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Dfa Investment Trust

Filed: 5 Jul 18, 3:11pm


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                                 UNITED STATES
                      SECURITIES AND EXCHANGE COMMISSION
                            WASHINGTON, D.C. 20549

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                                  FORM N-CSR

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                  CERTIFIED SHAREHOLDER REPORT OF REGISTERED
                        MANAGEMENT INVESTMENT COMPANIES

                  INVESTMENT COMPANY ACT FILE NUMBER 811-7436

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                       THE DFA INVESTMENT TRUST COMPANY
              (EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)

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              6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
              (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)

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          CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
                       THE DFA INVESTMENT TRUST COMPANY,
              6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
                    (NAME AND ADDRESS OF AGENT FOR SERVICE)

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       REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400

                      DATE OF FISCAL YEAR END: OCTOBER 31

          DATE OF REPORTING PERIOD: NOVEMBER 1, 2017 - APRIL 30, 2018

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ITEM 1. REPORTS TO STOCKHOLDERS.






[LOGO]

Semi-Annual Report

Six Months Ended: April 30, 2018 (Unaudited)

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DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. / THE
DFA INVESTMENT TRUST COMPANY / DIMENSIONAL EMERGING MARKETS VALUE FUND
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DFA Investment Dimensions Group Inc.

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Enhanced U.S. Large Company Portfolio  International Core Equity Portfolio    International Vector Equity Portfolio
U.S. Large Cap Equity Portfolio        International Small Company Portfolio  International High Relative
U.S. Large Cap Value Portfolio         Global Small Company Portfolio         Profitability Portfolio
U.S. Targeted Value Portfolio          Japanese Small Company Portfolio       World ex U.S. Value Portfolio
U.S. Small Cap Value Portfolio         Asia Pacific Small Company Portfolio   World ex U.S. Targeted Value Portfolio
U.S. Core Equity 1 Portfolio           United Kingdom Small Company Portfolio World ex U.S. Core Equity Portfolio
U.S. Core Equity 2 Portfolio           Continental Small Company Portfolio    World Core Equity Portfolio
U.S. Vector Equity Portfolio           DFA International Real Estate          Selectively Hedged Global Equity
U.S. Small Cap Portfolio               Securities Portfolio                   Portfolio
U.S. Micro Cap Portfolio               DFA Global Real Estate Securities      Emerging Markets Portfolio
U.S. High Relative Profitability       Portfolio                              Emerging Markets Small Cap Portfolio
Portfolio                              DFA International Small Cap Value      Emerging Markets Value Portfolio
DFA Real Estate Securities Portfolio   Portfolio                              Emerging Markets Core Equity Portfolio
Large Cap International Portfolio                                             DFA Commodity Strategy Portfolio
Dimensional Investment Group Inc. -------------------------------------------------------------------------------- DFA International Value Portfolio U.S. Large Company Portfolio
The DFA Investment Trust Company -------------------------------------------------------------------------------- The U.S. Large Cap Value Series The Continental Small Company Series The DFA International Value Series The Canadian Small Company Series The Japanese Small Company Series The Emerging Markets Series The Asia Pacific Small Company Series The Emerging Markets Small Cap Series The United Kingdom Small Company Series
Dimensional Emerging Markets Value Fund -------------------------------------------------------------------------------- [LOGO] June 2018 Dear Fellow Shareholder, Sound investment solutions based on financial science are at the heart of Dimensional. Just as important is our commitment to serving our clients. We take great pride in the many longstanding clients we have had the honor of working with over the last four decades. Delivering great investment experiences informs everything we do, from the design of our strategies to the ways that we explain our approach and set expectations. We place tremendous value on helping our clients understand what they can expect from us. By being transparent about what we can deliver, and following through with robust investment strategies, we help clients achieve their financial goals. David Booth, our founder, often speaks of his satisfaction and joy in helping change the investor landscape for the better. We share this passion and, on behalf of everyone at Dimensional, we thank you for trusting us with your investments. Sincerely, /s/ David P. Butler /s/ Gerard O'Reilly David Butler Gerard O'Reilly Co-Chief Executive Officer Co-Chief Executive Officer and Chief Investment Officer SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ------ Letter to Shareholders Definitions of Abbreviations and Footnotes........................... 1 DFA Investment Dimensions Group Inc. Disclosure of Fund Expenses....................................... 3 Disclosure of Portfolio Holdings.................................. 9 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio......................... 12 U.S. Large Cap Equity Portfolio............................... 15 U.S. Large Cap Value Portfolio................................ 18 U.S. Targeted Value Portfolio................................. 19 U.S. Small Cap Value Portfolio................................ 22 U.S. Core Equity 1 Portfolio.................................. 25 U.S. Core Equity 2 Portfolio.................................. 28 U.S. Vector Equity Portfolio.................................. 31 U.S. Small Cap Portfolio...................................... 34 U.S. Micro Cap Portfolio...................................... 37 U.S. High Relative Profitability Portfolio.................... 40 DFA Real Estate Securities Portfolio.......................... 43 Large Cap International Portfolio............................. 45 International Core Equity Portfolio........................... 49 International Small Company Portfolio......................... 53 Global Small Company Portfolio................................ 54 Japanese Small Company Portfolio.............................. 55 Asia Pacific Small Company Portfolio.......................... 56 United Kingdom Small Company Portfolio........................ 57 Continental Small Company Portfolio........................... 58 DFA International Real Estate Securities Portfolio............ 59 DFA Global Real Estate Securities Portfolio................... 63 DFA International Small Cap Value Portfolio................... 65 International Vector Equity Portfolio......................... 69 International High Relative Profitability Portfolio........... 73 World ex U.S. Value Portfolio................................. 77 World ex U.S. Targeted Value Portfolio........................ 78 World ex U.S. Core Equity Portfolio........................... 83 World Core Equity Portfolio................................... 89 Selectively Hedged Global Equity Portfolio.................... 90 Emerging Markets Portfolio.................................... 92 Emerging Markets Small Cap Portfolio.......................... 93 Emerging Markets Value Portfolio.............................. 94 Emerging Markets Core Equity Portfolio........................ 95 Statements of Assets and Liabilities.............................. 99 Statements of Operations.......................................... 107 Statements of Changes in Net Assets............................... 115 Financial Highlights.............................................. 127 Notes to Financial Statements..................................... 150 Section 19(a) Notice.............................................. 187
i TABLE OF CONTENTS CONTINUED
Page ------ DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Consolidated Disclosure of Fund Expenses............................. 189 Consolidated Disclosure of Portfolio Holdings........................ 190 Consolidated Schedule of Investments................................. 191 Consolidated Statement of Assets and Liabilities..................... 205 Consolidated Statement of Operations................................. 206 Consolidated Statements of Changes in Net Assets..................... 207 Consolidated Financial Highlights.................................... 208 Consolidated Notes to Financial Statements........................... 209 Dimensional Investment Group Inc. Disclosure of Fund Expenses.......................................... 222 Disclosure of Portfolio Holdings..................................... 224 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio................................ 225 U.S. Large Company Portfolio..................................... 226 Statements of Assets and Liabilities................................. 229 Statements of Operations............................................. 230 Statements of Changes in Net Assets.................................. 231 Financial Highlights................................................. 232 Notes to Financial Statements........................................ 235 Section 19(a) Notice................................................. 245 The DFA Investment Trust Company Disclosure of Fund Expenses.......................................... 246 Disclosure of Portfolio Holdings..................................... 248 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series.................................. 250 The DFA International Value Series............................... 253 The Japanese Small Company Series................................ 257 The Asia Pacific Small Company Series............................ 260 The United Kingdom Small Company Series.......................... 262 The Continental Small Company Series............................. 265 The Canadian Small Company Series................................ 269 The Emerging Markets Series...................................... 272 The Emerging Markets Small Cap Series............................ 276 Statements of Assets and Liabilities................................. 280 Statements of Operations............................................. 282 Statements of Changes in Net Assets.................................. 284 Financial Highlights................................................. 287 Notes to Financial Statements........................................ 292 Dimensional Emerging Markets Value Fund Disclosure of Fund Expenses.......................................... 305 Disclosure of Portfolio Holdings..................................... 306 Summary Schedule of Portfolio Holdings............................... 307 Statement of Assets and Liabilities.................................. 311 Statement of Operations.............................................. 312 Statements of Changes in Net Assets.................................. 313 Financial Highlights................................................. 314 Notes to Financial Statements........................................ 315
ii TABLE OF CONTENTS CONTINUED
Page ---- Voting Proxies on Fund Portfolio Securities........ 324 Board Approval of Investment Management Agreements. 325
This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings ---------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company AUD Australian dollar CAD Canadian Dollar CHF Swiss Franc DKK Danish Krone EUR Euro GBP British Pounds HKD Hong Kong Dollar ILS Israeli New Shekel JPY Japanese Yen NOK Norwegian Krone SEK Swedish Krona SGD Singapore Dollar USD United States Dollars Investment Footnotes + See Note B to Financial Statements. ++ Securities that have generally been fair value factored. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. "Other Securities" are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in USD, unless otherwise noted. ## Rule 144A, Section 4(a)(2), or other security which is restricted as to resale to institutional investors. The Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. @ Security purchased with cash proceeds from Securities on Loan. ++ Security pledged as collateral for Swap Agreements (S) Affiliated Fund.
1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED 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). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. REIT Real Estate Investment Trust SEC Securities and Exchange Commission (a) Commencement of Operations.
2 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2018 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/17 04/30/18 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,024.10 0.15% $0.75 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.05 0.15% $0.75 U.S. Large Cap Equity Portfolio ------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,044.40 0.17% $0.86 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,023.95 0.17% $0.85
