeemed | (1,483,293 | ) | (1,194,954 | ) | ||||||
Net decrease in fund shares | (958,708 | ) | (336,109 | ) |
The accompanying notes are an integral part of these financial statements.
116
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FINANCIAL HIGHLIGHTS
SA U.S. Fixed Income Fund | ||||||||||||||||||||||
Year Ended June 30, | ||||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||
Net asset value, beginning of period | $ | 10.17 | $ | 10.16 | $ | 10.11 | $ | 10.18 | $ | 10.22 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income (loss) | (0.02 | )(1)(3) | 0.13 | (1) | (0.20 | ) | (0.05 | ) | 0.06 | |||||||||||||
Net realized and unrealized gain | ||||||||||||||||||||||
(loss) on investments | (0.03 | )(3) | 0.01 | 0.46 | 0.07 | (0.05 | ) | |||||||||||||||
Total from investment operations | (0.05 | ) | 0.14 | 0.26 | 0.02 | 0.01 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | (0.00 | )(2) | (0.13 | ) | (0.21 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of period | $ | 10.12 | $ | 10.17 | $ | 10.16 | $ | 10.11 | $ | 10.18 | ||||||||||||
Total return | (0.48 | )% | 1.42 | % | 2.58 | % | 0.17 | % | 0.10 | % | ||||||||||||
Net assets, end of period (000s) | $ | 68,818 | $ | 80,440 | $ | 113,430 | $ | 147,431 | $ | 606,640 | ||||||||||||
Ratio of net expenses to average net assets | 0.64 | % | 0.63 | % | 0.64 | % | 0.64 | % | 0.65 | % | ||||||||||||
Ratio of gross expenses to average net assets | 0.64 | % | 0.63 | % | 0.64 | % | 0.64 | % | 0.65 | % | ||||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||||
to average net assets | (0.15 | )% | 1.28 | % | 1.92 | % | 0.94 | % | 0.56 | % | ||||||||||||
Portfolio turnover rate | 113 | % | 49 | % | 88 | % | 107 | % | 115 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Amount rounds to less than $(0.005) per share. | |
(3) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
The accompanying notes are an integral part of these financial statements.
118
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Fixed Income Fund | ||||||||||||||||||
Select Class | Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2019 | Period Ended June 30, 2018(1) | ||||||||||||||
Net asset value, beginning of period | $ | 10.16 | $ | 10.15 | $ | 10.10 | $ | 10.18 | ||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income (loss) | 0.01 | (2) | 0.15 | (2) | (0.25 | ) | (0.10 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | (0.03 | ) | 0.01 | 0.53 | 0.13 | |||||||||||||
Total from investment operations | (0.02 | ) | 0.16 | 0.28 | 0.03 | |||||||||||||
Less distributions from: | ||||||||||||||||||
Net investment income | (0.01 | ) | (0.15 | ) | (0.23 | ) | (0.11 | ) | ||||||||||
Net asset value, end of period | $ | 10.13 | $ | 10.16 | $ | 10.15 | $ | 10.10 | ||||||||||
Total return | (0.18 | )% | 1.60 | % | 2.83 | % | 0.33 | %(3) | ||||||||||
Net assets, end of period (000s) | $ | 481,404 | $ | 458,952 | $ | 516,466 | $ | 472,402 | ||||||||||
Ratio of net expenses to average net assets | 0.42 | % | 0.42 | % | 0.41 | % | 0.43 | %(4) | ||||||||||
Ratio of gross expenses to average net assets | 0.42 | % | 0.42 | % | 0.41 | % | 0.43 | %(4)(5) | ||||||||||
Ratio of net investment income to average net assets | 0.06 | % | 1.47 | % | 2.17 | % | 1.55 | %(4) | ||||||||||
Portfolio turnover rate | 113 | % | 49 | % | 88 | % | 107 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
119
FINANCIAL HIGHLIGHTS (Continued)
SA Global Fixed Income Fund | ||||||||||||||||||||||
Year Ended June 30, | ||||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||
Net asset value, beginning of period | $ | 9.42 | $ | 9.63 | $ | 9.59 | $ | 9.63 | $ | 9.79 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||
Net investment income (loss) | (0.03 | )(1) | 0.00 | (1)(2) | (0.09 | ) | 0.20 | 0.09 | ||||||||||||||
Net realized and unrealized gain | ||||||||||||||||||||||
(loss) on investments | 0.05 | 0.14 | 0.46 | (0.20 | ) | (0.13 | ) | |||||||||||||||
Total from investment operations | 0.02 | 0.14 | 0.37 | — | (0.04 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||
Net investment income | — | (0.35 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | |||||||||||||
Capital gains | — | — | — | (0.00 | )(3) | (0.02 | ) | |||||||||||||||
Total distributions | — | (0.35 | ) | (0.33 | ) | (0.04 | ) | (0.12 | ) | |||||||||||||
Net asset value, end of period | $ | 9.44 | $ | 9.42 | $ | 9.63 | $ | 9.59 | $ | 9.63 | ||||||||||||
Total return | 0.21 | % | 1.46 | % | 3.90 | % | 0.04 | % | (0.33 | )% | ||||||||||||
Net assets, end of period (000s) | $ | 88,378 | $ | 100,567 | $ | 133,954 | $ | 170,558 | $ | 721,120 | ||||||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||
Ratio of gross expenses to average net assets | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||
Ratio of net investment income | ||||||||||||||||||||||
(loss) to average net assets | (0.30 | )% | 0.01 | % | 0.53 | % | 1.02 | % | 1.06 | % | ||||||||||||
Portfolio turnover rate | 111 | % | 58 | % | 75 | % | 46 | % | 41 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Amount rounds to less than $0.005 per share. | |
(3) | Amount rounds to less than $(0.005) per share. |
The accompanying notes are an integral part of these financial statements.
120
FINANCIAL HIGHLIGHTS (Continued)
SA Global Fixed Income Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 9.38 | $ | 9.59 | $ | 9.59 | $ | 9.62 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | (0.01 | )(2) | 0.02 | (2) | (0.29 | ) | (0.02 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 0.05 | 0.14 | 0.68 | 0.04 | |||||||||||||
Total from investment operations | 0.04 | 0.16 | 0.39 | 0.02 | |||||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | — | (0.37 | ) | (0.39 | ) | (0.05 | ) | ||||||||||
Net asset value, end of period | $ | 9.42 | $ | 9.38 | $ | 9.59 | $ | 9.59 | |||||||||
Total return | 0.43 | % | 1.66 | % | 4.12 | % | 0.25 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 648,261 | $ | 593,280 | $ | 617,360 | $ | 568,896 | |||||||||
Ratio of net expenses to average net assets | 0.52 | % | 0.51 | % | 0.51 | % | 0.52 | %(4) | |||||||||
Ratio of gross expenses to average net assets | 0.52 | % | 0.51 | % | 0.51 | % | 0.54 | %(4)(5) | |||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )% | 0.21 | % | 0.73 | % | 1.12 | %(4) | |||||||||
Portfolio turnover rate | 111 | % | 58 | % | 75 | % | 46 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
121
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Core Market Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 23.37 | $ | 24.79 | $ | 24.18 | $ | 21.71 | $ | 19.56 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.14 | (1) | 0.23 | (1) | 0.01 | (0.02 | ) | 0.22 | |||||||||||||
Net realized and unrealized gain on investments | 8.87 | 1.43 | 1.95 | 3.45 | 3.16 | ||||||||||||||||
Total from investment operations | 9.01 | 1.66 | 1.96 | 3.43 | 3.38 | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.22 | ) | (0.26 | ) | (0.17 | ) | (0.22 | ) | (0.26 | ) | |||||||||||
Capital gains | (1.94 | ) | (2.82 | ) | (1.18 | ) | (0.74 | ) | (0.97 | ) | |||||||||||
Total distributions | (2.16 | ) | (3.08 | ) | (1.35 | ) | (0.96 | ) | (1.23 | ) | |||||||||||
Net asset value, end of period | $ | 30.22 | $ | 23.37 | $ | 24.79 | $ | 24.18 | $ | 21.71 | |||||||||||
Total return | 39.94 | % | 6.31 | % | 9.30 | % | 15.91 | % | 17.81 | % | |||||||||||
Net assets, end of period (000s) | $ | 106,102 | $ | 112,429 | $ | 165,849 | $ | 205,989 | $ | 731,679 | |||||||||||
Ratio of net expenses to average net assets | 0.87 | % | 0.88 | % | 0.88 | % | 0.90 | % | 0.93 | % | |||||||||||
Ratio of gross expenses to average net assets | 0.87 | % | 0.88 | % | 0.88 | % | 0.90 | %(2) | 0.93 | % | |||||||||||
Ratio of net investment income to average net assets | 0.53 | % | 0.98 | % | 1.02 | % | 0.90 | % | 1.06 | % | |||||||||||
Portfolio turnover rate | 1 | % | 3 | % | 4 | % | 6 | % | 8 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
122
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Core Market Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 23.28 | $ | 24.71 | $ | 24.20 | $ | 21.74 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.20 | (2) | 0.28 | (2) | (0.28 | ) | (0.20 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 8.82 | 1.43 | 2.26 | 3.65 | |||||||||||||
Total from investment operations | 9.02 | 1.71 | 1.98 | 3.45 | |||||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.28 | ) | (0.32 | ) | (0.29 | ) | (0.25 | ) | |||||||||
Capital gains | (1.94 | ) | (2.82 | ) | (1.18 | ) | (0.74 | ) | |||||||||
Total distributions | (2.22 | ) | (3.14 | ) | (1.47 | ) | (0.99 | ) | |||||||||
Net asset value, end of period | $ | 30.08 | $ | 23.28 | $ | 24.71 | $ | 24.20 | |||||||||
Total return | 40.20 | % | 6.56 | % | 9.51 | % | 15.99 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 570,557 | $ | 487,916 | $ | 589,454 | $ | 588,965 | |||||||||
Ratio of net expenses to average net assets | 0.66 | % | 0.67 | % | 0.66 | % | 0.67 | %(4) | |||||||||
Ratio of gross expenses to average net assets | 0.66 | % | 0.67 | % | 0.66 | % | 0.68 | %(4)(5) | |||||||||
Ratio of net investment income to average net assets | 0.74 | % | 1.19 | % | 1.24 | % | 1.12 | %(4) | |||||||||
Portfolio turnover rate | 1 | % | 3 | % | 4 | % | 6 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
123
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Value Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 14.10 | $ | 17.13 | $ | 18.39 | $ | 18.51 | $ | 16.11 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.21 | (2) | 0.28 | (2) | (0.03 | ) | (0.00 | )(1) | 0.22 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 6.66 | (2.39 | ) | 0.24 | 1.83 | 3.07 | |||||||||||||||
Total from investment operations | 6.87 | (2.11 | ) | 0.21 | 1.83 | 3.29 | |||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.26 | ) | (0.26 | ) | (0.19 | ) | (0.24 | ) | (0.25 | ) | |||||||||||
Capital gains | — | (0.66 | ) | (1.28 | ) | (1.71 | ) | (0.64 | ) | ||||||||||||
Total distributions | (0.26 | ) | (0.92 | ) | (1.47 | ) | (1.95 | ) | (0.89 | ) | |||||||||||
Net asset value, end of period | $ | 20.71 | $ | 14.10 | $ | 17.13 | $ | 18.39 | $ | 18.51 | |||||||||||
Total return | 49.17 | % | (13.42 | )% | 2.43 | % | 9.59 | % | 20.67 | % | |||||||||||
Net assets, end of period (000s) | $ | 80,613 | $ | 74,571 | $ | 117,485 | $ | 152,688 | $ | 572,841 | |||||||||||
Ratio of net expenses to average net assets | 0.95 | % | 0.95 | % | 0.96 | % | 0.97 | % | 1.00 | % | |||||||||||
Ratio of gross expenses to average net assets | 0.95 | % | 0.95 | % | 0.96 | % | 0.97 | % | 1.00 | % | |||||||||||
Ratio of net investment income to average net assets | 1.24 | % | 1.71 | % | 1.53 | % | 1.41 | % | 1.29 | % | |||||||||||
Portfolio turnover rate | 5 | % | 10 | % | 11 | % | 19 | % | 16 | % |
(1) | Amount rounds to less than $(0.005) per share. | |
(2) | Calculated based on average shares outstanding during the year. |
The accompanying notes are an integral part of these financial statements.
124
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Value Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 14.04 | $ | 17.07 | $ | 18.41 | $ | 18.62 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.25 | (2) | 0.31 | (2) | (0.28 | ) | (0.23 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 6.64 | (2.38 | ) | 0.51 | 1.99 | ||||||||||||
Total from investment operations | 6.89 | (2.07 | ) | 0.23 | 1.76 | ||||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.30 | ) | (0.30 | ) | (0.29 | ) | (0.26 | ) | |||||||||
Capital gains | — | (0.66 | ) | (1.28 | ) | (1.71 | ) | ||||||||||
Total distributions | (0.30 | ) | (0.96 | ) | (1.57 | ) | (1.97 | ) | |||||||||
Net asset value, end of period | $ | 20.63 | $ | 14.04 | $ | 17.07 | $ | 18.41 | |||||||||
Total return | 49.58 | % | (13.26 | )% | 2.63 | % | 9.20 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 526,588 | $ | 401,751 | $ | 475,491 | $ | 448,694 | |||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.74 | % | 0.74 | % | 0.75 | %(4) | |||||||||
Ratio of gross expenses to average net assets | 0.73 | % | 0.74 | % | 0.74 | % | 0.76 | %(4)(5) | |||||||||
Ratio of net investment income to average net assets | 1.44 | % | 1.93 | % | 1.76 | % | 1.46 | %(4) | |||||||||
Portfolio turnover rate | 5 | % | 10 | % | 11 | % | 19 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
125
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Small Company Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 21.77 | $ | 25.46 | $ | 27.37 | $ | 25.76 | $ | 22.40 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.06 | (1) | 0.09 | (1) | 0.07 | (0.06 | ) | 0.05 | |||||||||||||
Net realized and unrealized gain (loss) on investments | 12.60 | (2.62 | ) | (1.27 | ) | 3.75 | 4.62 | ||||||||||||||
Total from investment operations | 12.66 | (2.53 | ) | (1.20 | ) | 3.69 | 4.67 | ||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.06 | ) | (0.07 | ) | — | (0.05 | ) | (0.08 | ) | ||||||||||||
Capital gains | (0.63 | ) | (1.09 | ) | (0.71 | ) | (2.03 | ) | (1.23 | ) | |||||||||||
Total distributions | (0.69 | ) | (1.16 | ) | (0.71 | ) | (2.08 | ) | (1.31 | ) | |||||||||||
Net asset value, end of period | $ | 33.74 | $ | 21.77 | $ | 25.46 | $ | 27.37 | $ | 25.76 | |||||||||||
Total return | 58.84 | % | (10.66 | )% | (3.94 | )% | 14.64 | % | 20.90 | % | |||||||||||
Net assets, end of period (000s) | $ | 59,623 | $ | 55,701 | $ | 81,679 | $ | 113,007 | $ | 402,770 | |||||||||||
Ratio of net expenses to average net assets | 1.14 | % | 1.14 | % | 1.15 | % | 1.17 | % | 1.20 | % | |||||||||||
Ratio of gross expenses to average net assets | 1.14 | % | 1.14 | % | 1.15 | % | 1.21 | %(2) | 1.27 | %(2) | |||||||||||
Ratio of net investment income to average net assets | 0.20 | % | 0.38 | % | 0.31 | % | 0.26 | % | 0.26 | % | |||||||||||
Portfolio turnover rate | 7 | % | 14 | % | 12 | % | 16 | % | 12 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
126
FINANCIAL HIGHLIGHTS (Continued)
SA U.S. Small Company Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 21.74 | $ | 25.43 | $ | 27.41 | $ | 25.96 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.12 | (2) | 0.14 | (2) | (0.08 | ) | (0.06 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 12.58 | (2.61 | ) | (1.08 | ) | 3.62 | |||||||||||
Total from investment operations | 12.70 | (2.47 | ) | (1.16 | ) | 3.56 | |||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.12 | ) | (0.13 | ) | (0.11 | ) | (0.08 | ) | |||||||||
Capital gains | (0.63 | ) | (1.09 | ) | (0.71 | ) | (2.03 | ) | |||||||||
Total distributions | (0.75 | ) | (1.22 | ) | (0.82 | ) | (2.11 | ) | |||||||||
Net asset value, end of period | $ | 33.69 | $ | 21.74 | $ | 25.43 | $ | 27.41 | |||||||||
Total return | 59.18 | % | (10.45 | )% | (3.73 | )% | 14.05 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 372,180 | $ | 301,691 | $ | 329,561 | $ | 331,999 | |||||||||
Ratio of net expenses to average net assets | 0.92 | % | 0.92 | % | 0.92 | % | 0.93 | %(4) | |||||||||
Ratio of gross expenses to average net assets | 0.92 | % | 0.92 | % | 0.92 | % | 0.95 | %(4)(5) | |||||||||
Ratio of net investment income to average net assets | 0.42 | % | 0.61 | % | 0.56 | % | 0.48 | %(4) | |||||||||
Portfolio turnover rate | 7 | % | 14 | % | 12 | % | 16 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
127
FINANCIAL HIGHLIGHTS (Continued)
SA International Value Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 8.71 | $ | 10.96 | $ | 11.87 | $ | 11.20 | $ | 9.16 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income | 0.28 | (1) | 0.19 | (1) | 0.13 | 0.15 | 0.27 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.48 | (2.03 | ) | (0.85 | ) | 0.83 | 2.07 | ||||||||||||||
Total from investment operations | 3.76 | (1.84 | ) | (0.72 | ) | 0.98 | 2.34 | ||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.22 | ) | (0.41 | ) | (0.19 | ) | (0.31 | ) | (0.30 | ) | |||||||||||
Net asset value, end of period | $ | 12.25 | $ | 8.71 | $ | 10.96 | $ | 11.87 | $ | 11.20 | |||||||||||
Total return | 43.64 | % | (17.62 | )% | (5.88 | )% | 8.61 | % | 25.81 | % | |||||||||||
Net assets, end of period (000s) | $ | 80,507 | $ | 80,664 | $ | 124,822 | $ | 174,610 | $ | 714,939 | |||||||||||
Ratio of net expenses to average net assets | 1.11 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.13 | %(2) | |||||||||||
Ratio of gross expenses to average net assets | 1.11 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.13 | %(2) | |||||||||||
Ratio of net investment income to average net assets | 2.64 | % | 1.92 | % | 2.67 | % | 1.86 | % | 2.51 | % | |||||||||||
Portfolio turnover rate | 9 | % | 13 | % | 19 | % | 21 | % | 17 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Reflects the fund’s receipt of a one time reimbursement of custody expenses paid in prior years. Had such reimbursement not been included in this period, the annualized net and gross expense ratios would have been 1.15% and 1.15%, respectively. |
The accompanying notes are an integral part of these financial statements.
128
FINANCIAL HIGHLIGHTS (Continued)
SA International Value Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 8.68 | $ | 10.93 | $ | 11.89 | $ | 11.28 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.30 | (2) | 0.22 | (2) | (0.19 | ) | (0.21 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 3.47 | (2.04 | ) | (0.51 | ) | 1.14 | |||||||||||
Total from investment operations | 3.77 | (1.82 | ) | (0.70 | ) | 0.93 | |||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.24 | ) | (0.43 | ) | (0.26 | ) | (0.32 | ) | |||||||||
Net asset value, end of period | $ | 12.21 | $ | 8.68 | $ | 10.93 | $ | 11.89 | |||||||||
Total return | 44.00 | % | (17.46 | )% | (5.66 | )% | 8.16 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 569,943 | $ | 464,812 | $ | 567,858 | $ | 560,676 | |||||||||
Ratio of net expenses to average net assets | 0.89 | % | 0.90 | % | 0.90 | % | 0.90 | %(4) | |||||||||
Ratio of gross expenses to average net assets | 0.89 | % | 0.90 | % | 0.90 | % | 0.92 | %(4)(5) | |||||||||
Ratio of net investment income to average net assets | 2.86 | % | 2.20 | % | 3.08 | % | 4.25 | %(4) | |||||||||
Portfolio turnover rate | 9 | % | 13 | % | 19 | % | 21 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
129
FINANCIAL HIGHLIGHTS (Continued)
SA International Small Company Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.32 | $ | 19.75 | $ | 22.94 | $ | 22.09 | $ | 18.72 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.24 | (1) | 0.31 | (1) | (0.21 | ) | (0.60 | ) | 0.18 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 7.31 | (1.57 | ) | (1.80 | ) | 2.46 | 3.97 | ||||||||||||||
Total from investment operations | 7.55 | (1.26 | ) | (2.01 | ) | 1.86 | 4.15 | ||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.24 | ) | (0.35 | ) | (0.29 | ) | (0.43 | ) | (0.36 | ) | |||||||||||
Capital gains | (0.19 | ) | (0.82 | ) | (0.89 | ) | (0.58 | ) | (0.42 | ) | |||||||||||
Total distributions | (0.43 | ) | (1.17 | ) | (1.18 | ) | (1.01 | ) | (0.78 | ) | |||||||||||
Net asset value, end of period | $ | 24.44 | $ | 17.32 | $ | 19.75 | $ | 22.94 | $ | 22.09 | |||||||||||
Total return | 43.94 | % | (7.26 | )% | (8.05 | )% | 8.35 | % | 22.87 | % | |||||||||||
Net assets, end of period (000s) | $ | 43,416 | $ | 41,203 | $ | 62,905 | $ | 90,584 | $ | 355,959 | |||||||||||
Ratio of net expenses to average net assets† | 0.75 | % | 0.75 | % | 0.75 | % | 0.86 | % | 0.96 | %(2) | |||||||||||
Ratio of gross expenses to average net assets† | 0.75 | %(3) | 0.75 | % | 0.76 | %(3) | 0.86 | % | 0.96 | %(2) | |||||||||||
Ratio of net investment income to average net assets†(4) | 1.11 | % | 1.63 | % | 1.58 | % | 1.27 | % | 0.64 | % | |||||||||||
Ratio of expenses to average net assets for the DFA Portfolio (unaudited)†(5) | 0.49 | % | 0.53 | % | 0.54 | % | 0.53 | % | 0.53 | % | |||||||||||
Ratio of expenses to average net assets for the DFA Portfolio†(6) | 0.53 | % | 0.54 | % | 0.53 | % | 0.53 | % | 0.53 | % | |||||||||||
Portfolio turnover rate(7) | 2 | % | 6 | % | 6 | % | 6 | % | 0 | % |
† | The DFA Portfolio expenses are not included in the stated expense information of the SA International Small Company Fund. The financial statements of the DFA Portfolio are included elsewhere in this report. | |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Reflects the fund’s receipt of a one time reimbursement of custody expenses paid in prior years. Had such reimbursement not been included in this period, the annualized net and gross expense ratios would have been 0.97% and 0.97%, respectively. | |
(3) | Gross expenses before waivers of expenses. | |
(4) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. | |
(5) | The DFA Portfolio expense ratios are as of April 30, 2021, 2020, 2019, 2018 and 2017 respectively and are unaudited. | |
(6) | The DFA Portfolio expense ratios are for the fiscal years ended October 31, 2020, 2019, 2018, 2017 and 2016 respectively. | |
(7) | The SA International Small Company Fund invests substantially all of its assets in the DFA Portfolio. Please refer to the financial statements of the DFA Portfolio included elsewhere in this report. |
The accompanying notes are an integral part of these financial statements.
130
FINANCIAL HIGHLIGHTS (Continued)
SA International Small Company Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 17.24 | $ | 19.67 | $ | 22.96 | $ | 22.01 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.29 | (2) | 0.34 | (2) | (0.40 | ) | (0.41 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 7.27 | (1.55 | ) | (1.58 | ) | 2.40 | |||||||||||
Total from investment operations | 7.56 | (1.21 | ) | (1.98 | ) | 1.99 | |||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.29 | ) | (0.41 | ) | (0.42 | ) | (0.46 | ) | |||||||||
Capital gains | (0.19 | ) | (0.81 | ) | (0.89 | ) | (0.58 | ) | |||||||||
Total distributions | (0.48 | ) | (1.22 | ) | (1.31 | ) | (1.04 | ) | |||||||||
Net asset value, end of period | $ | 24.32 | $ | 17.24 | $ | 19.67 | $ | 22.96 | |||||||||
Total return | 44.25 | % | (7.06 | )% | (7.81 | )% | 8.98 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 291,100 | $ | 230,856 | $ | 261,693 | $ | 264,464 | |||||||||
Ratio of net expenses to average net assets† | 0.52 | % | 0.53 | % | 0.52 | % | 0.54 | %(4) | |||||||||
Ratio of gross expenses to average net assets† | 0.52 | % | 0.53 | % | 0.52 | % | 0.57 | %(4)(5) | |||||||||
Ratio of net investment income to average net assets†(6) | 1.35 | % | 1.85 | % | 1.91 | % | 0.98 | %(4) | |||||||||
Ratio of expenses to average net assets for | |||||||||||||||||
the DFA Portfolio (unaudited)†(7) | 0.49 | % | 0.53 | % | 0.53 | % | 0.53 | % | |||||||||
Ratio of expenses to average net assets | |||||||||||||||||
for the DFA Portfolio†(8) | 0.53 | % | 0.54 | % | 0.53 | % | 0.53 | % | |||||||||
Portfolio turnover rate(9) | 2 | % | 6 | % | 6 | % | 6 | % |
† | The DFA Portfolio expenses are not included in the stated expense information of the SA International Small Company Fund. The financial statements of the DFA Portfolio are included elsewhere in this report. | |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. | |
(6) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. | |
(7) | The DFA Portfolio expense ratios are as of April 30, 2021, 2020, 2019 and 2018 respectively and are unaudited. | |
(8) | The DFA Portfolio expense ratios are for the fiscal years ended October 31, 2020, 2019, 2018 and 2017 respectively. | |
(9) | The SA International Small Company Fund invests substantially all of its assets in the DFA Portfolio. Please refer to the financial statements of the DFA Portfolio included elsewhere in this report. |
The accompanying notes are an integral part of these financial statements.
131
FINANCIAL HIGHLIGHTS (Continued)
SA Emerging Markets Value Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 7.75 | $ | 9.85 | $ | 9.93 | $ | 9.56 | $ | 7.78 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.17 | (1) | 0.18 | (1) | (0.12 | ) | (0.11 | ) | 0.09 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 3.40 | (2.07 | ) | 0.20 | 0.62 | 1.79 | |||||||||||||||
Total from investment operations | 3.57 | (1.89 | ) | 0.08 | 0.51 | 1.88 | |||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.17 | ) | (0.21 | ) | (0.16 | ) | (0.14 | ) | (0.10 | ) | |||||||||||
Net asset value, end of period | $ | 11.15 | $ | 7.75 | $ | 9.85 | $ | 9.93 | $ | 9.56 | |||||||||||
Total return | 46.51 | % | (19.60 | )% | 0.97 | % | 5.23 | % | 24.42 | % | |||||||||||
Net assets, end of period (000s) | $ | 24,222 | $ | 22,078 | $ | 37,001 | $ | 49,384 | $ | 204,553 | |||||||||||
Ratio of net expenses to average net assets | 1.32 | % | 1.35 | % | 1.35 | % | 1.38 | % | 1.40 | % | |||||||||||
Ratio of gross expenses to average net assets(2) | 1.61 | % | 1.61 | % | 1.62 | % | 1.61 | % | 1.66 | % | |||||||||||
Ratio of net investment income to average net assets | 1.83 | % | 2.06 | % | 1.78 | % | 1.26 | % | 0.93 | % | |||||||||||
Portfolio turnover rate | 22 | % | 22 | % | 12 | % | 18 | % | 21 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
132
FINANCIAL HIGHLIGHTS (Continued)
SA Emerging Markets Value Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 7.74 | $ | 9.84 | $ | 9.94 | $ | 9.61 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.20 | (2) | 0.19 | (2) | (0.20 | ) | (0.11 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 3.40 | (2.06 | ) | 0.30 | 0.59 | ||||||||||||
Total from investment operations | 3.60 | (1.87 | ) | 0.10 | 0.48 | ||||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.19 | ) | (0.23 | ) | (0.20 | ) | (0.15 | ) | |||||||||
Net asset value, end of period | $ | 11.15 | $ | 7.74 | $ | 9.84 | $ | 9.94 | |||||||||
Total return | 46.98 | % | (19.45 | )% | 1.10 | % | 4.87 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 202,802 | $ | 148,641 | $ | 179,808 | $ | 164,047 | |||||||||
Ratio of net expenses to average net assets | 1.12 | % | 1.14 | % | 1.15 | % | 1.16 | %(4) | |||||||||
Ratio of gross expenses to average net assets(5) | 1.36 | % | 1.37 | % | 1.37 | % | 1.41 | %(4) | |||||||||
Ratio of net investment income to average net assets | 2.07 | % | 2.23 | % | 1.88 | % | 1.74 | %(4) | |||||||||
Portfolio turnover rate | 22 | % | 22 | % | 12 | % | 18 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
133
FINANCIAL HIGHLIGHTS (Continued)
SA Real Estate Securities Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
Investor Class | 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of period | $ | 11.02 | $ | 12.43 | $ | 11.40 | $ | 11.38 | $ | 12.17 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.17 | (1) | 0.22 | (1) | (0.34 | ) | 0.14 | 0.21 | |||||||||||||
Net realized and unrealized gain | |||||||||||||||||||||
(loss) on investments | 3.20 | (1.08 | ) | 1.79 | 0.21 | (0.59 | ) | ||||||||||||||
Total from investment operations | 3.37 | (0.86 | ) | 1.45 | 0.35 | (0.38 | ) | ||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.29 | ) | (0.15 | ) | (0.35 | ) | (0.14 | ) | (0.35 | ) | |||||||||||
Capital gains | (0.15 | ) | (0.40 | ) | (0.07 | ) | (0.19 | ) | (0.06 | ) | |||||||||||
Total distributions | (0.44 | ) | (0.55 | ) | (0.42 | ) | (0.33 | ) | (0.41 | ) | |||||||||||
Net asset value, end of period | $ | 13.95 | $ | 11.02 | $ | 12.43 | $ | 11.40 | $ | 11.38 | |||||||||||
Total return | 31.57 | % | (7.47 | )% | 13.32 | % | 3.14 | % | (2.98 | )% | |||||||||||
Net assets, end of period (000s) | $ | 23,828 | $ | 24,097 | $ | 36,944 | $ | 44,916 | $ | 172,150 | |||||||||||
Ratio of net expenses to average net assets | 0.95 | % | 0.95 | % | 0.95 | % | 0.98 | % | 1.00 | % | |||||||||||
Ratio of gross expenses to average net assets(2) | 1.05 | % | 1.02 | % | 1.04 | % | 1.04 | % | 1.05 | % | |||||||||||
Ratio of net investment income to average net assets | 1.44 | % | 1.82 | % | 2.28 | % | 2.27 | % | 1.53 | % | |||||||||||
Portfolio turnover rate | 4 | % | 3 | % | 6 | % | 6 | % | 7 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
134
FINANCIAL HIGHLIGHTS (Continued)
SA Real Estate Securities Fund | |||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||
Select Class | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018(1) | |||||||||||||
Net asset value, beginning of period | $ | 10.98 | $ | 12.40 | $ | 11.41 | $ | 11.53 | |||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (loss) | 0.20 | (2) | 0.25 | (2) | (0.53 | ) | (0.09 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | 3.19 | (1.09 | ) | 2.00 | 0.32 | ||||||||||||
Total from investment operations | 3.39 | (0.84 | ) | 1.47 | 0.23 | ||||||||||||
Less distributions from: | |||||||||||||||||
Net investment income | (0.32 | ) | (0.18 | ) | (0.41 | ) | (0.16 | ) | |||||||||
Capital gains | (0.15 | ) | (0.40 | ) | (0.07 | ) | (0.19 | ) | |||||||||
Total distributions | (0.47 | ) | (0.58 | ) | (0.48 | ) | (0.35 | ) | |||||||||
Net asset value, end of period | $ | 13.90 | $ | 10.98 | $ | 12.40 | $ | 11.41 | |||||||||
Total return | 31.91 | % | (7.35 | )% | 13.54 | % | 2.03 | %(3) | |||||||||
Net assets, end of period (000s) | $ | 168,696 | $ | 135,052 | $ | 152,655 | $ | 140,647 | |||||||||
Ratio of net expenses to average net assets | 0.75 | % | 0.75 | % | 0.75 | % | 0.76 | %(4) | |||||||||
Ratio of gross expenses to average net assets(5) | 0.80 | % | 0.79 | % | 0.78 | % | 0.85 | %(4) | |||||||||
Ratio of net investment income to average net assets | 1.66 | % | 2.09 | % | 2.42 | % | 3.10 | %(4) | |||||||||
Portfolio turnover rate | 4 | % | 3 | % | 6 | % | 6 | % |
(1) | For the period from July 3, 2017 (commencement of class operations) to June 30, 2018. | |
(2) | Calculated based on average shares outstanding during the year. | |
(3) | Periods less than one year are not annualized. | |
(4) | Annualized for periods less than one year. | |
(5) | Gross expenses before waivers of expenses. |
The accompanying notes are an integral part of these financial statements.
135
FINANCIAL HIGHLIGHTS (Continued)
SA Worldwide Moderate Growth Fund | |||||||||||||||||||||
Year Ended June 30, | |||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||
Net asset value, beginning of period | $ | 9.54 | $ | 10.83 | $ | 11.29 | $ | 10.73 | $ | 9.51 | |||||||||||
Income from investment operations: | |||||||||||||||||||||
Net investment income (loss) | 0.14 | (1) | 0.24 | (1) | (0.18 | ) | (0.15 | ) | 0.14 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 3.01 | (0.97 | ) | 0.39 | 1.03 | 1.27 | |||||||||||||||
Total from investment operations | 3.15 | (0.73 | ) | 0.21 | 0.88 | 1.41 | |||||||||||||||
Less distributions from: | |||||||||||||||||||||
Net investment income | (0.20 | ) | (0.25 | ) | (0.21 | ) | (0.15 | ) | (0.14 | ) | |||||||||||
Capital gains | (0.33 | ) | (0.31 | ) | (0.46 | ) | (0.17 | ) | (0.05 | ) | |||||||||||
Total distributions | (0.53 | ) | (0.56 | ) | (0.67 | ) | (0.32 | ) | (0.19 | ) | |||||||||||
Net asset value, end of period | $ | 12.16 | $ | 9.54 | $ | 10.83 | $ | 11.29 | $ | 10.73 | |||||||||||
Total return | 33.71 | % | (7.33 | )% | 2.53 | % | 8.11 | % | 15.04 | % | |||||||||||
Net assets, end of period (000s) | $ | 27,169 | $ | 30,464 | $ | 38,210 | $ | 35,745 | $ | 27,422 | |||||||||||
Ratio of net expenses to average net assets(2) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
Ratio of gross expenses to average net assets(2)(3) | 0.69 | % | 0.54 | % | 0.51 | % | 0.60 | % | 0.61 | % | |||||||||||
Ratio of net investment income to average net assets(2)(4) | 1.24 | % | 2.36 | % | 2.07 | % | 1.09 | % | 1.32 | % | |||||||||||
Portfolio turnover rate | 11 | % | 23 | % | 14 | % | 20 | % | 11 | % |
(1) | Calculated based on average shares outstanding during the year. | |
(2) | These ratios exclude the impact of the underlying affiliated funds as represented in the Portfolio of Investments. | |
(3) | Gross expenses before waivers of expenses. | |
(4) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these financial statements.