3 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/17 04/30/18 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,036.20 0.27% $1.36 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35 U.S. Targeted Value Portfolio ----------------------------- Actual Fund Return Class R1 Shares................. $1,000.00 $1,024.10 0.47% $2.36 Class R2 Shares................. $1,000.00 $1,023.20 0.62% $3.11 Institutional Class Shares...... $1,000.00 $1,024.50 0.37% $1.86 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.46 0.47% $2.36 Class R2 Shares................. $1,000.00 $1,021.72 0.62% $3.11 Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86 U.S. Small Cap Value Portfolio ------------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,010.80 0.52% $2.59 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61 U.S. Core Equity 1 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,041.90 0.18% $0.91 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.90 0.18% $0.90 U.S. Core Equity 2 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,037.20 0.21% $1.06 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.75 0.21% $1.05 U.S. Vector Equity Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,029.20 0.32% $1.61 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61 U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,020.10 0.37% $1.85 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
4 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/17 04/30/18 Ratio* Period* --------- --------- ---------- -------- U.S. Micro Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,017.00 0.52% $2.60 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.22 0.52% $2.61 U.S. High Relative Profitability Portfolio ------------------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,068.00 0.25% $1.28 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.55 0.25% $1.25 DFA Real Estate Securities Portfolio ------------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $ 959.00 0.18% $0.87 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.90 0.18% $0.90 Large Cap International Portfolio --------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,030.80 0.23% $1.16 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.65 0.23% $1.15 International Core Equity Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,035.70 0.30% $1.51 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.31 0.30% $1.51 International Small Company Portfolio*** ---------------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,040.20 0.52% $2.63 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.22 0.52% $2.61 Global Small Company Portfolio*** --------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,033.00 0.31% $1.56 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.26 0.31% $1.56 Japanese Small Company Portfolio** ---------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,060.90 0.53% $2.71 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,022.17 0.53% $2.66
5 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/17 04/30/18 Ratio* Period* --------- --------- ---------- -------- Asia Pacific Small Company Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,037.90 0.54% $2.73 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,022.12 0.54% $2.71 United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,044.30 0.58% $2.94 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,021.92 0.58% $2.91 Continental Small Company Portfolio** ------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,032.70 0.54% $2.72 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,022.12 0.54% $2.71 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,075.80 0.27% $1.39 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,023.46 0.27% $1.35 DFA Global Real Estate Securities Portfolio**** ----------------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,000.10 0.24% $1.19 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,023.60 0.24% $1.20 DFA International Small Cap Value Portfolio ------------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,026.40 0.68% $3.42 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,021.42 0.68% $3.41 International Vector Equity Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,038.10 0.48% $2.43 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,022.41 0.48% $2.41 International High Relative Profitability Portfolio --------------------------------------------------- Actual Fund Return Institutional Class Shares......................... $1,000.00 $1,025.70 0.34% $1.71 Hypothetical 5% Annual Return Institutional Class Shares......................... $1,000.00 $1,023.11 0.34% $1.71
6 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/17 04/30/18 Ratio* Period* --------- --------- ---------- -------- World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,051.10 0.51% $2.59 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.27 0.51% $2.56 World ex U.S. Targeted Value Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,035.00 0.66% $3.33 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.52 0.66% $3.31 World ex U.S. Core Equity Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,040.90 0.39% $1.97 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.86 0.39% $1.96 World Core Equity Portfolio*** ------------------------------ Actual Fund Return Institutional Class Shares................... $1,000.00 $1,040.40 0.35% $1.77 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.06 0.35% $1.76 Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,033.80 0.34% $1.71 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.11 0.34% $1.71 Emerging Markets Portfolio** ---------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,042.40 0.48% $2.43 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.41 0.48% $2.41 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,060.20 0.71% $3.63 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.27 0.71% $3.56 Emerging Markets Value Portfolio** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $1,068.30 0.81% $4.15 Institutional Class Shares................... $1,000.00 $1,069.50 0.56% $2.87 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,020.78 0.81% $4.06 Institutional Class Shares................... $1,000.00 $1,022.02 0.56% $2.81
7 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/17 04/30/18 Ratio* Period* --------- --------- ---------- -------- Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,047.50 0.53% $2.69 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.17 0.53% $2.66
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). ***The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds' portion of the expenses of its Master Fund(s) and/or Underlying Funds (Affiliated Investment Companies). ****The Portfolio invests directly and indirectly through other funds. The expenses shown reflect the direct expenses of the fund and the fund's portion of the expenses of its Master Fund(s) and/or Underlying Funds (Affiliated Investment Companies). 8 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on March 29, 2018. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund's net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. The categories of industry classification for the Affiliated Investment Companies are represented in their Disclosures of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Affiliated Investment Company's holdings, which reflect the investments by category or country. FEEDER FUNDS
Affiliated Investment Companies ------------------------------- U.S. Large Cap Value Portfolio......... 100.0% Japanese Small Company Portfolio....... 100.0% Asia Pacific Small Company Portfolio... 100.0% United Kingdom Small Company Portfolio. 100.0% Continental Small Company Portfolio.... 100.0% Emerging Markets Portfolio............. 100.0% Emerging Markets Small Cap Portfolio... 100.0% Emerging Markets Value Portfolio....... 100.0%
9 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FUND OF FUNDS International Small Company Portfolio...... 100.0% Global Small Company Portfolio............. 100.0% World ex U.S. Value Portfolio.............. 100.0% World Core Equity Portfolio................ 100.0% Selectively Hedged Global Equity Portfolio. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO Enhanced U.S. Large Company Portfolio Corporate.................................... 37.7% Foreign Corporate............................ 24.7% Foreign Government........................... 17.7% Government................................... 18.3% Supranational................................ 1.6% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Large Cap Equity Portfolio Consumer Discretionary....................... 15.2% Consumer Staples............................. 6.8% Energy....................................... 5.8% Financials................................... 14.5% Health Care.................................. 13.6% Industrials.................................. 12.1% Information Technology....................... 23.3% Materials.................................... 4.0% Real Estate.................................. 0.2% Telecommunication Services................... 2.3% Utilities.................................... 2.2% ----- 100.0%
U.S. Targeted Value Portfolio Consumer Discretionary....................... 16.0% Consumer Staples............................. 2.9% Energy....................................... 11.8% Financials................................... 26.2% Health Care.................................. 5.4% Industrials.................................. 19.8% Information Technology....................... 10.8% Materials.................................... 5.7% Real Estate.................................. 0.5% Telecommunication Services................... 0.6% Utilities.................................... 0.3% ----- 100.0%
U.S. Small Cap Value Portfolio Consumer Discretionary....................... 16.2% Consumer Staples............................. 4.1% Energy....................................... 11.8% Financials................................... 26.6% Health Care.................................. 4.7% Industrials.................................. 17.1% Information Technology....................... 12.4% Materials.................................... 5.6% Real Estate.................................. 0.4% Telecommunication Services................... 1.0% Utilities.................................... 0.1% ----- 100.0%
U.S. Core Equity 1 Portfolio Consumer Discretionary....................... 16.0% Consumer Staples............................. 6.1% Energy....................................... 5.6% Financials................................... 15.9% Health Care.................................. 11.9% Industrials.................................. 13.5% Information Technology....................... 21.7% Materials.................................... 4.5% Real Estate.................................. 0.3% Telecommunication Services................... 1.9% Utilities.................................... 2.6% ----- 100.0%
U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 15.2% Consumer Staples............................. 5.5% Energy....................................... 6.3% Financials................................... 19.1% Health Care.................................. 11.1% Industrials.................................. 14.3% Information Technology....................... 19.4% Materials.................................... 4.7% Real Estate.................................. 0.4% Telecommunication Services................... 2.2% Utilities.................................... 1.8% ----- 100.0%
U.S. Vector Equity Portfolio Consumer Discretionary....................... 14.1% Consumer Staples............................. 3.9% Energy....................................... 8.1% Financials................................... 25.5% Health Care.................................. 8.3% Industrials.................................. 16.3% Information Technology....................... 14.6% Materials.................................... 5.6% Real Estate.................................. 0.5% Telecommunication Services................... 2.1% Utilities.................................... 1.0% ----- 100.0%
U.S. Small Cap Portfolio Consumer Discretionary....................... 16.4% Consumer Staples............................. 4.2% Energy....................................... 6.3% Financials................................... 20.9% Health Care.................................. 8.8% Industrials.................................. 19.3% Information Technology....................... 13.4% Materials.................................... 5.5% Real Estate.................................. 0.7% Telecommunication Services................... 1.0% Utilities.................................... 3.5% ----- 100.0%
U.S. Micro Cap Portfolio Consumer Discretionary....................... 14.7% Consumer Staples............................. 3.6% Energy....................................... 5.0% Financials................................... 22.4% Health Care.................................. 10.5% Industrials.................................. 21.5% Information Technology....................... 12.6% Materials.................................... 5.2% Real Estate.................................. 1.1% Telecommunication Services................... 1.3% Utilities.................................... 2.1% ----- 100.0%