136
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021
1. Organization and Significant Accounting Policies
SA Funds — Investment Trust (the “Trust”) is a Delaware statutory trust that was organized on June 16, 1998. The Agreement and Declaration of Trust permits the Trust to offer separate portfolios (“Funds”) of shares of beneficial interest and different classes of shares of each Fund. The Trust is registered under the Investment Company Act of 1940 (the “1940 Act”), and currently offers the following ten Funds, each of which (with the exception of the SA Worldwide Moderate Growth Fund) is a diversified mutual fund as defined in the 1940 Act. Each Fund represents a distinct portfolio with its own investment objective. Refer to the Prospectus for each Fund’s investment objective:
SA U.S. Fixed Income Fund
SA Global Fixed Income Fund
SA U.S. Core Market Fund
SA U.S. Value Fund
SA U.S. Small Company Fund
SA International Value Fund
SA International Small Company Fund
SA Emerging Markets Value Fund
SA Real Estate Securities Fund
SA Worldwide Moderate Growth Fund
The SA U.S. Core Market Fund, SA U.S. Value Fund, SA U.S. Small Company Fund, SA International Value Fund, and SA International Small Company Fund commenced investment operations on August 5, 1999, the SA Global Fixed Income Fund commenced operations on July 29, 1999, the SA U.S. Fixed Income Fund, SA Emerging Markets Value Fund, and SA Real Estate Securities Fund commenced operations on April 2, 2007, and the SA Worldwide Moderate Growth Fund, commenced operations on July 1, 2015.
Each SA Fund, with the exception of the SA Worldwide Moderate Growth Fund, offers Investor Class shares and Select Class shares. The SA Worldwide Moderate Growth Fund offers only a single share class.
Select Class shares are available to investors that invest through the Strategist Program of Buckingham Strategic Partners, LLC (the “Adviser” or “Buckingham”) and certain registered investment companies at the discretion of the Adviser. In addition, Select Class shares are available to certain Turn-Key Asset Management Program participants who invest through a unified managed account program sponsored by the Adviser and who invest at least $500,000 in a model portfolio that includes one or more of the Funds; or investors who are clients of investment advisors whose clients invest in aggregate at least $20 million in the Funds and other accounts managed by the Adviser. The Adviser may automatically convert Investor Class shares to Select Class shares when investment level thresholds are achieved. The minimum initial purchase amount of Select Class shares is generally $100,000 in aggregate across all of the SA Funds with no minimum for subsequent investments. In the Adviser’s discretion, the minimum initial purchase amount may be applied across all assets of the investor under administration with the investment advisor or may be reduced.
The SA International Small Company Fund invests substantially all of its assets in the International Small Company Portfolio (the ��DFA Portfolio”), a series of DFA Investment Dimensions Group Inc., a separate registered investment company. The DFA Portfolio has the same investment objective as SA International Small Company Fund and invests its assets in The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series and The Canadian Small Company Series, each a series of The DFA Investment Trust Company (each a “Series”),
137
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
an open-end management investment company. As of June 30, 2021, the SA International Small Company Fund held approximately 2.73% of the DFA Portfolio. The SA International Small Company Fund adheres closely to the accounting for a fund-of-funds investments under the AICPA Audit and Accounting Guide for Investment Companies. The performance of the SA International Small Company Fund is directly affected by the performance of the DFA Portfolio. The financial statements of the DFA Portfolio and the Series in which it invests are included elsewhere in this report and should be read in conjunction with the financial statements of the SA International Small Company Fund.
The SA Worldwide Moderate Growth Fund invests substantially all of its assets in the Select Class shares of the Underlying SA Funds managed by the Adviser comprising various asset categories and strategies. The Adviser has established an asset allocation target for the SA Worldwide Moderate Growth Fund. This target is the approximate percentage of the SA Worldwide Moderate Growth Fund’s assets that will be invested in equity investments and fixed income investments. Under normal market conditions, the SA Worldwide Moderate Growth Fund invested approximately 75% of its assets in equity investments and approximately 25% of its assets in fixed income investments as represented by the holdings of the Underlying SA Funds. Effective July 1, 2021, the SA Worldwide Moderate Growth Fund will expect to invest approximately 70% of its assets in equity investments and approximately 30% of its assets in fixed income investments as represented by the holdings of the Underlying SA Funds. The performance of the SA Worldwide Moderate Growth Fund is directly affected by the performance of the Underlying SA Funds. The financial statements of the Underlying SA Funds are included elsewhere in the report and should be read in conjunction with the financial statements of the SA Worldwide Moderate Growth Fund.
Use of Estimates — The Funds are investment companies that follow the investment company accounting and reporting guidance of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services – Investment Companies.
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 reported amounts of assets and liabilities and disclosures 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.
The following summarizes the significant accounting policies of the Funds:
Security Valuation — Domestic equity securities listed on an exchange or stock market for which market quotations are readily available are valued according to the official closing price, if any, or at their last reported sale price on the exchange or stock market where the security is primarily traded, or in the absence of such reported prices, at the mean between the most recent quoted bid and asked prices. Domestic equity securities traded on the over-the-counter markets are valued at the mean between the most recent quoted bid and asked prices in the absence of an official closing price or last reported sale price.
Foreign equity securities traded on a foreign exchange or over-the-counter markets are generally valued at the most recent quoted bid price in the absence of an official closing price or last reported sale price. Foreign securities quoted in foreign currencies are translated into U.S. dollars using prevailing exchange rates.
Fixed income investments are generally valued based on prices received from independent pricing services. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures.
138
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
Shares of registered open-end investment companies are valued at the investment company’s net asset value. Forward currency contracts are valued based on prices received from independent pricing services. Securities for which market quotations are not readily available, or for which available quotations appear not to accurately reflect the current value of an investment, are valued at fair value as determined in good faith by a pricing committee (the “Pricing Committee”) (or its designee) appointed by the Board of Trustees of the Trust (the “Board” or the “Trustees”) pursuant to procedures approved by the Board.
Certain Funds hold securities traded in foreign markets. Foreign securities are valued at the latest market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities may be valued at fair value as determined in good faith by the Pricing Committee (or its designee). Any determinations of fair value made by the Pricing Committee (or its designee) are presented to the Board for ratification.
Valuation of securities by the DFA Portfolio and the Series in which it invests is discussed in the “Selected Financial Statements of DFA Investment Dimensions Group Inc. – Notes to Financial Statements,” and “Selected Financial Statements of the DFA Investment Trust Company – Notes to Financial Statements,” which are included elsewhere in this report.
Fair Value Measurement — The Board has adopted procedures to fair value securities and other assets of each Fund when market prices are not readily available or do not accurately reflect their current market value. The Board has designated the responsibility for applying these fair valuation methods to the Pricing Committee (or its designee). For example, a Fund may fair value an asset when it is delisted or trading is halted or suspended; when it has not been traded for an extended period of time; when its primary pricing source is unavailable or other data calls the primary source’s reliability into question; or when its primary trading market is closed during regular U.S. market hours. Each Fund makes fair valuation determinations in accordance with the Trust’s Procedures for Valuing Securities and Assets, as amended. The Pricing Committee (or its designee) may consider various factors, including unobservable market inputs when arriving at fair value. The Pricing Committee (or its designee) may use, but is not limited to, techniques such as review of related or comparable assets or liabilities, related market activities, recent transactions, market multiples, book value, and other relevant information when determining fair value. The Pricing Committee regularly reviews these inputs and assumptions when reviewing fair valuations of investments held by the Funds. Fair value pricing involves subjective judgement and it is possible that the fair value determined for an asset is materially different than the value that could be realized upon the sale of that asset. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds value their investments based on a three-level hierarchy of inputs that establishes classification of fair value measurements for disclosure purposes. If inputs used to measure a financial instrument fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the valuation. The three-level hierarchy of inputs is summarized in the three broad levels below.
Level 1 – unadjusted quoted prices in active markets for identical investments.
Level 2 – significant observable inputs other than quoted prices within Level 1 (including quoted prices for similar investments, interest rates, yield curves, foreign exchange rates, put or call provisions, credit risk and default rates for similar securities).
Level 3 – significant unobservable inputs to the extent that observable inputs are not available (including the Pricing Committee’s own assumptions used to determine the fair value of investments).
139
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
The tables below provide a summary of the inputs as of June 30, 2021, in valuing each Fund’s investments:
Investments in Securities | ||||||||||||||||||
Unadjusted | ||||||||||||||||||
Quoted Prices in | Significant | |||||||||||||||||
Active Markets | Other | Significant | ||||||||||||||||
for Identical | Observable | Unobservable | Total Fair Value | |||||||||||||||
Investments | Inputs | Inputs | as of | |||||||||||||||
Description | (Level 1) | (Level 2) | (Level 3) | June 30, 2021 | ||||||||||||||
SA U.S. Fixed Income Fund | ||||||||||||||||||
Assets | ||||||||||||||||||
Corporate Bonds and Notes | $ | — | $ | 50,580,055 | $ | — | $ | 50,580,055 | ||||||||||
US Government & Agency Obligations | — | 484,333,155 | 484,333,155 | |||||||||||||||
Short-Term Investments | 1,674,541 | 11,501,144 | — | 13,175,685 | ||||||||||||||
Total Investments | $ | 1,674,541 | $ | 546,414,354 | $ | — | $ | 548,088,895 | ||||||||||
SA Global Fixed Income Fund | ||||||||||||||||||
Assets | ||||||||||||||||||
Bonds and Notes | $ | — | $ | 727,170,460 | $ | — | $ | 727,170,460 | ||||||||||
Short-Term Investments | 54,548,429 | — | — | 54,548,429 | ||||||||||||||
Other Financial Instruments | ||||||||||||||||||
Forward Foreign Currency | ||||||||||||||||||
Exchange Contracts | — | 5,593,917 | — | 5,593,917 | ||||||||||||||
Total Investments | $ | 54,548,429 | $ | 732,764,377 | $ | — | $ | 787,312,806 | ||||||||||
Liabilities | ||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||
Forward Foreign Currency | ||||||||||||||||||
Exchange Contracts | $ | — | $ | (2,629,046 | ) | $ | — | $ | (2,629,046 | ) | ||||||||
SA U.S. Core Market Fund | ||||||||||||||||||
Assets | ||||||||||||||||||
Common Stocks | $ | 648,636,544 | $ | — | $ | — | $ | 648,636,544 | ||||||||||
Preferred Stocks | 11,691 | — | — | 11,691 | ||||||||||||||
Mutual Funds | 26,373,659 | — | — | 26,373,659 | ||||||||||||||
Short-Term Investments | 1,963,842 | — | — | 1,963,842 | ||||||||||||||
Total Investments | $ | 676,985,736 | $ | — | $ | — | $ | 676,985,736 | ||||||||||
SA U.S. Value Fund | ||||||||||||||||||
Assets | ||||||||||||||||||
Common Stocks | $ | 606,564,541 | $ | — | $ | — | $ | 606,564,541 | ||||||||||
Short-Term Investments | 1,318,366 | — | — | 1,318,366 | ||||||||||||||
Total Investments | $ | 607,882,907 | $ | — | $ | — | $ | 607,882,907 | ||||||||||
SA U.S. Small Company Fund | ||||||||||||||||||
Assets | ||||||||||||||||||
Common Stocks | $ | 431,113,597 | $ | — | $ | 96,580 | † | $ | 431,210,177 | |||||||||
Bonds and Notes | — | 3,400 | — | 3,400 | ||||||||||||||
Preferred Stocks | 210,637 | — | — | 210,637 | ||||||||||||||
Rights and Warrants | 3,410 | — | 474 | † | 3,884 | |||||||||||||
Short-Term Investments | 2,313,911 | — | — | 2,313,911 | ||||||||||||||
Total Investments | $ | 433,641,555 | $ | 3,400 | $ | 97,054 | $ | 433,742,009 |
140
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
Investments in Securities | ||||||||||||||||
Unadjusted | ||||||||||||||||
Quoted Prices in | Significant | |||||||||||||||
Active Markets | Other | Significant | ||||||||||||||
for Identical | Observable | Unobservable | Total Fair Value | |||||||||||||
Investments | Inputs | Inputs | as of | |||||||||||||
Description | (Level 1) | (Level 2) | (Level 3) | June 30, 2021 | ||||||||||||
SA International Value Fund | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks | $ | 633,662,536 | $ | — | $ | 0 | † | $ | 633,662,536 | |||||||
Preferred Stocks | 11,050,047 | — | — | 11,050,047 | ||||||||||||
Rights and Warrants | 83,468 | 3,110 | — | 86,578 | ||||||||||||
Short-Term Investments | 37,107,314 | — | — | 37,107,314 | ||||||||||||
Total Investments | $ | 681,903,365 | $ | 3,110 | $ | 0 | $ | 681,906,475 | ||||||||
SA International Small Company Fund | ||||||||||||||||
Assets | ||||||||||||||||
Mutual Funds | $ | 334,688,716 | $ | — | $ | — | $ | 334,688,716 | ||||||||
Total Investments | $ | 334,688,716 | $ | — | $ | — | $ | 334,688,716 | ||||||||
SA Emerging Markets Value Fund | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks | $ | 221,888,344 | † | $ | 918,750 | $ | 0 | † | $ | 222,807,094 | ||||||
Preferred Stocks | 2,622,724 | — | — | 2,622,724 | ||||||||||||
Rights and Warrants | 98 | — | — | 98 | ||||||||||||
Short-Term Investments | 3,358,427 | — | — | 3,358,427 | ||||||||||||
Total Investments | $ | 227,869,593 | $ | 918,750 | $ | 0 | $ | 228,788,343 | ||||||||
SA Real Estate Securities Fund | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks | $ | 191,202,419 | $ | — | $ | 1,835 | $ | 191,204,254 | ||||||||
Short-Term Investments | 865,704 | — | — | 865,704 | ||||||||||||
Total Investments | $ | 192,068,123 | $ | — | $ | 1,835 | $ | 192,069,958 | ||||||||
SA Worldwide Moderate Growth Fund | ||||||||||||||||
Assets | ||||||||||||||||
Mutual Funds | $ | 27,168,775 | $ | — | $ | — | $ | 27,168,775 | ||||||||
Total Investments | $ | 27,168,775 | $ | — | $ | — | $ | 27,168,775 |
† | Contains securities with a market value of zero. |
A reconciliation in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 assets and/or liabilities at the beginning and/or end of the period. No significant Level 3 assets and/or liabilities held at the beginning or end of the period.
141
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
Securities Lending – The Funds may lend any of their securities held by State Street Bank and Trust Company (“State Street”) as custodian to certain qualified broker-dealers, banks and other institutions, except those securities which the Adviser or Dimensional Fund Advisor LP (the “Sub-Adviser”) specifically identifies as not being available. Any gain or loss in the fair price of the securities loaned that might occur and any interest or dividends declared during the term of the loan would accrue to the account of the Funds. Risks of delay in recovery of the securities or even loss of rights in the collateral may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the collateral decreases below the value of the securities loaned.
Upon entering into a securities lending transaction, a Fund maintains cash or other securities as collateral in an amount equal to or exceeding 100% of the current fair value of the loaned securities with respect to securities of the U.S. government or its agencies or instrumentalities, a loan of sovereign debt issued by non-U.S. governments, or a loan of non-U.S. corporate debt, 102% of the current fair value of the loaned securities with respect to other U.S. securities and 105% of the current fair value of the loaned securities with respect to foreign equity securities. The fair value of the loaned security is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral is returned by the Fund, on the next business day. Any cash received as collateral is generally invested by State Street, acting in its capacity as securities lending agent (the “Agent”), in the State Street Navigator Securities Lending Government Money Market Portfolio, which is a money market fund registered under the 1940 Act. A portion of the income received on the collateral is rebated to the borrower of the securities, and the remainder is split between the Agent and each respective Fund.
As of June 30, 2021, the following Funds had securities on loan, which were collateralized by short-term investments. The value of securities on loan and the value of the related collateral were as follows:
Value of | ||||||||||||||
Value | Value of Cash | Non-Cash | Total | |||||||||||
of Securities | Collateral | Collateral* | Collateral | |||||||||||
SA Global Fixed Income Fund | $ | 40,520,535 | $ | 41,360,643 | $ | — | $ | 41,360,643 | ||||||
SA U.S. Core Market Fund | 2,299,153 | 216,928 | 2,130,296 | 2,347,224 | ||||||||||
SA U.S. Value Fund | 701,720 | 709,149 | — | 709,149 | ||||||||||
SA U.S. Small Company Fund | 11,584,112 | 1,736,955 | 10,110,505 | 11,847,460 | ||||||||||
SA International Value Fund | 55,881,282 | 36,521,759 | 22,377,072 | 58,898,831 | ||||||||||
SA Emerging Markets Value Fund | 6,850,625 | 3,205,562 | 4,018,223 | 7,223,785 | ||||||||||
SA Real Estate Securities Fund | 4,350,245 | — | 4,450,427 | 4,450,427 |
* | The Funds cannot repledge or resell this collateral. The non-cash collateral is comprised of U.S. government securities. |
142
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NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
The following table provides increased transparency about the types of collateral pledged for securities lending transactions that are accounted for as secured borrowing. Non-cash collateral is not reflected in the table because the Funds cannot repledge or resell this collateral.
Remaining Contractual Maturity of the Agreements | |||||||||||||||||||
As of June 30, 2021 | |||||||||||||||||||
Overnight and | Between | ||||||||||||||||||
Securities Lending Transaction(1) | Continuous | <30 days | 30 & 90 days | >90 days | Total | ||||||||||||||
SA Global Fixed Income Fund | |||||||||||||||||||
Government Money Market | $ | 41,360,643 | $ — | $ — | $ — | $ | 41,360,643 | ||||||||||||
Total Borrowings | $ | 41,360,643 | $ — | $ — | $ — | $ | 41,360,643 | ||||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 41,360,643 | |||||||||||||||||
SA U.S. Core Market Fund | |||||||||||||||||||
Government Money Market | $ | 216,928 | $ — | $ — | $ — | $ | 216,928 | ||||||||||||
Total Borrowings | $ | 216,928 | $ — | $ — | $ — | $ | 216,928 | ||||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 216,928 | |||||||||||||||||
SA U.S. Value Fund | |||||||||||||||||||
Government Money Market | $ | 709,149 | $ — | $ — | $ — | $ | 709,149 | ||||||||||||
Total Borrowings | $ | 709,149 | $ — | $ — | $ — | $ | 709,149 | ||||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 709,149 | |||||||||||||||||
SA U.S. Small Company Fund | |||||||||||||||||||
Government Money Market | $ | 1,736,955 | $ — | $ — | $ — | $ | 1,736,955 | ||||||||||||
Total Borrowings | $ | 1,736,955 | $ — | $ — | $ — | $ | 1,736,955 | ||||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 1,736,955 | |||||||||||||||||
SA International Value Fund | |||||||||||||||||||
Government Money Market | $ | 36,521,759 | $ — | $ — | $ — | $ | 36,521,759 | ||||||||||||
Total Borrowings | $ | 36,521,759 | $ — | $ — | $ — | $ | 36,521,759 | ||||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 36,521,759 | |||||||||||||||||
SA Emerging Markets Value Fund | |||||||||||||||||||
Government Money Market | $ | 3,205,562 | $ — | $ — | $ — | $ | 3,205,562 | ||||||||||||
Total Borrowings | $ | 3,205,562 | $ — | $ — | $ — | $ | 3,205,562 | ||||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 3,205,562 |
(1) | Amounts represent the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. The payable will be allocated into categories of securities based on the market value of the securities on loan. |
143
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NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
Foreign Currency Translation and Foreign Investments — The books and records of the Funds are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign currency exchange rates prevailing at the end of the period. Purchases and sales of investment securities are translated at contractual currency exchange rates established at the time of the trade. Income and expenses are translated at prevailing exchange rates on the respective dates of such transactions.
The results of operations resulting from changes in foreign exchange rates on investments are not reported separately from fluctuations arising from changes in market prices of securities held. All such fluctuations are included with net realized and unrealized gain or loss on investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period-end, resulting from changes in exchange rates.
Investing in foreign securities may involve certain sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. Investments in foreign securities are subject to fluctuations in currency exchange rates, which may negatively affect the value of a Fund’s portfolio. Additional risks may include exposure to less developed or less efficient trading markets; social, political or economic instability; nationalization of assets, currency controls or redenomination; changes in tax policy; high transaction costs; settlement, custodial or other operation risks; and less stringent accounting, auditing, financial reporting, and legal standards and practices. As a result, foreign securities can fluctuate more widely in price, and may also be less liquid, than comparable U.S. securities.
Forward Foreign Currency Exchange Contracts — Each Fund that may invest in foreign securities may enter into forward foreign currency exchange contracts. A forward foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. By entering into a forward contract for the purchase or sale for a fixed amount of dollars of the amount of foreign currency involved in an underlying security transaction, a Fund may be able to protect itself against a possible loss resulting from an adverse change in the relationship between the U.S. dollar and the applicable foreign currency during the period between the date the security is purchased or sold and the date on which payment is made or received.
The market value of a contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the 4:00 PM Eastern Time pricing for the forward currency exchange rate, and the change in market value is recorded as unrealized appreciation (depreciation) on foreign currency and forward currency transactions in a fund’s statement of assets and liabilities. When the contract is closed, a realized gain or loss is recognized, which is 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, and recorded as realized gain (loss) on foreign currency and forward currency transactions in a fund’s statement of operations.
Forward foreign currency exchange contracts may involve risks from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
144
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NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
The Funds have adopted provisions surrounding disclosures regarding derivative instruments and hedging activities which require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about currency risk-related contingent features in derivative agreements.
In order to better define its contractual rights and to secure rights that will help the SA Global Fixed Income Fund mitigate its counterparty risk, the SA Global Fixed Income Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the SA Global Fixed Income Fund and a counterparty that governs over-the-counter derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the SA Global Fixed Income Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that 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 SA Global Fixed Income Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in its Statement of Assets and Liabilities.
The following tables, grouped into appropriate risk categories, disclose the amounts related to the Fund’s use of derivative instruments and hedging activities at June 30, 2021, on a gross basis:
Gain or (Loss) on Derivatives | |||||||||||||||||||||
Recognized in Income | |||||||||||||||||||||
Asset Derivative | Liability Derivative | Realized | Change in | ||||||||||||||||||
Risk Type | Fair Value(1) | Fair Value(2) | Loss(3) | Appreciation(4) | |||||||||||||||||
Foreign currency | $ | 5,593,917 | $ | 2,629,046 | $ | (59,871,400 | ) | $ | 15,574,875 |
(1) | Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. | |
(2) | Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. | |
(3) | Statement of Operations location: Realized gain (loss) on: forward foreign currency exchange contracts. | |
(4) | Statement of Operations location: Increase (decrease) in unrealized appreciation (depreciation) on: forward foreign currency exchange contracts. |
Forward foreign currency exchange contracts assets and collateral held by counterparty as of June 30, 2021:
Gross Amount of | ||||||||||||||||
Assets Presented | Financial | |||||||||||||||
in Statements of | Instruments | Collateral | ||||||||||||||
Counterparty | Assets & Liabilities | Available for Offset | Received | Net Amount | ||||||||||||
Bank of America N.A. | $ | 1,035,024 | $ | (642,619 | ) | — | $ | 392,405 | ||||||||
Citibank N.A. | 178,131 | (175,711 | ) | — | 2,420 | |||||||||||
Morgan Stanley & Co., Inc. | 389,339 | — | — | 389,339 | ||||||||||||
State Street Bank and Trust Co. | 3,991,423 | (1,810,716 | ) | — | 2,180,707 |
145
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NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
Forward foreign currency exchange contracts liabilities and collateral pledged as of June 30, 2021:
Gross Amount | |||||||||||||||||
of Liabilities | |||||||||||||||||
Presented in | Financial | ||||||||||||||||
Statements of | Instruments | Collateral | |||||||||||||||
Counterparty | Assets & Liabilities | Available for Offset | Pledged | Net Amount | |||||||||||||
Bank of America N.A. | $ | (642,619 | ) | $ | 642,619 | — | — | ||||||||||
Citibank N.A. | (175,711 | ) | 175,711 | — | — | ||||||||||||
State Street Bank and Trust Co. | (1,810,716 | ) | 1,810,716 | — | — |
For the fiscal year ended June 30, 2021, the average monthly principal amount of forward foreign currency exchange contracts was $618,611,342.
Investment Transactions, Income and Expenses — Investments in securities are accounted for as of trade date (the date the buy or sell is executed). Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis and includes amortization of discounts and premiums based on the effective interest method. Gains and losses are determined on the identified cost basis, which is the same for U.S. federal income tax purposes.
The Funds characterize distributions received from mutual fund investments on the Statements of Operations using the same characterization as the distribution received.
Investment income and realized and unrealized gains(losses) on investments are allocated daily to each class of shares based on the relative proportion of net assets of each class.
Expenses directly attributable to a specific Fund are charged to the respective Fund. Class specific expenses are charged directly to that share class. Expenses that cannot be attributed to a particular Fund are apportioned among the Funds evenly or based on relative net assets. Expenses are allocated daily to each class of shares based on the relative proportion of net assets of each class.
Indemnifications — 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 Funds. The Trustees are also indemnified against certain liabilities pursuant to an Indemnity Agreement between the Trust and each Trustee. In addition, in the normal course of business the Trust enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposures under these arrangements are unknown as this would involve potential future claims against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.
Foreign Taxes — Each Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, corporate events, or capital gains on investments or currency repatriation. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign markets in which the Fund invests. These foreign taxes, if any, are paid by each Fund and are disclosed in its Statement of Operations. Foreign taxes payable as of June 30, 2021, if any, are reflected in each Fund’s Statement of Assets and Liabilities. The Funds may also be subject to capital gains tax in India and potentially other foreign jurisdictions, on gains realized upon the sale of securities. Any realized losses in excess of gains in India may be carried forward to offset future gains. Funds with exposure to Indian securities and potentially other foreign jurisdictions accrue a deferred liability for unrealized gains in excess of available loss carryforwards based on existing tax rates and holding periods of the securities. As of June 30, 2021, SA Emerging Markets Value Fund recorded a deferred liability for potential future India capital gains taxes of $609,496.
146
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
Federal Income Tax — Each Fund is treated as a separate entity for U.S. federal income tax purposes. Each Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of the Funds’ taxable income and net capital gain to their shareholders. Therefore, no income tax provision is required.
Each Fund recognizes the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained upon examination by the tax authorities based on the technical merits of the tax position. As of June 30, 2021, and for all open tax years, each Fund has determined that no liability for unrecognized tax benefits is required in each Fund’s financial statements related to uncertain tax positions taken on a tax return (or expected to be taken on future tax returns). Open tax years are those that remain subject to examination and are based on each tax jurisdiction’s statute of limitation. The Funds record interest and penalties, if any, on the Statements of Operations.
The Trust management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded with respect to uncertain tax positions taken on returns filed for open tax years (2017- 2019), or expected to be taken in the Funds’ 2020 tax returns.
As of June 30, 2021, for U.S. federal income tax purposes, the Funds have realized capital losses which may be carried forward indefinitely to offset future net realized gains as follows:
Unlimited Short-Term | Unlimited Long-Term | ||||||||||
Losses | Losses | ||||||||||
SA U.S. Fixed Income Fund | $ | 2,162,735 | $ | 740,098 | |||||||
SA Global Fixed Income Fund | — | 1,683,627 | |||||||||
SA International Value Fund | 2,601,878 | 46,552,579 | |||||||||
SA Emerging Markets Value Fund | — | 17,468,508 | |||||||||
SA Worldwide Moderate Growth Fund | — | 44,383 |
The federal income tax character of distributions paid to shareholders during the fiscal years ended June 30, 2021 and 2020 were as follows:
2021 | 2020 | ||||||||||||
Ordinary | Long-Term | Ordinary | Long-Term | ||||||||||
Income | Capital Gain | Income | Capital Gain | ||||||||||
SA U.S. Fixed Income Fund | $ | 544,615 | $ | — | $ | 8,845,189 | $ | — | |||||
SA Global Fixed Income Fund | — | — | 28,000,028 | — | |||||||||
SA U.S. Core Market Fund | 6,085,032 | 43,425,198 | 8,272,727 | 74,416,088 | |||||||||
SA U.S. Value Fund | 9,275,511 | — | 10,266,428 | 22,645,168 | |||||||||
SA U.S. Small Company Fund | 3,614,303 | 7,294,131 | 2,855,323 | 17,208,733 | |||||||||
SA International Value Fund | 13,871,642 | — | 26,494,913 | — | |||||||||
SA International Small Company Fund | 4,010,970 | 2,724,214 | 6,270,116 | 13,208,178 | |||||||||
SA Emerging Markets Value Fund | 3,856,145 | — | 5,166,961 | — | |||||||||
SA Real Estate Securities Fund | 4,199,383 | 2,192,416 | 2,610,058 | 5,925,846 | |||||||||
SA Worldwide Moderate Growth Fund | 473,122 | 775,173 | 824,381 | 1,034,571 |
147
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
As of June 30, 2021, the components of distributable earnings on a federal income tax basis were:
Undistributed | Unrealized | Post October | |||||||||||||||||||||||||||
Undistributed | Long-Term | Appreciation/ | Capital/ Late Year | Capital Loss | |||||||||||||||||||||||||
Ordinary Income | Capital Gains | (Depreciation) | Ordinary Loss | Carryforward | |||||||||||||||||||||||||
SA U.S. Fixed Income Fund | $ | — | $ | — | $ | (656,754 | ) | $ | (102,255 | ) | $ | (2,902,833 | ) | ||||||||||||||||
SA Global Fixed Income Fund | — | — | 6,316,556 | — | (1,683,627 | ) | |||||||||||||||||||||||
SA U.S. Core Market Fund | 1,862,635 | 42,430,204 | 552,932,234 | (33,023 | ) | — | |||||||||||||||||||||||
SA U.S. Value Fund | 3,627,026 | 2,986,853 | 273,109,246 | — | — | ||||||||||||||||||||||||
SA U.S. Small Company Fund | 4,068,967 | 42,846,651 | 208,765,709 | — | — | ||||||||||||||||||||||||
SA International Value Fund | 12,897,618 | — | 114,380,034 | — | (49,154,457 | ) | |||||||||||||||||||||||
SA International Small | |||||||||||||||||||||||||||||
Company Fund | 72,498 | 2,555,912 | 146,894,739 | — | — | ||||||||||||||||||||||||
SA Emerging Markets Value Fund | 2,043,474 | — | 44,442,945 | — | (17,468,508 | ) | |||||||||||||||||||||||
SA Real Estate Securities Fund | — | 3,449,254 | 93,175,717 | — | — | ||||||||||||||||||||||||
SA Worldwide Moderate | |||||||||||||||||||||||||||||
Growth Fund | — | — | 4,948,467 | — | (44,383 | ) |
During the fiscal year ended June 30, 2021, the SA U.S. Fixed Income Fund, the SA Global Fixed Income Fund and the SA International Value Fund utilized $923,070, $4,066,140 and $4,944,195 of capital loss carryforward, respectively. During the fiscal year ended, June 30, 2021, the SA Global Fixed Income Fund had book-to-tax differences of ($6,834,966), primarily related to Straddle loss deferrals.
At June 30, 2021, the aggregate cost of investment securities, aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:
Net Unrealized | |||||||||||||||||||||||
Unrealized | Unrealized | Appreciation | |||||||||||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | ||||||||||||||||||||
SA U.S. Fixed Income Fund | $ | 548,745,649 | $ | 464,825 | $ | (1,121,579 | ) | $ | (656,754 | ) | |||||||||||||
SA Global Fixed Income Fund | 775,373,643 | 7,503,685 | (1,172,498 | ) | 6,331,187 | ||||||||||||||||||
SA U.S. Core Market Fund | 124,053,502 | 553,065,449 | (133,215 | ) | 552,932,234 | ||||||||||||||||||
SA U.S. Value Fund | 334,773,661 | 284,586,184 | (11,476,938 | ) | 273,109,246 | ||||||||||||||||||
SA U.S. Small Company Fund | 224,976,300 | 218,983,050 | (10,217,341 | ) | 208,765,709 | ||||||||||||||||||
SA International Value Fund | 567,589,560 | 153,008,721 | (38,691,806 | ) | 114,316,915 | ||||||||||||||||||
SA International Small Company Fund | 187,793,977 | 146,894,739 | — | 146,894,739 | |||||||||||||||||||
SA Emerging Markets Value Fund | 183,678,471 | 62,809,428 | (17,699,556 | ) | 45,109,872 | ||||||||||||||||||
SA Real Estate Securities Fund | 98,894,241 | 96,722,682 | (3,546,965 | ) | 93,175,717 | ||||||||||||||||||
SA Worldwide Moderate Growth Fund | 22,220,308 | 4,989,521 | (41,054 | ) | 4,948,467 |
Distributions to Shareholders — Each Fund, excluding the SA Global Fixed Income Fund and the SA U.S. Fixed Income Fund, declares and pays dividends from its net investment income, if any, annually. The SA Global Fixed Income Fund and the SA U.S. Fixed Income Fund declare and pay dividends from net investment income, if any, quarterly. All of the Funds declare and pay distributions from net realized capital gains, if any, at least annually.
148
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NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
The SA Real Estate Securities Fund characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs in which the Fund invests, the characterization will be estimated based on available information, which may include the previous year’s allocation. If new or additional information becomes available from one or more of those REITs at a later date, a recharacterization will be made in the following year. The Fund records any amount recharacterized as dividend income as ordinary income, any amount recharacterized as long-term capital gain as realized gain in the Statement of Operations, and any amount recharacterized as a return of capital as a reduction to the cost of investments in the Statement of Assets and Liabilities and in the Portfolio of Investments. These recharacterizations are reflected in the accompanying financial statements.
Dividends to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles in the U.S. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterizations of distributions made by the Funds. To the extent that distributions exceed the sum of net investment income and net capital gains for federal income tax purposes, they are reported as distributions of paid-in capital. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to paid-in capital. Temporary book and tax basis differences may include wash sales, passive foreign investment companies, non-REIT return of capital, foreign currency transactions, premium amortization, and straddle losses that will reverse in a subsequent period. During any particular year, a Fund’s net realized gains from investment transactions in excess of available capital loss carry forwards will be taxable to a Fund if not distributed and, therefore, will be distributed to shareholders annually.
At June 30, 2021, as a result of permanent book-to-tax differences, the following reclassifications were made on the Statements of Assets and Liabilities. These differences primarily relate to the utilization of tax-equalization, to the tax treatment of corporate action adjustments and net operating losses:
Paid in | Total distributable | ||||||||||||
Capital | earnings (loss) | ||||||||||||
SA U.S. Fixed Income Fund | $ | (11,656 | ) | $ | 11,656 | ||||||||
SA Global Fixed Income Fund | (12,618,170 | ) | 12,618,170 | ||||||||||
SA U.S. Core Market Fund | 7,195,974 | (7,195,974 | ) | ||||||||||
SA U.S. Small Company Fund | 6,871,986 | (6,871,986 | ) | ||||||||||
SA Worldwide Moderate Growth Fund | (2 | ) | 2 |
149
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
2. Agreements and Transactions with Affiliates
The Trust has an Investment Advisory and Administrative Services Agreement with the Adviser (the “Investment Advisory Agreement”) under which the Adviser manages the investments of, and provides administrative services to, each Fund.