U.S. High Relative Profitability Portfolio Consumer Discretionary....................... 22.4% Consumer Staples............................. 11.2% Energy....................................... 1.1% Financials................................... 3.6% Health Care.................................. 9.0% Industrials.................................. 19.7% Information Technology....................... 25.7% Materials.................................... 4.0% Telecommunication Services................... 3.2% Utilities.................................... 0.1% ----- 100.0%
10 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED DFA Real Estate Securities Portfolio Real Estate.................................. 100.0% ----- 100.0%
Large Cap International Portfolio Consumer Discretionary....................... 13.7% Consumer Staples............................. 10.1% Energy....................................... 6.8% Financials................................... 20.4% Health Care.................................. 8.6% Industrials.................................. 15.0% Information Technology....................... 6.0% Materials.................................... 10.2% Real Estate.................................. 2.0% Telecommunication Services................... 4.0% Utilities.................................... 3.2% ----- 100.0%
International Core Equity Portfolio Consumer Discretionary....................... 16.3% Consumer Staples............................. 7.2% Energy....................................... 6.8% Financials................................... 18.0% Health Care.................................. 5.4% Industrials.................................. 17.9% Information Technology....................... 6.7% Materials.................................... 13.2% Real Estate.................................. 2.5% Telecommunication Services................... 3.0% Utilities.................................... 3.0% ----- 100.0%
DFA International Real Estate Securities Portfolio Real Estate.................................. 100.0% ----- 100.0%
DFA Global Real Estate Securities Portfolio Affiliated Investment Companies.............. 55.7% Real Estate.................................. 44.3% ----- 100.0%
DFA International Small Cap Value Portfolio Consumer Discretionary....................... 16.3% Consumer Staples............................. 4.8% Energy....................................... 6.3% Financials................................... 20.8% Health Care.................................. 1.9% Industrials.................................. 23.2% Information Technology....................... 4.6% Materials.................................... 16.7% Real Estate.................................. 3.1% Telecommunication Services................... 0.4% Utilities.................................... 1.9% ----- 100.0%
International Vector Equity Portfolio Consumer Discretionary....................... 16.1% Consumer Staples............................. 6.4% Energy....................................... 7.1% Financials................................... 17.2% Health Care.................................. 4.5% Industrials.................................. 19.7% Information Technology....................... 7.4% Materials.................................... 14.6% Real Estate.................................. 2.5% Telecommunication Services................... 2.1% Utilities.................................... 2.4% ----- 100.0%
International High Relative Profitability Portfolio Consumer Discretionary....................... 18.8% Consumer Staples............................. 12.8% Energy....................................... 2.1% Financials................................... 5.2% Health Care.................................. 9.3% Industrials.................................. 20.7% Information Technology....................... 6.2% Materials.................................... 14.0% Real Estate.................................. 0.7% Telecommunication Services................... 7.1% Utilities.................................... 3.1% ----- 100.0%
World ex U.S. Targeted Value Portfolio Consumer Discretionary....................... 15.9% Consumer Staples............................. 5.4% Energy....................................... 5.4% Financials................................... 17.0% Health Care.................................. 3.3% Industrials.................................. 21.0% Information Technology....................... 7.3% Materials.................................... 16.6% Real Estate.................................. 5.0% Telecommunication Services................... 1.1% Utilities.................................... 2.0% ----- 100.0%
World ex U.S. Core Equity Portfolio Consumer Discretionary....................... 15.3% Consumer Staples............................. 7.1% Energy....................................... 6.6% Financials................................... 17.7% Health Care.................................. 5.0% Industrials.................................. 16.3% Information Technology....................... 9.6% Materials.................................... 12.8% Real Estate.................................. 3.3% Telecommunication Services................... 3.2% Utilities.................................... 3.1% ----- 100.0%
Emerging Markets Core Equity Portfolio Consumer Discretionary....................... 11.3% Consumer Staples............................. 7.7% Energy....................................... 5.6% Financials................................... 18.3% Health Care.................................. 3.6% Industrials.................................. 9.5% Information Technology....................... 22.1% Materials.................................... 11.4% Real Estate.................................. 3.5% Telecommunication Services................... 3.8% Utilities.................................... 3.2% ----- 100.0%
11 ENHANCED U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Face Amount^ Value+ - ------- ------ (000) BONDS -- (78.4%) AUSTRALIA -- (7.3%) Commonwealth Bank of Australia 5.000%, 10/15/19............................. 3,000 $ 3,083,483 2.400%, 11/02/20............................. 2,096 2,061,637 National Australia Bank, Ltd. 2.125%, 05/22/20............................. 5,586 5,479,171 2.500%, 01/12/21............................. 3,500 3,430,136 Westpac Banking Corp. 2.150%, 03/06/20............................. 2,204 2,169,444 2.300%, 05/26/20............................. 3,500 3,445,387 Other Securities................................. 5,758,908 ----------- TOTAL AUSTRALIA.................................. 25,428,166 ----------- AUSTRIA -- (1.8%) Oesterreichische Kontrollbank AG 1.750%, 01/24/20............................. 5,000 4,923,132 Other Securities................................. 1,462,527 ----------- TOTAL AUSTRIA.................................... 6,385,659 ----------- CANADA -- (15.0%) Alberta, Province of Canada 1.900%, 12/06/19............................. 3,600 3,553,088 British Columbia, Province of Canada 3.700%, 12/18/20............................. CAD 3,500 2,831,867 Canada Housing Trust No 1 ## 2.000%, 12/15/19............................. CAD 4,000 3,120,028 ## 1.200%, 06/15/20............................. CAD 4,000 3,063,328 CPPIB Capital, Inc. 1.400%, 06/04/20............................. CAD 6,200 4,759,506 Ontario, Province of Canada 4.400%, 04/14/20............................. 5,000 5,152,394 Province of Manitoba Canada 2.050%, 11/30/20............................. 3,000 2,934,775 Quebec, Province of Canada 4.500%, 12/01/19............................. CAD 2,500 2,024,105 4.500%, 12/01/20............................. CAD 4,500 3,708,719 Saskatchewan, Province of Canada 3.900%, 07/28/20............................. CAD 6,300 5,096,428 Toronto-Dominion Bank (The) 2.447%, 04/02/19............................. CAD 4,000 3,127,785 1.900%, 10/24/19............................. 2,200 2,169,530 2.563%, 06/24/20............................. CAD 3,000 2,341,727
Face Amount^ Value+ - ------- ------ (000) CANADA -- (Continued) Other Securities................................... $ 8,328,307 ----------- TOTAL CANADA....................................... 52,211,587 ----------- DENMARK -- (0.4%) Other Securities................................... 1,465,456 ----------- FRANCE -- (1.2%) Total Capital SA 4.450%, 06/24/20............................. 2,200 2,268,994 Other Securities................................... 1,761,705 ----------- TOTAL FRANCE....................................... 4,030,699 ----------- GERMANY -- (3.9%) EMD Finance LLC ## # 2.400%, 03/19/20 2,100 2,070,496 FMS Wertmanagement 1.750%, 01/24/20............................. 3,000 2,954,809 Other Securities................................... 8,474,062 ----------- TOTAL GERMANY...................................... 13,499,367 ----------- IRELAND -- (1.1%) Medtronic, Inc. 2.500%, 03/15/20............................. 2,500 2,484,675 Other Securities................................... 1,191,838 ----------- TOTAL IRELAND...................................... 3,676,513 ----------- JAPAN -- (4.9%) Toyota Credit Canada, Inc. 2.800%, 11/21/18............................. CAD 3,000 2,349,110 1.800%, 02/19/20............................. CAD 3,500 2,696,168 Toyota Motor Credit Corp. 1.550%, 10/18/19............................. 2,500 2,458,217 Other Securities................................... 9,574,527 ----------- TOTAL JAPAN........................................ 17,078,022 ----------- NETHERLANDS -- (3.7%) Shell International Finance BV 1.375%, 09/12/19............................. 3,000 2,946,788 Other Securities................................... 10,063,503 ----------- TOTAL NETHERLANDS.................................. 13,010,291 ----------- NEW ZEALAND -- (0.6%) ANZ New Zealand International Ltd. 2.600%, 09/23/19............................. 2,200 2,187,444 ----------- NORWAY -- (1.5%) Statoil ASA 2.250%, 11/08/19............................. 4,461 4,422,058 ----------- Other Securities................................... 940,951 ----------- TOTAL NORWAY....................................... 5,363,009 -----------
12 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ - ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.5%) Council Of Europe Development Bank 1.625%, 03/10/20............................. 3,000 $2,944,320 Other Securities................................. 2,278,251 ---------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 5,222,571 ---------- SWEDEN -- (2.0%) Other Securities................................. 6,782,772 ---------- SWITZERLAND -- (0.3%) Other Securities................................. 995,625 ---------- UNITED KINGDOM -- (2.2%) BP Capital Markets P.L.C. 2.315%, 02/13/20............................. 2,550 2,526,067 Other Securities................................. 4,953,135 ---------- TOTAL UNITED KINGDOM............................. 7,479,202 ---------- UNITED STATES -- (31.0%) Apple, Inc. 1.100%, 08/02/19............................. 3,000 2,947,110 # 2.000%, 11/13/20............................. 2,500 2,451,100 Chevron Corp. # 2.193%, 11/15/19............................. 3,500 3,470,233 1.961%, 03/03/20............................. 3,600 3,551,904 Citizens Bank NA 2.450%, 12/04/19............................. 2,200 2,177,850 Enterprise Products Operating LLC # 5.250%, 01/31/20............................. 2,000 2,072,580 Exelon Generation Co. LLC 2.950%, 01/15/20............................. 2,000 1,992,746
Face Amount^ Value+ - ------- ------ (000) UNITED STATES -- (Continued) Humana, Inc. 2.625%, 10/01/19............................. 2,981 $ 2,967,980 JPMorgan Chase & Co. 4.950%, 03/25/20............................. 2,000 2,070,867 Microsoft Corp. 1.850%, 02/06/20............................. 3,000 2,959,834 Philip Morris International, Inc. 2.000%, 02/21/20............................. 3,000 2,948,873 Time Warner, Inc. # 4.875%, 03/15/20............................. 2,000 2,065,687 Other Securities................................... 75,814,408 ------------ TOTAL UNITED STATES................................ 107,491,172 ------------ TOTAL BONDS........................................ 272,307,555 ------------ U.S. TREASURY OBLIGATIONS -- (17.7%) U.S. Treasury Notes 1.500%, 10/31/19............................. 19,000 18,742,461 1.125%, 03/31/20............................. 2,600 2,534,086 1.625%, 06/30/20............................. 21,300 20,895,633 1.625%, 07/31/20............................. 6,500 6,370,000 1.375%, 08/31/20............................. 8,000 7,786,250 1.750%, 10/31/20............................. 5,000 4,898,828 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................... 61,227,258 ------------ TOTAL INVESTMENT SECURITIES........................ 333,534,813 ------------ Shares - ------ - SECURITIES LENDING COLLATERAL -- (3.9%) (S)@ DFA Short Term Investment Fund............... 1,181,290 13,667,527 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $351,654,511).............................. $347,202,340 ============