For the advisory services provided to the Funds under the Advisory Agreement, the Adviser is entitled to a fee from each Fund computed daily and payable monthly at an annual rate based on each Fund’s average daily net assets as follows:
Advisory | |||||
Fees | |||||
SA U.S. Fixed Income Fund | 0.15 | % | |||
SA Global Fixed Income Fund | 0.25 | % | |||
SA U.S. Core Market Fund | 0.40 | % | |||
SA U.S. Value Fund | 0.40 | % | |||
SA U.S. Small Company Fund | 0.40 | % | |||
SA International Value Fund | 0.45 | % | |||
SA International Small Company Fund | 0.25 | % | |||
SA Emerging Markets Value Fund | 0.45 | % | |||
SA Real Estate Securities Fund | 0.35 | % | |||
SA Worldwide Moderate Growth Fund | 0.00 | %* |
* | The advisory fee for the SA Worldwide Moderate Growth Fund has two components. There is no advisory fee on assets invested in the Underlying SA Funds, any other investment companies advised or sub-advised by the Adviser, money market funds or held in cash or cash equivalents. The Fund is subject to a advisory fee of 0.25% on assets invested in any other investments. The Fund does not currently intend to make investments that would be subject to a advisory fee. |
For the administrative services provided to the Funds, the Adviser is entitled to a fee from each Fund, except the SA Worldwide Moderate Growth Fund, computed daily and payable monthly at the annual rate of 0.10% of the average daily net assets of each Fund.
150
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
The Trust and the Adviser have jointly entered into an Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) with the Sub-Adviser. For the sub-advisory services provided to the Funds under the Sub-Advisory Agreement, the Sub-Adviser is entitled to a fee from each Fund computed daily and payable monthly at an annual rate based on each Fund’s average daily net assets as follows:
Sub-Advisory | |||||||
Fees | |||||||
SA U.S. Fixed Income Fund | 0.03 | % | |||||
SA Global Fixed Income Fund | 0.03 | % | |||||
SA U.S. Core Market Fund | 0.03 | %* | |||||
SA U.S. Value Fund | 0.10 | % | |||||
SA U.S. Small Company Fund | 0.25 | % | |||||
SA International Value Fund | 0.20 | % | |||||
SA Emerging Markets Value Fund | 0.41 | %** | |||||
SA Real Estate Securities Fund | 0.10 | % |
* The Sub-Adviser will not receive any sub-advisory fee for its sub-advisory services to the SA U.S. Core Market Fund with respect to any assets of the SA U.S. Core Market Fund invested in the U.S. Micro Cap Portfolio of the DFA Investment Dimensions Group Inc. For its management services, the Sub-Adviser receives an investment advisory fee from the U.S. Micro Cap Portfolio.
** Effective March 1, 2021, the Sub-Advisory Agreement was amended to reflect a lowering of the sub-advisory fee from 0.45% to 0.41%.
The Trust has a Shareholder Servicing Agreement with the Adviser. For the shareholder services provided to the Funds, the Adviser is entitled to a fee from each Fund computed daily and payable monthly at the annual rate of 0.25% and 0.05% of the average daily net assets of each Fund’s Investor Class and Select Class shares, respectively. There is no shareholder servicing fee on assets of the SA Worldwide Moderate Growth Fund that are invested in the Underlying SA Funds, any other investment companies advised or sub-advised by the Adviser, money market funds or held in cash or cash equivalents. The SA Worldwide Moderate Growth Fund is subject to a shareholder servicing fee of 0.25% on assets invested in any other investment. The SA Worldwide Moderate Growth Fund does not currently intend to make investments that would be subject to a shareholder servicing fee.
The Adviser has contractually agreed to waive its advisory fees and/or to reimburse expenses to the extent that: (1) each Fund’s Investor Class shares’ operating expenses (excluding interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses) exceed, in the aggregate, the rate per annum shown in the table below; (2) each Fund’s Select Class shares’ total annual operating expenses (excluding interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses) are 0.20% lower than the Investor Class shares’ total annual operating expense ratio after fee waiver and/or expense reimbursement and will not exceed, in the aggregate, the rate per annum shown in the table below. This agreement will remain in effect until October 28, 2021, at which time the agreement may be continued, modified or eliminated and net expenses will be adjusted as necessary. In addition, the Adviser has contractually agreed to waive fees and/or reimburse expenses so that the SA Worldwide Moderate Growth Fund’s total annual operating expenses (excluding interest, taxes, brokerage commissions, acquired
151
SA FUNDS
NOTES TO FINANCIAL STATEMENTS — JUNE 30, 2021 (Continued)
fund fees and expenses and extraordinary expenses and any other expenses related to Investments in Other Assets) do not exceed the total annual acquired fund fees and expenses related to the Fund’s investments in the Underlying SA Funds, any other investment companies advised or sub-advised by the Adviser, or any money market fund. This agreement will remain in effect until July 1, 2025, at which time the agreement may be continued, modified or eliminated and net expenses will be adjusted as necessary. These agreements may only be amended or terminated during their terms with the approval of the Board. The expense limitations for the Funds are as follows:
Expense Limitation | ||||||||||||
Investor | Select | |||||||||||
Class | Class | |||||||||||
SA U.S. Fixed Income Fund | 0.65 | % | 0.45 | % | ||||||||
SA Global Fixed Income Fund | 0.75 | % | 0.55 | % | ||||||||
SA U.S. Core Market Fund | 0.90 | % | 0.70 | % | ||||||||
SA U.S. Value Fund | 1.00 | % | 0.80 | % | ||||||||
SA U.S. Small Company Fund | 1.15 | % | 0.95 | % | ||||||||
SA International Value Fund | 1.15 | % | 0.95 | % | ||||||||
SA International Small Company Fund | 0.75 | % | 0.55 | % | ||||||||
SA Emerging Markets Value Fund | 1.29 | %* | 1.09 | %* | ||||||||
SA Real Estate Securities Fund | 0.95 | % | 0.75 | % |
* Beginning on March 1, 2021, the Adviser voluntarily waived an additional 0.04% of its advisory fees. Prior to that date, the expense limitations for the Investor Class and Select Class were 1.33% and 1.13%, respectively.
Trustees’ Fees and Expenses — For their services as Trustees, the Trustees of the Trust received an annual retainer fee of $107,500, as well as reimbursement for expenses incurred in connection with each meeting of the Board and its Committees. The Chairman of the Board receives an annual supplemental compensation of $10,750 per year. Effective January 1, 2021, the Trustees of the Trust receive an annual retainer fee of $118,000, as well as reimbursement for expenses incurred in connection with each meeting of the Board and its Committees. Also effective January 1, 2021, the Chairman of the Board receives an annual supplemental compensation of $11,800 per year.
Sub-Administration Fees — State Street serves as sub-administrator for the Trust, pursuant to a Sub-Administration Agreement with the Trust and the Adviser. State Street receives a fee that is calculated daily and paid monthly at an annual rate based on the aggregate average daily net assets of the Trust as follows: 0.02% of the first $1.5 billion of net assets and 0.0175% of net assets over $1.5 billion. The fee is then allocated to each Fund based on the relative net assets of each Fund, subject to a minimum fee of $70,000 annually per Fund, except for the SA International Small Company Fund and the SA Worldwide Moderate Growth Fund, which are subject to a minimum fee of $50,000 annually per Fund. Fees are calculated for the fund complex and then allocated to the Funds based upon each Fund’s total net assets, which may cause a Fund to pay less than the minimum annual charge.
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3. Purchases and Sales of Securities
Excluding short-term investments, each Fund’s purchases and sales of securities for the fiscal year ended June 30, 2021 were as follows:
Purchases | Sales | |||||||||||||
U.S. | U.S. | |||||||||||||
Government | Other | Government | Other | |||||||||||
SA U.S. Fixed Income Fund | $ | 590,945,858 | $ | 32,706,906 | $ | 253,920,101 | $ | 129,648,782 | ||||||
SA Global Fixed Income Fund | 336,575,081 | 454,961,168 | 21,017,492 | 676,965,794 | ||||||||||
SA U.S. Core Market Fund | — | 3,412,585 | — | 134,046,726 | ||||||||||
SA U.S. Value Fund | — | 25,711,571 | — | 105,681,438 | ||||||||||
SA U.S. Small Company Fund | — | 28,846,517 | — | 138,140,832 | ||||||||||
SA International Value Fund | — | 52,559,219 | — | 154,145,383 | ||||||||||
SA International Small Company Fund | — | 6,561,198 | — | 51,626,000 | ||||||||||
SA Emerging Markets Value Fund | — | 42,315,590 | — | 58,311,104 | ||||||||||
SA Real Estate Securities Fund | — | 7,429,483 | — | 17,408,141 | ||||||||||
SA Worldwide Moderate Growth Fund | — | 2,918,427 | — | 13,620,049 |
4. Affiliated Ownership
The SA Worldwide Moderate Growth Fund invests in Underlying Securities and other Investment Companies, certain of which may be deemed to be under common control because of the same or affiliated investment adviser and membership in a common family of investment companies (the “Affiliated Underlying Funds”). A summary of the transactions with each Affiliated Underlying Fund during the fiscal year ended June 30, 2021 follows:
Net Realized | Dividend | |||||||||||||||||||||||||||||
Gain (Loss) | Income | Capital Gain | ||||||||||||||||||||||||||||
Beginning | on Sales of | Change in | from | Distributions | ||||||||||||||||||||||||||
Value as of | Purchases | Affiliated | Unrealized | Ending Value | Shares as | Affiliated | from Affiliated | |||||||||||||||||||||||
Affiliated Investment | June 30, | at | Proceeds | Investment | Appreciation/ | as of | of | Investment | Investment | |||||||||||||||||||||
Companies | 2020 | Cost | from Sales | Companies | Depreciation | June 30, 2021 | June 30, 2021 | Companies | Companies | |||||||||||||||||||||
SA Emerging Markets | ||||||||||||||||||||||||||||||
Value Fund | $ | 3,318,734 | $ | 245,578 | $ | (1,722,296 | ) | $ | (141,426 | ) | $ | 1,279,793 | $ | 2,980,383 | 267,299 | $ | 58,431 | $ | — | |||||||||||
SA Global Fixed Income | ||||||||||||||||||||||||||||||
Fund | 4,568,648 | 737,032 | (1,235,045 | ) | (26,000 | ) | 44,148 | 4,088,783 | 434,053 | — | — | |||||||||||||||||||
SA International Value | ||||||||||||||||||||||||||||||
Fund | 5,733,397 | 358,415 | (2,811,762 | ) | (303,410 | ) | 2,138,339 | 5,114,979 | 418,917 | 117,348 | — | |||||||||||||||||||
SA Real Estate | ||||||||||||||||||||||||||||||
Securities Fund | 1,843,581 | 248,173 | (876,758 | ) | (17,476 | ) | 423,536 | 1,621,056 | 116,623 | 43,066 | 20,611 | |||||||||||||||||||
SA U.S. Core Market | ||||||||||||||||||||||||||||||
Fund | 3,682,769 | 459,192 | (1,778,533 | ) | 355,309 | 554,258 | 3,272,995 | 108,810 | 32,003 | 221,715 | ||||||||||||||||||||
SA U.S. Fixed Income | ||||||||||||||||||||||||||||||
Fund | 3,044,192 | 500,334 | (814,276 | ) | (219 | ) | (7,429 | ) | 2,722,602 | 268,766 | 3,084 | — | ||||||||||||||||||
SA U.S. Small Company | ||||||||||||||||||||||||||||||
Fund | 3,402,067 | 181,057 | (1,955,516 | ) | 60,936 | 1,307,861 | 2,996,405 | 88,940 | 12,993 | 66,829 | ||||||||||||||||||||
SA U.S. Value Fund | 4,873,508 | 188,647 | (2,425,863 | ) | (206,494 | ) | 1,941,774 | 4,371,572 | 211,904 | 75,008 | — | |||||||||||||||||||
Totals | $ | 30,466,896 | $ | 2,918,428 | $ | (13,620,049 | ) | $ | (278,780 | ) | $ | 7,682,280 | $ | 27,168,775 | $ | 341,933 | $ | 309,155 |
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5. Recent Accounting Pronouncements
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives a fund could enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. While the new rule became effective February 19, 2021, funds will not be required to fully comply with the new rule until August 19, 2022. It is not currently clear what impact, if any, the new rule will have on the availability, liquidity or performance of derivatives. When fully implemented, the new rule may require changes in how a Fund will use derivatives, may adversely affect a Fund’s performance and may increase costs related to a Fund’s use of derivatives.
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.
6. Consideration related to COVID-19 Pandemic
Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of COVID-19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the Funds’ performance.
7. Executive Order on Addressing the Threat from Securities Investments that Finance Certain Companies of the People’s Republic of China
On June 3, 2021, President Biden expanded upon the previously issued executive order that prohibited U.S. persons from transacting in publicly traded securities designated by the U.S. Department of Defense as “Communist Chinese Military Companies“ or “CCMCs“ or in instruments that are derivative of, or are designed to provide investment exposure to, prohibited CCMC securities. President Biden’s Executive Order retains the structure of the investment-based CCMC sanctions program introduced in late 2020 but expands the prohibitions to address threats from the use of Chinese surveillance technology outside the People’s Republic of China and the development or use of Chinese surveillance technology to facilitate repression or serious human rights abuse (the “Executive Order”).
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Under the Executive Order, U.S. persons will be prohibited from engaging in the purchase or sale of publicly traded securities, as well as securities derivative of, or designed to provide investment exposure to, such securities. This prohibition will take effect on August 2, 2021 for entities listed in the Appendix to the Executive Order (and 60 days after designation, with respect to subsequently designated entities). In addition, U.S. persons will be required to divest of targeted securities of entities listed in the Appendix to the Executive Order by June 3, 2022 (or 365 days from designation, with respect to subsequently designated entities).
The Executive Order replaces the previous list of CCMCs with a new Non-SDN Chinese Military Industrial Complex Companies List. The U.S. Department of the Treasury, rather than the U.S. Department of Defense, will drive designations going forward.
Companies included on the list of Non-SDN Chinese Military Industrial Complex Companies could prevent the SA Emerging Markets Value Fund from acquiring securities previously deemed suitable investments or result in a forced sale of a security in the portfolio at an inopportune time or price which may result in losses to the Fund. To the extent the Fund invests in securities of Chinese companies listed in the U.S., delisting could impact the Fund`s ability to transact in such securities and could significantly impact their liquidity and market price. Management has begun to undertake actions related to the Executive Order, and will continue to evaluate and determine, what, if any, additional actions are required to comply with the Executive Order.
8. Subsequent Events
Effective July 1, 2021, the Sub-Advisory Agreement was amended to reflect a lowering of the sub-advisory fee paid by the SA U.S. Small Company Fund from 0.25% to 0.20% and a lowering of the sub-advisory fee paid by the SA Emerging Markets Value Fund from 0.41% to 0.36%.
Beginning on July 1, 2021, the Adviser voluntarily waived an additional 0.05% of its advisory fee paid by the SA U.S. Small Company Fund. Prior to that date, the expense limitations for the Investor Class and Select Class were 1.15% and 0.95%, respectively.
Beginning on July 1, 2021, the Adviser voluntarily waived an additional 0.05% of its advisory fee paid by the SA Emerging Markets Value Fund. Prior to that date, the expense limitations for the Investor Class and Select Class were 1.29% and 1.09%, respectively.
155
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SA Funds – Investment Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of SA Funds – Investment Trust, comprising SA U.S. Fixed Income Fund, SA Global Fixed Income Fund, SA U.S. Core Market Fund, SA U.S. Value Fund, SA U.S. Small Company Fund, SA International Value Fund, SA International Small Company Fund, SA Emerging Markets Value Fund, SA Real Estate Securities Fund and SA Worldwide Moderate Growth Fund (the “Funds”) as of June 30 2021, and the related statements of operations for the year then ended, and the statements of changes in net assets, the related notes, and the financial highlights for each of the two years in the period then ended (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 Funds as of June 30, 2021, the results of their operations for the year then ended, and the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial highlights for the years ended June 30, 2019, and prior, were audited by other auditors whose report dated August 27, 2019, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ 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 Funds 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 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 procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. 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. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2020.
COHEN & COMPANY, LTD.
Cleveland, Ohio
August 26, 2021
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ADDITIONAL INFORMATION (Unaudited)
Proxy Voting Policies and Procedures
The Sub-Adviser is responsible for exercising the voting rights associated with the securities purchased and/or held by the Funds. A description of the policies and procedures that are used by the Sub-Adviser to vote proxies relating to the Funds’ portfolio securities is available without charge, upon request, by calling (844) 366-0905 and on the Securities and Exchange Commission’s website (“SEC”) at http://www.sec.gov. Information regarding how the Sub-Adviser voted these proxies during the most recent 12-month period ended June 30th is listed in the Trust’s Form N-PX, which is available after August 31st without charge, upon request, by calling the same number or visiting the SEC’s website at http://www.sec.gov.
Schedules of Portfolio Holdings
The Trust files the complete schedules of portfolio holdings for each Fund monthly on Form N-PORT with every third month made available to the public on the SEC’s website at www.sec.gov no later than 60 days after the relevant period. The Trust’s Form N-PORT may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Trust’s most recent Form N-PORT is also available without charge, upon request, by calling 1-844-366-0905.
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ADDITIONAL INFORMATION (Unaudited) (Continued)
Additional Information
This report is prepared for the general information of shareholders and is not an offer of shares of the SA Funds. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
More information about the SA Funds is available without charge, upon request, please mail, visit the Funds’ website or call:
SA Funds – Investment Trust
c/o Buckingham Strategic Partners, LLC
10 Almaden Blvd.
15th Floor
San Jose, California 95113
Toll-free: 1-844-366-0905
Website: http://www.sa-funds.com
Trustees and Officers’ Information
Information regarding the Trustees and executive officers of the Trust is listed below. The Board is responsible for managing the business and affairs of the Trust. The Board’s role in management of the Trust is oversight. As is the case with virtually all investment companies (as distinguished from operating companies), service providers to the Trust have the responsibility for the day-to-day management of the Funds. The Board’s oversight role does not make the Board a guarantor of the Funds’ investments or activities. The Trustees are experienced executives who meet periodically throughout the year to oversee each Fund’s activities, review contractual arrangements with companies that provide services to each Fund, and review each Fund’s performance. The Board is comprised entirely of Trustees who are not “interested persons” of the Trust, as such term is defined under the 1940 Act (the “Independent Trustees”).
Officers of the Trust listed in the table below whose names are marked with an asterisk (*) are interested persons of the Trust (as defined by the 1940 Act) by virtue of, among other considerations, their relationships with the Adviser or its affiliated entities. Each Trustee and executive officer of the Trust oversees all Funds of the Trust.
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Independent Trustees:
Number of | ||||||||
Position(s) | Portfolios in | |||||||
Held with | Principal | Fund Complex | Other | |||||
Name, Address, (1) | Trust and Length of | Occupation(s) | Overseen by | Trusteeships/ | ||||
and Year of Birth | Time Served (2) | During Past 5 Years | Trustee | Directorships Held | ||||
Bryan W. Brown Year of Birth: 1945 | Trustee Chairman | Self-Employed Management Consultant (financial and technological systems) (since 1992). | 10 | Director/Officer, Kilohana Martial Arts Association (since June 2018). | ||||
Charles M. Roame Year of Birth: 1965 | Trustee | Managing Partner, Tiburon Strategic Advisors & Tiburon Partners Fund (investor in, and advisor to, FinTech and financial services firms) (since April 1998). | 10 | Director, Edelman Financial Engines (provider of financial planning & investment advisory services) (since January 2014). Director, FacetWealth (provider of financial planning services) (since February 2018). Director, Lefteris Acquisition Corporation (special purpose acquisition company) (since August 2020) | ||||
Harold M. Shefrin Year of Birth: 1948 | Trustee | Faculty member, Santa Clara University (since 1978). | 10 | Trustee, Litman Gregory Funds Trust (6 portfolios) (since February 2005). |
(1) | The address of each Trustee is: Buckingham Strategic Partners, LLC, 10 Almaden Blvd., 15th Floor, San Jose, CA 95113 | |
(2) | Each Trustee serves for the lifetime of the Trust or until he dies, resigns, or is removed. |
The Funds’ Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling 1-844-366-0905. It is also available on the Funds’ website at: http://sa-funds.com.
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Officers of the Trust
Position(s) | ||||
Held with | ||||
Name, Address(1) | Trust and Length of | |||
and Year of Birth | Time Served(2) | Principal Occupation(s) During Past 5 Years | ||
Alexander B. Potts* Year of Birth: 1967 | President and Chief Executive Officer (since January 2009). | President, Advisor Services, Buckingham Strategic Partners, LLC (since December 2018); President and Chief Executive Officer, LWI Financial Inc., Loring Ward Securities Inc. and Loring Ward Group Inc. (2009 -2018); President and Chief Executive Officer, Loring Ward Holdings Inc. (2008 - 2018); President and Chief Executive Officer, Loring Ward Group Inc. (2009 – 2016); President and Chief Executive Officer, The Wealth Management Alliance LLC (2013-2018). | ||
Michael Clinton* Year of Birth: 1966 | Chief Financial and Accounting Officer and Treasurer (since March 2009). | Chief Business Officer, Buckingham Strategic Partners, LLC (since December 2018); Chief Financial Officer and Treasurer, LWI Financial Inc. and Loring Ward Securities Inc. (2009 - 2018); Chief Financial Officer and Treasurer, Loring Ward Holdings, Inc. (2009 - 2018); Chief Financial Officer and Treasurer, Chief Operating Officer, Loring Ward Group Inc. (2009 – 2016); Chief Operating Officer, Loring Ward Holdings, Inc. (2009 – 2016); Chief Financial Officer and Treasurer, The Wealth Management Alliance LLC (2013-2018). | ||
Salvatore Papa* Year of Birth: 1977 | Vice President, Chief Compliance Officer and Anti-Money Laundering Compliance Officer (January 2019 – June 2021). | General Counsel for Buckingham Strategic Wealth, LLC and Buckingham Strategic Partners, LLC (since 2015), Chief Compliance Officer for Buckingham Strategic Wealth, LLC (since 2015), Chief Compliance Officer for Buckingham Strategic Partners, LLC (2015 – June 2021). | ||
Jeffery Yorg* Year of Birth: 1977 | Chief Compliance Officer and Anti-Money Laundering Compliance Officer (since July 2021) | Associate General Counsel and Chief Compliance Officer, Buckingham Strategic Partners, LLC (since July 2021). Managing Director of Compliance & Risk and Associate General Counsel, Buckingham Strategic Wealth, LLC and Buckingham Strategic Partners, LLC (October 2019 – June 2021); Chief Compliance Officer, Head of Compliance Legal and Risk, and Deputy Chief Risk Officer, Gurtin Municipal Bond Management, LLC (2014 – 2019). | ||
Marcy Tsagarakis* Year of Birth: 1971 | Secretary (since June 2006). | Vice President, Fund Administration, Buckingham Strategic Partners, LLC (since December 2018); Vice President, Fund Administration, LWI Financial Inc. (2005-2018). |
(1) | The address of each officer is: Buckingham Strategic Partners, LLC, 10 Almaden Blvd., 15th Floor, San Jose, CA 95113. | |
(2) | The Trust’s officers are appointed annually by the Board. |
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Board Approval of Investment Advisory Agreements and Sub-Advisory Agreement
At a meeting held on June 3, 2021, the Board, consisting solely of Independent Trustees, considered the renewal for a one-year term of (1) the Investment Advisory Agreements by and between the Trust, with respect to the Funds, and the Adviser; and (2) the Sub-Advisory Agreement by and among the Trust, with respect to the Funds, except with respect to the SA Worldwide Moderate Growth Fund, the Adviser and DFA (collectively, the “Advisory Agreements”).
The Board discussed the role of the Funds as asset allocation tools and as a means by which smaller retail-level investors could access the investment services offered by DFA. The Board also discussed the role of the Adviser in monitoring the Funds’ effectiveness in this regard and the value added by the Adviser in ensuring that the Funds provided the type of comprehensive asset allocation investment program that shareholders were expecting to receive at reasonable cost levels. The Board also discussed asset growth and economies of scale, which, together with past reductions of the Adviser’s management fees and contractual fee waiver/expense reimbursement arrangements, have resulted in fee and/or expense reductions in recent years.
Factors Considered in Approving the Advisory Agreements
In approving the renewal of the Advisory Agreements, the Board was advised by counsel to the Independent Trustees and took into account information prepared specifically in connection with its review of the Advisory Agreements at the Meeting and the telephonic meeting of the Board on May 12, 2021 (the “May 12 Telephonic Meeting”), as well as information provided in response to the Board’s supplemental request following the May 12 Telephonic Meeting and information furnished to the Board throughout the year. The Board also considered the items discussed with representatives of the Trust, the Adviser and the Sub-Adviser during the May 12 Telephonic Meeting. In their deliberations, the Board considered the factors discussed below, among others. The Independent Trustees did not identify any particular piece of information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors:
The nature, extent and quality of the services provided and to be provided by the Adviser and the Sub-Adviser. The Board considered the experience and qualifications of the personnel at the Adviser and the Sub-Adviser who are responsible for providing services to the Funds and the compensation structures of the Adviser and the Sub-Adviser. The Board noted the oversight role of the Adviser over the Sub-Adviser relating to portfolio construction and management, and compliance with the Funds’ investment objectives and policies, the Trust’s compliance policies and procedures, and applicable laws and regulations, as well as the Adviser’s role in implementing the Board’s directives relating to the Funds. The Board also noted that the Adviser has extensive experience offering asset allocation and risk diversification through investment portfolios such as the Funds. The Board further noted the Sub-Adviser’s experience and expertise in constructing portfolios that reflect diverse asset classes and risk levels, as well as the extensive industry experience of the Sub-Adviser’s personnel.
The Board then considered the resources, policies and procedures, and infrastructure of the Adviser and the Sub-Adviser devoted to ensuring compliance with applicable laws and regulations, as well as the Adviser’s and the Sub-Adviser’s commitment to those programs. The Board considered the information received regarding the Adviser’s and the Sub-Adviser’s respective compliance programs and compliance reports received during the prior year. The Board noted that there are currently no known pending regulatory issues with the SEC or other regulatory agencies involving the Adviser or Sub-Adviser other than routine examination matters.
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The Board noted that the Adviser continues to provide portfolio management and reporting services, asset-class allocation, shareholder servicing and, if requested, administrative services support to investors and their financial representatives to enhance the effectiveness of the Funds as asset allocation vehicles. The Board further noted the additional resources available to the Funds as a result of the merger of LWI Financial Inc. with BAM Advisor Services, LLC in 2018.
The investment performance of the Funds achieved by the Adviser and the Sub-Adviser. The Board reviewed the short-term and longer-term performance of each of the Funds on both an absolute basis and relative to each Fund’s benchmark index, a peer group of funds based on investment style, and comparable funds managed by the Sub-Adviser. The Board noted that it received and discussed Fund performance information on a quarterly basis throughout the year. As part of its review, the Board also reviewed a report prepared by an independent consulting firm, Broadridge Financial Solutions, Inc. (“Broadridge”), which included comparisons of the performance of each Fund to certain funds determined by Broadridge to be comparable based on investment style (the “Broadridge Peer Group”) and the Fund’s benchmark index. The Board noted that the Broadridge Peer Group, which is used for both performance and expense comparisons, was determined for each Fund based on investment style, share class characteristics (to reflect similar expense structures) and asset size (to reflect similar economies of scale), as applicable. The Board examined the performance of each of the Funds for the 1-year, 3-year, 5-year and 10-year periods ended December 31, 2020. The Board noted that the performance information provided by Broadridge related specifically to the Select Class shares of each Fund (except for the SA Worldwide Moderate Growth Fund, which offers only one class of shares) for the 1-year and 3-year periods. The Board further noted that due to the limited performance history of the Select Class, which commenced operations on July 3, 2017, the Broadridge report presented the gross returns history for the Investor Class for the 5-year and 10-year periods.
In assessing performance, the Board took into consideration that each Fund is intended to provide exposure to a particular asset class. For this reason, the Board viewed fidelity to asset class characteristics as highly important to its evaluation of the Funds. The Board noted that it looks for Fund performance to track the appropriate benchmark index(es) as closely as possible, given certain practical constraints imposed by the 1940 Act and each Fund’s investment restrictions, size and similar factors. Because the Funds are primarily asset allocation tools, the Board emphasized each Fund’s performance against its asset class benchmark index(es) and its general adherence to asset class representation, with the exception of the SA Worldwide Moderate Growth Fund (which invests in other Funds managed by the Adviser (the “Underlying Funds”) comprising various asset classes and strategies).
For the SA U.S. Fixed Income Fund, it was noted that the Fund’s gross total return performance was in the 4th (bottom) quartile of its Broadridge Peer Group for the 1-year, 3-year and 5-year periods ended December 31, 2020 and in the 3rd quartile for the 10-year period ended the same date. It was also noted that the Fund’s performance trailed its benchmark, the ICE BofA Merrill Lynch 1-3 Year U.S. Corporate/Government Bond Index, for each period. The Board also took into consideration the Fund’s relatively shorter duration as a substantial cause of its underperformance relative to its Broadridge Peer Group and benchmark.
For the SA Global Fixed Income Fund, it was noted that the Fund’s gross total return performance was in the 4th quartile of its Broadridge Peer Group for the 1-year, 3-year, 5-year and 10-year periods ended December 31, 2020. It was also noted that the Fund’s performance exceeded that of its benchmark, the FTSE World Government Bond Index 1-5 Year (Hedged to USD), for the 10-year period. The Board took into consideration the Fund’s relatively shorter duration as a substantial cause of its underperformance relative to its Broadridge Peer Group.
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For the SA U.S. Core Market Fund, it was noted that the Fund’s gross total return performance was in the 2nd quartile of its Broadridge Peer Group for the 1-year and 3-year periods ended December 31, 2020 and the 1st quartile for the 5-year and 10-year periods ended the same date. It was also noted that the Fund’s performance outperformed its benchmark, the Russell 3000 Index, for the 3-year, 5-year and 10-year periods.
For the SA U.S. Value Fund, it was noted that the Fund’s gross total return performance was in the 4th quartile among its Broadridge Peer Group for the 1-year and 3-year periods ended December 31, 2020 and the 2nd quartile for the 5-year and 10-year periods ended the same date. It was also noted that the Fund’s performance exceeded that of its benchmark, the Russell 1000 Value Index, for the 10-year period.
For the SA U.S. Small Company Fund, it was noted that the Fund’s gross total return performance was in the 2nd quartile of its Broadridge Peer Group for the 1-year and 10-year periods ended December 31, 2020 and in the 3rd quartile for the 3-year and 5-year periods ended the same date. It was also noted that the Fund’s performance trailed its benchmark, the Russell 2000 Index, for the 1-year, 3-year and 5-year periods and outperformed its benchmark for the 10-year period.
For the SA Real Estate Securities Fund, it was noted that the Fund’s gross total return performance was in the 3rd quartile of its Broadridge Peer Group for the 1-year period ended December 31, 2020 and the 2nd quartile for the 3-year, 5-year and 10-year periods ended the same date. It was also noted that the Fund’s performance outperformed that of its benchmark, the Dow Jones U.S. Select REIT Index, for each period.
For the SA International Value Fund, it was noted that the Fund’s gross total return performance was in the 4th quartile of its Broadridge Peer Group for the 1-year, 3-year and 10-year periods ended December 31, 2020 and the 3rd quartile for the 5-year period ended the same date. It was also noted that the Fund’s performance exceeded that of its benchmark, the MSCI World Ex. U.S. Value Index (net div.), for each of the 1-year, 5-year and 10-year periods.
For the SA International Small Company Fund, it was noted that the Fund invests substantially all of its assets in the International Small Company Portfolio of DFA Investment Dimensions Group Inc. It was noted that the Fund’s gross total return performance was in the 2nd quartile of its Broadridge Peer Group for the 1-year period ended December 31, 2020, the 3rd quartile for the 3-year and 5-year periods ended December 31, 2020, and the 4th quartile for the 10-year period ended the same date. It was also noted that the Fund’s performance trailed its benchmark, the MSCI World Ex. U.S. Small Cap Index (net div.), for each period.
For the SA Emerging Markets Value Fund, it was noted that the Fund’s gross total return performance was in the 4th quartile of its Broadridge Peer Group for the 1-year, 3-year, and 10-year periods ended December 31, 2020 and the 3rd quartile for the 5-year period ended the same date. It was also noted that the Fund’s performance exceeded that of its benchmark, the MSCI Emerging Markets Value Index (net div.), for the 5-year period.
For the SA Worldwide Moderate Growth Fund, it was noted that the Fund’s gross total return performance was in the 4th quartile of its Broadridge Peer Group for the 1-year, 3-year and 5-year periods ended December 31, 2020. It was also noted that the Fund’s performance trailed that of its benchmark, the Morningstar Moderate Target Risk Index, for each period.
163
SA FUNDS
ADDITIONAL INFORMATION (Unaudited) (Continued)
The extent to which the Adviser and the Sub-Adviser realize economies of scale as the Trust grows larger and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. The Board evaluated any apparent or anticipated economies of scale in relation to the services the Adviser provides to each Fund. The Board considered the Funds’ net flows and asset levels, and noted that the Funds are designed to work together as a set of asset allocation choices and that economies of scale (and other factors) are most appropriately assessed on a Trust-level and not on a Fund-by-Fund basis. The Board also noted that although the Funds do not have advisory fee breakpoints, the Adviser has contractually agreed to waive a portion of its advisory fees and/or reimburse each of the Funds for certain expenses so that each Fund does not exceed its operating expense limitation and has taken other steps to reduce Fund operating expenses.
In considering potential economies of scale, the Board noted that the Adviser is still subsidizing certain operations of the Trust through the expense limitation arrangements and that the Adviser has recouped only a portion of the amounts previously waived under these expense limitation arrangements. It was further noted that in recent years the management fees payable to the Adviser were reduced on a majority of the Funds, with additional reductions in management fees and operating expense limits for a majority of Funds applicable as of January 1, 2018 and further reductions on the SA Emerging Markets Value Fund, effective March 1, 2021. The Board concluded that any economies of scale generated at current asset levels were being effectively shared with Fund shareholders.
Total expenses of the Funds and competitiveness of fees to be paid to the Adviser and the Sub-Adviser. The Board considered the gross management fee rates charged by the Adviser and the Sub-Adviser, as well as the effective management fee rates after taking into consideration the Funds’ expense limitation arrangements with the Adviser.
In considering the management fees and the total fees and expenses of each Fund, the Board reviewed a comparison of each Fund’s effective advisory fee and overall expense ratio to its respective Broadridge Peer Group. The Board considered the median of the contractual management fees and overall expense ratios of each peer group.
It was noted that with two exceptions, each Fund’s net expense ratio, a figure that includes all of the Fund’s operating expenses, excluding any dividend, interest or borrowing expenses, minus any expense waivers or other reimbursements, was below or at the median expense ratio of its respective Broadridge Peer Group. The Board noted that the net expense ratio for the SA U.S. Fixed Income Fund was 6 bps above, and the net expense ratio of the SA Emerging Markets Value Fund was 3 bps above, the median expense ratio of their respective Broadridge Peer Groups.
The Board noted the reduction in 2018 of annual advisory fees from 45 bps to 40 bps for each of the SA U.S. Core Market Fund, SA U.S. Value Fund and SA U.S. Small Company Fund; from 50 bps to 45 bps for the SA International Value Fund and SA Emerging Markets Value Fund; from 50 bps to 25 bps for the SA International Small Company Fund, and the voluntary reduction from 45 bps to 41 bps for the SA Emerging Markets Value Fund, effective March 1, 2021, in addition to prior reductions in recent years. The Board further noted the implementation, for each share class, of annual operating expense limitations (as a percentage of average daily net assets) until October 28, 2021 for all Funds except the SA Worldwide Moderate Growth Fund. The Board further noted that for the SA Worldwide Moderate Growth Fund, the Adviser has contractually agreed until July 1, 2025 to reimburse expenses so that the Fund’s annual operating expenses do not exceed the total annual acquired fund fees and expenses related to the Underlying Funds in which it invests.
164
SA FUNDS
ADDITIONAL INFORMATION (Unaudited) (Continued)
In assessing the fees charged by the Sub-Adviser, the Board noted that the fees ranged from 0 to 41 bps annually, with most of them at or below 15 bps annually, except for the SA International Value Fund (20 bps annually), the SA U.S. Small Company Fund (25 bps annually) and the SA Emerging Markets Value Fund (41 bps annually). The Board took into consideration that these fees were negotiated fees that reflected an arm’s-length negotiation between the Adviser and the Sub Adviser, and determined that the fees were reasonable in light of the services provided to each Fund. The Board also noted the previous reduction in fees payable pursuant to the Sub-Advisory Agreement for most Funds.
The profits to be realized by the Adviser, the Sub-Adviser and their respective affiliates, from their relationship with the Trust. The Board considered other benefits derived by the Adviser from its relationship with the Funds, including amounts received by the Adviser for the provision of certain shareholder and administrative services to the Funds. It was noted that the Adviser does not receive any soft dollar benefits from the Funds. The Board also considered the profitability rates of the Sub-Adviser and noted that the Sub-Adviser has previously advised that it is no longer accruing soft-dollar credits and has wound down the remaining aspects of its soft-dollar program.
The Board reviewed information provided by the Adviser and the Sub-Adviser regarding their financial stability and the profitability attributable to their respective agreements with the Funds. The Board discussed the fact that the Funds were designed to operate in an integrated manner as a set of asset allocation vehicles and, for that reason, profitability of the Adviser on a Fund-by-Fund basis was not as relevant to the Board’s determinations as overall profitability of the Adviser at the Trust level. The Board also noted the difficulty of making comparisons of profitability because of differing business mixes and types of funds managed, the fact that publicly traded advisory firms for which data are available are typically much bigger than the Adviser, and the lack of an industry standard for methodology used to calculate profitability.
After such review, the Board determined that the profitability rates of the Adviser and the Sub-Adviser, with respect to the Investment Advisory Agreement and the Sub-Advisory Agreement, were not unreasonable in consideration of the services each provides to the Funds.
The Board also considered the climate in the financial services industry; the risks assumed by the Adviser and the Sub-Adviser in complying with investment restrictions, expense limitations and tax laws; the entrepreneurial risks undertaken by the Adviser in sponsoring the Trust and adding Funds to the Trust; the volatility of the financial markets and, thus, of management fee income; and the compensation of the Adviser and the Sub-Adviser and the need to provide sufficient incentives to their respective owners and employees in light of the foregoing considerations.
Conclusions. In approving the Advisory Agreements, the Board concluded that the terms of the Advisory Agreements are fair and reasonable and that approval of the Advisory Agreements is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that the Adviser and the Sub-Adviser could be expected to provide a high level of service to each Fund; the performance of each Fund over time and in some cases for more recent periods, or, in the case of underperforming Funds, that it retained confidence in the Adviser’s and the Sub Adviser’s capabilities to manage the Funds consistently with their respective specified investment objective and strategies; that each Fund’s fee structure appeared to the Board to be reasonable given the nature and quality of services provided; and that the benefits accruing to the Adviser and the Sub-Adviser by virtue of their relationship to the Funds were reasonable in comparison with the benefits accruing to each Fund. After this review and discussion, the Board concluded that the renewal of the Advisory Agreements for a one-year term was in the best interests of each Fund and its shareholders.
165
SA FUNDS
ANNUAL REPORT OF LIQUIDITY RISK MANAGEMENT PROGRAM ADMINISTRATOR
Rule 22e-4 of the 1940 Act (the “Liquidity Rule”) requires that the Adviser in its role as Liquidity Risk Management Program Administrator (the “Program Administrator”) for the Trust periodically, but no less than annually, review and provide the Board a written report that assesses the adequacy of the Liquidity Program and the effectiveness of its implementation including, if applicable, the operation of the Highly Liquid Investment Minimum (the “HLIM”) for each Fund and any material changes to the Liquidity Program.
The assessment for the period covered June 1, 2020 through May 1, 2021 (the “Review Period”). The Program Administrator re-evaluated the data and analysis that supported the Program Administrator’s conclusions regarding each Fund’s liquidity risk. The Program Administrator used updated data throughout the period to review each Fund’s: (i) investment strategy and the liquidity of its portfolio investments; (ii) short-term and long-term cash flow projections; (iii) holdings of cash and cash equivalents; and (iv) borrowing arrangements and other funding sources. The Program Administrator also evaluated the operation and management of the Liquidity Program including the performance of the third-party service provider ICE Data Pricing & Reference Data, LLC (“ICE”).
Liquidity Risk Assessment Factors
1.) Investment Strategy and Liquidity of Portfolio Investments
The Program Administrator re-evaluated each Fund’s investment objective, portfolio concentration, derivative usage and known or identifiable risks to liquidity. Derivatives usage remained limited to the use of forward foreign currency exchange contracts to hedge against certain foreign currencies back to the U.S. dollar. This activity is in line with each Fund’s stated investment objective. No Fund employed borrowing for investment purposes. The Program Administrator reasonably expects these trends to continue and remains confident that each Fund operates an investment strategy that is appropriate for an open-end fund.
2.) Cash Flow Projections
The Program Administrator examined data for the Review Period and continues to believe that gross redemption activity, shareholder ownership concentration and the length of the Funds’ operating history and redemption patterns are the best predictors of cash flow trends. The Program Administrator also used the highest rolling 36-month average gross redemption percentage for each Fund to determine reasonably anticipated trade size (“RATS”). RATS is used to determine the necessary pro-rata portion of a Fund’s portfolio that the Adviser could choose to sell for liquidity purposes. After considering various factors including market volatility and the Funds’ performance, the Program Administrator believes that the rolling 36-month average gross redemption percentage continues to be a sound and reasonable indicator for RATS for the Funds.
With respect to shareholder ownership concentration, the Program Administrator is not aware of any shareholder that has a material ownership stake in the Funds and therefore believes that there is no need to consider shareholder ownership concentration when determining what percentage should be used to estimate the RATS of each Fund. The Program Administrator reasonably believes that the Funds are more likely than not to receive sufficient advanced notice of large redemptions to allow the Funds to employ the Liquidity Program in order to manage and mitigate ramifications of any large redemptions. For omnibus accounts, the Program Administrator does not have information available to assess whether or not there are any underlying investors who may meet this criterion.
166
SA FUNDS
ANNUAL REPORT OF LIQUIDITY RISK MANAGEMENT PROGRAM ADMINISTRATOR (Continued)
3.) Holdings of Cash and Cash Equivalents
Cash and cash equivalents held by each Fund in conjunction with the extremely liquid nature of each Fund’s holdings serve to minimize liquidity risk and position each Fund to be able to meet redemptions. The Program Administrator believes that the Funds’ average cash and cash equivalents held and the highly liquid nature of most other investments in each Fund demonstrates that even in reasonably expected stressed conditions, such as those that occurred during 2020 that were attributed to COVID-19, the Funds will be aptly able to meet shareholder redemptions without issue.
4.) Borrowing Arrangements and Other Funding Sources
Each Fund has the option to overdraw the U.S. dollar cash account at the custodian if its cash position is not sufficient to meet redemptions. The Funds utilized this option periodically during the Review Period, typically for a short period of time per occurrence (one or two days). There were no other uses of credit facilities or other borrowing arrangement to supplement its cash as a tool to meet investor redemptions.
5.) In-Kind Redemptions
During the Review Period, the Funds did not deem it necessary to meet redemptions by paying out securities or other portfolio investments other than cash as it was not in the best interests of shareholders.
Discussion of the Operation and Management of the Liquidity Program
1.) Classification Reviews, Challenges and Overrides
ICE provides daily liquidity classifications. A daily review of liquidity classifications by the Program Administrator takes place and is documented, and further discussion between ICE and the Program Administrator will take place if there are any questions based on daily results. During the Review Period there was limited need for manual intervention in the classification process. The Program Administrator believes that the review process is operating adequately and effectively and no changes are warranted.
The Program Administrator concluded that the factors used to establish the initial and updated RATS remain the most relevant variables. The Program Administrator re-evaluated gross historical redemption percentages during the Review Period, shareholder concentration, cash positions and investment strategy. During the Review Period, the Program Administrator made adjustments to increase the RATS as necessary. There were no changes to RATS as a result of other factors.
2.) Highly Liquid Investment Minimum
Each Fund operated as a Primarily Highly Liquid Fund during the Review Period. The Program Administrator noted that, as long as a Fund’s portfolio is classified as a Primary Highly Liquid Fund under the relevant procedures in the Liquidity Program and consistent with the Liquidity Rule, the Fund is not required to establish and monitor a HLIM. The Program Administrator determined that a HLIM is not necessary. The Program Administrator reasonably expects that the composition of each Fund will remain stable and consistent and that each Fund will continue to operate as a Primarily Highly Liquid Fund.
167
SA FUNDS
ANNUAL REPORT OF LIQUIDITY RISK MANAGEMENT PROGRAM ADMINISTRATOR (Continued)
3.) Illiquid Investment Monitoring
With the exception of temporary illiquidity events due to an extended foreign market holiday that was communicated to the Board, the Funds did not breach the 15% illiquid investment limit pursuant to the Liquidity Rule during the Review Period. The percentage of illiquid securities held by the Funds during the Review Period was de minimis. The Program Administrator reasonably believes that the policies and reviews it has established prior to the adoption of the Liquidity Program sufficiently protect against a prospective violation of this limit. Such policies and reviews include independent liquidity classifications being received from ICE as well as review and comparison of liquidity classification reports received from DFA.
Conclusion
Following the Program Administrator’s evaluation of the operation and management of the Liquidity Program, it determined that the Liquidity Program continues to function effectively in all material aspects. Existing controls and safeguards were appropriately designed to enable the Program Administrator to maintain compliance with the Liquidity Rule. The Program Administrator recommends no changes to the Liquidity Program.
168
SA FUNDS
TAX INFORMATION NOTICE (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Funds for the fiscal year ended June 30, 2021:
Foreign Tax Credits – For the fiscal year ended June 30, 2021, the following Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders, all of which represents taxes withheld.
Foreign | Foreign | ||||||||||
Tax Credit | Source Income | ||||||||||
SA International Value Fund | $ | 1,288,329 | $ | 24,798,309 | |||||||
SA International Small Company Fund | 514,825 | 5,806,198 | |||||||||
SA Emerging Markets Value Fund | 724,720 | 7,172,384 | |||||||||
SA Worldwide Moderate Growth Fund | 19,201 | — |
Capital Gain Distributions – On December 22, 2020, the following Funds declared long-term capital gain distribution.
SA U.S. Core Market Fund | $ | 43,425,198 | |
SA U.S. Small Company Fund | 14,166,466 | ||
SA International Small Company Fund | 2,724,214 | ||
SA Real Estate Securities Fund | 2,192,416 |
On December 29, 2020, the SA Worldwide Moderate Growth Fund declared long-term capital gain distribution of $775,173.
Corporate Dividends Received Deduction – The following Funds paid distributions from ordinary income that qualify for the corporate dividends received deduction. The percentage that qualifies is noted below:
SA U.S. Core Market Fund | 100 | % | |
SA U.S. Small Company Fund | 83.32 | % | |
SA U.S. Value Fund | 100 | % | |
SA Worldwide Moderate Growth Fund | 25.20 | % |
Qualified Dividend Income – For the fiscal year ended June 30, 2021 certain dividends paid by one or more of the Funds may be designated as qualified dividend income and subject to a maximum federal income tax rate of 15% for individual shareholders (20% for individuals with taxable income exceeding $445,850 or $501,600 if married filing jointly). Complete information will be reported in conjunction with your 2021 Form 1099-DIV.
169
SA FUNDS
ADDITIONAL INFORMATION (Unaudited) (Continued)
Understanding Your Fund’s Expense
Shareholder Expense Example
As a mutual fund shareholder you incur ongoing costs including management fees, shareholder services fees, fees for administrative services and other Fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand your ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The following examples are based on an investment of $1,000 made at the beginning of the period, January 1, 2021 through June 30, 2021. Expenses paid during the period in the table below are equal to the annualized net expense ratio of the Funds’ each class of shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period). Such expenses are limited by an agreement between the Fund and the Adviser and may be recovered by the Adviser under certain circumstances. You can find additional information about the Fund’s expenses, including the expense limitation agreement, in the Notes to Financial Statements section of this report and in the Fund’s current prospectus.
Actual Expenses
The table below shows the actual account values and actual Fund expenses, based on the actual performance of the Funds’ each class of shares during the period. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) then multiply the result by the number in the first line of the table for your Fund under the heading “Expenses Paid During Period” to estimate the expenses you paid over the period.
Actual Expenses | ||||||||||||||||||||||||||||||||||||||||
Investor Class | Select Class | |||||||||||||||||||||||||||||||||||||||
Beginning | Ending | Annual | Expenses | Beginning | Ending | Annual | Expenses | |||||||||||||||||||||||||||||||||
Account | Account | Expense | Paid During | Account | Account | Expense | Paid During | |||||||||||||||||||||||||||||||||
Value | Value | Ratio | Period | Value | Value | Ratio | Period | |||||||||||||||||||||||||||||||||
SA U.S. Fixed Income Fund | $ | 1,000 | $ | 996.10 | 0.61 | % | $ | 3.02 | $ | 1,000 | $ | 997.00 | 0.42 | % | $ | 2.08 | ||||||||||||||||||||||||
SA Global Fixed Income Fund | 1,000 | 1,000.00 | 0.71 | 3.52 | 1,000 | 1,001.10 | 0.53 | 2.63 | ||||||||||||||||||||||||||||||||
SA U.S. Core Market Fund | 1,000 | 1,135.70 | 0.84 | 4.45 | 1,000 | 1,137.20 | 0.69 | 3.66 | ||||||||||||||||||||||||||||||||
SA U.S. Value Fund | 1,000 | 1,202.70 | 1.02 | 5.57 | 1,000 | 1,204.30 | 0.83 | 4.54 | ||||||||||||||||||||||||||||||||
SA U.S. Small Company Fund | 1,000 | 1,195.60 | 1.21 | 6.59 | 1,000 | 1,197.20 | 1.01 | 5.50 | ||||||||||||||||||||||||||||||||
SA International Value Fund | 1,000 | 1,155.70 | 1.16 | 6.20 | 1,000 | 1,157.30 | 0.99 | 5.30 | ||||||||||||||||||||||||||||||||
SA International Small | ||||||||||||||||||||||||||||||||||||||||
Company Fund | 1,000 | 1,116.50 | 0.79 | 4.15 | 1,000 | 1,117.60 | 0.57 | 2.99 | ||||||||||||||||||||||||||||||||
SA Emerging Markets Value Fund | 1,000 | 1,151.90 | 1.39 | 7.42 | 1,000 | 1,153.10 | 1.26 | 6.73 | ||||||||||||||||||||||||||||||||
SA Real Estate Securities Fund | 1,000 | 1,213.00 | 0.96 | 5.27 | 1,000 | 1,214.00 | 0.82 | 4.50 |
Actual Expenses | |||||||||
Beginning | Ending | Annual | Expenses | ||||||
Account | Account | Expense | Paid During | ||||||
Value | Value | Ratio | Period | ||||||
SA Worldwide Moderate Growth Fund | $1,000 | $1,130.10 | 0.00% | $0.00 |
170
SA FUNDS
ADDITIONAL INFORMATION (Unaudited) (Continued)
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on actual expense ratio of the Funds’ each class of shares and an assumed rate of return of 5% per year before expenses, which is not actual return of the Funds’ each class of shares. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Hypothetical Expenses | |||||||||||||||||||||||||||||||||||||
Investor Class | Select Class | ||||||||||||||||||||||||||||||||||||
Beginning | Ending | Annual | Expenses | Beginning | Ending | Annual | Expenses | ||||||||||||||||||||||||||||||
Account | Account | Expense | Paid During | Account | Account | Expense | Paid During | ||||||||||||||||||||||||||||||
Value | Value | Ratio | Period | Value | Value | Ratio | Period | ||||||||||||||||||||||||||||||
SA U.S. Fixed Income Fund | $ | 1,000 | $ | 1,021.77 | 0.61 | % | $ | 3.06 | $ | 1,000 | $ | 1,022.71 | 0.42 | % | $ | 2.11 | |||||||||||||||||||||
SA Global Fixed Income Fund | 1,000 | 1,021.27 | 0.71 | 3.56 | 1,000 | 1,022.17 | 0.53 | 2.66 | |||||||||||||||||||||||||||||
SA U.S. Core Market Fund | 1,000 | 1,020.63 | 0.84 | 4.21 | 1,000 | 1,021.37 | 0.69 | 3.46 | |||||||||||||||||||||||||||||
SA U.S. Value Fund | 1,000 | 1,019.74 | 1.02 | 5.11 | 1,000 | 1,020.68 | 0.83 | 4.16 | |||||||||||||||||||||||||||||
SA U.S. Small Company Fund | 1,000 | 1,018.79 | 1.21 | 6.06 | 1,000 | 1,019.79 | 1.01 | 5.06 | |||||||||||||||||||||||||||||
SA International Value Fund | 1,000 | 1,019.04 | 1.16 | 5.81 | 1,000 | 1,019.89 | 0.99 | 4.96 | |||||||||||||||||||||||||||||
SA International Small | |||||||||||||||||||||||||||||||||||||
Company Fund | 1,000 | 1,020.88 | 0.79 | 3.96 | 1,000 | 1,021.97 | 0.57 | 2.86 | |||||||||||||||||||||||||||||
SA Emerging Markets Value Fund | 1,000 | 1,017.90 | 1.39 | 6.95 | 1,000 | 1,018.55 | 1.26 | 6.31 | |||||||||||||||||||||||||||||
SA Real Estate Securities Fund | 1,000 | 1,020.03 | 0.96 | 4.81 | 1,000 | 1,020.73 | 0.82 | 4.11 |
Hypothetical Expenses | |||||||||
Beginning | Ending | Annual | Expenses | ||||||
Account | Account | Expense | Paid During | ||||||
Value | Value | Ratio | Period | ||||||
SA Worldwide Moderate Growth Fund | $1,000 | $1,024.79 | 0.00% | $0.00 |
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of investing in different funds. In addition, if these transaction costs were included, your costs would have been higher.
171
Selected Financial Statements of DFA Investment Dimensions Group Inc.
International Small Company Portfolio
TABLE OF CONTENTS
Page | ||
Definitions of Abbreviations and Footnotes | 173 | |
Disclosure of Fund Expenses — October 31, 2020 (Unaudited) | 174 | |
Disclosure of Portfolio Holdings — October 31, 2020 (Unaudited) | 175 | |
Schedule of Investments — June 30, 2021 (Unaudited) | 176 | |
Schedule of Investments — October 31, 2020 | 177 | |
Statement of Assets and Liabilities — June 30, 2021 (Unaudited) | 178 | |
Statement of Assets and Liabilities — October 31, 2020 | 179 | |
Statement of Operations — October 31, 2020 | 180 | |
Statement of Changes in Net Assets | 181 | |
Financial Highlights | 182 | |
Notes to Financial Statements — October 31, 2020 | 183 | |
Report of Independent Registered Public Accounting Firm | 191 |
172
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
Investment Abbreviations | |||
P.L.C. | Public Limited Company | ||
SA | Special Assessment | ||
ST | Special Tax | ||
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. | ||
@ | Security purchased with cash collateral received from Securities on Loan. | ||
§ | Affiliated Fund. | ||
† | See Note B to Financial Statements. | ||
Financial Highlights | |||
(A) | Computed using average shares outstanding. | ||
(B) | Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s) and/or Underlying 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 |
173
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
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 illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2020
EXPENSE TABLE
Beginning | Ending | Expenses | |||||||||||
Account | Account | Annualized | Paid | ||||||||||
Value | Value | Expense | During | ||||||||||
05/01/20 | 10/31/20 | Ratio(1) | Period(1) | ||||||||||
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 |
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 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). |
174
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
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 June 25, 2021. 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.
FUND OF FUNDS | Affiliated Investment Companies | ||
International Small Company Portfolio | 100.0% |
175
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2021
(Unaudited)
Value† | ||||||
AFFILIATED INVESTMENT COMPANIES — (99.5%) | ||||||
Investment in The Continental Small Company Series | ||||||
of The DFA Investment Trust Company | $ | 5,122,654,521 | ||||
Investment in The Japanese Small Company Series | ||||||
of The DFA Investment Trust Company | 2,637,342,609 | |||||
Investment in The United Kingdom Small Company Series | ||||||
of The DFA Investment Trust Company | 1,863,990,031 | |||||
Investment in The Asia Pacific Small Company Series | ||||||
of The DFA Investment Trust Company | 1,372,935,289 | |||||
Investment in The Canadian Small Company Series | ||||||
of The DFA Investment Trust Company | 1,283,938,429 | |||||
TOTAL INVESTMENTS IN AFFILIATED | ||||||
INVESTMENT COMPANIES | $ | 12,280,860,879 | ||||
Shares | ||||||
TEMPORARY CASH INVESTMENTS — (0.5%) | ||||||
State Street Institutional U.S. Government Money Market Fund, | ||||||
Premier Class, 0.025% (Cost $58,492,917) | 58,492,917 | 58,492,917 | ||||
TOTAL INVESTMENTS — (100.0%) (Cost $9,166,084,143)^ | $ | 12,339,353,796 |
^ | The cost for federal income tax purposes is $9,166,084,143. |
As of June 30, 2021, International Small Company Portfolio had entered into the following outstanding futures contracts:
Unrealized | ||||||||||||||||
Number of | Expiration | Notional | Market | Appreciation | ||||||||||||
Description | Contracts | Date | Value | Value | (Depreciation) | |||||||||||
Long Position Contracts: | ||||||||||||||||
S&P 500® Emini Index | 130 | 09/17/21 | $ | 27,472,687 | $ | 27,875,900 | $ | 403,213 | ||||||||
Total Futures Contracts | $ | 27,472,687 | $ | 27,875,900 | $ | 403,213 |
Summary of the Portfolio’s investments as of June 30, 2021, 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 | $ | 12,280,860,879 | — | — | $ | 12,280,860,879 | |||||
Temporary Cash Investments | 58,492,917 | — | — | 58,492,917 | |||||||
Futures Contracts** | 403,213 | — | — | 403,213 | |||||||
TOTAL | $ | 12,339,757,009 | — | — | $ | 12,339,757,009 |
** | Valued at the unrealized appreciation/(depreciation) on the investment. |
See accompanying Notes to Financial Statements.
176
DFA INVESTMENT DIMENSIONS GROUP INC.
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:
Unrealized | |||||||||||||||
Number of | Expiration | Notional | Market | Appreciation | |||||||||||
Description | Contracts | Date | Value | Value | (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 Master 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 | ||||||||||
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.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2021
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS: | ||||
Investments in Affiliated Investment Companies at Value | $ | 12,280,861 | ||
Cash | 58,493 | |||
Segregated Cash for Futures Contracts | 1,430 | |||
Receivables: | ||||
Dividends and Interest | 1 | |||
Fund Shares Sold | 5,921 | |||
Futures Margin Variation | 1,243 | |||
Prepaid Expenses and Other Assets | 110 | |||
Total Assets | 12,348,059 | |||
LIABILITIES: | ||||
Payables: | ||||
Fund Shares Redeemed | 70,531 | |||
Due to Advisor | 3,129 | |||
Accrued Expenses and Other Liabilities | 799 | |||
Total Liabilities | 74,459 | |||
NET ASSETS | $ | 12,273,600 | ||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | ||||
Institutional Class Shares — based on net assets of $12,273,600 | ||||
and shares outstanding of 541,526,996 | $ | 22.66 | ||
NUMBER OF SHARES AUTHORIZED | 3,000,000,000 | |||
NET ASSETS CONSIST OF: | ||||
Paid-In Capital | $ | 8,910,119 | ||
Total Distributable Earnings (Loss) | 3,363,481 | |||
NET ASSETS | $ | 12,273,600 |
See accompanying Notes to Financial Statements.
178
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2020
(Amounts in thousands, except share and per share amounts)
ASSETS: | |||||
Investments in Affiliated Investment Companies at Value | $ | 10,080,777 | |||
Segregated Cash for Futures Contracts | 5,700 | ||||
Cash | 73,447 | ||||
Receivables: | |||||
Fund Shares Sold | 3,735 | ||||
Prepaid Expenses and Other Assets | 109 | ||||
Total Assets | 10,163,768 | ||||
LIABILITIES: | |||||
Payables: | |||||
Fund Shares Redeemed | 10,268 | ||||
Due to Advisor | 3,448 | ||||
Futures Margin Variation | 893 | ||||
Accrued Expenses and Other Liabilities | 1,027 | ||||
Total Liabilities | 15,636 | ||||
NET ASSETS | $ | 10,148,132 | |||
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: | |||||
Institutional Class Shares — based on net assets of $10,148,132 | |||||
and shares outstanding of 602,694,748 | $ | 16.84 | |||
NUMBER OF SHARES AUTHORIZED | 3,000,000,000 | ||||
NET ASSETS CONSIST OF: | |||||
Paid-In Capital | $ | 10,259,277 | |||
Total Distributable Earnings (Loss) | (111,145 | ) | |||
NET ASSETS | $ | 10,148,132 |
See accompanying Notes to Financial Statements.
179
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO*
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2020
(Amounts in thousands)
Investment Income | |||||
Net Investment Income Allocated from Affiliated Investment Companies: | |||||
Dividends (Net of Foreign Taxes Withheld of $23,526) | $ | 258,942 | |||
Income from Securities Lending | 20,089 | ||||
Expenses Allocated from Affiliated Investment Companies | (13,509 | ) | |||
Total Investment Income | 265,522 | ||||
Fund Expenses | |||||
Investment Management Fees | 43,408 | ||||
Accounting & Transfer Agent Fees | 1,452 | ||||
Custodian Fees | 2 | ||||
Filing Fees | 177 | ||||
Shareholders’ Reports | 528 | ||||
Directors’/Trustees’ Fees & Expenses | 88 | ||||
Professional Fees | 51 | ||||
Other | 76 | ||||
Total Fund Expenses | 45,782 | ||||
Net Expenses | 45,782 | ||||
Net Investment Income (Loss) | 219,740 | ||||
Realized and Unrealized Gain (Loss) | |||||
Net Realized Gain (Loss) on: | |||||
Transactions Allocated from Affiliated Investment Company** | (279,498 | ) | |||
Futures | 13,320 | ||||
Change in Unrealized Appreciation (Depreciation) of: | |||||
Transactions Allocated from Affiliated Investment Company | (573,955 | ) | |||
Futures | (2,575 | ) | |||
Net Realized and Unrealized Gain (Loss) | (842,708 | ) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (622,968 | ) |
* | Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Underlying Funds (Affiliated Investment Companies). |
** | Net of foreign capital gain taxes withheld of $0. |
See accompanying Notes to Financial Statements.
180
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year | Year | ||||||||
Ended | Ended | ||||||||
Oct. 31, | Oct. 31, | ||||||||
2020 | 2019 | ||||||||
Increase (Decrease) in Net Assets | |||||||||
Operations: | |||||||||
Net Investment Income (Loss) | $ | 219,740 | $ | 300,037 | |||||
Net Realized Gain (Loss) on: | |||||||||
Transactions Allocated from Affiliated Investment Company*,** | (279,498 | ) | 313,315 | ||||||
Futures | 13,320 | (626 | ) | ||||||
Change in Unrealized Appreciation (Depreciation) of: | |||||||||
Transactions Allocated from Affiliated Investment Company | (573,955 | ) | 135,389 | ||||||
Futures | (2,575 | ) | 7,881 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (622,968 | ) | 755,996 | ||||||
Distributions: | |||||||||
Institutional Class Shares | (529,962 | ) | (857,472 | ) | |||||
Capital Share Transactions (1): | |||||||||
Shares Issued | 2,566,857 | 2,921,274 | |||||||
Shares Issued in Lieu of Cash Distributions | 511,580 | 824,335 | |||||||
Shares Redeemed | (4,527,485 | ) | (3,550,227 | ) | |||||
Net Increase from Capital Share Transactions | (1,449,048 | ) | 195,382 | ||||||
Total Increase (Decrease) in Net Assets | (2,601,978 | ) | 93,906 | ||||||
Net Assets | |||||||||
Beginning of Year | 12,750,110 | 12,656,204 | |||||||
End of Year | $ | 10,148,132 | $ | 12,750,110 | |||||
(1) Shares Issued and Redeemed: | |||||||||
Shares Issued | 166,813 | 170,065 | |||||||
Shares Issued in Lieu of Cash Distributions | 27,715 | 51,059 | |||||||
Shares Redeemed | (292,110 | ) | (206,414 | ) | |||||
Net Increase (Decrease) from Shares Issued and Redeemed | (97,582 | ) | 14,710 |
* | 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. |
See accompanying Notes to Financial Statements.
181
DFA INVESTMENT DIMENSIONS GROUP INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Year | Year | Year | Year | Year | |||||||||||||||||
Ended | Ended | Ended | Ended | Ended | |||||||||||||||||
Oct. 31, | Oct. 31, | Oct. 31, | Oct. 31, | Oct. 31, | |||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||
Net Asset Value, Beginning of Year | $ | 18.21 | $ | 18.46 | $ | 21.52 | $ | 17.78 | $ | 17.78 | |||||||||||
Income from Investment Operations | |||||||||||||||||||||
Net Investment Income (Loss) (A) | 0.33 | 0.43 | 0.46 | 0.41 | 0.43 | ||||||||||||||||
Net Gains (Losses) on Securities | |||||||||||||||||||||
(Realized and Unrealized) | (0.93 | ) | 0.58 | (2.41 | ) | 4.13 | 0.48 | ||||||||||||||
Total from Investment | |||||||||||||||||||||
Operations | (0.60 | ) | 1.01 | (1.95 | ) | 4.54 | 0.91 | ||||||||||||||
Less Distributions | |||||||||||||||||||||
Net Investment Income | (0.37 | ) | (0.44 | ) | (0.44 | ) | (0.34 | ) | (0.51 | ) | |||||||||||
Net Realized Gains | (0.40 | ) | (0.82 | ) | (0.67 | ) | (0.46 | ) | (0.40 | ) | |||||||||||
Total Distributions | (0.77 | ) | (1.26 | ) | (1.11 | ) | (0.80 | ) | (0.91 | ) | |||||||||||
Net Asset Value, End of Year | $ | 16.84 | $ | 18.21 | $ | 18.46 | $ | 21.52 | $ | 17.78 | |||||||||||
Total Return | (3.64 | )% | 6.44 | % | (9.54 | )% | 26.54 | % | 5.43 | % | |||||||||||
Net Assets, End of Year (thousands) | $ | 10,148,132 | $ | 12,750,110 | $ | 12,656,204 | $ | 13,490,290 | $ | 10,387,361 | |||||||||||
Ratio of Expenses to Average | |||||||||||||||||||||
Net Assets *(B) | 0.53 | % | 0.54 | % | 0.53 | % | 0.53 | % | 0.53 | % | |||||||||||
Ratio of Expenses to Average | |||||||||||||||||||||
Net Assets (Excluding Fees (Waived), | |||||||||||||||||||||
(Expenses Reimbursed), and/or | |||||||||||||||||||||
Previously Waived Fees Recovered | |||||||||||||||||||||
by Advisor)(B) | 0.53 | % | 0.54 | % | 0.53 | % | 0.53 | % | 0.53 | % | |||||||||||
Ratio of Net Investment Income to | |||||||||||||||||||||
Average Net Assets | 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 | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.13 | % |
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
182
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 three operational portfolios, of which one, the International Small Company Portfolio (the “Portfolio”), is included in this report.
The International Small Company Portfolio invests in five series (“Underlying Funds”) within The DFA Investment Trust Company (“DFAITC”).
At October 31, 2020, the Portfolio was the owner of record of the following approximate percentages of the total outstanding shares of the following Underlying Funds as detailed below:
Percentage | |||||
Ownership | |||||
Fund of Funds | Underlying Funds | 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% |
The financial statements of the Portfolio’s Underlying Funds 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)
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.
Shares held by the International Small Company Portfolio in other investment companies (such as the Underlying Funds) are valued at their respective daily net asset values as reported by their administrator.
The Portfolio’s investments in the Underlying Funds reflect its proportionate interest in the net assets of such corresponding Underlying Fund. These valuations are classified as Level 1 in the hierarchy.
Futures contracts held by the Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy.
183
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 Summary Schedule of Portfolio Holdings/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.
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. Large Company 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, DFA Inflation-Protected Securities 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: 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 Portfolio estimates 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 Portfolio are allocated using methods approved by the Board, generally based on average net assets.
The Portfolio recognizes its pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from its Underlying Funds within DFAITC, which are treated as partnerships for federal income tax purposes.
The Portfolio 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 Portfolio 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.
C. Investment Advisor and Administrator:
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 an effective annual rate of 0.39% of average daily net assets.
Management Fee Prior to | Management Fee Effective | ||||
February 28, 2020 | February 28, 2020 | ||||
International Small Company Portfolio | 0.40% | 0.38% |
184
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), effective July 21, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to 0.45% of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount, 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 in place for the Portfolio. 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. Prior to July 21, 2015, the Advisor had contractually agreed to waive its administration fee and to assume Portfolio Expenses to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the Expense Limitation Amount listed above.
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 $309 (in thousands). The total related amounts paid the Portfolio are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At October 31, 2020, the total liability for deferred compensation to Directors was $361 and is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities (amounts in thousands).
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.
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 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 | Long-Term | Tax Exempt | ||||||||||||||
Capital Gain | Capital Gains | Income | Total | |||||||||||||
International Small Company Portfolio | ||||||||||||||||
2019 | $ | 339,853 | $ | 517,619 | — | $ | 857,472 | |||||||||
2020 | 251,539 | 278,423 | — | 529,962 |
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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 | Long-Term | ||||||
Short-Term | Capital | ||||||
Capital Gains | Gains | Total | |||||
International Small Company Portfolio | $(23,983) | — | $(23,983) |
At October 31, 2020, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed | Total Net | ||||||||||
Net Investment | Distributable | ||||||||||
Income and | Undistributed | Unrealized | Earnings | ||||||||
Short-Term | Long-Term | Capital Loss | Appreciation | (Accumulated | |||||||
Capital Gains | Capital Gains | Carryforwards | (Depreciation) | Losses) | |||||||
International Small Company Portfolio | $136,707 | — | $(313,125) | $65,923 | $(110,495) |
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 did not have any capital loss carryforwards available to offset future realized capital gains.