At April 30, 2018, Enhanced U.S. Large Company Portfolio had entered into the following forward currency contracts and the net unrealized forward currency gain (loss) is reflected in the accompanying financial statements:
Unrealized Foreign Exchange Settlement Appreciation Currency Purchased Currency Sold Counterparty Date (Depreciation) ------------------ -------------- ---------------------------- ---------- -------------- USD 41,935,086 CAD 52,855,318 Royal Bank of Scotland 05/07/18 $763,958 USD 2,381,438 AUD 3,066,453 Citibank, N.A. 07/13/18 72,203 USD 2,589,788 EUR 2,081,307 State Street Bank and Trust 07/13/18 62,505 -------- Total Appreciation $898,666 CAD 998,295 USD 779,959 Citibank, N.A. 05/07/18 $ (2,347) USD 816,935 CAD 1,049,104 Citibank, N.A. 05/07/18 (255) -------- Total (Depreciation) $ (2,602) -------- Total Appreciation (Depreciation) $896,064 ========
13 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED At April 30, 2018, Enhanced U.S. Large 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(R) Emini Index... 2,552 06/15/18 $345,147,790 $337,757,200 $(7,390,590) ------------ ------------ ------------ Total futures contracts.. $345,147,790 $337,757,200 $(7,390,590) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Bonds Australia.............................. -- $ 25,428,166 -- $ 25,428,166 Austria................................ -- 6,385,659 -- 6,385,659 Canada................................. -- 52,211,587 -- 52,211,587 Denmark................................ -- 1,465,456 -- 1,465,456 France................................. -- 4,030,699 -- 4,030,699 Germany................................ -- 13,499,367 -- 13,499,367 Ireland................................ -- 3,676,513 -- 3,676,513 Japan.................................. -- 17,078,022 -- 17,078,022 Netherlands............................ -- 13,010,291 -- 13,010,291 New Zealand............................ -- 2,187,444 -- 2,187,444 Norway................................. -- 5,363,009 -- 5,363,009 Supranational Organization Obligations. -- 5,222,571 -- 5,222,571 Sweden................................. -- 6,782,772 -- 6,782,772 Switzerland............................ -- 995,625 -- 995,625 United Kingdom......................... -- 7,479,202 -- 7,479,202 United States.......................... -- 107,491,172 -- 107,491,172 U.S. Treasury Obligations................ -- 61,227,258 -- 61,227,258 Securities Lending Collateral............ -- 13,667,527 -- 13,667,527 Futures Contracts**...................... $(7,390,590) -- -- (7,390,590) Forward Currency Contracts**............. -- 896,064 -- 896,064 ----------- ------------ -- ------------ TOTAL.................................... $(7,390,590) $348,098,404 -- $340,707,814 =========== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 14 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (97.0%) Consumer Discretionary -- (14.7%) * Amazon.com, Inc................... 22,705 $ 35,558,982 2.6% Comcast Corp. Class A............. 334,263 10,492,516 0.8% Home Depot, Inc. (The)............ 63,609 11,754,943 0.9% McDonald's Corp................... 32,442 5,432,088 0.4% Walt Disney Co. (The)............. 109,084 10,944,398 0.8% Other Securities.................. 134,259,860 9.6% ------------ ----- Total Consumer Discretionary.......... 208,442,787 15.1% ------------ ----- Consumer Staples -- (6.6%) Altria Group, Inc................. 103,210 5,791,113 0.4% Coca-Cola Co. (The)............... 190,394 8,226,925 0.6% PepsiCo, Inc...................... 76,921 7,764,406 0.5% Philip Morris International, Inc.. 60,871 4,991,422 0.3% Procter & Gamble Co. (The)........ 127,407 9,216,622 0.7% Walmart, Inc...................... 108,793 9,623,829 0.7% Other Securities.................. 48,167,043 3.6% ------------ ----- Total Consumer Staples................ 93,781,360 6.8% ------------ ----- Energy -- (5.6%) Chevron Corp...................... 71,897 8,995,034 0.7% Exxon Mobil Corp.................. 195,274 15,182,553 1.1% Other Securities.................. 55,758,757 4.0% ------------ ----- Total Energy.......................... 79,936,344 5.8% ------------ ----- Financials -- (14.1%) American Express Co............... 52,182 5,152,973 0.4% Bank of America Corp.............. 408,684 12,227,825 0.9% * Berkshire Hathaway, Inc. Class B.. 66,488 12,880,720 0.9% Citigroup, Inc.................... 103,783 7,085,265 0.5% JPMorgan Chase & Co............... 184,913 20,114,836 1.5% Wells Fargo & Co.................. 245,495 12,755,920 0.9% Other Securities.................. 129,420,566 9.4% ------------ ----- Total Financials...................... 199,638,105 14.5% ------------ ----- Health Care -- (13.2%) AbbVie, Inc....................... 86,779 8,378,512 0.6% Amgen, Inc........................ 43,564 7,601,047 0.6% Gilead Sciences, Inc.............. 95,391 6,890,092 0.5% Johnson & Johnson................. 151,793 19,200,297 1.4% Merck & Co., Inc.................. 137,057 8,068,546 0.6% Pfizer, Inc....................... 370,493 13,563,749 1.0% UnitedHealth Group, Inc........... 50,475 11,932,290 0.9% Other Securities.................. 111,034,715 7.9% ------------ ----- Total Health Care..................... 186,669,248 13.5% ------------ ----- Industrials -- (11.7%) 3M Co............................. 32,179 6,255,276 0.5% Boeing Co. (The).................. 30,544 10,188,257 0.7% Caterpillar, Inc.................. 34,271 4,947,362 0.4% Honeywell International, Inc...... 42,603 6,163,802 0.4% Union Pacific Corp................ 46,648 6,233,572 0.5% United Technologies Corp.......... 46,145 5,544,322 0.4% Other Securities.................. 126,987,246 9.2% ------------ ----- Total Industrials..................... 166,319,837 12.1% ------------ -----
15 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Information Technology -- (22.7%) Accenture P.L.C. Class A...................................... 33,316 $ 5,037,379 0.4% * Alphabet, Inc. Class A........................................ 12,945 13,185,518 1.0% * Alphabet, Inc. Class C........................................ 13,746 13,984,218 1.0% Apple, Inc.................................................... 258,898 42,785,483 3.1% Broadcom, Inc................................................. 21,209 4,865,769 0.4% Cisco Systems, Inc............................................ 251,175 11,124,541 0.8% * Facebook, Inc. Class A........................................ 98,862 17,004,264 1.2% Intel Corp.................................................... 291,056 15,024,311 1.1% International Business Machines Corp.......................... 47,694 6,913,722 0.5% Mastercard, Inc. Class A...................................... 50,743 9,045,955 0.7% Microsoft Corp................................................ 373,443 34,924,389 2.5% NVIDIA Corp................................................... 29,401 6,612,285 0.5% Oracle Corp................................................... 156,044 7,126,529 0.5% Texas Instruments, Inc........................................ 53,446 5,421,028 0.4% # Visa, Inc. Class A............................................ 86,500 10,975,120 0.8% Other Securities.............................................. 116,945,339 8.4% -------------- ------ Total Information Technology........................................ 320,975,850 23.3% -------------- ------ Materials -- (3.9%) DowDuPont, Inc................................................ 94,441 5,972,449 0.4% Other Securities.............................................. 48,926,692 3.6% -------------- ------ Total Materials..................................................... 54,899,141 4.0% -------------- ------ Real Estate -- (0.2%) Other Securities.............................................. 2,564,884 0.2% -------------- ------ Telecommunication Services -- (2.2%) AT&T, Inc..................................................... 410,018 13,407,589 1.0% Verizon Communications, Inc................................... 264,901 13,072,864 0.9% Other Securities.............................................. 4,603,596 0.3% -------------- ------ Total Telecommunication Services.................................... 31,084,049 2.2% -------------- ------ Utilities -- (2.1%) Other Securities.............................................. 30,142,245 2.2% -------------- ------ TOTAL COMMON STOCKS................................................. 1,374,453,850 99.7% -------------- ------ TOTAL INVESTMENT SECURITIES......................................... 1,374,453,850 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 2,653,278 2,653,278 0.2% -------------- ------ SECURITIES LENDING COLLATERAL -- (2.8%) (S)@ DFA Short Term Investment Fund................................ 3,395,410 39,284,894 2.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,125,022,371)........................................... $1,416,392,022 102.7% ============== ======
16 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ----------- ------- -------------- Common Stocks Consumer Discretionary...... $ 208,442,787 -- -- $ 208,442,787 Consumer Staples............ 93,781,360 -- -- 93,781,360 Energy...................... 79,936,344 -- -- 79,936,344 Financials.................. 199,638,105 -- -- 199,638,105 Health Care................. 186,669,248 -- -- 186,669,248 Industrials................. 166,319,837 -- -- 166,319,837 Information Technology...... 320,975,850 -- -- 320,975,850 Materials................... 54,899,141 -- -- 54,899,141 Real Estate................. 2,564,884 -- -- 2,564,884 Telecommunication Services.. 31,084,049 -- -- 31,084,049 Utilities................... 30,142,245 -- -- 30,142,245 Temporary Cash Investments.... 2,653,278 -- -- 2,653,278 Securities Lending Collateral. -- $39,284,894 -- 39,284,894 -------------- ----------- -- -------------- TOTAL......................... $1,377,107,128 $39,284,894 -- $1,416,392,022 ============== =========== == ==============
See accompanying Notes to Financial Statements. 17 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.................................. $24,839,634,018 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $24,839,634,018 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 18 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (86.6%) Consumer Discretionary -- (13.9%) #* AutoNation, Inc..................... 791,996 $ 36,582,295 0.3% #* Deckers Outdoor Corp................ 376,752 35,135,892 0.3% # Kohl's Corp......................... 1,425,417 88,546,904 0.8% # Macy's, Inc......................... 2,032,105 63,137,502 0.6% # PulteGroup, Inc..................... 1,217,718 36,969,918 0.3% # Toll Brothers, Inc.................. 1,774,310 74,804,910 0.7% * Urban Outfitters, Inc............... 906,835 36,518,245 0.3% Other Securities.................... 1,356,547,048 12.6% -------------- ----- Total Consumer Discretionary............ 1,728,242,714 15.9% -------------- ----- Consumer Staples -- (2.5%) #* Post Holdings, Inc.................. 611,801 48,681,006 0.4% Other Securities.................... 260,048,246 2.4% -------------- ----- Total Consumer Staples.................. 308,729,252 2.8% -------------- ----- Energy -- (10.3%) #* Callon Petroleum Co................. 2,486,901 34,592,793 0.3% * CNX Resources Corp.................. 3,011,679 44,753,550 0.4% # Helmerich & Payne, Inc.............. 829,460 57,688,943 0.5% HollyFrontier Corp.................. 1,595,985 96,860,330 0.9% # Murphy Oil Corp..................... 1,739,578 52,378,694 0.5% Patterson-UTI Energy, Inc........... 1,888,794 40,457,967 0.4% # PBF Energy, Inc. Class A............ 1,256,465 48,160,303 0.4% * RSP Permian, Inc.................... 1,264,171 62,715,523 0.6% # SM Energy Co........................ 1,522,010 36,452,139 0.3% #* Whiting Petroleum Corp.............. 1,049,311 42,832,875 0.4% Other Securities.................... 759,998,709 7.0% -------------- ----- Total Energy............................ 1,276,891,826 11.7% -------------- ----- Financials -- (22.7%) Aspen Insurance Holdings, Ltd....... 806,149 34,221,025 0.3% Associated Banc-Corp................ 1,554,959 41,128,666 0.4% Assurant, Inc....................... 581,268 53,953,296 0.5% Assured Guaranty, Ltd............... 1,416,140 51,391,721 0.5% Hancock Holding Co.................. 721,035 35,222,560 0.3% Hanover Insurance Group, Inc. (The). 298,277 34,257,113 0.3% # Investors Bancorp, Inc.............. 3,443,442 46,038,820 0.4% Legg Mason, Inc..................... 1,001,898 39,775,351 0.4% Old Republic International Corp..... 1,967,382 40,134,593 0.4% PacWest Bancorp..................... 1,150,140 58,933,174 0.5% # People's United Financial, Inc...... 3,781,635 69,166,104 0.6% # Prosperity Bancshares, Inc.......... 646,317 46,386,171 0.4% TCF Financial Corp.................. 1,616,716 40,143,058 0.4% Umpqua Holdings Corp................ 2,459,018 57,934,464 0.5% Other Securities.................... 2,178,268,215 20.1% -------------- ----- Total Financials........................ 2,826,954,331 26.0% -------------- ----- Health Care -- (4.6%) Other Securities.................... 577,768,604 5.3% -------------- ----- Industrials -- (17.1%) #* AECOM............................... 1,445,896 49,796,658 0.5% AGCO Corp........................... 751,921 47,130,408 0.4%