Unlimited | Total | ||||
International Small Company Portfolio | 313,125 | 313,125 |
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):
Net | |||||||||
Unrealized | |||||||||
Federal | Unrealized | Unrealized | Appreciation | ||||||
Tax Cost | Appreciation | Depreciation | (Depreciation) | ||||||
International Small Company Portfolio | $10,014,881 | $65,923 | — | $65,923 |
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.
F. Financial Instruments:
In accordance with the Portfolio’s investment objective and policies, the Portfolio may invest either directly or indirectly (through its investment in a corresponding Underlying Fund), in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic
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developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolio may be inhibited.
Underlying Funds that have significant exposure to certain countries, such as the United Kingdom Small Company Series, an Underlying 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 Portfolio, 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 Underlying Fund’s investments.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by the Portfolio.
2. Futures Contracts: The Portfolio may purchase or sell futures contracts and options on futures contracts for equity securities and indices to increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Portfolio. Upon entering into a futures contract, the Portfolio 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 Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio 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 Portfolio could lose more than the initial margin requirements. The Portfolio entering into stock index futures is 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):
Futures** | |||
International Small Company Portfolio | $81,937 |
** | Average Notional Value of contracts |
The following is a summary of the Portfolio’s derivative instrument holdings categorized by primary risk exposure as of October 31, 2020 (amounts in thousands):
Liability Derivatives Value | |||||
Total Value at | Equity | ||||
October 31, 2020 | Contracts*,(1) | ||||
International Small Company Portfolio | $(1,275) | $(1,275) |
(1) | 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 Statement of Assets and Liabilities. |
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The following is a summary of the realized and change in unrealized gains and losses from the Portfolio’s derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2020 (amounts in thousands):
Realized Gain (Loss) on | |||||||||||
(Depreciation) on Derivatives | |||||||||||
Equity | |||||||||||
Total | Contracts(1) | ||||||||||
International Small Company Portfolio | $ | 13,320 | $ | 13,320 |
Change in Unrealized Appreciation | |||||||||
(Depreciation) on Derivatives | |||||||||
Equity | |||||||||
Total | Contracts(2) | ||||||||
International Small Company Portfolio | $(2,575) | $(2,575) |
(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. |
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 7, 2021, with its domestic custodian bank. A line of credit with similar terms was in effect through April 7, 2021. 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 6, 2022.
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, 2021. A line of credit with similar terms was in effect through January 2, 2021. 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, 2022.
For the year ended October 31, 2020, borrowings by the following Portfolio under the lines of credit were as follows (amounts in thousands, except percentages and days):
Maximum | |||||||||||||
Weighted | Weighted | Amount | Outstanding | ||||||||||
Average | Average | Number of | Interest | Borrowed | Borrowings | ||||||||
Interest | Loan | Days | Expense | During | as of | ||||||||
Rate | Balance | Outstanding* | Incurred | the Period | 10/31/2020 | ||||||||
International Small Company Portfolio | 0.85% | 11,561 | 7 | 2 | 24,436 | — |
* | Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2020, that the Portfolio’s available line of credit was used. |
Pursuant to an exemptive order issued by the SEC (the “Order”), the Portfolio may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates
188
available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.
The Portfolio did not use the interfund lending program during the year ended October 31, 2020.
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:
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. Management has evaluated the implications of these changes and determined that the effect on the Portfolios is expected to be immaterial.
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 (the “Derivatives Rule”) imposes limits on the amount of derivatives contracts the Portfolios could enter, eliminate the asset segregation framework currently used by the Portfolios to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. The Derivatives Rule became effective February 19, 2021 and the Portfolios are required to comply on August 19, 2022. Management is currently evaluating the effect, if any, the Derivatives Rule will have on the Portfolios.
On December 3, 2020, the SEC adopted new rule 2a-5 (the Valuation Rule”) under the Investment Company Act of 1940, establishing an updated regulatory framework for fund valuation. The Valuation Rule, in part, provides a framework for good faith fair value determination and permits a Board to designate fair value determinations to a fund’s investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Valuation Rule became effective on March 8, 2021, with a compliance date of September 8, 2022. Management is currently evaluating the Valuation Rule and its effect on the Portfolios.
J. Coronavirus (COVID-19) Pandemic:
The ongoing outbreak of the novel coronavirus, COVID-19, has resulted, at times, in market closures, market volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in global travel restrictions and disruptions of healthcare systems, business operations and supply chains, layoffs, reduced consumer demand, defaults and credit rating downgrades, and other significant economic impacts. The effects of COVID-19 have impacted global economic activity and may heighten pre-existing political, social and economic risks, domestically or globally. The full impact of the COVID-19 pandemic is unpredictable and may adversely affect the Portfolio’s performance.
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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.
Approximate | |||||
Number of | Percentage of | ||||
Shareholders | Outstanding Shares | ||||
International Small Company Portfolio – Institutional Class Shares | 3 | 65% |
L. Subsequent Event Evaluations:
On June 3, 2021, President Biden issued an Executive Order titled Addressing the Threat from Securities Investments that Finance Certain Companies of the People’s Republic of China” (the “Order”). The Order restricts investment in certain companies identified as “Chinese Military Industrial Complex Companies” by the Office of Foreign Asset Control, an agency of the Department of Treasury and the Department of Defense. Management is currently evaluating the Order’s effect on the Portfolio.
Management has evaluated the impact of all other subsequent events on the Portfolio through the date on which the financial statements were issued and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of International Small Company Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of International Small Company Portfolio (one of the portfolios constituting DFA Investment Dimensions 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 securities owned as of October 31, 2020 by correspondence with the broker and transfer agent of the investee funds. 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.
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Selected Financial Statements of The DFA Investment Trust Company
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
TABLE OF CONTENTS
Page | ||
Disclosure of Fund Expenses — October 31, 2020 (Unaudited) | 193 | |
Disclosure of Portfolio Holdings — October 31, 2020 (Unaudited) | 195 | |
Summary Schedules of Portfolio Holdings — June 30, 2021 (Unaudited) | 196 | |
The Japanese Small Company Series | 196 | |
The Asia Pacific Small Company Series | 200 | |
The United Kingdom Small Company Series | 203 | |
The Continental Small Company Series | 206 | |
The Canadian Small Company Series | 210 | |
Summary Schedules of Portfolio Holdings — October 31, 2020 | 214 | |
The Japanese Small Company Series | 214 | |
The Asia Pacific Small Company Series | 217 | |
The United Kingdom Small Company Series | 220 | |
The Continental Small Company Series | 223 | |
The Canadian Small Company Series | 227 | |
Statement of Assets and Liabilities — June 30, 2021 (Unaudited) | 231 | |
Statement of Assets and Liabilities — October 31, 2020 | 232 | |
Statement of Operations — October 31, 2020 | 233 | |
Statement of Changes in Net Assets | 234 | |
Financial Highlights | 237 | |
Notes to Financial Statements — October 31, 2020 | 239 | |
Report of Independent Registered Public Accounting Firm | 250 | |
Fund Management — October 31, 2020 | 251 | |
Voting Proxies on Fund Portfolio Securities | 259 |
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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” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
Six Months Ended October 31, 2020
EXPENSE TABLES
Beginning | Ending | Expenses | |||||||||||||||
Account | Account | Annualized | Paid | ||||||||||||||
Value | Value | Expense | During | ||||||||||||||
05/01/20 | 10/31/20 | Ratio(1) | Period(1) | ||||||||||||||
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 | |||||||||
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 |
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Beginning | Ending | Expenses | |||||||||||||||
Account | Account | Annualized | Paid | ||||||||||||||
Value | Value | Expense | During | ||||||||||||||
05/01/20 | 10/31/20 | Ratio(1) | Period(1) | ||||||||||||||
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 |
(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. |
194
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 June 25, 2021. 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.
SERIES | |||||||||||
The Japanese Small Company Series | The Asia Pacific Small Company Series | The United Kingdom Small Company Series | |||||||||
Communication Services | 2.9% | Communication Services | 8.3% | Communication Services | 2.5% | ||||||
Consumer Discretionary | 16.6% | Consumer Discretionary | 18.1% | Consumer Discretionary | 19.2% | ||||||
Consumer Staples | 8.0% | Consumer Staples | 7.6% | Consumer Staples | 6.6% | ||||||
Energy | 1.3% | Energy | 1.9% | Energy | 1.9% | ||||||
Financials | 8.8% | Financials | 11.6% | Financials | 14.7% | ||||||
Health Care | 4.5% | Health Care | 5.7% | Health Care | 3.7% | ||||||
Industrials | 29.7% | Industrials | 13.1% | Industrials | 30.4% | ||||||
Information Technology | 13.7% | Information Technology | 8.2% | Information Technology | 8.1% | ||||||
Materials | 10.8% | Materials | 15.9% | Materials | 7.2% | ||||||
Real Estate | 2.0% | Real Estate | 6.6% | Real Estate | 4.2% | ||||||
Utilities | 1.7% | Utilities | 3.0% | Utilities | 1.5% | ||||||
100.0% | 100.0% | 100.0% | |||||||||
DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED | |||||||||||
The Continental Small Company Series | The Canadian Small Company Series | ||||||||||
Communication Services | 5.7% | Communication Services | 1.3% | ||||||||
Consumer Discretionary | 9.8% | Consumer Discretionary | 6.3% | ||||||||
Consumer Staples | 5.0% | Consumer Staples | 6.0% | ||||||||
Energy | 2.2% | Energy | 13.1% | ||||||||
Financials | 13.1% | Financials | 10.5% | ||||||||
Health Care | 6.2% | Health Care | 1.1% | ||||||||
Industrials | 26.6% | Industrials | 13.1% | ||||||||
Information Technology | 11.9% | Information Technology | 6.2% | ||||||||
Materials | 8.3% | Materials | 29.8% | ||||||||
Real Estate | 6.9% | Real Estate | 4.2% | ||||||||
Utilities | 4.3% | Utilities | 8.4% | ||||||||
100.0% | 100.0% |
195
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
COMMON STOCKS — (98.9%) | ||||||||||
COMMUNICATION SERVICES — (2.8%) | ||||||||||
Internet Initiative Japan, Inc. | 252,800 | $ | 7,856,246 | 0.3 | % | |||||
Other Securities | 81,024,787 | 2.5 | % | |||||||
TOTAL COMMUNICATION SERVICES | 88,881,033 | 2.8 | % | |||||||
CONSUMER DISCRETIONARY — (14.5%) | ||||||||||
Takashimaya Co., Ltd. | 702,000 | 7,653,273 | 0.3 | % | ||||||
Other Securities | 447,832,376 | 14.3 | % | |||||||
TOTAL CONSUMER DISCRETIONARY | 455,485,649 | 14.6 | % | |||||||
CONSUMER STAPLES — (7.4%) | ||||||||||
# | cocokara fine, Inc. | 127,060 | 9,493,765 | 0.3 | % | |||||
Milbon Co., Ltd. | 154,752 | 8,747,458 | 0.3 | % | ||||||
Nippon Suisan Kaisha, Ltd. | 1,794,300 | 8,556,580 | 0.3 | % | ||||||
Other Securities | 204,364,126 | 6.5 | % | |||||||
TOTAL CONSUMER STAPLES | 231,161,929 | 7.4 | % | |||||||
ENERGY — (1.0%) | ||||||||||
Cosmo Energy Holdings Co., Ltd. | 344,800 | 7,915,202 | 0.3 | % | ||||||
Other Securities | 24,193,215 | 0.7 | % | |||||||
TOTAL ENERGY | 32,108,417 | 1.0 | % | |||||||
FINANCIALS — (8.3%) | ||||||||||
Fuyo General Lease Co., Ltd. | 115,400 | 7,296,857 | 0.2 | % | ||||||
Jafco Group Co., Ltd. | 204,100 | 12,726,138 | 0.4 | % | ||||||
Other Securities | 239,207,743 | 7.7 | % | |||||||
TOTAL FINANCIALS | 259,230,738 | 8.3 | % | |||||||
HEALTH CARE — (4.8%) | ||||||||||
H.U. Group Holdings, Inc. | 336,700 | 8,688,032 | 0.3 | % | ||||||
Jeol, Ltd. | 168,400 | 9,834,207 | 0.3 | % | ||||||
Other Securities | 131,879,431 | 4.2 | % | |||||||
TOTAL HEALTH CARE | 150,401,670 | 4.8 | % | |||||||
INDUSTRIALS — (30.4%) | ||||||||||
Daiseki Co., Ltd. | 243,963 | 10,958,909 | 0.4 | % | ||||||
DMG Mori Co., Ltd. | 673,200 | 12,105,945 | 0.4 | % | ||||||
Furukawa Electric Co., Ltd. | 404,800 | 10,093,882 | 0.3 | % | ||||||
GS Yuasa Corp. | 320,483 | 8,195,451 | 0.3 | % | ||||||
Hazama Ando Corp. | 1,302,400 | 9,588,067 | 0.3 | % | ||||||
Inaba Denki Sangyo Co., Ltd. | 347,600 | 8,101,006 | 0.3 | % | ||||||
Japan Steel Works, Ltd. (The) | 389,300 | 9,995,109 | 0.3 | % | ||||||
Maeda Corp. | 914,100 | 7,929,779 | 0.3 | % | ||||||
Meitec Corp. | 169,000 | 9,149,932 | 0.3 | % | ||||||
Mirait Holdings Corp. | 524,835 | 9,307,692 | 0.3 | % | ||||||
Nagase & Co., Ltd. | 538,000 | 8,042,087 | 0.3 | % |
196
The Japanese Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
INDUSTRIALS — (Continued) | ||||||||||
Nichias Corp. | 392,400 | $ | 9,890,784 | 0.3 | % | |||||
Nikkon Holdings Co., Ltd. | 385,300 | 8,404,229 | 0.3 | % | ||||||
Nishimatsu Construction Co., Ltd. | 345,000 | 10,756,538 | 0.4 | % | ||||||
Nisshinbo Holdings, Inc. | 908,180 | 7,864,702 | 0.3 | % | ||||||
# | OSG Corp. | 468,300 | 8,128,545 | 0.3 | % | |||||
Outsourcing, Inc. | 732,300 | 13,295,817 | 0.4 | % | ||||||
Penta-Ocean Construction Co., Ltd. | 1,237,700 | 8,624,553 | 0.3 | % | ||||||
Ushio, Inc. | 660,300 | 12,071,065 | 0.4 | % | ||||||
Other Securities | 771,755,843 | 24.4 | % | |||||||
TOTAL INDUSTRIALS | 954,259,935 | 30.6 | % | |||||||
INFORMATION TECHNOLOGY — (14.8%) | ||||||||||
Daiwabo Holdings Co., Ltd. | 587,500 | 10,083,474 | 0.3 | % | ||||||
Dexerials Corp. | 357,200 | 7,517,969 | 0.3 | % | ||||||
Ferrotec Holdings Corp. | 239,200 | 7,317,952 | 0.2 | % | ||||||
Macnica Fuji Electronics Holdings, Inc. | 328,350 | 7,885,927 | 0.3 | % | ||||||
Mitsui High-Tec, Inc. | 130,600 | 7,484,402 | 0.3 | % | ||||||
# | Nippon Electric Glass Co., Ltd. | 431,236 | 10,126,421 | 0.3 | % | |||||
NSD Co., Ltd. | 508,160 | 8,490,037 | 0.3 | % | ||||||
* | Sanken Electric Co., Ltd. | 149,900 | 7,456,382 | 0.2 | % | |||||
Tokyo Seimitsu Co., Ltd. | 257,200 | 11,611,397 | 0.4 | % | ||||||
Topcon Corp. | 691,700 | 10,290,599 | 0.3 | % | ||||||
# | Ulvac, Inc. | 231,300 | 11,712,340 | 0.4 | % | |||||
Other Securities | 363,260,269 | 11.6 | % | |||||||
TOTAL INFORMATION TECHNOLOGY | 463,237,169 | 14.9 | % | |||||||
MATERIALS — (11.6%) | ||||||||||
ADEKA Corp. | 604,300 | 11,340,574 | 0.4 | % | ||||||
Asahi Holdings, Inc. | 455,700 | 9,272,716 | 0.3 | % | ||||||
Daido Steel Co., Ltd. | 155,600 | 7,702,706 | 0.3 | % | ||||||
Kobe Steel, Ltd. | 1,495,100 | 9,603,460 | 0.3 | % | ||||||
Mitsui Mining & Smelting Co., Ltd. | 379,600 | 10,532,068 | 0.3 | % | ||||||
Sumitomo Bakelite Co., Ltd. | 163,900 | 7,251,636 | 0.2 | % | ||||||
Toagosei Co., Ltd. | 747,000 | 7,596,203 | 0.3 | % | ||||||
Tokuyama Corp. | 385,498 | 7,853,180 | 0.3 | % | ||||||
Other Securities | 292,813,158 | 9.3 | % | |||||||
TOTAL MATERIALS | 363,965,701 | 11.7 | % | |||||||
REAL ESTATE — (1.7%) | ||||||||||
Heiwa Real Estate Co., Ltd. | 229,400 | 8,648,208 | 0.3 | % | ||||||
Other Securities | 46,339,436 | 1.5 | % | |||||||
TOTAL REAL ESTATE | 54,987,644 | 1.8 | % | |||||||
UTILITIES — (1.6%) | ||||||||||
Nippon Gas Co., Ltd. | 611,100 | 10,404,925 | 0.3 | % | ||||||
Other Securities | 38,847,838 | 1.3 | % | |||||||
TOTAL UTILITIES | 49,252,763 | 1.6 | % |
197
The Japanese Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $2,585,190,397) | $ | 3,102,972,648 | 99.5 | % | ||||||
Value† | ||||||||||
SECURITIES LENDING COLLATERAL — (1.1%) | ||||||||||
@§ | The DFA Short Term Investment Fund | 3,099,118 | 35,856,793 | 1.1 | % | |||||
TOTAL INVESTMENTS—(100.0%) | ||||||||||
(Cost $2,621,033,970)^ | $ | 3,138,829,441 | 100.6 | % |
^ | The cost for federal income tax purposes is $2,621,033,970. |
198
The Japanese Small Company Series
continued
Summary of the Series’ investments as of June 30, 2021, 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 | — | $ | 88,881,033 | — | $ | 88,881,033 | |||||||
Consumer Discretionary | $ | 2,315,829 | 453,169,820 | — | 455,485,649 | ||||||||
Consumer Staples | — | 231,161,929 | — | 231,161,929 | |||||||||
Energy | — | 32,108,417 | — | 32,108,417 | |||||||||
Financials | — | 259,230,738 | — | 259,230,738 | |||||||||
Health Care | — | 150,401,670 | — | 150,401,670 | |||||||||
Industrials | 2,068,203 | 952,191,732 | — | 954,259,935 | |||||||||
Information Technology | — | 463,237,169 | — | 463,237,169 | |||||||||
Materials | — | 363,965,701 | — | 363,965,701 | |||||||||
Real Estate | — | 54,987,644 | — | 54,987,644 | |||||||||
Utilities | — | 49,252,763 | — | 49,252,763 | |||||||||
Securities Lending Collateral | — | 35,856,793 | — | 35,856,793 | |||||||||
TOTAL | $ | 4,384,032 | $ | 3,134,445,409 | — | $ | 3,138,829,441 |
See accompanying Notes to Financial Statements.
199
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
COMMON STOCKS — (97.2%) | ||||||||||
AUSTRALIA — (55.8%) | ||||||||||
ALS, Ltd. | 1,252,385 | $ | 12,238,717 | 0.7 | % | |||||
Ansell, Ltd. | 383,998 | 12,526,172 | 0.7 | % | ||||||
ARB Corp., Ltd. | 538,242 | 17,416,114 | 1.0 | % | ||||||
Bank of Queensland, Ltd. | 2,119,659 | 14,478,493 | 0.8 | % | ||||||
Bapcor, Ltd. | 2,189,248 | 13,950,126 | 0.8 | % | ||||||
Breville Group, Ltd. | 798,457 | 17,904,482 | 1.0 | % | ||||||
Carsales.com, Ltd. | 962,478 | 14,253,376 | 0.8 | % | ||||||
#* | Corporate Travel Management, Ltd. | 650,080 | 10,458,905 | 0.6 | % | |||||
Credit Corp. Group, Ltd. | 442,571 | 9,849,187 | 0.5 | % | ||||||
CSR, Ltd. | 3,109,441 | 13,438,969 | 0.7 | % | ||||||
Downer EDI, Ltd. | 2,441,422 | 10,227,806 | 0.6 | % | ||||||
Elders, Ltd. | 1,121,521 | 9,715,890 | 0.5 | % | ||||||
Healius, Ltd. | 3,973,423 | 13,791,260 | 0.8 | % | ||||||
IGO, Ltd. | 2,212,503 | 12,627,225 | 0.7 | % | ||||||
Iluka Resources, Ltd. | 1,655,501 | 11,335,355 | 0.6 | % | ||||||
IOOF Holdings, Ltd. | 3,815,495 | 12,202,094 | 0.7 | % | ||||||
IRESS, Ltd. | 1,225,060 | 11,858,090 | 0.7 | % | ||||||
#* | Lynas Rare Earths, Ltd. | 5,868,035 | 25,084,138 | 1.4 | % | |||||
# | Metcash, Ltd. | 7,621,231 | 22,854,228 | 1.3 | % | |||||
nib holdings, Ltd. | 3,044,680 | 14,861,079 | 0.8 | % | ||||||
Nine Entertainment Co. Holdings, Ltd. | 6,491,008 | 14,178,018 | 0.8 | % | ||||||
Orora, Ltd. | 5,931,076 | 14,828,851 | 0.8 | % | ||||||
OZ Minerals, Ltd. | 689,105 | 11,585,153 | 0.6 | % | ||||||
Pendal Group, Ltd. | 2,058,779 | 12,437,409 | 0.7 | % | ||||||
Perpetual, Ltd. | 395,369 | 11,871,950 | 0.7 | % | ||||||
Premier Investments, Ltd. | 562,740 | 12,050,062 | 0.7 | % | ||||||
Pro Medicus, Ltd. | 226,691 | 9,984,505 | 0.6 | % | ||||||
Reliance Worldwide Corp., Ltd. | 4,169,614 | 16,436,717 | 0.9 | % | ||||||
Sims, Ltd. | 1,175,465 | 14,616,678 | 0.8 | % | ||||||
Spark Infrastructure Group | 11,138,058 | 18,780,950 | 1.0 | % | ||||||
* | Star Entertainment Grp, Ltd. (The) | 3,822,270 | 10,564,968 | 0.6 | % | |||||
Steadfast Group, Ltd. | 5,683,479 | 18,737,035 | 1.0 | % | ||||||
Super Retail Group, Ltd. | 1,139,326 | 11,016,660 | 0.6 | % | ||||||
Technology One, Ltd. | 1,748,272 | 12,194,291 | 0.7 | % | ||||||
Other Securities | 555,405,455 | 30.2 | % | |||||||
TOTAL AUSTRALIA | 1,025,760,408 | 56.4 | % | |||||||
CHINA — (0.0%) | ||||||||||
Other Securities | 741,379 | 0.0 | % | |||||||
HONG KONG — (23.1%) | ||||||||||
ASM Pacific Technology, Ltd. | 1,206,800 | 16,347,569 | 0.9 | % | ||||||
IGG, Inc. | 9,004,000 | 11,895,943 | 0.7 | % | ||||||
Kerry Logistics Network, Ltd. | 4,063,500 | 12,328,789 | 0.7 | % | ||||||
Luk Fook Holdings International, Ltd. | 3,667,000 | 12,658,519 | 0.7 | % |
200
The Asia Pacific Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
HONG KONG — (Continued) | |||||||||
* | Pacific Basin Shipping, Ltd. | 33,421,000 | $ | 13,465,043 | 0.7% | ||||
SITC International Holdings Co., Ltd. | 4,784,000 | 19,992,059 | 1.1% | ||||||
# | Vitasoy International Holdings, Ltd. | 2,731,000 | 10,138,866 | 0.6% | |||||
VTech Holdings, Ltd. | 1,410,600 | 14,844,501 | 0.8% | ||||||
Other Securities | 312,059,743 | 17.1% | |||||||
TOTAL HONG KONG | 423,731,032 | 23.3% | |||||||
NEW ZEALAND — (6.6%) | |||||||||
Chorus, Ltd. | 2,919,774 | 13,060,282 | 0.7% | ||||||
Infratil, Ltd. | 3,887,656 | 20,922,460 | 1.2% | ||||||
Mainfreight, Ltd. | 219,747 | 11,815,071 | 0.6% | ||||||
* | SKYCITY Entertainment Group, Ltd. | 4,978,126 | 12,215,945 | 0.7% | |||||
Summerset Group Holdings, Ltd. | 1,218,186 | 11,417,030 | 0.6% | ||||||
Other Securities | 51,763,344 | 2.9% | |||||||
TOTAL NEW ZEALAND | 121,194,132 | 6.7% | |||||||
SINGAPORE — (11.3%) | |||||||||
# | ComfortDelGro Corp., Ltd. | 10,328,200 | 12,621,779 | 0.7% | |||||
Sembcorp Industries, Ltd. | 6,697,200 | 10,682,455 | 0.6% | ||||||
# | Singapore Press Holdings, Ltd. | 7,633,400 | 9,730,289 | 0.5% | |||||
Other Securities | 173,749,678 | 9.6% | |||||||
TOTAL SINGAPORE | 206,784,201 | 11.4% | |||||||
UNITED STATES — (0.4%) | |||||||||
Other Securities | 7,575,079 | 0.4% | |||||||
TOTAL COMMON STOCKS | 1,785,786,231 | 98.2% | |||||||
PREFERRED STOCKS — (0.0%) | |||||||||
AUSTRALIA — (0.0%) | |||||||||
Other Security | 76,675 | 0.0% | |||||||
RIGHTS/WARRANTS — (0.0%) | |||||||||
AUSTRALIA — (0.0%) | |||||||||
Other Security | 81,645 | 0.0% | |||||||
HONG KONG — (0.0%) | |||||||||
Other Securities | 122,174 | 0.0% | |||||||
SINGAPORE — (0.0%) | |||||||||
Other Securities | 16,589 | 0.0% | |||||||
TOTAL RIGHTS/WARRANTS | 220,408 | 0.0% | |||||||
TOTAL INVESTMENT SECURITIES | |||||||||
(Cost $1,507,495,382) | 1,786,083,314 | ||||||||
Value† | |||||||||
SECURITIES LENDING COLLATERAL — (2.8%) | |||||||||
@§ | The DFA Short Term Investment Fund | 4,397,520 | 50,879,302 | 2.8% | |||||
TOTAL INVESTMENTS—(100.0%) | |||||||||
(Cost $1,558,370,395)^ | $ | 1,836,962,616 | 101.0% |
201
The Asia Pacific Small Company Series
continued
^ | The cost for federal income tax purposes is $1,558,370,395. |
Summary of the Series’ investments as of June 30, 2021, 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 | $ | 99,930 | $ | 1,025,660,478 | — | $ | 1,025,760,408 | ||||||
China | — | 741,379 | — | 741,379 | |||||||||
Hong Kong | 2,512,257 | 421,218,775 | — | 423,731,032 | |||||||||
New Zealand | — | 121,194,132 | — | 121,194,132 | |||||||||
Singapore | — | 206,784,201 | — | 206,784,201 | |||||||||
United States | 1,178,359 | 6,396,720 | — | 7,575,079 | |||||||||
Preferred Stocks | |||||||||||||
Australia | 76,675 | — | — | 76,675 | |||||||||
Rights/Warrants | |||||||||||||
Australia | — | 81,645 | — | 81,645 | |||||||||
Hong Kong | — | 122,174 | — | 122,174 | |||||||||
Singapore | — | 16,589 | — | 16,589 | |||||||||
Securities Lending Collateral | — | 50,879,302 | — | 50,879,302 | |||||||||
TOTAL | $ | 3,867,221 | $ | 1,833,095,395 | — | $ | 1,836,962,616 |
See accompanying Notes to Financial Statements.
202
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
COMMON STOCKS — (98.9%) | |||||||||
COMMUNICATION SERVICES — (3.3%) | |||||||||
Other Securities | $ | 64,243,102 | 3.3% | ||||||
CONSUMER DISCRETIONARY — (20.3%) | |||||||||
Bellway P.L.C | 467,558 | 20,947,167 | 1.1% | ||||||
* | Countryside Properties P.L.C. | 2,837,079 | 18,602,918 | 1.0% | |||||
Domino’s Pizza Group P.L.C. | 3,262,553 | 17,551,753 | 0.9% | ||||||
Games Workshop Group P.L.C. | 170,791 | 26,934,249 | 1.4% | ||||||
* | Greggs P.L.C. | 617,131 | 22,213,558 | 1.2% | |||||
Inchcape P.L.C. | 2,476,466 | 26,355,875 | 1.4% | ||||||
* | Marks & Spencer Group P.L.C. | 6,763,668 | 13,717,631 | 0.7% | |||||
Pets at Home Group P.L.C. | 3,140,708 | 19,852,790 | 1.0% | ||||||
Redrow P.L.C. | 1,563,824 | 13,265,541 | 0.7% | ||||||
* | SSP Group P.L.C. | 3,741,447 | 13,805,579 | 0.7% | |||||
Vistry Group P.L.C. | 909,524 | 14,807,784 | 0.8% | ||||||
* | WH Smith P.L.C. | 584,365 | 13,020,676 | 0.7% | |||||
Other Securities | 170,790,317 | 8.9% | |||||||
TOTAL CONSUMER DISCRETIONARY | 391,865,838 | 20.5% | |||||||
CONSUMER STAPLES — (6.7%) | |||||||||
Britvic P.L.C. | 1,587,277 | 20,605,166 | 1.1% | ||||||
Cranswick P.L.C. | 369,967 | 20,353,869 | 1.1% | ||||||
Fevertree Drinks P.L.C. | 610,917 | 21,742,423 | 1.1% | ||||||
Tate & Lyle P.L.C. | 2,307,149 | 23,597,270 | 1.2% | ||||||
Other Securities | 42,677,558 | 2.2% | |||||||
TOTAL CONSUMER STAPLES | 128,976,286 | 6.7% | |||||||
ENERGY — (1.9%) | |||||||||
Other Securities | 37,038,002 | 1.9% | |||||||
FINANCIALS — (15.2%) | |||||||||
* | Beazley P.L.C. | 3,078,734 | 14,172,541 | 0.7% | |||||
Close Brothers Group P.L.C. | 963,064 | 20,183,512 | 1.1% | ||||||
* | Hiscox, Ltd. | 1,295,661 | 14,923,738 | 0.8% | |||||
IG Group Holdings P.L.C. | 2,317,134 | 27,152,889 | 1.4% | ||||||
Man Group P.L.C. | 9,432,150 | 23,462,145 | 1.2% | ||||||
Paragon Banking Group P.L.C. | 1,931,703 | 13,626,903 | 0.7% | ||||||
Quilter P.L.C. | 10,450,012 | 21,503,238 | 1.1% | ||||||
Other Securities | 157,100,276 | 8.3% | |||||||
TOTAL FINANCIALS | 292,125,242 | 15.3% | |||||||
HEALTH CARE — (3.7%) | |||||||||
UDG Healthcare P.L.C. | 1,122,074 | 16,604,888 | 0.9% | ||||||
Other Securities | 55,298,964 | 2.9% | |||||||
TOTAL HEALTH CARE | 71,903,852 | 3.8% | |||||||
INDUSTRIALS — (27.8%) | |||||||||
* | Balfour Beatty P.L.C. | 3,579,056 | 15,212,621 | 0.8% | |||||
Bodycote P.L.C. | 1,243,323 | 14,566,616 | 0.8% | ||||||
Diploma P.L.C. | 650,354 | 26,162,593 | 1.4% | ||||||
Electrocomponents P.L.C. | 920,669 | 13,116,859 | 0.7% | ||||||
Grafton Group P.L.C. | 1,582,491 | 25,150,545 | 1.3% | ||||||
* | Hays P.L.C. | 8,412,540 | 18,474,948 | 1.0% |
203
The United Kingdom Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
INDUSTRIALS — (Continued) | |||||||||
IMI P.L.C. | 1,316,338 | $ | 31,328,332 | 1.6% | |||||
* | Meggitt P.L.C. | 2,488,566 | 15,896,964 | 0.8% | |||||
* | Pagegroup P.L.C. | 1,960,650 | 15,181,344 | 0.8% | |||||
QinetiQ Group P.L.C. | 3,409,929 | 16,230,904 | 0.8% | ||||||
Rotork P.L.C. | 5,397,898 | 25,458,616 | 1.3% | ||||||
* | Royal Mail P.L.C. | 3,874,121 | 30,976,848 | 1.6% | |||||
* | Travis Perkins P.L.C. | 1,165,701 | 27,274,255 | 1.4% | |||||
Ultra Electronics Holdings P.L.C. | 566,936 | 17,969,121 | 0.9% | ||||||
Other Securities | 242,634,692 | 12.8% | |||||||
TOTAL INDUSTRIALS | 535,635,258 | 28.0% | |||||||
INFORMATION TECHNOLOGY — (7.6%) | |||||||||
Computacenter P.L.C. | 513,813 | 18,311,870 | 1.0% | ||||||
Softcat P.L.C. | 768,191 | 18,879,953 | 1.0% | ||||||
Spectris P.L.C. | 577,563 | 25,904,850 | 1.4% | ||||||
Spirent Communications P.L.C. | 4,043,382 | 13,783,622 | 0.7% | ||||||
Other Securities | 69,284,811 | 3.5% | |||||||
TOTAL INFORMATION TECHNOLOGY | 146,165,106 | 7.6% | |||||||
MATERIALS — (6.5%) | |||||||||
* | Marshalls P.L.C. | 1,404,106 | 13,337,553 | 0.7% | |||||
Synthomer P.L.C. | 2,254,788 | 15,346,041 | 0.8% | ||||||
Victrex P.L.C. | 551,606 | 19,455,915 | 1.0% | ||||||
Other Securities | 77,344,193 | 4.0% | |||||||
TOTAL MATERIALS | 125,483,702 | 6.5% | |||||||
REAL ESTATE — (4.3%) | |||||||||
Grainger P.L.C. | 4,330,519 | 17,067,160 | 0.9% | ||||||
* | IWG P.L.C. | 3,618,386 | 15,058,440 | 0.8% | |||||
Savills P.L.C. | 965,532 | 15,413,346 | 0.8% | ||||||
St. Modwen Properties P.L.C. | 2,664,787 | 20,513,097 | 1.1% | ||||||
Other Securities | 13,971,594 | 0.7% | |||||||
TOTAL REAL ESTATE | 82,023,637 | 4.3% | |||||||
UTILITIES — (1.6%) | |||||||||
Drax Group P.L.C. | 2,438,473 | 14,303,991 | 0.8% | ||||||
Other Securities | 15,793,435 | 0.8% | |||||||
TOTAL UTILITIES | 30,097,426 | 1.6% | |||||||
TOTAL COMMON STOCKS | |||||||||
(Cost $1,455,176,019) | 1,905,557,451 | 99.5% | |||||||
Value† | |||||||||
SECURITIES LENDING COLLATERAL — (1.1%) | |||||||||
@§ | The DFA Short Term Investment Fund | 1,883,342 | 21,790,271 | 1.2% | |||||
TOTAL INVESTMENTS—(100.0%) | |||||||||
(Cost $1,476,961,399)^ | $ | 1,927,347,722 | 100.7% |
^ | The cost for federal income tax purposes is $1,476,961,399. |
204
The United Kingdom Small Company Series
continued
Summary of the Series’ investments as of June 30, 2021, 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 | — | $ | 64,243,102 | — | $ | 64,243,102 | |||||||
Consumer Discretionary | $ | 4,933,091 | 386,932,747 | — | 391,865,838 | ||||||||
Consumer Staples | — | 128,976,286 | — | 128,976,286 | |||||||||
Energy | — | 37,038,002 | — | 37,038,002 | |||||||||
Financials | — | 292,125,242 | — | 292,125,242 | |||||||||
Health Care | — | 71,903,852 | — | 71,903,852 | |||||||||
Industrials | — | 535,635,258 | — | 535,635,258 | |||||||||
Information Technology | — | 146,165,106 | — | 146,165,106 | |||||||||
Materials | — | 125,483,702 | — | 125,483,702 | |||||||||
Real Estate | — | 82,023,637 | — | 82,023,637 | |||||||||
Utilities | — | 30,097,426 | — | 30,097,426 | |||||||||
Securities Lending Collateral | — | 21,790,271 | — | 21,790,271 | |||||||||
TOTAL | $ | 4,933,091 | $ | 1,922,414,631 | — | $ | 1,927,347,722 |
See accompanying Notes to Financial Statements.