19 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) # Air Lease Corp................................................ 1,039,808 $ 43,349,595 0.4% ASGN, Inc..................................................... 434,885 35,064,778 0.3% #* Genesee & Wyoming, Inc. Class A............................... 577,476 41,116,291 0.4% Jacobs Engineering Group, Inc................................. 898,110 52,171,210 0.5% * JetBlue Airways Corp.......................................... 2,730,345 52,395,321 0.5% #* Kirby Corp.................................................... 461,002 39,323,471 0.4% * KLX, Inc...................................................... 550,511 43,066,476 0.4% * Quanta Services, Inc.......................................... 1,650,915 53,654,737 0.5% Ryder System, Inc............................................. 538,529 36,313,010 0.3% # Trinity Industries, Inc....................................... 1,591,772 50,729,774 0.5% #* XPO Logistics, Inc............................................ 420,192 40,825,855 0.4% Other Securities.............................................. 1,544,719,237 14.1% --------------- ------ Total Industrials................................................... 2,129,656,821 19.6% --------------- ------ Information Technology -- (9.4%) * Arrow Electronics, Inc........................................ 1,008,605 75,383,138 0.7% Avnet, Inc.................................................... 1,553,956 60,961,694 0.6% #* Cree, Inc..................................................... 1,035,512 38,645,308 0.4% Jabil, Inc.................................................... 1,470,618 39,118,439 0.4% Other Securities.............................................. 954,150,282 8.7% --------------- ------ Total Information Technology........................................ 1,168,258,861 10.8% --------------- ------ Materials -- (4.9%) Reliance Steel & Aluminum Co.................................. 763,341 67,112,941 0.6% Other Securities.............................................. 548,113,389 5.1% --------------- ------ Total Materials..................................................... 615,226,330 5.7% --------------- ------ Real Estate -- (0.5%) Other Securities.............................................. 55,612,230 0.5% --------------- ------ Telecommunication Services -- (0.5%) Other Securities.............................................. 62,223,867 0.6% --------------- ------ Utilities -- (0.2%) Other Securities.............................................. 28,530,269 0.3% --------------- ------ TOTAL COMMON STOCKS................................................. 10,778,095,105 99.2% --------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities.............................................. 568,631 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 65,408 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 10,778,729,144 --------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 109,733,131 109,733,131 1.0% --------------- ------ SECURITIES LENDING COLLATERAL -- (12.5%) (S)@ DFA Short Term Investment Fund................................ 134,242,565 1,553,186,477 14.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,359,482,704).......................................... $12,441,648,752 114.5% =============== ======
20 U.S. TARGETED VALUE PORTFOLIO CONTINUED At April 30, 2018, U.S. Targeted Value 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(R) Emini Index... 625 06/15/18 $85,559,011 $82,718,750 $(2,840,261) ----------- ----------- ------------ Total futures contracts.. $85,559,011 $82,718,750 $(2,840,261) =========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- -------------- ------- --------------- Common Stocks Consumer Discretionary...... $ 1,728,242,714 -- -- $ 1,728,242,714 Consumer Staples............ 308,729,252 -- -- 308,729,252 Energy...................... 1,276,891,826 -- -- 1,276,891,826 Financials.................. 2,826,811,855 $ 142,476 -- 2,826,954,331 Health Care................. 577,768,604 -- -- 577,768,604 Industrials................. 2,129,656,821 -- -- 2,129,656,821 Information Technology...... 1,168,166,398 92,463 -- 1,168,258,861 Materials................... 615,226,330 -- -- 615,226,330 Real Estate................. 55,612,230 -- -- 55,612,230 Telecommunication Services.. 62,223,867 -- -- 62,223,867 Utilities................... 28,530,269 -- -- 28,530,269 Preferred Stocks Consumer Discretionary...... 568,631 -- -- 568,631 Rights/Warrants............... -- 65,408 -- 65,408 Temporary Cash Investments.... 109,733,131 -- -- 109,733,131 Securities Lending Collateral. -- 1,553,186,477 -- 1,553,186,477 Futures Contracts**........... (2,840,261) -- -- (2,840,261) --------------- -------------- -- --------------- TOTAL......................... $10,885,321,667 $1,553,486,824 -- $12,438,808,491 =============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 21 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (87.4%) Consumer Discretionary -- (14.1%) Aaron's, Inc................................ 2,596,059 $ 108,437,384 0.7% #* Adtalem Global Education, Inc............... 2,165,341 103,070,232 0.7% # Guess?, Inc................................. 2,664,605 62,058,650 0.4% * Meritage Homes Corp......................... 1,426,415 63,475,467 0.4% * TopBuild Corp............................... 914,822 72,911,313 0.5% #* TRI Pointe Group, Inc....................... 5,625,233 96,247,737 0.6% Other Securities............................ 1,929,594,294 12.7% -------------- ----- Total Consumer Discretionary.................... 2,435,795,077 16.0% -------------- ----- Consumer Staples -- (3.6%) * Darling Ingredients, Inc.................... 6,101,583 104,581,133 0.7% # Fresh Del Monte Produce, Inc................ 1,800,679 88,503,373 0.6% # Seaboard Corp............................... 18,335 73,469,262 0.5% #* United Natural Foods, Inc................... 1,660,619 74,761,067 0.5% Other Securities............................ 271,818,015 1.7% -------------- ----- Total Consumer Staples.......................... 613,132,850 4.0% -------------- ----- Energy -- (10.4%) #* Callon Petroleum Co......................... 5,034,714 70,032,872 0.5% * CNX Resources Corp.......................... 4,966,425 73,801,075 0.5% # Delek US Holdings, Inc...................... 2,214,669 104,908,871 0.7% # Nabors Industries, Ltd...................... 10,783,969 82,066,004 0.5% #* Oasis Petroleum, Inc........................ 7,785,289 85,871,738 0.6% # PBF Energy, Inc. Class A.................... 3,295,143 126,302,831 0.8% #* PDC Energy, Inc............................. 1,770,319 94,782,879 0.6% Other Securities............................ 1,146,446,810 7.5% -------------- ----- Total Energy.................................... 1,784,213,080 11.7% -------------- ----- Financials -- (23.3%) American Equity Investment Life Holding Co.. 3,252,117 98,213,933 0.7% Argo Group International Holdings, Ltd...... 1,245,707 72,811,574 0.5% Associated Banc-Corp........................ 4,226,995 111,804,018 0.7% CNO Financial Group, Inc.................... 4,510,009 96,694,593 0.6% # Fulton Financial Corp....................... 5,614,623 94,887,129 0.6% Hanover Insurance Group, Inc. (The)......... 1,090,668 125,263,220 0.8% Iberiabank Corp............................. 838,432 62,840,478 0.4% # Kemper Corp................................. 1,698,813 114,669,877 0.8% MB Financial, Inc........................... 1,963,852 83,699,372 0.6% Old National Bancorp........................ 4,545,920 78,189,824 0.5% # Selective Insurance Group, Inc.............. 1,427,490 84,507,408 0.6% # Sterling Bancorp............................ 3,083,401 73,230,774 0.5% TCF Financial Corp.......................... 2,968,355 73,704,255 0.5% Washington Federal, Inc..................... 3,007,914 95,501,269 0.6% Wintrust Financial Corp..................... 796,176 71,217,943 0.5% Other Securities............................ 2,670,960,026 17.5% -------------- ----- Total Financials................................ 4,008,195,693 26.4% -------------- ----- Health Care -- (4.1%) * Magellan Health, Inc........................ 728,658 61,097,973 0.4% Other Securities............................ 651,265,440 4.3% -------------- ----- Total Health Care............................... 712,363,413 4.7% -------------- -----
22 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (14.9%) * Esterline Technologies Corp................................... 1,083,684 $ 77,862,695 0.5% # GATX Corp..................................................... 1,411,679 92,097,938 0.6% #* KLX, Inc...................................................... 1,100,879 86,121,764 0.6% Korn/Ferry International...................................... 1,452,257 77,637,659 0.5% Regal Beloit Corp............................................. 851,591 60,633,279 0.4% SkyWest, Inc.................................................. 1,614,320 91,854,808 0.6% * WESCO International, Inc...................................... 1,584,743 94,371,446 0.6% Other Securities.............................................. 1,992,779,035 13.1% --------------- ------ Total Industrials................................................... 2,573,358,624 16.9% --------------- ------ Information Technology -- (10.9%) * CACI International, Inc. Class A.............................. 849,691 128,345,826 0.9% # Convergys Corp................................................ 3,490,621 81,540,907 0.5% #* Cree, Inc..................................................... 3,059,460 114,179,047 0.8% * Sanmina Corp.................................................. 2,625,575 77,454,462 0.5% #* Tech Data Corp................................................ 1,125,586 85,825,932 0.6% # Vishay Intertechnology, Inc................................... 4,923,147 86,893,545 0.6% Other Securities.............................................. 1,297,120,591 8.4% --------------- ------ Total Information Technology........................................ 1,871,360,310 12.3% --------------- ------ Materials -- (4.9%) # Carpenter Technology Corp..................................... 1,553,506 82,739,730 0.5% # Commercial Metals Co.......................................... 4,169,164 87,594,136 0.6% Domtar Corp................................................... 2,142,845 94,070,895 0.6% Other Securities.............................................. 574,997,685 3.8% --------------- ------ Total Materials..................................................... 839,402,446 5.5% --------------- ------ Real Estate -- (0.3%) Other Securities.............................................. 59,503,205 0.4% --------------- ------ Telecommunication Services -- (0.9%) Telephone & Data Systems, Inc................................. 3,122,933 85,349,759 0.6% Other Securities.............................................. 71,083,165 0.4% --------------- ------ Total Telecommunication Services.................................... 156,432,924 1.0% --------------- ------ Utilities -- (0.0%) Other Securities.............................................. 7,240,398 0.1% --------------- ------ TOTAL COMMON STOCKS................................................. 15,060,998,020 99.0% --------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities.............................................. 417,915 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 56,421 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 15,061,472,356 --------------- TEMPORARY CASH INVESTMENTS -- (0.8%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 134,660,691 $ 134,660,691 0.9% --------------- ------ SECURITIES LENDING COLLATERAL -- (11.8%) (S)@ DFA Short Term Investment Fund................................ 176,096,632 2,037,438,029 13.4% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $13,434,666,339).......................................... $17,233,571,076 113.3% =============== ======