205
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
BONDS — (0.0%) | |||||||||
GERMANY — (0.0%) | |||||||||
Other Security | $ | 323,222 | 0.0% | ||||||
COMMON STOCKS — (94.3%) | |||||||||
AUSTRIA — (3.5%) | |||||||||
ANDRITZ AG | 466,575 | 26,241,121 | 0.4% | ||||||
Wienerberger AG | 610,252 | 23,522,875 | 0.4% | ||||||
Other Securities | 169,473,011 | 2.9% | |||||||
TOTAL AUSTRIA | 219,237,007 | 3.7% | |||||||
BELGIUM — (3.6%) | |||||||||
Ackermans & van Haaren NV | 170,533 | 28,815,282 | 0.5% | ||||||
D'ieteren SA | 194,540 | 23,552,911 | 0.4% | ||||||
Other Securities | 172,154,833 | 2.8% | |||||||
TOTAL BELGIUM | 224,523,026 | 3.7% | |||||||
DENMARK — (5.3%) | |||||||||
* | Jyske Bank A.S. | 422,830 | 20,492,270 | 0.3% | |||||
Royal Unibrew A.S. | 319,998 | 40,775,088 | 0.7% | ||||||
# | SimCorp A.S. | 251,433 | 31,580,623 | 0.5% | |||||
# | Topdanmark A.S. | 428,065 | 22,274,904 | 0.4% | |||||
Other Securities | 212,392,512 | 3.6% | |||||||
TOTAL DENMARK | 327,515,397 | 5.5% | |||||||
FINLAND — (6.0%) | |||||||||
Huhtamaki Oyj | 631,120 | 29,935,323 | 0.5% | ||||||
Nokian Renkaat Oyj | 579,923 | 23,427,616 | 0.4% | ||||||
# | Orion Oyj, Class B | 515,971 | 22,183,887 | 0.4% | |||||
Valmet Oyj | 889,683 | 38,851,857 | 0.6% | ||||||
Other Securities | 254,980,003 | 4.3% | |||||||
TOTAL FINLAND | 369,378,686 | 6.2% | |||||||
FRANCE — (10.1%) | |||||||||
* | Elis SA | 1,122,246 | 21,176,085 | 0.4% | |||||
Rexel SA | 2,073,563 | 43,416,583 | 0.7% | ||||||
Rubis SCA | 518,092 | 23,052,816 | 0.4% | ||||||
* | SOITEC | 132,921 | 29,351,806 | 0.5% | |||||
* | Sopra Steria Group SACA | 108,873 | 20,948,969 | 0.4% | |||||
Other Securities | 490,175,335 | 8.1% | |||||||
TOTAL FRANCE | 628,121,594 | 10.5% | |||||||
GERMANY — (15.3%) | |||||||||
Aurubis AG | 285,630 | 26,511,311 | 0.4% | ||||||
* | Dialog Semiconductor P.L.C. | 544,240 | 42,329,501 | 0.7% | |||||
Freenet AG | 894,705 | 21,154,193 | 0.4% | ||||||
GEA Group AG | 746,864 | 30,263,026 | 0.5% | ||||||
Gerresheimer AG | 242,136 | 26,782,023 | 0.5% | ||||||
Grand City Properties SA | 783,310 | 21,155,349 | 0.4% |
206
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
GERMANY— (Continued) | |||||||||
Hugo Boss AG | 392,537 | $ | 21,380,957 | 0.4% | |||||
Lanxess AG | 590,921 | 40,554,303 | 0.7% | ||||||
* | ProSiebenSat.1 Media SE | 1,340,987 | 26,738,492 | 0.4% | |||||
Rheinmetall AG | 302,240 | 29,865,297 | 0.5% | ||||||
# | Siltronic AG | 146,283 | 24,379,091 | 0.4% | |||||
TAG Immobilien AG | 954,559 | 30,256,177 | 0.5% | ||||||
Other Securities | 608,983,956 | 10.1% | |||||||
TOTAL GERMANY | 950,353,676 | 15.9% | |||||||
IRELAND — (0.8%) | |||||||||
* | Bank of Ireland Group P.L.C. | 4,690,139 | 25,167,918 | 0.4% | |||||
Other Securities | 26,795,336 | 0.5% | |||||||
TOTAL IRELAND | 51,963,254 | 0.9% | |||||||
ISRAEL — (3.2%) | |||||||||
Other Securities | 200,818,675 | 3.4% | |||||||
ITALY — (8.3%) | |||||||||
# | Banco BPM SpA | 10,026,255 | 32,319,368 | 0.5% | |||||
Italgas SpA | 3,321,510 | 21,726,642 | 0.4% | ||||||
Reply SpA | 142,692 | 23,435,915 | 0.4% | ||||||
Other Securities | 440,491,690 | 7.4% | |||||||
TOTAL ITALY | 517,973,615 | 8.7% | |||||||
LUXEMBOURG — (0.0%) | |||||||||
Other Security | 162,519 | 0.0% | |||||||
NETHERLANDS — (6.8%) | |||||||||
Aalberts NV | 691,302 | 37,233,280 | 0.6% | ||||||
Arcadis NV | 528,421 | 21,666,797 | 0.4% | ||||||
ASR Nederland NV | 808,010 | 31,287,361 | 0.5% | ||||||
BE Semiconductor Industries NV | 452,964 | 38,600,576 | 0.7% | ||||||
Corbion NV | 406,829 | 23,297,413 | 0.4% | ||||||
IMCD NV | 268,218 | 42,736,488 | 0.7% | ||||||
Signify NV | 667,052 | 42,343,048 | 0.7% | ||||||
Other Securities | 183,098,170 | 3.0% | |||||||
TOTAL NETHERLANDS | 420,263,133 | 7.0% | |||||||
NORWAY — (2.3%) | |||||||||
Other Securities | 141,266,739 | 2.4% | |||||||
PORTUGAL — (0.7%) | |||||||||
Other Securities | 43,007,858 | 0.7% | |||||||
SPAIN — (5.3%) | |||||||||
Other Securities | 327,888,159 | 5.5% | |||||||
SWEDEN — (8.9%) | |||||||||
Other Securities | 555,274,673 | 9.3% |
207
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
SWITZERLAND — (14.2%) | |||||||||
Allreal Holding AG | 112,905 | $ | 22,224,176 | 0.4% | |||||
Belimo Holding AG | 60,560 | 27,734,394 | 0.5% | ||||||
Bucher Industries AG | 54,197 | 28,380,069 | 0.5% | ||||||
Cembra Money Bank AG | 187,433 | 21,028,235 | 0.4% | ||||||
* | Flughafen Zurich AG | 126,351 | 20,916,537 | 0.4% | |||||
Georg Fischer AG | 31,470 | 46,733,202 | 0.8% | ||||||
Helvetia Holding AG | 229,898 | 24,755,199 | 0.4% | ||||||
PSP Swiss Property AG | 322,767 | 40,984,586 | 0.7% | ||||||
Siegfried Holding AG | 31,383 | 29,451,400 | 0.5% | ||||||
VAT Group AG | 161,138 | 53,587,903 | 0.9% | ||||||
Other Securities | 568,085,276 | 9.3% | |||||||
TOTAL SWITZERLAND | 883,880,977 | 14.8% | |||||||
UNITED STATES — (0.0%) | |||||||||
Other Security | 1,232,001 | 0.0% | |||||||
TOTAL COMMON STOCKS | 5,862,860,989 | 98.2% | |||||||
PREFERRED STOCKS — (0.9%) | |||||||||
GERMANY — (0.9%) | |||||||||
Other Securities | 54,396,953 | 0.9% | |||||||
RIGHTS/WARRANTS — (0.0%) | |||||||||
ITALY — (0.0%) | |||||||||
Other Security | 54,913 | 0.0% | |||||||
SPAIN — (0.0%) | |||||||||
Other Securities | 183,993 | 0.0% | |||||||
TOTAL RIGHTS/WARRANTS | 238,906 | 0.0% | |||||||
TOTAL INVESTMENT SECURITIES | |||||||||
(Cost $4,055,220,692) | 5,917,820,070 | ||||||||
Value† | |||||||||
SECURITIES LENDING COLLATERAL — (4.8%) | |||||||||
@§ | The DFA Short Term Investment Fund | 25,679,222 | 297,108,601 | 5.0% | |||||
TOTAL INVESTMENTS—(100.0%) | |||||||||
(Cost $4,352,300,906)^ | $ | 6,214,928,671 | 104.1% |
^ | The cost for federal income tax purposes is $4,352,300,906. |
208
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series’ investments as of June 30, 2021, 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 | — | $ | 219,237,007 | — | $ | 219,237,007 | |||||||
Belgium | $ | 2,817,115 | 221,705,911 | — | 224,523,026 | ||||||||
Denmark | — | 327,515,397 | — | 327,515,397 | |||||||||
Finland | — | 369,378,686 | — | 369,378,686 | |||||||||
France | — | 628,121,594 | — | 628,121,594 | |||||||||
Germany | — | 950,353,676 | — | 950,353,676 | |||||||||
Ireland | — | 51,963,254 | — | 51,963,254 | |||||||||
Israel | 1,003,740 | 199,814,935 | — | 200,818,675 | |||||||||
Italy | — | 517,973,615 | — | 517,973,615 | |||||||||
Luxembourg | — | 162,519 | — | 162,519 | |||||||||
Netherlands | 4,590,678 | 415,672,455 | — | 420,263,133 | |||||||||
Norway | — | 141,266,739 | — | 141,266,739 | |||||||||
Portugal | — | 43,007,858 | — | 43,007,858 | |||||||||
Spain | 7,966,686 | 319,921,473 | — | 327,888,159 | |||||||||
Sweden | — | 555,274,673 | — | 555,274,673 | |||||||||
Switzerland | — | 883,880,977 | — | 883,880,977 | |||||||||
United States | — | 1,232,001 | — | 1,232,001 | |||||||||
Preferred Stocks | |||||||||||||
Germany | — | 54,396,953 | — | 54,396,953 | |||||||||
Rights/Warrants | |||||||||||||
Italy | — | 54,913 | — | 54,913 | |||||||||
Spain | — | 183,993 | — | 183,993 | |||||||||
Bonds | |||||||||||||
Germany | — | 323,222 | — | 323,222 | |||||||||
Securities Lending Collateral | — | 297,108,601 | — | 297,108,601 | |||||||||
TOTAL | $ | 16,378,219 | $ | 6,198,550,452 | — | $ | 6,214,928,671 |
See accompanying Notes to Financial Statements.
209
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
COMMON STOCKS — (84.6%) | |||||||||
COMMUNICATION SERVICES — (1.3%) | |||||||||
Other Securities | $ | 20,076,639 | 1.5% | ||||||
CONSUMER DISCRETIONARY — (6.0%) | |||||||||
* | Aritzia, Inc. | 427,638 | 12,791,882 | 1.0% | |||||
* | Canada Goose Holdings, Inc. | 230,847 | 10,097,248 | 0.8% | |||||
* | Great Canadian Gaming Corp. | 428,062 | 15,370,313 | 1.2% | |||||
# | Linamar Corp | 216,634 | 13,587,684 | 1.0% | |||||
Other Securities | 41,715,576 | 3.0% | |||||||
TOTAL CONSUMER DISCRETIONARY | 93,562,703 | 7.0% | |||||||
CONSUMER STAPLES — (4.7%) | |||||||||
# | Premium Brands Holdings Corp. | 182,482 | 18,538,204 | 1.4% | |||||
Primo Water Corp. | 813,424 | 13,609,563 | 1.0% | ||||||
Other Securities | 40,184,992 | 3.0% | |||||||
TOTAL CONSUMER STAPLES | 72,332,759 | 5.4% | |||||||
ENERGY — (16.1%) | |||||||||
ARC Resources, Ltd. | 2,772,777 | 23,598,577 | 1.8% | ||||||
# | Cameco Corp. | 731,726 | 14,034,505 | 1.1% | |||||
# | Crescent Point Energy Corp. | 2,370,438 | 10,727,781 | 0.8% | |||||
# | Gibson Energy, Inc. | 940,791 | 18,024,997 | 1.4% | |||||
# | Inter Pipeline, Ltd. | 885,858 | 14,399,838 | 1.1% | |||||
# | Keyera Corp. | 445,938 | 11,983,055 | 0.9% | |||||
#* | MEG Energy Corp. | 2,470,617 | 17,877,892 | 1.3% | |||||
* | Parex Resources, Inc. | 786,291 | 13,130,222 | 1.0% | |||||
# | Parkland Corp. | 476,900 | 15,411,918 | 1.2% | |||||
# | PrairieSky Royalty, Ltd. | 1,029,307 | 12,463,616 | 0.9% | |||||
# | Whitecap Resources, Inc. | 2,632,329 | 13,080,952 | 1.0% | |||||
Other Securities | 85,983,768 | 6.3% | |||||||
TOTAL ENERGY | 250,717,121 | 18.8% | |||||||
FINANCIALS — (10.0%) | |||||||||
Canadian Western Bank | 456,902 | 12,826,871 | 1.0% | ||||||
# | CI Financial Corp. | 770,765 | 14,145,615 | 1.1% | |||||
# | ECN Capital Corp. | 2,488,693 | 18,671,220 | 1.4% | |||||
# | Element Fleet Management Corp. | 1,406,781 | 16,410,175 | 1.2% | |||||
iA Financial Corp., Inc. | 240,867 | 13,114,000 | 1.0% | ||||||
# | Laurentian Bank of Canada | 412,090 | 14,524,211 | 1.1% | |||||
Other Securities | 66,252,404 | 4.9% | |||||||
TOTAL FINANCIALS | 155,944,496 | 11.7% | |||||||
HEALTH CARE — (1.0%) | |||||||||
Other Securities | 16,131,012 | 1.2% |
210
The Canadian Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
INDUSTRIALS — (11.7%) | |||||||||
#* | ATS Automation Tooling Systems, Inc. | 441,354 | $ | 12,668,099 | 1.0% | ||||
Finning International, Inc. | 885,513 | 23,180,782 | 1.7% | ||||||
LifeWorks, Inc. | 401,948 | 10,836,643 | 0.8% | ||||||
# | Richelieu Hardware, Ltd. | 361,973 | 11,715,357 | 0.9% | |||||
# | SNC-Lavalin Group, Inc. | 666,544 | 17,341,113 | 1.3% | |||||
# | Stantec, Inc. | 287,574 | 12,831,331 | 1.0% | |||||
TFI International, Inc. | 245,978 | 22,456,704 | 1.7% | ||||||
Other Securities | 71,394,144 | 5.3% | |||||||
TOTAL INDUSTRIALS | 182,424,173 | 13.7% | |||||||
INFORMATION TECHNOLOGY — (4.4%) | |||||||||
* | BlackBerry, Ltd. | 222,456 | 2,718,787 | 0.2% | |||||
#* | BlackBerry, Ltd. | 1,540,551 | 18,825,533 | 1.4% | |||||
Enghouse Systems, Ltd. | 263,395 | 11,726,985 | 0.9% | ||||||
* | Kinaxis, Inc. | 99,954 | 13,148,999 | 1.0% | |||||
Other Securities | 22,773,898 | 1.7% | |||||||
TOTAL INFORMATION TECHNOLOGY | 69,194,202 | 5.2% | |||||||
MATERIALS — (19.1%) | |||||||||
# | Alamos Gold, Inc., Class A | 2,014,411 | 15,389,212 | 1.2% | |||||
#* | Capstone Mining Corp. | 2,456,528 | 10,661,601 | 0.8% | |||||
# | Centerra Gold, Inc. | 1,270,606 | 9,645,373 | 0.7% | |||||
Endeavour Mining PLC | 881,363 | 18,926,986 | 1.4% | ||||||
# | First Majestic Silver Corp. | 606,133 | 9,574,128 | 0.7% | |||||
# | First Majestic Silver Corp. | 171,162 | 2,706,071 | 0.2% | |||||
* | Ivanhoe Mines, Ltd., Class A | 2,121,673 | 15,318,630 | 1.1% | |||||
# | Labrador Iron Ore Royalty Corp. | 289,259 | 10,960,387 | 0.8% | |||||
# | SSR Mining, Inc. | 998,166 | 15,589,295 | 1.2% | |||||
# | Yamana Gold, Inc. | 3,233,894 | 13,618,043 | 1.0% | |||||
Other Securities | 175,217,461 | 13.2% | |||||||
TOTAL MATERIALS | 297,607,187 | 22.3% | |||||||
REAL ESTATE — (3.0%) | |||||||||
# | Altus Group, Ltd. | 261,893 | 12,137,587 | 0.9% | |||||
# | Colliers International Group, Inc. | 134,012 | 15,007,701 | 1.1% | |||||
Colliers International Group, Inc. | 4,163 | 466,173 | 0.0% | ||||||
Other Securities | 19,497,632 | 1.5% | |||||||
TOTAL REAL ESTATE | 47,109,093 | 3.5% | |||||||
UTILITIES — (7.3%) | |||||||||
# | AltaGas, Ltd. | 662,005 | 13,895,910 | 1.1% | |||||
# | Boralex, Inc., Class A | 549,954 | 16,747,954 | 1.3% | |||||
# | Capital Power Corp. | 771,649 | 25,491,309 | 1.9% | |||||
# | Innergex Renewable Energy, Inc. | 604,787 | 10,514,003 | 0.8% | |||||
# | Superior Plus Corp. | 781,510 | 9,627,023 | 0.7% | |||||
TransAlta Corp. | 1,784,708 | 17,780,852 | 1.3% | ||||||
# | TransAlta Renewables, Inc. | 614,934 | 10,333,233 | 0.8% | |||||
Other Securities | 9,420,640 | 0.7% | |||||||
TOTAL UTILITIES | 113,810,924 | 8.6% | |||||||
TOTAL COMMON STOCKS | 1,318,910,309 | 98.9% |
211
The Canadian Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
RIGHTS/WARRANTS — (0.1%) | |||||||||
MATERIALS — (0.1%) | |||||||||
Other Security | $ | 1,594,954 | 0.2% | ||||||
ENERGY — (0.0%) | |||||||||
Other Security | 222,371 | 0.0% | |||||||
TOTAL RIGHTS/WARRANTS | 1,817,325 | 0.2% | |||||||
TOTAL INVESTMENT SECURITIES | |||||||||
(Cost $927,343,868) | 1,320,727,634 | ||||||||
Value† | |||||||||
SECURITIES LENDING COLLATERAL — (15.3%) | |||||||||
@§ | The DFA Short Term Investment Fund | 20,669,346 | $ | 239,144,334 | 17.9% | ||||
TOTAL INVESTMENTS—(100.0%) | |||||||||
(Cost $1,166,472,859)^ | $ | 1,559,871,968 | 117.0% |
^ | The cost for federal income tax purposes is $1,166,472,859. |
212
The Canadian Small Company Series
continued
Summary of the Series' investments as of June 30, 2021, 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 | $ | 20,076,639 | — | — | $ | 20,076,639 | ||||||
Consumer Discretionary | 93,535,425 | $ | 27,278 | — | 93,562,703 | |||||||
Consumer Staples | 72,332,759 | — | — | 72,332,759 | ||||||||
Energy | 250,717,121 | — | — | 250,717,121 | ||||||||
Financials | 155,944,496 | — | — | 155,944,496 | ||||||||
Health Care | 16,131,012 | — | — | 16,131,012 | ||||||||
Industrials | 182,424,173 | — | — | 182,424,173 | ||||||||
Information Technology | 69,194,202 | — | — | 69,194,202 | ||||||||
Materials | 297,607,187 | — | — | 297,607,187 | ||||||||
Real Estate | 47,109,093 | — | — | 47,109,093 | ||||||||
Utilities | 113,810,924 | — | — | 113,810,924 | ||||||||
Rights/Warrants | ||||||||||||
Energy | — | 222,371 | — | 222,371 | ||||||||
Materials | — | 1,594,954 | — | 1,594,954 | ||||||||
Securities Lending Collateral | — | 239,144,334 | — | 239,144,334 | ||||||||
TOTAL | $ | 1,318,883,031 | $ | 240,988,937 | — | $ | 1,559,871,968 |
See accompanying Notes to Financial Statements.
213
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage of | |||||||||
Shares | Value» | 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% |
214
The Japanese Small Company Series
continued
Percentage of | |||||||||
Shares | Value» | Net Assets‡ | |||||||
INDUSTRIALS — (Continued) | |||||||||
Nichias Corp. | 392,400 | $ 8,498,721 | 0.3% | ||||||
# | Nikkon Holdings Co., Ltd. | 385,300 | 7,374,127 | 0.3% | |||||
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% |
215
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.
216
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | |||||||||
Shares | Value» | 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% |
217
The Asia Pacific Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
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% | |||||||
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% |
218
The Asia Pacific 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 | ||||||||||||
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.
219
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | |||||||||
Shares | Value» | 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% |
220
The United Kingdom Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
INDUSTRIALS — (Continued) | |||||||||
* | 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% | ||||||
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 | ||||||||
Value† | |||||||||
SECURITIES LENDING COLLATERAL — (2.1%) | |||||||||
@§ | The DFA Short Term Investment Fund | 2,700,372 | 31,246,001 | 2.1% | |||||
TOTAL INVESTMENTS—(100.0%) | |||||||||
(Cost $2,103,060,882) | $ | 1,501,103,382 | 101.7% |
221
The United Kingdom 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 | — | $ | 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.
222
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | |||||||||
Shares | Value» | 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%) | |||||||||
Ω | 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% |
223
The Continental Small Company Series
continued
Percentage | |||||||||
Shares | Value» | 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% | ||||||
*Ω | 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% |
224
The Continental Small Company Series
continued
Percentage | |||||||||
Shares | Value» | of Net Assets‡ | |||||||
SWITZERLAND — (Continued) | |||||||||
* | Sunrise Communications Group AG | 271,523 | $ | 32,543,081 | 0.7% | ||||
Ω | VAT Group AG | 205,035 | 38,467,620 | 0.8% | |||||
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% |
225
The Continental 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 | ||||||||||||
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 | ||||||||
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.
226
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | ||||||||||
Shares | Value» | 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 | % |
227
The Canadian Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
INDUSTRIALS — (Continued) | ||||||||||
# | TFI International, Inc. | 481,820 | $ | 21,452,798 | 2.2 | % | ||||
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 | % |
228
The Canadian Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | 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 | % |
229
The Canadian 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 | $ | 12,808,291 | — | — | $ | 12,808,291 | ||||||
Consumer Discretionary | 60,698,059 | $ | 632,089 | — | 61,330,148 | |||||||
Consumer Staples | 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.
230
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2021
(Unaudited)
(Amounts in thousands)
The | |||||||||||||||||
The | The | United | The | The | |||||||||||||
Japanese | Asia | Kingdom | Continental | Canadian | |||||||||||||
Small | Pacific Small | Small | Small | Small | |||||||||||||
Company | Company | Company | Company | Company | |||||||||||||
Series* | Series* | Series* | Series* | Series* | |||||||||||||
ASSETS: | |||||||||||||||||
Investment Securities at Value (including $111,759, | |||||||||||||||||
$147,498, $20,460, $304,400 and $249,871 of | |||||||||||||||||
securities on loan, respectively | $ | 3,102,972 | $ | 1,786,084 | $ | 1,905,558 | $ | 5,917,820 | $ | 1,320,728 | |||||||
Collateral from Securities on Loan Invested in | |||||||||||||||||
Affiliate at Value (including cost of $35,844, | |||||||||||||||||
$50,875, $21,785, $297,080 and $239,129, | |||||||||||||||||
respectively) | 35,857 | 50,879 | 21,790 | 297,109 | 239,144 | ||||||||||||
Foreign Currencies at Value | 21,580 | 231 | 1,054 | 2,376 | 2,774 | ||||||||||||
Cash | 71 | 225 | 1,313 | 1,625 | 98 | ||||||||||||
Receivables: | |||||||||||||||||
Investment Securities Sold | 3,632 | 35,390 | 3,075 | 28,932 | 6,847 | ||||||||||||
Dividends, Interest and Tax Reclaims | 5,284 | 2,408 | 4,886 | 23,664 | 2,923 | ||||||||||||
Securities Lending Income | 111 | 276 | 21 | 953 | 193 | ||||||||||||
Unrealized Gain on Foreign Currency Contracts | 55 | 16 | — | 24 | — | ||||||||||||
Prepaid Expenses and Other Assets | 3 | 2 | 1 | 4 | 1 | ||||||||||||
Total Assets | 3,169,565 | 1,875,511 | 1,937,698 | 6,272,507 | 1,572,708 | ||||||||||||
LIABILITIES: | |||||||||||||||||
Payables: | |||||||||||||||||
Upon Return of Securities Loaned | 35,890 | 50,880 | 21,790 | 297,161 | 239,144 | ||||||||||||
Investment Securities Purchased | 13,423 | 4,714 | 796 | 2,306 | 131 | ||||||||||||
Due to Advisor | 257 | 156 | 164 | 505 | 114 | ||||||||||||
Accrued Expenses and Other Liabilities | 557 | 281 | 240 | 757 | 153 | ||||||||||||
Total Liabilities | 50,127 | 56,031 | 22,990 | 300,729 | 239,542 | ||||||||||||
NET ASSETS | $ | 3,119,438 | $ | 1,819,480 | $ | 1,914,708 | $ | 5,971,778 | $ | 1,333,166 | |||||||
Investments at Cost | $ | 2,585,190 | $ | 1,507,495 | $ | 1,455,176 | $ | 4,055,221 | $ | 927,344 | |||||||
Foreign Currencies at Cost | $ | 21,633 | $ | 231 | $ | 1,053 | $ | 2,376 | $ | 2,777 |
* | See Note J in the Notes to Financial Statements for additional securities lending collateral. |
See accompanying Notes to Financial Statements.
231
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2020
(Amounts in thousands)
The | ||||||||||||||||||
The | The | United | The | The | ||||||||||||||
Japanese | Asia | Kingdom | Continental | Canadian | ||||||||||||||
Small | Pacific Small | Small | Small | Small | ||||||||||||||
Company | Company | Company | Company | Company | ||||||||||||||
Series* | Series* | Series* | Series* | Series* | ||||||||||||||
ASSETS: | ||||||||||||||||||
Investment Securities at Value (including $123,065, | ||||||||||||||||||
$117,829, $29,285, $311,792 and $168,651 of | ||||||||||||||||||
securities on loan, respectively) | $ | 2,919,304 | $ | 1,517,150 | $ | 1,469,857 | $ | 4,577,663 | $ | 967,669 | ||||||||
Collateral from Securities on Loan Invested in | ||||||||||||||||||
Affiliate at Value (including cost of $57,829, | ||||||||||||||||||
$42,042, $31,239, $324,368 and $146,309) | 57,849 | 42,048 | 31,246 | 324,418 | 146,332 | |||||||||||||
Foreign Currencies at Value | 903 | 5,766 | 47 | — | 1,204 | |||||||||||||
Cash | 1,309 | 201 | 608 | 1,156 | 2 | |||||||||||||
Receivables: | ||||||||||||||||||
Investment Securities Sold | 2,619 | 2,354 | 2,741 | 6,885 | 1,592 | |||||||||||||
Dividends, Interest and Tax Reclaims | 19,483 | 3,861 | 2,834 | 16,682 | 383 | |||||||||||||
Securities Lending Income | 261 | 281 | 28 | 914 | 197 | |||||||||||||
Unrealized Gain on Foreign Currency Contracts | 5 | 1 | 1 | 13 | ||||||||||||||
Prepaid Expenses and Other Assets | — | — | 1 | |||||||||||||||
Total Assets | 3,001,733 | 1,571,662 | 1,507,363 | 4,927,731 | 1,117,409 | |||||||||||||
LIABILITIES: | ||||||||||||||||||
Payables: | ||||||||||||||||||
Due to Custodian | 253 | |||||||||||||||||
Upon Return of Securities Loaned | 57,878 | 42,044 | 31,244 | 324,448 | 146,315 | |||||||||||||
Investment Securities Purchased | — | 2,257 | — | 104 | — | |||||||||||||
Due to Advisor | 259 | 134 | 131 | 420 | 86 | |||||||||||||
Futures Margin Variation | — | — | — | — | — | |||||||||||||
Unrealized Loss on Foreign Currency Contracts | — | — | — | — | — | |||||||||||||
Accrued Expenses and Other Liabilities | 443 | 213 | 206 | 561 | 125 | |||||||||||||
Total Liabilities | 58,580 | 44,648 | 31,581 | 325,786 | 146,526 | |||||||||||||
NET ASSETS | $ | 2,943,153 | $ | 1,527,014 | $ | 1,475,782 | $ | 4,601,945 | $ | 970,883 | ||||||||
Investments Securities at Cost | $ | 2,621,667 | $ | 1,623,607 | $ | 1,646,994 | $ | 4,362,167 | $ | 979,047 | ||||||||
Foreign Currencies at Cost | $ | 905 | $ | 5,771 | $ | 47 | $ | (249 | ) | $ | 1,203 |
* | See Note J in the Notes to Financial Statements for additional securities lending collateral. |
See accompanying Notes to Financial Statements.
232
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2020
(Amounts in thousands)
The | The Asia | The United | The | The | ||||||||||||||||||
Japanese | Pacific | Kingdom | Continental | Canadian | ||||||||||||||||||
Small | Small | Small | Small | Small | ||||||||||||||||||
Company | Company | Company | Company | Company | ||||||||||||||||||
Series# | Series# | Series# | Series# | Series# | ||||||||||||||||||
Investment Income | ||||||||||||||||||||||
Dividends (Net of Foreign Taxes Withheld of $7,633 | ||||||||||||||||||||||
$703, $419, $14,486 and $3,388 respectively) | $ | 68,798 | $ | 60,440 | $ | 43,863 | $ | 103,850 | $ | 19,653 | ||||||||||||
Non Cash Income | ||||||||||||||||||||||
Income from Securities Lending | 4,338 | 4,128 | 613 | 11,592 | 2,427 | |||||||||||||||||
Total Investment Income | 73,136 | 64,568 | 44,476 | 115,442 | 22,080 | |||||||||||||||||
Expenses | ||||||||||||||||||||||
Investment Management Fees | 3,240 | 1,488 | 1,781 | 5,081 | 1,004 | |||||||||||||||||
Accounting & Transfer Agent Fees | 151 | 79 | 89 | 234 | 52 | |||||||||||||||||
Custodian Fees | 465 | 208 | 65 | 545 | 60 | |||||||||||||||||
Shareholders’ Reports | 31 | 29 | 29 | 35 | 28 | |||||||||||||||||
Directors’/Trustees’ Fees & Expenses | 29 | 12 | 13 | 39 | 8 | |||||||||||||||||
Professional Fees | 57 | 28 | 34 | 111 | 17 | |||||||||||||||||
Other | 138 | 58 | 73 | 208 | 35 | |||||||||||||||||
Total Expenses | 4,111 | 1,902 | 2,084 | 6,253 | 1,204 | |||||||||||||||||
Fees Paid Indirectly (Note C) | 55 | 33 | 15 | 87 | 6 | |||||||||||||||||
Net Expenses | 4,056 | 1,869 | 2,069 | 6,166 | 1,198 | |||||||||||||||||
Net Investment Income (Loss) | 69,080 | 62,699 | 42,407 | 109,276 | 20,882 | |||||||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||||
Investment Securities Sold** | (64,936 | ) | (77,003 | ) | (34,350 | ) | 92,887 | (221,703 | ) | |||||||||||||
Affiliated Investment Companies Shares Sold | (9 | ) | (11 | ) | (1 | ) | (26 | ) | (8 | ) | ||||||||||||
Futures | — | 608 | (394 | ) | (260 | ) | — | |||||||||||||||
Foreign Currency Transactions | 228 | (267 | ) | (444 | ) | 1,299 | (151 | ) | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||
Investment Securities and Foreign Currency | (116,647 | ) | (1,299 | ) | (329,388 | ) | (384,869 | ) | 206,814 | |||||||||||||
Affiliated Investment Companies Shares | 9 | 1 | 4 | 9 | 3 | |||||||||||||||||
Translation of Foreign Currency Denominated | ||||||||||||||||||||||
Amounts | 182 | 1 | (381 | ) | 825 | (2 | ) | |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (181,173 | ) | (77,970 | ) | (364,904 | ) | (290,153 | ) | (15,047 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting | ||||||||||||||||||||||
from Operations | $ | (112,093 | ) | $ | (15,271 | ) | $ | (322,497 | ) | $ | (180,877 | ) | $ | 5,835 |
** | Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0, respectively. | |
# | Portion of income is from investment in affiliated fund. |
See accompanying Notes to Financial Statements.
233
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Japanese Small | ||||||||||
Company Series | ||||||||||
Year | Year | |||||||||
Ended | Ended | |||||||||
Oct 31, | Oct 31, | |||||||||
2020 | 2019 | |||||||||
Increase (Decrease) in Net Assets | ||||||||||
Operations: | ||||||||||
Net Investment Income (Loss) | $ | 69,080 | $ | 81,603 | ||||||
Net Realized Gain (Loss) on: | ||||||||||
Investment Securities Sold*,** | (64,936 | ) | 63,546 | |||||||
Affiliated Investment Companies Shares Sold | (9 | ) | — | |||||||
Foreign Currency Transactions | 228 | 893 | ||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||
Investment Securities and Foreign Currency | (116,647 | ) | 2,479 | |||||||
Affiliated Investment Companies Shares | 9 | 10 | ||||||||
Translation of Foreign Currency-Denominated Amounts | 182 | 9 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (112,093 | ) | 148,540 | |||||||
Transactions in Interest: | ||||||||||
Contributions | 71,736 | 105,276 | ||||||||
Withdrawals | (764,667 | ) | (339,736 | ) | ||||||
Net Increase (Decrease) from Transactions in Interest | (692,931 | ) | (234,460 | ) | ||||||
Total Increase (Decrease) in Net Assets | (805,024 | ) | (85,920 | ) | ||||||
Net Assets | ||||||||||
Beginning of Year | 3,748,177 | 3,834,097 | ||||||||
End of Year | $ | 2,943,153 | $ | 3,748,177 |
* | 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, 2020 of $0. |
See accompanying Notes to Financial Statements.
234
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small | The United Kingdom Small | |||||||||||||||||
Company Series | Company Series | |||||||||||||||||
Year | Year | Year | Year | |||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||
Oct 31, | Oct 31, | Oct 31, | Oct 31, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||||
Increase (Decrease) in Net Assets | ||||||||||||||||||
Operations: | ||||||||||||||||||
Net Investment Income (Loss) | $ | 62,699 | $ | 68,215 | $ | 42,407 | $ | 76,252 | ||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||
Investment Securities Sold*,** | (77,003 | ) | 28,597 | (34,350 | ) | 45,398 | ||||||||||||
Affiliated Investment Companies Shares Sold | (11 | ) | 3 | (1 | ) | 2 | ||||||||||||
Futures | 608 | (97 | ) | (394 | ) | — | ||||||||||||
Foreign Currency Transactions | (267 | ) | (572 | ) | (444 | ) | (1,016 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||
Investment Securities and Foreign Currency | (1,299 | ) | (10,141 | ) | (329,338 | ) | 105,943 | |||||||||||
Affiliated Investment Companies Shares | 1 | 4 | 4 | 1 | ||||||||||||||
Translation of Foreign Currency-Denominated Amounts | 1 | 16 | (381 | ) | 552 | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting | ||||||||||||||||||
from Operations | (15,271 | ) | 86,025 | (322,497 | ) | 227,132 | ||||||||||||
Transactions in Interest: | ||||||||||||||||||
Contributions | 82,954 | 84,771 | 5,810 | 92,887 | ||||||||||||||
Withdrawals | (182,512 | ) | (259,324 | ) | (484,982 | ) | (231,393 | ) | ||||||||||
Net Increase (Decrease) from Transactions in Interest | (99,558 | ) | (174,553 | ) | (479,172 | ) | (138,506 | ) | ||||||||||
Total Increase (Decrease) in Net Assets | (114,829 | ) | (88,528 | ) | (801,669 | ) | 88,626 | |||||||||||
Net Assets | ||||||||||||||||||
Beginning of Year | 1,641,843 | 1,730,371 | 2,277,451 | 2,188,825 | ||||||||||||||
End of Year | $ | 1,527,014 | $ | 1,641,843 | $ | 1,475,782 | $ | 2,277,451 |
* | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2020 of $0, $0, $0 and $0, respectively. | |
** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
235
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Continental Small | The Canadian Small | ||||||||||||||||
Company Series | Company Series | ||||||||||||||||
Year | Year | Year | Year | ||||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||||
Oct 31, | Oct 31, | Oct 31, | Oct 31, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||
Increase (Decrease) in Net Assets | |||||||||||||||||
Operations: | |||||||||||||||||
Net Investment Income (Loss) | $ | 109,276 | $ | 146,906 | $ | 20,882 | $ | 26,482 | |||||||||
Net Realized Gain (Loss) on: | |||||||||||||||||
Investment Securities Sold*,** | 92,877 | 271,616 | (221,703 | ) | (81,417 | ) | |||||||||||
Affiliated Investment Companies Shares Sold | (26 | ) | 7 | (8 | ) | (6 | ) | ||||||||||
Futures | (260 | ) | — | — | — | ||||||||||||
Foreign Currency Transactions | 1,299 | (101 | ) | 151 | 172 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | |||||||||||||||||
Investment Securities and Foreign Currency | (384,869 | ) | 20,336 | 206,814 | 60,948 | ||||||||||||
Affiliated Investment Companies Shares | (9 | ) | 46 | 3 | 16 | ||||||||||||
Translation of Foreign Currency-Denominated Amounts | 825 | 63 | (2 | ) | 6 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting | |||||||||||||||||
from Operations | (180,877 | ) | 438,873 | 5,835 | 6,201 | ||||||||||||
Transactions in Interest: | |||||||||||||||||
Contributions | 135,156 | 223,410 | 6,817 | 99,460 | |||||||||||||
Withdrawals | (959,829 | ) | (477,048 | ) | (190,384 | ) | (103,857 | ) | |||||||||
Net Increase (Decrease) from Transactions in Interest | (824,673 | ) | (253,638 | ) | (183,567 | ) | (4,397 | ) | |||||||||
Total Increase (Decrease) in Net Assets | (1,005,550 | ) | 185,235 | (177,732 | ) | 1,804 | |||||||||||
Net Assets | |||||||||||||||||
Beginning of Year | 5,607,495 | 5,422,260 | 1,148,615 | 1,146,811 | |||||||||||||
End of Year | $ | 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, $0 and $0, respectively. | |
** | Net of foreign capital gain taxes withheld for the fiscal year ended October 31, 2019 of $0, $0, $0 and $0, respectively. |
See accompanying Notes to Financial Statements.
236
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
The Japanese Small Company Series | The Asia Pacific Small Company Series | |||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | |||||||||||||
Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||
Total Return | (1.93%) | 4.47% | (7.46%) | 27.10% | 14.53% | 0.14% | 5.27% | (8.14%) | 16.21% | 16.69% | ||||||||||||
Net Assets, End of Year (thousands) | $2,943,153 | $3,748,177 | $3,834,097 | $3,989,049 | $3,132,594 | $1,527,014 | $1,641,843 | $1,730,371 | $1,815,705 | $1,555,736 | ||||||||||||
Ratio of Expenses to Average | ||||||||||||||||||||||
Net Assets | 0.13% | 0.12% | 0.12% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | ||||||||||||
Ratio of Expenses to Average | ||||||||||||||||||||||
Net Assets (Excluding Fees | ||||||||||||||||||||||
Paid Indirectly) | 0.13% | 0.12% | 0.12% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | ||||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||||
Average Net Assets | 2.13% | 2.32% | 1.90% | 1.90% | 1.99% | 4.21% | 4.11% | 3.96% | 3.82% | 4.00% | ||||||||||||
Portfolio Turnover Rate | 5% | 12% | 17% | 13% | 10% | 18% | 18% | 18% | 14% | 10% | ||||||||||||
The United Kingdom Small Company Series | The Continental Small Company Series | |||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | |||||||||||||
Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||
Total Return | (14.87%) | 10.67% | (8.90%) | 29.87% | (15.82%) | (2.23%) | 8.43% | (10.78%) | 34.27% | 6.10% | ||||||||||||
Net Assets, End of Year (thousands) | $1,475,782 | $2,277,451 | $2,188,825 | $2,329,912 | $1,683,465 | $4,601,945 | $5,607,495 | $5,422,260 | $5,751,059 | $4,147,925 | ||||||||||||
Ratio of Expenses to Average | ||||||||||||||||||||||
Net Assets | 0.12% | 0.11% | 0.11% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.13% | 0.13% | ||||||||||||
Ratio of Expenses to Average | ||||||||||||||||||||||
Net Assets (Excluding Fees | ||||||||||||||||||||||
Paid Indirectly) | 0.12% | 0.12% | 0.11% | 0.12% | 0.12% | 0.12% | 0.13% | 0.12% | 0.13% | 0.13% | ||||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||||
Average Net Assets | 2.38% | 3.43% | 3.23% | 3.40% | 4.36% | 2.15% | 2.74% | 2.51% | 2.33% | 2.49% | ||||||||||||
Portfolio Turnover Rate | 9% | 18% | 14% | 9% | 15% | 8% | 17% | 15% | 13% | 9% |
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
237
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
The Canadian Small Company Series | |||||||||||
Year | Year | Year | Year | Year | |||||||
Ended | Ended | Ended | Ended | Ended | |||||||
Oct 31, | Oct 31, | Oct 31, | Oct 31, | Oct 31, | |||||||
2020 | 2019 | 2018 | 2017 | 2016 | |||||||
Total Return | 6.02% | 1.00% | (10.44%) | 12.10% | 20.77% | ||||||
Net Assets, End of Year (thousands) | $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% | 0.12% | 0.12% | ||||||
Ratio of Expenses to Average Net Assets | |||||||||||
(Excluding Fees Paid Indirectly) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.08% | 2.37% | 2.11% | 2.14% | 2.52% | ||||||
Portfolio Turnover Rate | 18% | 12% | 14% | 22% | 8% |
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
238
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, five of which, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series and The Canadian Small Company 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.
239
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. 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: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Large Company 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, DFA Inflation-Protected Securities 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.
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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 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.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Series. For the year ended October 31, 2020, the Series’ investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
The 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 | % |
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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 each Series’ custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Series’ net assets. During the year ended October 31, 2020, expenses reduced were as follows (amounts in thousands):
Fees Paid | ||||||
Indirectly | ||||||
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 |
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 Statement of Operations.
D. Deferred Compensation:
At 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 as follows (amounts in thousands):
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 |
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 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 |
There were no purchases or sales of long-term U.S. government securities.
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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):
Change in | Shares | |||||||||||||||||||||||||||||||||||||||||
Balance at | Net Realized | Unrealized | Balance at | as of | ||||||||||||||||||||||||||||||||||||||
October 31, | Purchases | Proceeds | Gain/(Loss) | Appreciation/ | October 31, | October 31, | Dividend | Capital Gain | ||||||||||||||||||||||||||||||||||
2019 | at Cost | from Sales | on Sales | Depreciation | 2020 | 2020 | Income | Distributions | ||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||
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 | — |
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F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are treated as partnerships for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners.
At October 31, 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):
Net | |||||||||||||||||
Unrealized | |||||||||||||||||
Federal | Unrealized | Unrealized | Appreciation | ||||||||||||||
Tax Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
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 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.
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.
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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 increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Series. 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 Asia Pacific Small Company Series | $ | 1,427 | ||||
The United Kingdom Small Company Series | 465 |
* | Average Notional Value of contracts |
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 Asia Pacific Small Company Series | $ | 608 | $ | 608 | * | ||||||||
The United Kingdom Small Company Series | (394 | ) | (394 | )* | |||||||||
The Continental Small Company Series | (260 | ) | (260 | )* |
(1) | Presented on Statements of Operations as Net Realized Gain (Loss) on: 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. |
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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 | Weighted | Number | Interest | Maximum Amount | Outstanding | |||||||||||||||||||||||
Average | Average | of Days | Expense | Borrowed During | Borrowings as | |||||||||||||||||||||||
Interest Rate | Loan Balance | Outstanding* | Incurred | the Period | of 10/31/2020 | |||||||||||||||||||||||
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 | — |
* | 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.
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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):
Realized | ||||||||||||||||
Portfolio | Purchases | Sales | Gain (Loss) | |||||||||||||
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 | ) |
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 | ||||||
Market Value | ||||||
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 |
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
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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.
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:
Remaining Contractual Maturity of the Agreements | |||||||||||||||
As of October 31, 2020 | |||||||||||||||
Overnight and | <30 | Between | >90 | ||||||||||||
Continuous | days | 30 & 90 days | days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
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 |
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:
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. Management has evaluated the implications of these changes and determined that the effect on the Series is expected to be immaterial.
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 (the “Derivatives Rule”) imposes limits on the amount of derivatives contracts the Series could enter, eliminate the asset segregation framework currently used by the Series to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. The Derivatives Rule became effective February 19, 2021 and the Series are required to comply on August 19, 2022. Management is currently evaluating the effect, if any, the Derivatives Rule will have on the Series.
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On December 3, 2020, the SEC adopted new rule 2a-5 (the Valuation Rule”) under the Investment Company Act of 1940, establishing an updated regulatory framework for fund valuation. The Valuation Rule, in part, provides a framework for good faith fair value determination and permits a Board to designate fair value determinations to a fund’s investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Valuation Rule became effective on March 8, 2021, with a compliance date of September 8, 2022. Management is currently evaluating the Valuation Rule and its effect on the Series.
M. Coronavirus (COVID-19) Pandemic:
The ongoing outbreak of the novel coronavirus, COVID-19, has resulted, at times, in market closures, market volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in global travel restrictions and disruptions of healthcare systems, business operations and supply chains, layoffs, reduced consumer demand, defaults and credit rating downgrades, and other significant economic impacts. The effects of COVID-19 have impacted global economic activity and may heighten pre-existing political, social and economic risks, domestically or globally. The full impact of the COVID-19 pandemic is unpredictable and may adversely affect a Series’ performance.
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 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 June 3, 2021, President Biden issued an Executive Order titled Addressing the Threat from Securities Investments that Finance Certain Companies of the People’s Republic of China” (the “Order”). The Order restricts investment in certain companies identified as “Chinese Military Industrial Complex Companies” by the Office of Foreign Asset Control, an agency of the Department of Treasury and the Department of Defense. Management is currently evaluating the Order’s effect on the Series.
Management has evaluated the impact of all other subsequent events on the Series through the date on which the financial statements were issued and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders of The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series and The Canadian Small Company 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 Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series and The Canadian Small Company Series (five 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.
250
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.
251
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). | 125 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). | 125 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). | 125 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). | 125 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). | 125 portfolios in 5 investment companies | Formerly, Adviser, Kuapay, Inc. (2013-2014). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). |
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). | 125 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). |
252
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 |
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). | 125 portfolios in 5 investment companies | Director, Fourth Swedish AP Fund (pension fund asset management) (since 2017). |
253
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). | 125 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 four registered investment companies within the DFA Fund Complex, which include: DFAIDG; DIG; DFAITC; and DEM. 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. |
254
Officers
Below is the name, year of birth, information regarding positions with the Fund and the principal occupation for each officer of the Fund as of October 31, 2020. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below held 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. ●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 |
255
Name and Year of Birth | Position | Term of Office1 and Length of Service | Principal Occupation During Past 5 Years |
Randy Olson | 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 | 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 | 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) ●Dimensional ETF Trust Formerly, Senior Tax Manager (2013 – 2015) for ●Dimensional Fund Advisors LP |
Kenneth M. Manell | 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) |
256
Name and Year of Birth | Position | Term of Office1 and Length of Service | Principal Occupation During Past 5 Years |
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 Vice President of ●DFA Securities LLC (since 2010) ●Dimensional Cayman Commodity Fund I Ltd. (since 2010) ●Dimensional Fund Advisors Canada ULC (since 2016) |
257
Name and Year of Birth | Position | Term of Office1 and Length of Service | Principal Occupation During Past 5 Years |
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 Board of Directors and until his or her successor is elected and qualified. |
258
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.
259
Distributor for the SA Funds:
Foreside Financial Services, LLC
Three Canal Plaza, Suite 100,
Portland, ME 04101
www.foreside.com
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus, which includes information regarding the Funds objectives and policies, experience of its management, and other information.
Item 1 (b)
Not applicable.
Item 2. Code of Ethics.
(a) As of the end of the period covered by this Form N-CSR, the registrant has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the registrant’s chief executive officer and chief financial and accounting officer.
(c) During the period, the registrant’s code of ethics was revised to modify certain defined terms and make other non-material changes.
(d) The registrant has not granted any waivers from any provisions of its code of ethics during the period covered by this Form N-CSR.
(e) Not applicable.
(f) A copy of the registrant’s code of ethics is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
(a)(1) The registrant’s Board of Trustees (the “Board”) has determined that the registrant has three members serving on the registrant’s Audit Committee that possess the attributes identified in Form N-CSR to qualify as an “audit committee financial expert.”
(a)(2) The audit committee financial experts are Bryan W. Brown, Harold M. Shefrin and Charles M. Roame. Each has been deemed to be “independent” as that term is defined in Form N-CSR.
Item 4. Principal Accountant Fees and Services.
For the fiscal year June 30, 2021, Cohen & Co. (“Cohen”) serves as the independent registered public accounting firm for the registrant.
(a) Audit Fees.
For the fiscal years ended June 30, 2021 and June 30, 2020, the aggregate fees billed for professional services rendered by Cohen for the audit of the registrant’s annual financial statements or for services that are normally provided by Cohen in connection with statutory and regulatory filings or engagements were $182,500 and $182,500 respectively.
(b) Audit-Related Fees.
For the fiscal years ended June 30, 2021 and June 30, 2020, the aggregate fees billed for assurance and related services rendered by Cohen that are reasonably related to the performance of the audit or review of the registrant’s financial statements and that are not reported under Audit Fees above were $0 and $0, respectively. Services for which fees in the Audit-Related Fees category were billed include Cohen’s reasonable out-of-pocket expenses and ticket charges for booking travel related to conducting the audit.
For the twelve month periods ended June 30, 2021 and June 30, 2020, aggregate Audit-Related Fees billed by Cohen that were required to be approved by the registrant’s Audit Committee for audit-related services 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 (the “Affiliated Service Providers”) that relate directly to the operations and financial reporting of the registrant were $0 and $0, respectively.
(c) Tax Fees.
For the fiscal years ended June 30, 2021 and June 30, 2020, the aggregate fees billed for tax compliance, tax advice and tax planning by Cohen were $45,500 and $39,500, respectively. Services for which fees in the Tax Fees category are billed include Cohen’s review of the registrant’s U.S. federal income tax returns and the required state corporate income tax returns, as well as Cohen’s review of excise tax distribution calculations.
For the twelve month periods ended June 30, 2021 and June 30, 2020, the aggregate Tax Fees billed Cohen that were required to be approved by the registrant’s Audit Committee for tax compliance, tax advice and tax planning services rendered on behalf of Affiliated Service Providers that relate directly to the operations and financial reporting of the registrant were $0 and $0, respectively.
(d) All Other Fees.
For the fiscal years ended June 30, 2021 and June 30, 2020, the aggregate fees billed by Cohen to the registrant for all services other than services reported under Audit Fees, Audit-Related Fees, and Tax Fees were $5,900 and $0, respectively.
For the twelve month periods ended June 30, 2021 and June 30, 2020, the aggregate fees in this category billed by Cohen that were required to be approved by the registrant’s Audit Committee for services rendered on behalf of Affiliated Service Providers that relate directly to the operations and financial reporting of the registrant were $0 and $0, respectively.
(e)(1) Audit Committee’s Pre-Approval Policies and Procedures.
The registrant’s Audit Committee has the sole authority to pre-approve all audit and non-audit services to be provided by Cohen to the registrant, subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)B of the Securities Exchange Act of 1934, as amended (“Exchange Act”). Pre-approval of audit and non-audit services is not required if the engagement to render the services is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. The Audit Committee has not established such policies and procedures.
(e)(2) Percentage of Services.
None of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) For the fiscal years ended June 30, 2021 and June 30, 2020, aggregate non-audit fees billed by Cohen for services rendered to the registrant were $0 and $0, respectively.
For the twelve month periods ended June 30, 2021 and June 30, 2020, aggregate non-audit fees billed by Cohen for services rendered to the Affiliated Service Providers were $0 and $0, respectively.
(h) Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the registrant.
Item 6. Schedule of Investments.
(a)
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
Investment Abbreviations | |||
P.L.C. | Public Limited Company | ||
SA | Special Assessment | ||
ST | Special Tax | ||
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. | ||
@ | Security purchased with cash collateral received from Securities on Loan. | ||
§ | Affiliated Fund. | ||
† | See Note B to Financial Statements. | ||
Financial Highlights | |||
(A) | Computed using average shares outstanding. | ||
(B) | Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s) and/or Underlying 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 |
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
COMMON STOCKS — (98.9%) | ||||||||||
COMMUNICATION SERVICES — (2.8%) | ||||||||||
Internet Initiative Japan, Inc. | 252,800 | $ | 7,856,246 | 0.3% | ||||||
Other Securities | 81,024,787 | 2.5% | ||||||||
TOTAL COMMUNICATION SERVICES | 88,881,033 | 2.8% | ||||||||
CONSUMER DISCRETIONARY — (14.5%) | ||||||||||
Takashimaya Co., Ltd. | 702,000 | 7,653,273 | 0.3% | |||||||
Other Securities | 447,832,376 | 14.3% | ||||||||
TOTAL CONSUMER DISCRETIONARY | 455,485,649 | 14.6% | ||||||||
CONSUMER STAPLES — (7.4%) | ||||||||||
# | cocokara fine, Inc. | 127,060 | 9,493,765 | 0.3% | ||||||
Milbon Co., Ltd. | 154,752 | 8,747,458 | 0.3% | |||||||
Nippon Suisan Kaisha, Ltd. | 1,794,300 | 8,556,580 | 0.3% | |||||||
Other Securities | 204,364,126 | 6.5% | ||||||||
TOTAL CONSUMER STAPLES | 231,161,929 | 7.4% | ||||||||
ENERGY — (1.0%) | ||||||||||
Cosmo Energy Holdings Co., Ltd. | 344,800 | 7,915,202 | 0.3% | |||||||
Other Securities | 24,193,215 | 0.7% | ||||||||
TOTAL ENERGY | 32,108,417 | 1.0% | ||||||||
FINANCIALS — (8.3%) | ||||||||||
Fuyo General Lease Co., Ltd. | 115,400 | 7,296,857 | 0.2% | |||||||
Jafco Group Co., Ltd. | 204,100 | 12,726,138 | 0.4% | |||||||
Other Securities | 239,207,743 | 7.7% | ||||||||
TOTAL FINANCIALS | 259,230,738 | 8.3% | ||||||||
HEALTH CARE — (4.8%) | ||||||||||
H.U. Group Holdings, Inc. | 336,700 | 8,688,032 | 0.3% | |||||||
Jeol, Ltd. | 168,400 | 9,834,207 | 0.3% | |||||||
Other Securities | 131,879,431 | 4.2% | ||||||||
TOTAL HEALTH CARE | 150,401,670 | 4.8% | ||||||||
INDUSTRIALS — (30.4%) | ||||||||||
Daiseki Co., Ltd. | 243,963 | 10,958,909 | 0.4% | |||||||
DMG Mori Co., Ltd. | 673,200 | 12,105,945 | 0.4% | |||||||
Furukawa Electric Co., Ltd. | 404,800 | 10,093,882 | 0.3% | |||||||
GS Yuasa Corp. | 320,483 | 8,195,451 | 0.3% | |||||||
Hazama Ando Corp. | 1,302,400 | 9,588,067 | 0.3% | |||||||
Inaba Denki Sangyo Co., Ltd. | 347,600 | 8,101,006 | 0.3% | |||||||
Japan Steel Works, Ltd. (The) | 389,300 | 9,995,109 | 0.3% | |||||||
Maeda Corp. | 914,100 | 7,929,779 | 0.3% | |||||||
Meitec Corp. | 169,000 | 9,149,932 | 0.3% | |||||||
Mirait Holdings Corp. | 524,835 | 9,307,692 | 0.3% | |||||||
Nagase & Co., Ltd. | 538,000 | 8,042,087 | 0.3% | |||||||
Nichias Corp. | 392,400 | 9,890,784 | 0.3% | |||||||
Nikkon Holdings Co., Ltd. | 385,300 | 8,404,229 | 0.3% | |||||||
Nishimatsu Construction Co., Ltd. | 345,000 | 10,756,538 | 0.4% | |||||||
Nisshinbo Holdings, Inc. | 908,180 | 7,864,702 | 0.3% | |||||||
# | OSG Corp. | 468,300 | 8,128,545 | 0.3% | ||||||
Outsourcing, Inc. | 732,300 | 13,295,817 | 0.4% |
1
The Japanese Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
INDUSTRIALS — (Continued) | ||||||||||
Penta-Ocean Construction Co., Ltd. | 1,237,700 | $ | 8,624,553 | 0.3% | ||||||
Ushio, Inc. | 660,300 | 12,071,065 | 0.4% | |||||||
Other Securities | 771,755,843 | 24.4% | ||||||||
TOTAL INDUSTRIALS | 954,259,935 | 30.6% | ||||||||
INFORMATION TECHNOLOGY — (14.8%) | ||||||||||
Daiwabo Holdings Co., Ltd. | 587,500 | 10,083,474 | 0.3% | |||||||
Dexerials Corp. | 357,200 | 7,517,969 | 0.3% | |||||||
Ferrotec Holdings Corp. | 239,200 | 7,317,952 | 0.2% | |||||||
Macnica Fuji Electronics Holdings, Inc. | 328,350 | 7,885,927 | 0.3% | |||||||
Mitsui High-Tec, Inc. | 130,600 | 7,484,402 | 0.3% | |||||||
# | Nippon Electric Glass Co., Ltd. | 431,236 | 10,126,421 | 0.3% | ||||||
NSD Co., Ltd. | 508,160 | 8,490,037 | 0.3% | |||||||
* | Sanken Electric Co., Ltd. | 149,900 | 7,456,382 | 0.2% | ||||||
Tokyo Seimitsu Co., Ltd. | 257,200 | 11,611,397 | 0.4% | |||||||
Topcon Corp. | 691,700 | 10,290,599 | 0.3% | |||||||
# | Ulvac, Inc. | 231,300 | 11,712,340 | 0.4% | ||||||
Other Securities | 363,260,269 | 11.6% | ||||||||
TOTAL INFORMATION TECHNOLOGY | 463,237,169 | 14.9% | ||||||||
MATERIALS — (11.6%) | ||||||||||
ADEKA Corp. | 604,300 | 11,340,574 | 0.4% | |||||||
Asahi Holdings, Inc. | 455,700 | 9,272,716 | 0.3% | |||||||
Daido Steel Co., Ltd. | 155,600 | 7,702,706 | 0.3% | |||||||
Kobe Steel, Ltd. | 1,495,100 | 9,603,460 | 0.3% | |||||||
Mitsui Mining & Smelting Co., Ltd. | 379,600 | 10,532,068 | 0.3% | |||||||
Sumitomo Bakelite Co., Ltd. | 163,900 | 7,251,636 | 0.2% | |||||||
Toagosei Co., Ltd. | 747,000 | 7,596,203 | 0.3% | |||||||
Tokuyama Corp. | 385,498 | 7,853,180 | 0.3% | |||||||
Other Securities | 292,813,158 | 9.3% | ||||||||
TOTAL MATERIALS | 363,965,701 | 11.7% | ||||||||
REAL ESTATE — (1.7%) | ||||||||||
Heiwa Real Estate Co., Ltd. | 229,400 | 8,648,208 | 0.3% | |||||||
Other Securities | 46,339,436 | 1.5% | ||||||||
TOTAL REAL ESTATE | 54,987,644 | 1.8% | ||||||||
UTILITIES — (1.6%) | ||||||||||
Nippon Gas Co., Ltd. | 611,100 | 10,404,925 | 0.3% | |||||||
Other Securities | 38,847,838 | 1.3% | ||||||||
TOTAL UTILITIES | 49,252,763 | 1.6% | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $2,585,190,397) | 3,102,972,648 | 99.5% | ||||||||
Value† | ||||||||||
SECURITIES LENDING COLLATERAL — (1.1%) | ||||||||||
@§ | The DFA Short Term Investment Fund | 3,099,118 | 35,856,793 | 1.1% | ||||||
TOTAL INVESTMENTS—(100.0%) | ||||||||||
(Cost $2,621,033,970) | $ | 3,138,829,441 | 100.6% |
2
The Japanese Small Company Series
continued
» | 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. |
Summary of the Series' investments as of June 30, 2021, 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 | — | $ | 88,881,033 | — | $ | 88,881,033 | |||||||
Consumer Discretionary | $ | 2,315,829 | 453,169,820 | — | 455,485,649 | ||||||||
Consumer Staples | — | 231,161,929 | — | 231,161,929 | |||||||||
Energy | — | 32,108,417 | — | 32,108,417 | |||||||||
Financials | — | 259,230,738 | — | 259,230,738 | |||||||||
Health Care | — | 150,401,670 | — | 150,401,670 | |||||||||
Industrials | 2,068,203 | 952,191,732 | — | 954,259,935 | |||||||||
Information Technology | — | 463,237,169 | — | 463,237,169 | |||||||||
Materials | — | 363,965,701 | — | 363,965,701 | |||||||||
Real Estate | — | 54,987,644 | — | 54,987,644 | |||||||||
Utilities | — | 49,252,763 | — | 49,252,763 | |||||||||
Securities Lending Collateral | — | 35,856,793 | — | 35,856,793 | |||||||||
TOTAL | $ | 4,384,032 | $ | 3,134,445,409 | — | $ | 3,138,829,441 |
3
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
COMMON STOCKS — (97.2%) | ||||||||||
AUSTRALIA — (55.8%) | ||||||||||
ALS, Ltd. | 1,252,385 | $ | 12,238,717 | 0.7% | ||||||
Ansell, Ltd. | 383,998 | 12,526,172 | 0.7% | |||||||
ARB Corp., Ltd. | 538,242 | 17,416,114 | 1.0% | |||||||
Bank of Queensland, Ltd. | 2,119,659 | 14,478,493 | 0.8% | |||||||
Bapcor, Ltd. | 2,189,248 | 13,950,126 | 0.8% | |||||||
Breville Group, Ltd. | 798,457 | 17,904,482 | 1.0% | |||||||
Carsales.com, Ltd. | 962,478 | 14,253,376 | 0.8% | |||||||
#* | Corporate Travel Management, Ltd. | 650,080 | 10,458,905 | 0.6% | ||||||
Credit Corp. Group, Ltd. | 442,571 | 9,849,187 | 0.5% | |||||||
CSR, Ltd. | 3,109,441 | 13,438,969 | 0.7% | |||||||
Downer EDI, Ltd. | 2,441,422 | 10,227,806 | 0.6% | |||||||
Elders, Ltd. | 1,121,521 | 9,715,890 | 0.5% | |||||||
Healius, Ltd. | 3,973,423 | 13,791,260 | 0.8% | |||||||
IGO, Ltd. | 2,212,503 | 12,627,225 | 0.7% | |||||||
Iluka Resources, Ltd. | 1,655,501 | 11,335,355 | 0.6% | |||||||
IOOF Holdings, Ltd. | 3,815,495 | 12,202,094 | 0.7% | |||||||
IRESS, Ltd. | 1,225,060 | 11,858,090 | 0.7% | |||||||
#* | Lynas Rare Earths, Ltd. | 5,868,035 | 25,084,138 | 1.4% | ||||||