23 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED At April 30, 2018, U.S. Small Cap Value 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(R) Emini Index... 885 06/15/18 $121,151,559 $117,129,750 $(4,021,809) ------------ ------------ ------------ Total futures contracts.. $121,151,559 $117,129,750 $(4,021,809) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- -------------- ------- --------------- Common Stocks Consumer Discretionary...... $ 2,435,795,077 -- -- $ 2,435,795,077 Consumer Staples............ 613,132,850 -- -- 613,132,850 Energy...................... 1,784,213,080 -- -- 1,784,213,080 Financials.................. 4,007,867,258 $ 328,435 -- 4,008,195,693 Health Care................. 712,363,413 -- -- 712,363,413 Industrials................. 2,573,358,624 -- -- 2,573,358,624 Information Technology...... 1,871,360,310 -- -- 1,871,360,310 Materials................... 839,402,446 -- -- 839,402,446 Real Estate................. 59,503,205 -- -- 59,503,205 Telecommunication Services.. 156,432,924 -- -- 156,432,924 Utilities................... 7,240,398 -- -- 7,240,398 Preferred Stocks Consumer Discretionary...... 417,915 -- -- 417,915 Rights/Warrants............... -- 56,421 -- 56,421 Temporary Cash Investments.... 134,660,691 -- -- 134,660,691 Securities Lending Collateral. -- 2,037,438,029 -- 2,037,438,029 Futures Contracts**........... (4,021,809) -- -- (4,021,809) --------------- -------------- -- --------------- TOTAL......................... $15,191,726,382 $2,037,822,885 -- $17,229,549,267 =============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 24 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (92.4%) Consumer Discretionary -- (14.7%) * Amazon.com, Inc................... 312,662 $ 489,669,338 2.2% * Booking Holdings, Inc............. 29,118 63,419,004 0.3% Comcast Corp. Class A............. 4,173,235 130,997,847 0.6% Home Depot, Inc. (The)............ 885,726 163,682,165 0.7% McDonald's Corp................... 529,832 88,715,070 0.4% Walt Disney Co. (The)............. 966,747 96,993,727 0.4% Other Securities.................. 2,479,560,685 11.2% -------------- ----- Total Consumer Discretionary.......... 3,513,037,836 15.8% -------------- ----- Consumer Staples -- (5.6%) Altria Group, Inc................. 1,416,780 79,495,526 0.4% Coca-Cola Co. (The)............... 2,505,511 108,263,130 0.5% Costco Wholesale Corp............. 310,004 61,120,389 0.3% PepsiCo, Inc...................... 1,073,320 108,340,921 0.5% Philip Morris International, Inc.. 761,282 62,425,124 0.3% Procter & Gamble Co. (The)........ 1,258,280 91,023,975 0.4% Walmart, Inc...................... 1,333,978 118,003,694 0.5% Other Securities.................. 710,222,136 3.1% -------------- ----- Total Consumer Staples................ 1,338,894,895 6.0% -------------- ----- Energy -- (5.2%) Chevron Corp...................... 1,001,579 125,307,549 0.6% Exxon Mobil Corp.................. 2,655,973 206,501,901 0.9% Other Securities.................. 900,208,862 4.0% -------------- ----- Total Energy.......................... 1,232,018,312 5.5% -------------- ----- Financials -- (14.7%) American Express Co............... 625,797 61,797,454 0.3% Bank of America Corp.............. 5,848,206 174,978,324 0.8% * Berkshire Hathaway, Inc. Class B.. 1,055,728 204,526,185 0.9% Citigroup, Inc.................... 1,617,623 110,435,122 0.5% JPMorgan Chase & Co............... 2,252,093 244,982,677 1.1% Wells Fargo & Co.................. 2,897,049 150,530,666 0.7% Other Securities.................. 2,563,888,258 11.4% -------------- ----- Total Financials...................... 3,511,138,686 15.7% -------------- ----- Health Care -- (11.0%) AbbVie, Inc....................... 1,199,781 115,838,856 0.5% Amgen, Inc........................ 374,474 65,338,224 0.3% Gilead Sciences, Inc.............. 965,652 69,749,044 0.3% Johnson & Johnson................. 1,751,111 221,498,030 1.0% Merck & Co., Inc.................. 1,345,902 79,233,251 0.4% Pfizer, Inc....................... 4,353,406 159,378,194 0.7% UnitedHealth Group, Inc........... 600,291 141,908,792 0.7% Other Securities.................. 1,767,888,978 7.9% -------------- ----- Total Health Care..................... 2,620,833,369 11.8% -------------- ----- Industrials -- (12.5%) 3M Co............................. 445,147 86,532,125 0.4% Boeing Co. (The).................. 423,046 141,111,224 0.6% Honeywell International, Inc...... 436,883 63,208,232 0.3% Union Pacific Corp................ 501,031 66,952,773 0.3% United Technologies Corp.......... 520,789 62,572,798 0.3%
25 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Other Securities.............................................. $ 2,563,599,396 11.5% --------------- ------ Total Industrials................................................... 2,983,976,548 13.4% --------------- ------ Information Technology -- (20.0%) Accenture P.L.C. Class A...................................... 466,581 70,547,047 0.3% * Alphabet, Inc. Class A........................................ 118,161 120,356,431 0.6% * Alphabet, Inc. Class C........................................ 124,279 126,432,755 0.6% Apple, Inc.................................................... 3,913,148 646,686,839 2.9% Cisco Systems, Inc............................................ 2,718,780 120,414,766 0.6% * Facebook, Inc. Class A........................................ 1,237,400 212,832,800 1.0% Intel Corp.................................................... 4,040,870 208,589,709 0.9% International Business Machines Corp.......................... 653,350 94,709,616 0.4% Mastercard, Inc. Class A...................................... 700,725 124,918,246 0.6% Microsoft Corp................................................ 5,151,344 481,753,691 2.2% NVIDIA Corp................................................... 392,995 88,384,576 0.4% Oracle Corp................................................... 1,422,583 64,969,366 0.3% Texas Instruments, Inc........................................ 718,388 72,866,095 0.3% # Visa, Inc. Class A............................................ 1,135,441 144,064,754 0.7% Other Securities.............................................. 2,203,281,936 9.6% --------------- ------ Total Information Technology........................................ 4,780,808,627 21.4% --------------- ------ Materials -- (4.2%) DowDuPont, Inc................................................ 1,302,048 82,341,516 0.4% Other Securities.............................................. 913,365,850 4.1% --------------- ------ Total Materials..................................................... 995,707,366 4.5% --------------- ------ Real Estate -- (0.3%) Other Securities.............................................. 72,674,720 0.3% --------------- ------ Telecommunication Services -- (1.8%) AT&T, Inc..................................................... 5,436,136 177,761,647 0.8% Verizon Communications, Inc................................... 3,128,172 154,375,288 0.7% Other Securities.............................................. 84,398,112 0.4% --------------- ------ Total Telecommunication Services.................................... 416,535,047 1.9% --------------- ------ Utilities -- (2.4%) Other Securities.............................................. 580,329,413 2.6% --------------- ------ TOTAL COMMON STOCKS................................................. 22,045,954,819 98.9% --------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities.............................................. 367,953 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 183,574 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 22,046,506,346 --------------- TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 237,183,114 237,183,114 1.1% --------------- ------ SECURITIES LENDING COLLATERAL -- (6.6%) (S)@ DFA Short Term Investment Fund................................ 136,862,551 1,583,499,719 7.1% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $16,300,248,304).......................................... $23,867,189,179 107.1% =============== ======
26 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED At April 30, 2018, U.S. Core Equity 1 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(R) Emini Index... 1,435 06/15/18 $195,761,763 $189,922,250 $(5,839,513) ------------ ------------ ------------ Total futures contracts.. $195,761,763 $189,922,250 $(5,839,513) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- -------------- ------- --------------- Common Stocks Consumer Discretionary...... $ 3,513,037,611 $ 225 -- $ 3,513,037,836 Consumer Staples............ 1,338,894,895 -- -- 1,338,894,895 Energy...................... 1,232,018,312 -- -- 1,232,018,312 Financials.................. 3,511,103,275 35,411 -- 3,511,138,686 Health Care................. 2,620,833,369 -- -- 2,620,833,369 Industrials................. 2,983,976,548 -- -- 2,983,976,548 Information Technology...... 4,780,808,627 -- -- 4,780,808,627 Materials................... 995,707,366 -- -- 995,707,366 Real Estate................. 72,674,720 -- -- 72,674,720 Telecommunication Services.. 416,535,047 -- -- 416,535,047 Utilities................... 580,329,413 -- -- 580,329,413 Preferred Stocks Consumer Discretionary...... 367,953 -- -- 367,953 Rights/Warrants............... -- 183,574 -- 183,574 Temporary Cash Investments.... 237,183,114 -- -- 237,183,114 Securities Lending Collateral. -- 1,583,499,719 -- 1,583,499,719 Futures Contracts**........... (5,839,513) -- -- (5,839,513) --------------- -------------- -- --------------- TOTAL......................... $22,277,630,737 $1,583,718,929 -- $23,861,349,666 =============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 27 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (92.0%) Consumer Discretionary -- (14.0%) * Amazon.com, Inc.................. 205,727 $ 322,195,227 1.3% Best Buy Co., Inc................ 790,787 60,518,929 0.3% Comcast Corp. Class A............ 5,784,188 181,565,661 0.8% Home Depot, Inc. (The)........... 604,278 111,670,574 0.5% Time Warner, Inc................. 819,384 77,677,603 0.3% Walt Disney Co. (The)............ 1,012,945 101,628,772 0.4% Other Securities................. 2,767,314,356 11.4% -------------- ----- Total Consumer Discretionary......... 3,622,571,122 15.0% -------------- ----- Consumer Staples -- (5.1%) Altria Group, Inc................ 1,147,485 64,385,383 0.3% Coca-Cola Co. (The).............. 2,039,354 88,120,486 0.4% PepsiCo, Inc..................... 675,464 68,181,336 0.3% Procter & Gamble Co. (The)....... 1,360,960 98,451,846 0.4% Walmart, Inc..................... 1,744,789 154,344,035 0.6% Other Securities................. 835,111,425 3.4% -------------- ----- Total Consumer Staples............... 1,308,594,511 5.4% -------------- ----- Energy -- (5.8%) Chevron Corp..................... 1,188,328 148,671,716 0.6% Exxon Mobil Corp................. 3,018,867 234,716,909 1.0% Other Securities................. 1,122,574,292 4.7% -------------- ----- Total Energy......................... 1,505,962,917 6.3% -------------- ----- Financials -- (17.6%) American Express Co.............. 809,859 79,973,576 0.3% Bank of America Corp............. 6,763,707 202,370,113 0.9% * Berkshire Hathaway, Inc. Class B. 986,197 191,055,945 0.8% Citigroup, Inc................... 1,729,366 118,063,817 0.5% Goldman Sachs Group, Inc. (The).. 284,073 67,703,118 0.3% JPMorgan Chase & Co.............. 2,971,967 323,290,570 1.4% U.S. Bancorp..................... 1,203,717 60,727,523 0.3% Wells Fargo & Co................. 4,176,962 217,034,946 0.9% Other Securities................. 3,304,535,070 13.6% -------------- ----- Total Financials..................... 4,564,754,678 19.0% -------------- ----- Health Care -- (10.2%) AbbVie, Inc...................... 752,746 72,677,626 0.3% CVS Health Corp.................. 988,292 69,012,430 0.3% Gilead Sciences, Inc............. 1,079,751 77,990,415 0.3% Johnson & Johnson................ 1,483,658 187,667,900 0.8% Merck & Co., Inc................. 1,225,225 72,128,996 0.3% Pfizer, Inc...................... 5,173,380 189,397,442 0.8% UnitedHealth Group, Inc.......... 617,082 145,878,185 0.6% Other Securities................. 1,839,914,780 7.6% -------------- ----- Total Health Care.................... 2,654,667,774 11.0% -------------- ----- Industrials -- (13.1%) Boeing Co. (The)................. 269,827 90,003,494 0.4% Caterpillar, Inc................. 431,816 62,336,958 0.3% FedEx Corp....................... 275,432 68,086,790 0.3% Union Pacific Corp............... 671,012 89,667,334 0.4% United Technologies Corp......... 573,727 68,933,299 0.3%
28 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Other Securities.............................................. $ 3,021,506,427 12.4% --------------- ------ Total Industrials................................................... 3,400,534,302 14.1% --------------- ------ Information Technology -- (17.9%) * Alphabet, Inc. Class A........................................ 95,859 97,640,060 0.4% * Alphabet, Inc. Class C........................................ 100,881 102,629,268 0.4% Apple, Inc.................................................... 3,188,839 526,987,533 2.2% Cisco Systems, Inc............................................ 4,353,001 192,794,414 0.8% * Facebook, Inc. Class A........................................ 743,377 127,860,844 0.5% Intel Corp.................................................... 5,141,165 265,386,937 1.1% International Business Machines Corp.......................... 558,581 80,971,902 0.3% Mastercard, Inc. Class A...................................... 463,101 82,557,015 0.4% * Micron Technology, Inc........................................ 1,627,340 74,825,093 0.3% Microsoft Corp................................................ 3,767,654 352,351,002 1.5% NVIDIA Corp................................................... 458,835 103,191,991 0.4% Oracle Corp................................................... 1,640,590 74,925,745 0.3% QUALCOMM, Inc................................................. 1,260,628 64,304,634 0.3% # Visa, Inc. Class A............................................ 940,893 119,380,504 0.5% Other Securities.............................................. 2,371,709,769 9.9% --------------- ------ Total Information Technology........................................ 4,637,516,711 19.3% --------------- ------ Materials -- (4.3%) DowDuPont, Inc................................................ 1,209,038 76,459,563 0.3% Other Securities.............................................. 1,034,082,315 4.3% --------------- ------ Total Materials..................................................... 1,110,541,878 4.6% --------------- ------ Real Estate -- (0.4%) Other Securities.............................................. 94,651,218 0.4% --------------- ------ Telecommunication Services -- (2.0%) AT&T, Inc..................................................... 7,787,751 254,659,458 1.1% Verizon Communications, Inc................................... 3,286,048 162,166,469 0.7% Other Securities.............................................. 111,172,134 0.4% --------------- ------ Total Telecommunication Services.................................... 527,998,061 2.2% --------------- ------ Utilities -- (1.6%) Other Securities.............................................. 419,211,449 1.7% --------------- ------ TOTAL COMMON STOCKS................................................. 23,847,004,621 99.0% --------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities.............................................. 570,384 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 182,300 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 23,847,757,305 --------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 235,937,300 235,937,300 1.0% --------------- ------ SECURITIES LENDING COLLATERAL -- (7.1%) (S)@ DFA Short Term Investment Fund................................ 159,543,985 1,845,923,909 7.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $17,541,128,884).......................................... $25,929,618,514 107.6% =============== ======