# | Metcash, Ltd. | 7,621,231 | 22,854,228 | 1.3% | ||||||
nib holdings, Ltd. | 3,044,680 | 14,861,079 | 0.8% | |||||||
Nine Entertainment Co. Holdings, Ltd. | 6,491,008 | 14,178,018 | 0.8% | |||||||
Orora, Ltd. | 5,931,076 | 14,828,851 | 0.8% | |||||||
OZ Minerals, Ltd. | 689,105 | 11,585,153 | 0.6% | |||||||
Pendal Group, Ltd. | 2,058,779 | 12,437,409 | 0.7% | |||||||
Perpetual, Ltd. | 395,369 | 11,871,950 | 0.7% | |||||||
Premier Investments, Ltd. | 562,740 | 12,050,062 | 0.7% | |||||||
Pro Medicus, Ltd. | 226,691 | 9,984,505 | 0.6% | |||||||
Reliance Worldwide Corp., Ltd. | 4,169,614 | 16,436,717 | 0.9% | |||||||
Sims, Ltd. | 1,175,465 | 14,616,678 | 0.8% | |||||||
Spark Infrastructure Group | 11,138,058 | 18,780,950 | 1.0% | |||||||
* | Star Entertainment Grp, Ltd. (The) | 3,822,270 | 10,564,968 | 0.6% | ||||||
Steadfast Group, Ltd. | 5,683,479 | 18,737,035 | 1.0% | |||||||
Super Retail Group, Ltd. | 1,139,326 | 11,016,660 | 0.6% | |||||||
Technology One, Ltd. | 1,748,272 | 12,194,291 | 0.7% | |||||||
Other Securities | 555,405,455 | 30.2% | ||||||||
TOTAL AUSTRALIA | 1,025,760,408 | 56.4% | ||||||||
CHINA — (0.0%) | ||||||||||
Other Securities | 741,379 | 0.0% | ||||||||
HONG KONG — (23.1%) | ||||||||||
ASM Pacific Technology, Ltd. | 1,206,800 | 16,347,569 | 0.9% | |||||||
IGG, Inc. | 9,004,000 | 11,895,943 | 0.7% | |||||||
Kerry Logistics Network, Ltd. | 4,063,500 | 12,328,789 | 0.7% | |||||||
Luk Fook Holdings International, Ltd. | 3,667,000 | 12,658,519 | 0.7% | |||||||
* | Pacific Basin Shipping, Ltd. | 33,421,000 | 13,465,043 | 0.7% | ||||||
SITC International Holdings Co., Ltd. | 4,784,000 | 19,992,059 | 1.1% | |||||||
# | Vitasoy International Holdings, Ltd. | 2,731,000 | 10,138,866 | 0.6% | ||||||
VTech Holdings, Ltd. | 1,410,600 | 14,844,501 | 0.8% | |||||||
Other Securities | 312,059,743 | 17.1% | ||||||||
TOTAL HONG KONG | 423,731,032 | 23.3% |
4
The Asia Pacific Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
NEW ZEALAND — (6.6%) | ||||||||||
Chorus, Ltd. | 2,919,774 | $ | 13,060,282 | 0.7% | ||||||
Infratil, Ltd. | 3,887,656 | 20,922,460 | 1.2% | |||||||
Mainfreight, Ltd. | 219,747 | 11,815,071 | 0.6% | |||||||
* | SKYCITY Entertainment Group, Ltd. | 4,978,126 | 12,215,945 | 0.7% | ||||||
Summerset Group Holdings, Ltd. | 1,218,186 | 11,417,030 | 0.6% | |||||||
Other Securities | 51,763,344 | 2.9% | ||||||||
TOTAL NEW ZEALAND | 121,194,132 | 6.7% | ||||||||
SINGAPORE — (11.3%) | ||||||||||
# | ComfortDelGro Corp., Ltd. | 10,328,200 | 12,621,779 | 0.7% | ||||||
Sembcorp Industries, Ltd. | 6,697,200 | 10,682,455 | 0.6% | |||||||
# | Singapore Press Holdings, Ltd. | 7,633,400 | 9,730,289 | 0.5% | ||||||
Other Securities | 173,749,678 | 9.6% | ||||||||
TOTAL SINGAPORE | 206,784,201 | 11.4% | ||||||||
UNITED STATES — (0.4%) | ||||||||||
Other Securities | 7,575,079 | 0.4% | ||||||||
TOTAL COMMON STOCKS | 1,785,786,231 | 98.2% | ||||||||
PREFERRED STOCKS — (0.0%) | ||||||||||
AUSTRALIA — (0.0%) | ||||||||||
Other Security | 76,675 | 0.0% | ||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||
AUSTRALIA — (0.0%) | ||||||||||
Other Security | 81,645 | 0.0% | ||||||||
HONG KONG — (0.0%) | ||||||||||
Other Securities | 122,174 | 0.0% | ||||||||
SINGAPORE — (0.0%) | ||||||||||
Other Securities | 16,589 | 0.0% | ||||||||
TOTAL RIGHTS/WARRANTS | 220,408 | 0.0% | ||||||||
TOTAL INVESTMENT SECURITIES | ||||||||||
(Cost $1,507,495,382) | 1,786,083,314 | |||||||||
Value† | ||||||||||
SECURITIES LENDING COLLATERAL — (2.8%) | ||||||||||
@§ | The DFA Short Term Investment Fund | 4,397,520 | 50,879,302 | 2.8% | ||||||
TOTAL INVESTMENTS—(100.0%) | ||||||||||
(Cost $1,558,370,395) | $ | 1,836,962,616 | 101.0% |
5
The Asia Pacific Small Company Series
continued
» | 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. |
Summary of the Series' investments as of June 30, 2021, 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 | $ | 99,930 | $ | 1,025,660,478 | — | $ | 1,025,760,408 | |||||
China | — | 741,379 | — | 741,379 | ||||||||
Hong Kong | 2,512,257 | 421,218,775 | — | 423,731,032 | ||||||||
New Zealand | — | 121,194,132 | — | 121,194,132 | ||||||||
Singapore | — | 206,784,201 | — | 206,784,201 | ||||||||
United States | 1,178,359 | 6,396,720 | — | 7,575,079 | ||||||||
Preferred Stocks | ||||||||||||
Australia | 76,675 | — | — | 76,675 | ||||||||
Rights/Warrants | ||||||||||||
Australia | — | 81,645 | — | 81,645 | ||||||||
Hong Kong | — | 122,174 | — | 122,174 | ||||||||
Singapore | — | 16,589 | — | 16,589 | ||||||||
Securities Lending Collateral | — | 50,879,302 | — | 50,879,302 | ||||||||
TOTAL | $ | 3,867,221 | $ | 1,833,095,395 | — | $ | 1,836,962,616 |
6
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
COMMON STOCKS — (98.9%) | ||||||||||
COMMUNICATION SERVICES — (3.3%) | ||||||||||
Other Securities | $ | 64,243,102 | 3.3% | |||||||
CONSUMER DISCRETIONARY — (20.3%) | ||||||||||
Bellway P.L.C. | 467,558 | 20,947,167 | 1.1% | |||||||
* | Countryside Properties P.L.C. | 2,837,079 | 18,602,918 | 1.0% | ||||||
Domino's Pizza Group P.L.C. | 3,262,553 | 17,551,753 | 0.9% | |||||||
Games Workshop Group P.L.C. | 170,791 | 26,934,249 | 1.4% | |||||||
* | Greggs P.L.C. | 617,131 | 22,213,558 | 1.2% | ||||||
Inchcape P.L.C. | 2,476,466 | 26,355,875 | 1.4% | |||||||
* | Marks & Spencer Group P.L.C. | 6,763,668 | 13,717,631 | 0.7% | ||||||
Pets at Home Group P.L.C. | 3,140,708 | 19,852,790 | 1.0% | |||||||
Redrow P.L.C. | 1,563,824 | 13,265,541 | 0.7% | |||||||
* | SSP Group P.L.C. | 3,741,447 | 13,805,579 | 0.7% | ||||||
Vistry Group P.L.C. | 909,524 | 14,807,784 | 0.8% | |||||||
* | WH Smith P.L.C. | 584,365 | 13,020,676 | 0.7% | ||||||
Other Securities | 170,790,317 | 8.9% | ||||||||
TOTAL CONSUMER DISCRETIONARY | 391,865,838 | 20.5% | ||||||||
CONSUMER STAPLES — (6.7%) | ||||||||||
Britvic P.L.C. | 1,587,277 | 20,605,166 | 1.1% | |||||||
Cranswick P.L.C. | 369,967 | 20,353,869 | 1.1% | |||||||
Fevertree Drinks P.L.C. | 610,917 | 21,742,423 | 1.1% | |||||||
Tate & Lyle P.L.C. | 2,307,149 | 23,597,270 | 1.2% | |||||||
Other Securities | 42,677,558 | 2.2% | ||||||||
TOTAL CONSUMER STAPLES | 128,976,286 | 6.7% | ||||||||
ENERGY — (1.9%) | ||||||||||
Other Securities | 37,038,002 | 1.9% | ||||||||
FINANCIALS — (15.2%) | ||||||||||
* | Beazley P.L.C. | 3,078,734 | 14,172,541 | 0.7% | ||||||
Close Brothers Group P.L.C. | 963,064 | 20,183,512 | 1.1% | |||||||
* | Hiscox, Ltd. | 1,295,661 | 14,923,738 | 0.8% | ||||||
IG Group Holdings P.L.C. | 2,317,134 | 27,152,889 | 1.4% | |||||||
Man Group P.L.C. | 9,432,150 | 23,462,145 | 1.2% | |||||||
Paragon Banking Group P.L.C. | 1,931,703 | 13,626,903 | 0.7% | |||||||
Quilter P.L.C. | 10,450,012 | 21,503,238 | 1.1% | |||||||
Other Securities | 157,100,276 | 8.3% | ||||||||
TOTAL FINANCIALS | 292,125,242 | 15.3% | ||||||||
HEALTH CARE — (3.7%) | ||||||||||
UDG Healthcare P.L.C. | 1,122,074 | 16,604,888 | 0.9% | |||||||
Other Securities | 55,298,964 | 2.9% | ||||||||
TOTAL HEALTH CARE | 71,903,852 | 3.8% | ||||||||
INDUSTRIALS — (27.8%) | ||||||||||
* | Balfour Beatty P.L.C. | 3,579,056 | 15,212,621 | 0.8% | ||||||
Bodycote P.L.C. | 1,243,323 | 14,566,616 | 0.8% | |||||||
Diploma P.L.C. | 650,354 | 26,162,593 | 1.4% | |||||||
Electrocomponents P.L.C. | 920,669 | 13,116,859 | 0.7% | |||||||
Grafton Group P.L.C. | 1,582,491 | 25,150,545 | 1.3% | |||||||
* | Hays P.L.C. | 8,412,540 | 18,474,948 | 1.0% |
7
The United Kingdom Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
INDUSTRIALS — (Continued) | ||||||||||
IMI P.L.C. | 1,316,338 | $ | 31,328,332 | 1.6% | ||||||
* | Meggitt P.L.C. | 2,488,566 | 15,896,964 | 0.8% | ||||||
* | Pagegroup P.L.C. | 1,960,650 | 15,181,344 | 0.8% | ||||||
QinetiQ Group P.L.C. | 3,409,929 | 16,230,904 | 0.8% | |||||||
Rotork P.L.C. | 5,397,898 | 25,458,616 | 1.3% | |||||||
* | Royal Mail P.L.C. | 3,874,121 | 30,976,848 | 1.6% | ||||||
* | Travis Perkins P.L.C. | 1,165,701 | 27,274,255 | 1.4% | ||||||
Ultra Electronics Holdings P.L.C. | 566,936 | 17,969,121 | 0.9% | |||||||
Other Securities | 242,634,692 | 12.8% | ||||||||
TOTAL INDUSTRIALS | 535,635,258 | 28.0% | ||||||||
INFORMATION TECHNOLOGY — (7.6%) | ||||||||||
Computacenter P.L.C. | 513,813 | 18,311,870 | 1.0% | |||||||
Softcat P.L.C. | 768,191 | 18,879,953 | 1.0% | |||||||
Spectris P.L.C. | 577,563 | 25,904,850 | 1.4% | |||||||
Spirent Communications P.L.C. | 4,043,382 | 13,783,622 | 0.7% | |||||||
Other Securities | 69,284,811 | 3.5% | ||||||||
TOTAL INFORMATION TECHNOLOGY | 146,165,106 | 7.6% | ||||||||
MATERIALS — (6.5%) | ||||||||||
* | Marshalls P.L.C. | 1,404,106 | 13,337,553 | 0.7% | ||||||
Synthomer P.L.C. | 2,254,788 | 15,346,041 | 0.8% | |||||||
Victrex P.L.C. | 551,606 | 19,455,915 | 1.0% | |||||||
Other Securities | 77,344,193 | 4.0% | ||||||||
TOTAL MATERIALS | 125,483,702 | 6.5% | ||||||||
REAL ESTATE — (4.3%) | ||||||||||
Grainger P.L.C. | 4,330,519 | 17,067,160 | 0.9% | |||||||
* | IWG P.L.C. | 3,618,386 | 15,058,440 | 0.8% | ||||||
Savills P.L.C. | 965,532 | 15,413,346 | 0.8% | |||||||
St. Modwen Properties P.L.C. | 2,664,787 | 20,513,097 | 1.1% | |||||||
Other Securities | 13,971,594 | 0.7% | ||||||||
TOTAL REAL ESTATE | 82,023,637 | 4.3% | ||||||||
UTILITIES — (1.6%) | ||||||||||
Drax Group P.L.C. | 2,438,473 | 14,303,991 | 0.8% | |||||||
Other Securities | 15,793,435 | 0.8% | ||||||||
TOTAL UTILITIES | 30,097,426 | 1.6% | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,455,176,019) | 1,905,557,451 | 99.5% | ||||||||
Value† | ||||||||||
SECURITIES LENDING COLLATERAL — (1.1%) | ||||||||||
@§ | The DFA Short Term Investment Fund | 1,883,342 | 21,790,271 | 1.2% | ||||||
TOTAL INVESTMENTS—(100.0%) | ||||||||||
(Cost $1,476,961,399) | $ | 1,927,347,722 | 100.7% |
P.L.C. | Public Limited Company | |
» | Securities that have generally been fair value factored. See Note B to Financial Statements. |
8
The United Kingdom Small Company Series
continued
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |
* | Non-Income Producing Securities. | |
† | See Note B to Financial Statements. | |
@ | Security purchased with cash collateral received from Securities on Loan. | |
§ | Affiliated Fund. |
Summary of the Series' investments as of June 30, 2021, 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 | — | $ | 64,243,102 | — | $ | 64,243,102 | |||||||
Consumer Discretionary | $ | 4,933,091 | 386,932,747 | — | 391,865,838 | ||||||||
Consumer Staples | — | 128,976,286 | — | 128,976,286 | |||||||||
Energy | — | 37,038,002 | — | 37,038,002 | |||||||||
Financials | — | 292,125,242 | — | 292,125,242 | |||||||||
Health Care | — | 71,903,852 | — | 71,903,852 | |||||||||
Industrials | — | 535,635,258 | — | 535,635,258 | |||||||||
Information Technology | — | 146,165,106 | — | 146,165,106 | |||||||||
Materials | — | 125,483,702 | — | 125,483,702 | |||||||||
Real Estate | — | 82,023,637 | — | 82,023,637 | |||||||||
Utilities | — | 30,097,426 | — | 30,097,426 | |||||||||
Securities Lending Collateral | — | 21,790,271 | — | 21,790,271 | |||||||||
TOTAL | $ | 4,933,091 | $ | 1,922,414,631 | — | $ | 1,927,347,722 |
9
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
BONDS — (0.0%) | ||||||||||
GERMANY — (0.0%) | ||||||||||
Other Security | $ | 323,222 | 0.0% | |||||||
COMMON STOCKS — (94.3%) | ||||||||||
AUSTRIA — (3.5%) | ||||||||||
ANDRITZ AG | 466,575 | 26,241,121 | 0.4% | |||||||
Wienerberger AG | 610,252 | 23,522,875 | 0.4% | |||||||
Other Securities | 169,473,011 | 2.9% | ||||||||
TOTAL AUSTRIA | 219,237,007 | 3.7% | ||||||||
BELGIUM — (3.6%) | ||||||||||
Ackermans & van Haaren NV | 170,533 | 28,815,282 | 0.5% | |||||||
D'ieteren SA | 194,540 | 23,552,911 | 0.4% | |||||||
Other Securities | 172,154,833 | 2.8% | ||||||||
TOTAL BELGIUM | 224,523,026 | 3.7% | ||||||||
DENMARK — (5.3%) | ||||||||||
* | Jyske Bank A.S. | 422,830 | 20,492,270 | 0.3% | ||||||
Royal Unibrew A.S. | 319,998 | 40,775,088 | 0.7% | |||||||
# | SimCorp A.S. | 251,433 | 31,580,623 | 0.5% | ||||||
# | Topdanmark A.S. | 428,065 | 22,274,904 | 0.4% | ||||||
Other Securities | 212,392,512 | 3.6% | ||||||||
TOTAL DENMARK | 327,515,397 | 5.5% | ||||||||
FINLAND — (6.0%) | ||||||||||
Huhtamaki Oyj | 631,120 | 29,935,323 | 0.5% | |||||||
Nokian Renkaat Oyj | 579,923 | 23,427,616 | 0.4% | |||||||
# | Orion Oyj, Class B | 515,971 | 22,183,887 | 0.4% | ||||||
Valmet Oyj | 889,683 | 38,851,857 | 0.6% | |||||||
Other Securities | 254,980,003 | 4.3% | ||||||||
TOTAL FINLAND | 369,378,686 | 6.2% | ||||||||
FRANCE — (10.1%) | ||||||||||
* | Elis SA | 1,122,246 | 21,176,085 | 0.4% | ||||||
Rexel SA | 2,073,563 | 43,416,583 | 0.7% | |||||||
Rubis SCA | 518,092 | 23,052,816 | 0.4% | |||||||
* | SOITEC | 132,921 | 29,351,806 | 0.5% | ||||||
* | Sopra Steria Group SACA | 108,873 | 20,948,969 | 0.4% | ||||||
Other Securities | 490,175,335 | 8.1% | ||||||||
TOTAL FRANCE | 628,121,594 | 10.5% | ||||||||
GERMANY — (15.3%) | ||||||||||
Aurubis AG | 285,630 | 26,511,311 | 0.4% | |||||||
* | Dialog Semiconductor P.L.C. | 544,240 | 42,329,501 | 0.7% | ||||||
Freenet AG | 894,705 | 21,154,193 | 0.4% | |||||||
GEA Group AG | 746,864 | 30,263,026 | 0.5% | |||||||
Gerresheimer AG | 242,136 | 26,782,023 | 0.5% | |||||||
Grand City Properties SA | 783,310 | 21,155,349 | 0.4% | |||||||
Hugo Boss AG | 392,537 | 21,380,957 | 0.4% | |||||||
Lanxess AG | 590,921 | 40,554,303 | 0.7% | |||||||
* | ProSiebenSat.1 Media SE | 1,340,987 | 26,738,492 | 0.4% | ||||||
Rheinmetall AG | 302,240 | 29,865,297 | 0.5% |
10
The Continental Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
GERMANY — (Continued) | ||||||||||
# | Siltronic AG | 146,283 | $ | 24,379,091 | 0.4% | |||||
TAG Immobilien AG | 954,559 | 30,256,177 | 0.5% | |||||||
Other Securities | 608,983,956 | 10.1% | ||||||||
TOTAL GERMANY | 950,353,676 | 15.9% | ||||||||
IRELAND — (0.8%) | ||||||||||
* | Bank of Ireland Group P.L.C. | 4,690,139 | 25,167,918 | 0.4% | ||||||
Other Securities | 26,795,336 | 0.5% | ||||||||
TOTAL IRELAND | 51,963,254 | 0.9% | ||||||||
ISRAEL — (3.2%) | ||||||||||
Other Securities | 200,818,675 | 3.4% | ||||||||
ITALY — (8.3%) | ||||||||||
# | Banco BPM SpA | 10,026,255 | 32,319,368 | 0.5% | ||||||
Italgas SpA | 3,321,510 | 21,726,642 | 0.4% | |||||||
Reply SpA | 142,692 | 23,435,915 | 0.4% | |||||||
Other Securities | 440,491,690 | 7.4% | ||||||||
TOTAL ITALY | 517,973,615 | 8.7% | ||||||||
LUXEMBOURG — (0.0%) | ||||||||||
Other Security | 162,519 | 0.0% | ||||||||
NETHERLANDS — (6.8%) | ||||||||||
Aalberts NV | 691,302 | 37,233,280 | 0.6% | |||||||
Arcadis NV | 528,421 | 21,666,797 | 0.4% | |||||||
ASR Nederland NV | 808,010 | 31,287,361 | 0.5% | |||||||
BE Semiconductor Industries NV | 452,964 | 38,600,576 | 0.7% | |||||||
Corbion NV | 406,829 | 23,297,413 | 0.4% | |||||||
IMCD NV | 268,218 | 42,736,488 | 0.7% | |||||||
Signify NV | 667,052 | 42,343,048 | 0.7% | |||||||
Other Securities | 183,098,170 | 3.0% | ||||||||
TOTAL NETHERLANDS | 420,263,133 | 7.0% | ||||||||
NORWAY — (2.3%) | ||||||||||
Other Securities | 141,266,739 | 2.4% | ||||||||
PORTUGAL — (0.7%) | ||||||||||
Other Securities | 43,007,858 | 0.7% | ||||||||
SPAIN — (5.3%) | ||||||||||
Other Securities | 327,888,159 | 5.5% | ||||||||
SWEDEN — (8.9%) | ||||||||||
Other Securities | 555,274,673 | 9.3% | ||||||||
SWITZERLAND — (14.2%) | ||||||||||
Allreal Holding AG | 112,905 | 22,224,176 | 0.4% | |||||||
Belimo Holding AG | 60,560 | 27,734,394 | 0.5% | |||||||
Bucher Industries AG | 54,197 | 28,380,069 | 0.5% | |||||||
Cembra Money Bank AG | 187,433 | 21,028,235 | 0.4% | |||||||
* | Flughafen Zurich AG | 126,351 | 20,916,537 | 0.4% | ||||||
Georg Fischer AG | 31,470 | 46,733,202 | 0.8% | |||||||
Helvetia Holding AG | 229,898 | 24,755,199 | 0.4% | |||||||
PSP Swiss Property AG | 322,767 | 40,984,586 | 0.7% | |||||||
Siegfried Holding AG | 31,383 | 29,451,400 | 0.5% |
11
The Continental Small Company Series
continued
Percentage | ||||||||||
Shares | Value» | of Net Assets‡ | ||||||||
SWITZERLAND — (Continued) | ||||||||||
VAT Group AG | 161,138 | $ | 53,587,903 | 0.9% | ||||||
Other Securities | 568,085,276 | 9.3% | ||||||||
TOTAL SWITZERLAND | 883,880,977 | 14.8% | ||||||||
UNITED STATES — (0.0%) | ||||||||||
Other Security | 1,232,001 | 0.0% | ||||||||
TOTAL COMMON STOCKS | 5,862,860,989 | 98.2% | ||||||||
PREFERRED STOCKS — (0.9%) | ||||||||||
GERMANY — (0.9%) | ||||||||||
Other Securities | 54,396,953 | 0.9% | ||||||||
RIGHTS/WARRANTS — (0.0%) | ||||||||||
ITALY — (0.0%) | ||||||||||
Other Security | 54,913 | 0.0% | ||||||||
SPAIN — (0.0%) | ||||||||||
Other Securities | 183,993 | 0.0% | ||||||||
TOTAL RIGHTS/WARRANTS | 238,906 | 0.0% | ||||||||
TOTAL INVESTMENT SECURITIES | ||||||||||
(Cost $4,055,220,692) | 5,917,820,070 | |||||||||
Value† | ||||||||||
SECURITIES LENDING COLLATERAL — (4.8%) | ||||||||||
@ § | The DFA Short Term Investment Fund | 25,679,222 | 297,108,601 | 5.0% | ||||||
TOTAL INVESTMENTS—(100.0%) | ||||||||||
(Cost $4,352,300,906) | $ | 6,214,928,671 | 104.1% |
P.L.C. | Public Limited Company | |
SA | Special Assessment | |
» | Securities that have generally been fair value factored. See Note B to Financial Statements. | |
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |
* | Non-Income Producing Securities. | |
# | Total or Partial Securities on Loan. | |
† | See Note B to Financial Statements. | |
@ | Security purchased with cash collateral received from Securities on Loan. | |
§ | Affiliated Fund. |
12
The Continental Small Company Series
continued
Summary of the Series' investments as of June 30, 2021, 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 | — | $ | 219,237,007 | — | $ | 219,237,007 | ||||||
Belgium | $ | 2,817,115 | 221,705,911 | — | 224,523,026 | |||||||
Denmark | — | 327,515,397 | — | 327,515,397 | ||||||||
Finland | — | 369,378,686 | — | 369,378,686 | ||||||||
France | — | 628,121,594 | — | 628,121,594 | ||||||||
Germany | — | 950,353,676 | — | 950,353,676 | ||||||||
Ireland | — | 51,963,254 | — | 51,963,254 | ||||||||
Israel | 1,003,740 | 199,814,935 | — | 200,818,675 | ||||||||
Italy | — | 517,973,615 | — | 517,973,615 | ||||||||
Luxembourg | — | 162,519 | — | 162,519 | ||||||||
Netherlands | 4,590,678 | 415,672,455 | — | 420,263,133 | ||||||||
Norway | — | 141,266,739 | — | 141,266,739 | ||||||||
Portugal | — | 43,007,858 | — | 43,007,858 | ||||||||
Spain | 7,966,686 | 319,921,473 | — | 327,888,159 | ||||||||
Sweden | — | 555,274,673 | — | 555,274,673 | ||||||||
Switzerland | — | 883,880,977 | — | 883,880,977 | ||||||||
United States | — | 1,232,001 | — | 1,232,001 | ||||||||
Preferred Stocks | ||||||||||||
Germany | — | 54,396,953 | — | 54,396,953 | ||||||||
Rights/Warrants | ||||||||||||
Italy | — | 54,913 | — | 54,913 | ||||||||
Spain | — | 183,993 | — | 183,993 | ||||||||
Bonds | ||||||||||||
Germany | — | 323,222 | — | 323,222 | ||||||||
Securities Lending Collateral | — | 297,108,601 | — | 297,108,601 | ||||||||
TOTAL | $ | 16,378,219 | $ | 6,198,550,452 | — | $ | 6,214,928,671 |
13
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
June 30, 2021
(Unaudited)
Percentage | |||||||||||
Shares | Value» | of Net Assets‡ | |||||||||
COMMON STOCKS — (84.6%) | |||||||||||
COMMUNICATION SERVICES — (1.3%) | |||||||||||
Other Securities | $ | 20,076,639 | 1.5 | % | |||||||
CONSUMER DISCRETIONARY — (6.0%) | |||||||||||
* | Aritzia, Inc. | 427,638 | 12,791,882 | 1.0 | % | ||||||
* | Canada Goose Holdings, Inc. | 230,847 | 10,097,248 | 0.8 | % | ||||||
* | Great Canadian Gaming Corp. | 428,062 | 15,370,313 | 1.2 | % | ||||||
# | Linamar Corp. | 216,634 | 13,587,684 | 1.0 | % | ||||||
Other Securities | 41,715,576 | 3.0 | % | ||||||||
TOTAL CONSUMER DISCRETIONARY | 93,562,703 | 7.0 | % | ||||||||
CONSUMER STAPLES — (4.7%) | |||||||||||
# | Premium Brands Holdings Corp. | 182,482 | 18,538,204 | 1.4 | % | ||||||
Primo Water Corp. | 813,424 | 13,609,563 | 1.0 | % | |||||||
Other Securities | 40,184,992 | 3.0 | % | ||||||||
TOTAL CONSUMER STAPLES | 72,332,759 | 5.4 | % | ||||||||
ENERGY — (16.1%) | |||||||||||
ARC Resources, Ltd. | 2,772,777 | 23,598,577 | 1.8 | % | |||||||
# | Cameco Corp. | 731,726 | 14,034,505 | 1.1 | % | ||||||
# | Crescent Point Energy Corp. | 2,370,438 | 10,727,781 | 0.8 | % | ||||||
# | Gibson Energy, Inc. | 940,791 | 18,024,997 | 1.4 | % | ||||||
# | Inter Pipeline, Ltd. | 885,858 | 14,399,838 | 1.1 | % | ||||||
# | Keyera Corp. | 445,938 | 11,983,055 | 0.9 | % | ||||||
#* | MEG Energy Corp. | 2,470,617 | 17,877,892 | 1.3 | % | ||||||
* | Parex Resources, Inc. | 786,291 | 13,130,222 | 1.0 | % | ||||||
# | Parkland Corp. | 476,900 | 15,411,918 | 1.2 | % | ||||||
# | PrairieSky Royalty, Ltd. | 1,029,307 | 12,463,616 | 0.9 | % | ||||||
# | Whitecap Resources, Inc. | 2,632,329 | 13,080,952 | 1.0 | % | ||||||
Other Securities | 85,983,768 | 6.3 | % | ||||||||
TOTAL ENERGY | 250,717,121 | 18.8 | % | ||||||||
FINANCIALS — (10.0%) | |||||||||||
Canadian Western Bank | 456,902 | 12,826,871 | 1.0 | % | |||||||
# | CI Financial Corp. | 770,765 | 14,145,615 | 1.1 | % | ||||||
# | ECN Capital Corp. | 2,488,693 | 18,671,220 | 1.4 | % | ||||||
# | Element Fleet Management Corp. | 1,406,781 | 16,410,175 | 1.2 | % | ||||||
iA Financial Corp., Inc. | 240,867 | 13,114,000 | 1.0 | % | |||||||
# | Laurentian Bank of Canada | 412,090 | 14,524,211 | 1.1 | % | ||||||
Other Securities | 66,252,404 | 4.9 | % | ||||||||
TOTAL FINANCIALS | 155,944,496 | 11.7 | % | ||||||||
HEALTH CARE — (1.0%) | |||||||||||
Other Securities | 16,131,012 | 1.2 | % | ||||||||
INDUSTRIALS — (11.7%) | |||||||||||
#* | ATS Automation Tooling Systems, Inc. | 441,354 | 12,668,099 | 1.0 | % | ||||||
Finning International, Inc. | 885,513 | 23,180,782 | 1.7 | % | |||||||
LifeWorks, Inc. | 401,948 | 10,836,643 | 0.8 | % | |||||||
# | Richelieu Hardware, Ltd. | 361,973 | 11,715,357 | 0.9 | % | ||||||
# | SNC-Lavalin Group, Inc. | 666,544 | 17,341,113 | 1.3 | % | ||||||
# | Stantec, Inc. | 287,574 | 12,831,331 | 1.0 | % | ||||||
TFI International, Inc. | 245,978 | 22,456,704 | 1.7 | % |
14
The Canadian Small Company Series
continued
Percentage | |||||||||||
Shares | Value» | of Net Assets‡ | |||||||||
INDUSTRIALS — (Continued) | |||||||||||
Other Securities | $ | 71,394,144 | 5.3 | % | |||||||
TOTAL INDUSTRIALS | 182,424,173 | 13.7 | % | ||||||||
INFORMATION TECHNOLOGY — (4.4%) | |||||||||||
* | BlackBerry, Ltd. | 222,456 | 2,718,787 | 0.2 | % | ||||||
#* | BlackBerry, Ltd. | 1,540,551 | 18,825,533 | 1.4 | % | ||||||
Enghouse Systems, Ltd. | 263,395 | 11,726,985 | 0.9 | % | |||||||
* | Kinaxis, Inc. | 99,954 | 13,148,999 | 1.0 | % | ||||||
Other Securities | 22,773,898 | 1.7 | % | ||||||||
TOTAL INFORMATION TECHNOLOGY | 69,194,202 | 5.2 | % | ||||||||
MATERIALS — (19.1%) | |||||||||||
# | Alamos Gold, Inc., Class A | 2,014,411 | 15,389,212 | 1.2 | % | ||||||
#* | Capstone Mining Corp. | 2,456,528 | 10,661,601 | 0.8 | % | ||||||
# | Centerra Gold, Inc. | 1,270,606 | 9,645,373 | 0.7 | % | ||||||
Endeavour Mining PLC | 881,363 | 18,926,986 | 1.4 | % | |||||||
# | First Majestic Silver Corp. | 606,133 | 9,574,128 | 0.7 | % | ||||||
# | First Majestic Silver Corp. | 171,162 | 2,706,071 | 0.2 | % | ||||||
* | Ivanhoe Mines, Ltd., Class A | 2,121,673 | 15,318,630 | 1.1 | % | ||||||
# | Labrador Iron Ore Royalty Corp. | 289,259 | 10,960,387 | 0.8 | % | ||||||
# | SSR Mining, Inc. | 998,166 | 15,589,295 | 1.2 | % | ||||||
# | Yamana Gold, Inc. | 3,233,894 | 13,618,043 | 1.0 | % | ||||||
Other Securities | 175,217,461 | 13.2 | % | ||||||||
TOTAL MATERIALS | 297,607,187 | 22.3 | % | ||||||||
REAL ESTATE — (3.0%) | |||||||||||
# | Altus Group, Ltd. | 261,893 | 12,137,587 | 0.9 | % | ||||||
# | Colliers International Group, Inc. | 134,012 | 15,007,701 | 1.1 | % | ||||||
Colliers International Group, Inc. | 4,163 | 466,173 | 0.0 | % | |||||||
Other Securities | 19,497,632 | 1.5 | % | ||||||||
TOTAL REAL ESTATE | 47,109,093 | 3.5 | % | ||||||||
UTILITIES — (7.3%) | |||||||||||
# | AltaGas, Ltd. | 662,005 | 13,895,910 | 1.1 | % | ||||||
# | Boralex, Inc., Class A | 549,954 | 16,747,954 | 1.3 | % | ||||||
# | Capital Power Corp. | 771,649 | 25,491,309 | 1.9 | % | ||||||
# | Innergex Renewable Energy, Inc. | 604,787 | 10,514,003 | 0.8 | % | ||||||
# | Superior Plus Corp. | 781,510 | 9,627,023 | 0.7 | % | ||||||
TransAlta Corp. | 1,784,708 | 17,780,852 | 1.3 | % | |||||||
# | TransAlta Renewables, Inc. | 614,934 | 10,333,233 | 0.8 | % | ||||||
Other Securities | 9,420,640 | 0.7 | % | ||||||||
TOTAL UTILITIES | 113,810,924 | 8.6 | % | ||||||||
TOTAL COMMON STOCKS | 1,318,910,309 | 98.9 | % | ||||||||
RIGHTS/WARRANTS — (0.1%) | |||||||||||
MATERIALS — (0.1%) | |||||||||||
Other Security | 1,594,954 | 0.2 | % | ||||||||
ENERGY — (0.0%) | |||||||||||
Other Security | 222,371 | 0.0 | % | ||||||||
TOTAL RIGHTS/WARRANTS | 1,817,325 | 0.2 | % | ||||||||
TOTAL INVESTMENT SECURITIES | |||||||||||
(Cost $927,343,868) | 1,320,727,634 |
15
The Canadian Small Company Series
continued
Percentage | |||||||||||
Shares | Value† | of Net Assets‡ | |||||||||
SECURITIES LENDING COLLATERAL — (15.3%) | |||||||||||
@§ | The DFA Short Term Investment Fund | 20,669,346 | $ | 239,144,334 | 17.9 | % | |||||
TOTAL INVESTMENTS—(100.0%) | |||||||||||
(Cost $1,166,472,859) | $ | 1,559,871,968 | 117.0 | % |
» | Securities that have generally been fair value factored. See Note B to Financial Statements. | |
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non- Income Producing Securities. | |
* | Non-Income Producing Securities. | |
# | Total or Partial Securities on Loan. | |
† | See Note B to Financial Statements. Security purchased with cash collateral received from | |
@ | Securities on Loan. | |
§ | Affiliated Fund. |
Summary of the Series' investments as of June 30, 2021, 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 | $ | 20,076,639 | — | — | $ | 20,076,639 | ||||||
Consumer Discretionary | 93,535,425 | $ | 27,278 | — | 93,562,703 | |||||||
Consumer Staples | 72,332,759 | — | — | 72,332,759 | ||||||||
Energy | 250,717,121 | — | — | 250,717,121 | ||||||||
Financials | 155,944,496 | — | — | 155,944,496 | ||||||||
Health Care | 16,131,012 | — | — | 16,131,012 | ||||||||
Industrials | 182,424,173 | — | — | 182,424,173 | ||||||||
Information Technology | 69,194,202 | — | — | 69,194,202 | ||||||||
Materials | 297,607,187 | — | — | 297,607,187 | ||||||||
Real Estate | 47,109,093 | — | — | 47,109,093 | ||||||||
Utilities | 113,810,924 | — | — | 113,810,924 | ||||||||
Rights/Warrants | ||||||||||||
Energy | — | 222,371 | — | 222,371 | ||||||||
Materials | — | 1,594,954 | — | 1,594,954 | ||||||||
Securities Lending Collateral | — | 239,144,334 | — | 239,144,334 | ||||||||
TOTAL | $ | 1,318,883,031 | $ | 240,988,937 | — | $ | 1,559,871,968 |
16
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | |||||||||||
Shares | Value» | 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 | % |
17
The Japanese Small Company Series
continued
Percentage | |||||||||||
Shares | Value» | 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 | % |
18
The Japanese Small Company Series
continued
» | 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. |
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.
19
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | |||||||||||
Shares | Value» | 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 | % |
20
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% |
» | 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. |
21
The Asia Pacific 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 | |||||||||||||
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.
22
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 | % |
23
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 |
24
The United Kingdom Small Company Series
continued
Percentage | |||||||||||
Shares | Value† | 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 | % |
P.L.C. | Public Limited Company | |
» | Securities that have generally been fair value factored. See Note B to Financial Statements. | |
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |
* | Non-Income Producing Securities. | |
# | Total or Partial Securities on Loan. | |
† | See Note B to Financial Statements. | |
@ | Security purchased with cash collateral received from Securities on Loan. | |
§ | Affiliated Fund. |
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.
25
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2020
Percentage | |||||||||||
Shares | Value» | 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%) | |||||||||||
Ω | 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 | % |
26
The Continental Small Company Series
continued
Percentage | |||||||||||
Shares | Value» | 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 | % | |||||||
*Ω | 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 | % | ||||||
Ω | VAT Group AG | 205,035 | 38,467,620 | 0.8 | % |
27
The Continental Small Company Series
continued
Percentage | |||||||||||
Shares | Value» | 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 | % |
P.L.C. | Public Limited Company | |
SA | Special Assessment | |
» | Securities that have generally been fair value factored. See Note B to Financial Statements. | |
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |
* | Non-Income Producing Securities. | |
# | Total or Partial Securities on Loan. | |
Ω | 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. |
28
The Continental 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 | |||||||||||||
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 | |||||||||
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.
29
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 | % |
30
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 | % |
31
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 | % |
» | Securities that have generally been fair value factored. See Note B to Financial Statements. | |
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |
* | Non-Income Producing Securities. | |
# | Total or Partial Securities on Loan. | |
† | See Note B to Financial Statements. | |
@ | Security purchased with cash collateral received from Securities on Loan. | |
§ | Affiliated Fund. |
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 Staples | 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 |
32
The Canadian Small Company Series
CONTINUED
Investments in Securities (Market Value) | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
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.
33
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Alexander B. Potts, the registrant’s President and Chief Executive Officer, and Michael Clinton, the registrant’s Treasurer and Chief Financial and Accounting Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) and evaluated their effectiveness. Based on their review, Messrs. Potts and Clinton determined that the disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant on Form N-CSR and Form N-PORT is accumulated and communicated to the registrant’s management to allow timely decisions regarding required disclosure.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) 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.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) Code of Ethics referred to in Item 2 is filed herewith.
(a)(3) Not applicable.
(a)(4) Not applicable.
The certifications provided pursuant to Rule 30a-2(b) of the 1940 Act and Section 906 of the Sarbanes-Oxley Act are not deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liability of that section. Such certifications will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates them by reference.
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.
SA FUNDS – INVESTMENT TRUST
By: | /s/Alexander B. Potts |
Alexander B. Potts | |
President and Chief Executive Officer | |
Date: | September 2, 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/Alexander B. Potts |
Alexander B. Potts | |
President and Chief Officer | |
Date: | September 2, 2021 |
By: | /s/Michael Clinton |
Michael Clinton | |
Treasurer and Chief Financial and Accounting Officer | |
Date: | September 2, 2021 |