29 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED At April 30, 2018, U.S. Core Equity 2 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(R) Emini Index... 1,555 06/15/18 $212,253,911 $205,804,250 $(6,449,661) ------------ ------------ ------------ Total futures contracts.. $212,253,911 $205,804,250 $(6,449,661) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- -------------- ------- --------------- Common Stocks Consumer Discretionary...... $ 3,622,570,606 $ 516 -- $ 3,622,571,122 Consumer Staples............ 1,308,594,511 -- -- 1,308,594,511 Energy...................... 1,505,962,917 -- -- 1,505,962,917 Financials.................. 4,564,695,309 59,369 -- 4,564,754,678 Health Care................. 2,654,667,774 -- -- 2,654,667,774 Industrials................. 3,400,534,302 -- -- 3,400,534,302 Information Technology...... 4,637,499,765 16,946 -- 4,637,516,711 Materials................... 1,110,541,878 -- -- 1,110,541,878 Real Estate................. 94,651,218 -- -- 94,651,218 Telecommunication Services.. 527,998,061 -- -- 527,998,061 Utilities................... 419,211,449 -- -- 419,211,449 Preferred Stocks Consumer Discretionary...... 570,384 -- -- 570,384 Rights/Warrants............... -- 182,300 -- 182,300 Temporary Cash Investments.... 235,937,300 -- -- 235,937,300 Securities Lending Collateral. -- 1,845,923,909 -- 1,845,923,909 Futures Contracts**........... (6,449,661) -- -- (6,449,661) --------------- -------------- -- --------------- TOTAL......................... $24,076,985,812 $1,846,183,040 -- $25,923,168,852 =============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 30 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (89.5%) Consumer Discretionary -- (12.6%) * Charter Communications, Inc. Class A.......... 35,911 $ 9,742,295 0.2% Comcast Corp. Class A......................... 487,867 15,314,145 0.3% Ford Motor Co................................. 1,060,195 11,916,592 0.3% General Motors Co............................. 390,610 14,351,011 0.3% # Kohl's Corp................................... 177,964 11,055,124 0.2% Lennar Corp. Class A.......................... 259,298 13,714,271 0.3% Time Warner, Inc.............................. 94,912 8,997,658 0.2% * Urban Outfitters, Inc......................... 199,203 8,021,905 0.2% Walt Disney Co. (The)......................... 118,253 11,864,323 0.3% Other Securities.............................. 557,351,536 11.6% -------------- ----- Total Consumer Discretionary...................... 662,328,860 13.9% -------------- ----- Consumer Staples -- (3.5%) Procter & Gamble Co. (The).................... 116,144 8,401,857 0.2% Walmart, Inc.................................. 198,213 17,533,922 0.4% Other Securities.............................. 156,071,240 3.2% -------------- ----- Total Consumer Staples............................ 182,007,019 3.8% -------------- ----- Energy -- (7.3%) Andeavor...................................... 137,631 19,037,120 0.4% Chevron Corp.................................. 211,373 26,444,876 0.6% Exxon Mobil Corp.............................. 261,711 20,348,030 0.4% HollyFrontier Corp............................ 182,118 11,052,741 0.2% Valero Energy Corp............................ 104,590 11,602,169 0.3% Other Securities.............................. 293,854,623 6.2% -------------- ----- Total Energy...................................... 382,339,559 8.1% -------------- ----- Financials -- (22.8%) # Ally Financial, Inc........................... 307,805 8,033,710 0.2% American Financial Group, Inc................. 69,889 7,912,833 0.2% Bank of America Corp.......................... 1,187,298 35,523,956 0.8% * Berkshire Hathaway, Inc. Class B.............. 47,977 9,294,584 0.2% Citigroup, Inc................................ 312,527 21,336,218 0.5% First American Financial Corp................. 149,802 7,656,380 0.2% First Horizon National Corp................... 423,869 7,756,803 0.2% Goldman Sachs Group, Inc. (The)............... 44,550 10,617,601 0.2% Hartford Financial Services Group, Inc. (The). 171,851 9,252,458 0.2% JPMorgan Chase & Co........................... 550,713 59,906,560 1.3% Lincoln National Corp......................... 111,851 7,901,155 0.2% Morgan Stanley................................ 171,784 8,867,490 0.2% PNC Financial Services Group, Inc. (The)...... 54,544 7,942,152 0.2% Principal Financial Group, Inc................ 157,281 9,314,181 0.2% Regions Financial Corp........................ 533,364 9,973,907 0.2% # Sterling Bancorp.............................. 377,574 8,967,382 0.2% Wells Fargo & Co.............................. 846,080 43,962,317 0.9% Other Securities.............................. 926,755,927 19.2% -------------- ----- Total Financials.................................. 1,200,975,614 25.3% -------------- ----- Health Care -- (7.4%) Johnson & Johnson............................. 114,841 14,526,238 0.3% Merck & Co., Inc.............................. 149,737 8,815,017 0.2% Pfizer, Inc................................... 426,044 15,597,471 0.3% UnitedHealth Group, Inc....................... 74,301 17,564,756 0.4%
31 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Other Securities.............................................. $ 336,043,803 7.1% -------------- ------ Total Health Care................................................... 392,547,285 8.3% -------------- ------ Industrials -- (14.6%) Trinity Industries, Inc....................................... 252,771 8,055,812 0.2% #* XPO Logistics, Inc............................................ 99,123 9,630,791 0.2% Other Securities.............................................. 749,059,644 15.7% -------------- ------ Total Industrials................................................... 766,746,247 16.1% -------------- ------ Information Technology -- (13.0%) * Alphabet, Inc. Class A........................................ 10,540 10,735,833 0.2% * Alphabet, Inc. Class C........................................ 11,067 11,258,791 0.2% Apple, Inc.................................................... 285,245 47,139,589 1.0% Cisco Systems, Inc............................................ 479,871 21,253,487 0.5% Intel Corp.................................................... 578,019 29,837,341 0.6% * Micron Technology, Inc........................................ 295,915 13,606,172 0.3% Microsoft Corp................................................ 278,222 26,019,321 0.6% MKS Instruments, Inc.......................................... 79,909 8,182,682 0.2% Other Securities.............................................. 518,956,645 10.9% -------------- ------ Total Information Technology........................................ 686,989,861 14.5% -------------- ------ Materials -- (5.0%) Reliance Steel & Aluminum Co.................................. 96,442 8,479,181 0.2% Other Securities.............................................. 255,929,062 5.4% -------------- ------ Total Materials..................................................... 264,408,243 5.6% -------------- ------ Real Estate -- (0.5%) Other Securities.............................................. 25,085,628 0.5% -------------- ------ Telecommunication Services -- (1.9%) AT&T, Inc..................................................... 1,702,949 55,686,432 1.2% Verizon Communications, Inc................................... 270,126 13,330,718 0.3% Other Securities.............................................. 32,614,068 0.6% -------------- ------ Total Telecommunication Services.................................... 101,631,218 2.1% -------------- ------ Utilities -- (0.9%) Other Securities.............................................. 46,651,705 1.0% -------------- ------ TOTAL COMMON STOCKS................................................. 4,711,711,239 99.2% -------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities.............................................. 354,876 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 24,642 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES......................................... 4,712,090,757 -------------- TEMPORARY CASH INVESTMENTS -- (0.8%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 42,523,470 42,523,470 0.9% -------------- ------ SECURITIES LENDING COLLATERAL -- (9.7%) (S)@ DFA Short Term Investment Fund................................ 43,975,305 508,794,277 10.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,693,793,226)........................................... $5,263,408,504 110.8% ============== ======
32 U.S. VECTOR EQUITY PORTFOLIO CONTINUED At April 30, 2018, U.S. Vector Equity 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(R) Emini Index... 273 06/15/18 $37,192,248 $36,131,550 $(1,060,698) ----------- ----------- ------------ Total futures contracts.. $37,192,248 $36,131,550 $(1,060,698) =========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 662,328,860 -- -- $ 662,328,860 Consumer Staples............ 182,007,019 -- -- 182,007,019 Energy...................... 382,339,559 -- -- 382,339,559 Financials.................. 1,200,951,541 $ 24,073 -- 1,200,975,614 Health Care................. 392,547,285 -- -- 392,547,285 Industrials................. 766,746,247 -- -- 766,746,247 Information Technology...... 686,989,861 -- -- 686,989,861 Materials................... 264,408,243 -- -- 264,408,243 Real Estate................. 25,085,628 -- -- 25,085,628 Telecommunication Services.. 101,631,218 -- -- 101,631,218 Utilities................... 46,651,705 -- -- 46,651,705 Preferred Stocks Consumer Discretionary...... 354,876 -- -- 354,876 Rights/Warrants............... -- 24,642 -- 24,642 Temporary Cash Investments.... 42,523,470 -- -- 42,523,470 Securities Lending Collateral. -- 508,794,277 -- 508,794,277 Futures Contracts**........... (1,060,698) -- -- (1,060,698) -------------- ------------ -- -------------- TOTAL......................... $4,753,504,814 $508,842,992 -- $5,262,347,806 ============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 33 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.0%) Consumer Discretionary -- (13.8%) American Eagle Outfitters, Inc.......... 1,963,139 $ 40,597,715 0.2% #* Deckers Outdoor Corp.................... 639,202 59,611,979 0.4% #* Five Below, Inc......................... 539,274 38,078,137 0.2% ILG, Inc................................ 1,237,829 42,247,104 0.3% # New York Times Co. (The) Class A........ 1,575,565 36,946,999 0.2% # Texas Roadhouse, Inc.................... 629,062 40,310,293 0.2% #* Urban Outfitters, Inc................... 1,037,098 41,763,936 0.2% #* Visteon Corp............................ 330,397 41,114,603 0.2% # Wendy's Co. (The)....................... 2,441,546 40,871,480 0.2% Other Securities........................ 2,462,338,581 14.1% -------------- ----- Total Consumer Discretionary................ 2,843,880,827 16.2% -------------- ----- Consumer Staples -- (3.5%) Other Securities........................ 725,010,505 4.1% -------------- ----- Energy -- (5.3%) # Delek US Holdings, Inc.................. 848,460 40,191,550 0.2% #* Matador Resources Co.................... 1,114,338 36,483,426 0.2% # PBF Energy, Inc. Class A................ 1,320,944 50,631,784 0.3% #* PDC Energy, Inc......................... 705,692 37,782,750 0.2% #* SRC Energy, Inc......................... 3,217,843 35,524,987 0.2% #* Whiting Petroleum Corp.................. 902,306 36,832,131 0.2% Other Securities........................ 847,193,187 4.9% -------------- ----- Total Energy................................ 1,084,639,815 6.2% -------------- ----- Financials -- (17.6%) Aspen Insurance Holdings, Ltd........... 871,501 36,995,217 0.2% Associated Banc-Corp.................... 1,647,398 43,573,677 0.3% # BancorpSouth Bank....................... 1,522,695 50,325,070 0.3% Cathay General Bancorp.................. 1,533,107 61,339,611 0.4% # Columbia Banking System, Inc............ 1,055,984 42,461,117 0.2% Evercore, Inc. Class A.................. 494,814 50,099,917 0.3% FirstCash, Inc.......................... 672,030 58,265,001 0.3% Fulton Financial Corp................... 2,145,209 36,254,032 0.2% * Green Dot Corp. Class A................. 636,314 38,694,254 0.2% # Interactive Brokers Group, Inc. Class A. 640,652 47,536,378 0.3% Popular, Inc............................ 764,532 35,390,186 0.2% Primerica, Inc.......................... 482,119 46,645,013 0.3% # Selective Insurance Group, Inc.......... 763,279 45,186,117 0.3% # Sterling Bancorp........................ 2,509,716 59,605,755 0.3% TCF Financial Corp...................... 2,155,314 53,516,447 0.3% UMB Financial Corp...................... 486,895 37,286,419 0.2% # Valley National Bancorp................. 2,903,022 36,432,926 0.2% Other Securities........................ 2,842,386,551 16.2% -------------- ----- Total Financials............................ 3,621,993,688 20.7% -------------- ----- Health Care -- (7.4%) Cantel Medical Corp..................... 383,723 43,003,837 0.3% # Chemed Corp............................. 137,239 42,299,805 0.3% * Haemonetics Corp........................ 455,907 35,578,982 0.2% Other Securities........................ 1,398,004,039 7.9% -------------- ----- Total Health Care........................... 1,518,886,663 8.7% -------------- -----
34 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (16.2%) * ASGN, Inc..................................................... 506,767 $ 40,860,623 0.2% #* Cimpress NV................................................... 314,031 45,160,798 0.3% Insperity, Inc................................................ 449,144 36,043,806 0.2% #* KLX, Inc...................................................... 562,905 44,036,058 0.3% # Terex Corp.................................................... 1,116,268 40,766,107 0.2% Other Securities.............................................. 3,124,014,195 17.8% --------------- ------ Total Industrials................................................... 3,330,881,587 19.0% --------------- ------ Information Technology -- (11.2%) * CACI International, Inc. Class A.............................. 241,640 36,499,722 0.2% #* Ciena Corp.................................................... 1,408,658 36,272,943 0.2% #* Conduent, Inc................................................. 1,942,896 37,808,756 0.2% #* Cree, Inc..................................................... 1,214,607 45,329,133 0.3% Entegris, Inc................................................. 1,229,681 39,595,728 0.2% MKS Instruments, Inc.......................................... 349,516 35,790,438 0.2% * Silicon Laboratories, Inc..................................... 421,780 39,183,362 0.2% * Zynga, Inc. Class A........................................... 10,461,381 36,091,764 0.2% Other Securities.............................................. 2,012,047,161 11.5% --------------- ------ Total Information Technology........................................ 2,318,619,007 13.2% --------------- ------ Materials -- (4.7%) Other Securities.............................................. 959,156,562 5.5% --------------- ------ Real Estate -- (0.6%) Other Securities.............................................. 127,466,427 0.7% --------------- ------ Telecommunication Services -- (0.8%) Other Securities.............................................. 166,880,395 1.0% --------------- ------ Utilities -- (2.9%) ALLETE, Inc................................................... 475,869 36,361,150 0.2% WGL Holdings, Inc............................................. 421,322 35,854,502 0.2% Other Securities.............................................. 534,552,009 3.1% --------------- ------ Total Utilities..................................................... 606,767,661 3.5% --------------- ------ TOTAL COMMON STOCKS................................................. 17,304,183,137 98.8% --------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities.............................................. 1,709,186 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.............................................. 29,845 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES......................................... 17,305,922,168 --------------- TEMPORARY CASH INVESTMENTS -- (0.8%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 169,289,827 169,289,827 1.0% --------------- ------ SECURITIES LENDING COLLATERAL -- (15.2%) (S)@ DFA Short Term Investment Fund................................ 269,966,850 3,123,516,458 17.8% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $16,354,354,169).......................................... $20,598,728,453 117.6% =============== ======
35 U.S. SMALL CAP PORTFOLIO CONTINUED At April 30, 2018, U.S. Small Cap 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(R) Emini Index... 1,113 06/15/18 $151,164,635 $147,305,550 $(3,859,085) ------------ ------------ ------------ Total futures contracts.. $151,164,635 $147,305,550 $(3,859,085) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- -------------- ------- --------------- Common Stocks Consumer Discretionary...... $ 2,843,879,477 $ 1,350 -- $ 2,843,880,827 Consumer Staples............ 725,010,505 -- -- 725,010,505 Energy...................... 1,084,639,815 -- -- 1,084,639,815 Financials.................. 3,621,858,586 135,102 -- 3,621,993,688 Health Care................. 1,518,886,663 -- -- 1,518,886,663 Industrials................. 3,330,881,587 -- -- 3,330,881,587 Information Technology...... 2,318,577,147 41,860 -- 2,318,619,007 Materials................... 959,156,562 -- -- 959,156,562 Real Estate................. 127,466,427 -- -- 127,466,427 Telecommunication Services.. 166,880,395 -- -- 166,880,395 Utilities................... 606,767,661 -- -- 606,767,661 Preferred Stocks Consumer Discretionary...... 1,709,186 -- -- 1,709,186 Rights/Warrants............... -- 29,845 -- 29,845 Temporary Cash Investments.... 169,289,827 -- -- 169,289,827 Securities Lending Collateral. -- 3,123,516,458 -- 3,123,516,458 Futures Contracts**........... (3,859,085) -- -- (3,859,085) --------------- -------------- -- --------------- TOTAL......................... $17,471,144,753 $3,123,724,615 -- $20,594,869,368 =============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 36 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (86.2%) Consumer Discretionary -- (12.7%) # Caleres, Inc............................ 493,103 $ 16,139,261 0.3% Callaway Golf Co........................ 1,105,362 19,078,548 0.3% #* Cavco Industries, Inc................... 96,967 16,518,328 0.3% La-Z-Boy, Inc........................... 558,862 16,095,226 0.3% #* Shutterfly, Inc......................... 213,257 17,256,756 0.3% # Sonic Corp.............................. 605,445 15,687,080 0.2% Other Securities........................ 837,176,853 12.8% -------------- ----- Total Consumer Discretionary................ 937,952,052 14.5% -------------- ----- Consumer Staples -- (3.1%) # Calavo Growers, Inc..................... 186,492 17,474,300 0.3% Inter Parfums, Inc...................... 301,212 15,422,054 0.2% # MGP Ingredients, Inc.................... 188,068 18,015,034 0.3% #* USANA Health Sciences, Inc.............. 166,462 17,570,064 0.3% # WD-40 Co................................ 144,160 19,014,704 0.3% Other Securities........................ 141,297,795 2.2% -------------- ----- Total Consumer Staples...................... 228,793,951 3.6% -------------- ----- Energy -- (4.3%) Other Securities........................ 317,128,604 4.9% -------------- ----- Financials -- (19.3%) # Ameris Bancorp.......................... 332,383 17,184,201 0.3% #* BofI Holding, Inc....................... 403,609 16,257,371 0.3% Boston Private Financial Holdings, Inc.. 956,143 15,346,095 0.2% FBL Financial Group, Inc. Class A....... 215,835 16,781,171 0.3% First Financial Bancorp................. 841,680 26,049,996 0.4% * Green Dot Corp. Class A................. 285,832 17,381,444 0.3% Horace Mann Educators Corp.............. 410,677 18,357,262 0.3% # Independent Bank Corp................... 207,836 15,026,543 0.2% Infinity Property & Casualty Corp....... 121,048 15,978,336 0.3% # Walker & Dunlop, Inc.................... 339,012 19,360,975 0.3% Other Securities........................ 1,256,342,503 19.3% -------------- ----- Total Financials............................ 1,434,065,897 22.2% -------------- ----- Health Care -- (9.1%) #* Amedisys, Inc........................... 228,635 15,110,487 0.2% CONMED Corp............................. 269,310 17,513,229 0.3% * Emergent BioSolutions, Inc.............. 301,686 15,645,436 0.3% #* Integer Holdings Corp................... 281,395 15,448,585 0.2% #* LHC Group, Inc.......................... 288,756 21,489,222 0.3% * Merit Medical Systems, Inc.............. 398,201 19,312,748 0.3% #* Omnicell, Inc........................... 390,314 16,822,533 0.3% Other Securities........................ 551,355,567 8.5% -------------- ----- Total Health Care........................... 672,697,807 10.4% -------------- ----- Industrials -- (18.5%) # Albany International Corp. Class A...... 261,344 15,458,498 0.2% #* Axon Enterprise, Inc.................... 376,999 15,826,418 0.2% * Chart Industries, Inc................... 336,140 19,072,584 0.3% Comfort Systems USA, Inc................ 378,197 15,959,913 0.3% Exponent, Inc........................... 240,120 20,746,368 0.3% Forward Air Corp........................ 306,722 16,559,921 0.3%
37 U.S. MICRO CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Insperity, Inc.......................................... 250,532 $ 20,105,193 0.3% Kaman Corp.............................................. 281,442 17,066,643 0.3% Korn/Ferry International................................ 291,758 15,597,383 0.2% SkyWest, Inc............................................ 302,118 17,190,514 0.3% Other Securities........................................ 1,197,489,189 18.5% -------------- ------ Total Industrials............................................. 1,371,072,624 21.2% -------------- ------ Information Technology -- (10.9%) Cabot Microelectronics Corp............................. 169,883 17,234,630 0.3% * ExlService Holdings, Inc................................ 265,274 15,335,490 0.2% Methode Electronics, Inc................................ 408,852 16,313,195 0.3% * Virtusa Corp............................................ 358,465 17,256,505 0.3% Other Securities........................................ 742,560,349 11.4% -------------- ------ Total Information Technology.................................. 808,700,169 12.5% -------------- ------ Materials -- (4.5%) * Ferro Corp.............................................. 883,136 19,437,823 0.3% Innospec, Inc........................................... 254,933 18,533,629 0.3% # Kaiser Aluminum Corp.................................... 167,047 16,460,811 0.3% Quaker Chemical Corp.................................... 104,311 15,332,674 0.2% Other Securities........................................ 263,636,016 4.1% -------------- ------ Total Materials............................................... 333,400,953 5.2% -------------- ------ Real Estate -- (0.9%) Other Securities........................................ 68,999,839 1.1% -------------- ------ Telecommunication Services -- (1.1%) Shenandoah Telecommunications Co........................ 497,484 18,780,021 0.3% #* Vonage Holdings Corp.................................... 1,577,569 17,637,221 0.3% Other Securities........................................ 46,517,466 0.7% -------------- ------ Total Telecommunication Services.............................. 82,934,708 1.3% -------------- ------ Utilities -- (1.8%) # American States Water Co................................ 338,714 18,873,144 0.3% # California Water Service Group.......................... 430,087 16,665,871 0.3% Other Securities........................................ 97,526,792 1.5% -------------- ------ Total Utilities............................................... 133,065,807 2.1% -------------- ------ TOTAL COMMON STOCKS........................................... 6,388,812,411 99.0% -------------- ------ PREFERRED STOCKS -- (0.0%) Consumer Discretionary -- (0.0%) Other Securities........................................ 1,599,809 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES................................... 6,390,412,220 -------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 1.630%........................................... 68,450,273 68,450,273 1.1% -------------- ------ SECURITIES LENDING COLLATERAL -- (12.9%) (S)@ DFA Short Term Investment Fund.......................... 82,356,253 952,861,850 14.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,135,363,364)..................................... $7,411,724,343 114.8% ============== ======
38 U.S. MICRO CAP PORTFOLIO CONTINUED At April 30, 2018, U.S. Micro Cap 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(R) Emini Index... 441 06/15/18 $59,244,846 $58,366,350 $(878,496) ----------- ----------- ---------- Total futures contracts.. $59,244,846 $58,366,350 $(878,496) =========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 937,940,573 $ 11,479 -- $ 937,952,052 Consumer Staples............ 228,793,951 -- -- 228,793,951 Energy...................... 317,128,604 -- -- 317,128,604 Financials.................. 1,433,958,382 107,515 -- 1,434,065,897 Health Care................. 672,697,807 -- -- 672,697,807 Industrials................. 1,371,072,624 -- -- 1,371,072,624 Information Technology...... 808,679,091 21,078 -- 808,700,169 Materials................... 333,400,953 -- -- 333,400,953 Real Estate................. 68,999,839 -- -- 68,999,839 Telecommunication Services.. 82,934,708 -- -- 82,934,708 Utilities................... 133,065,807 -- -- 133,065,807 Preferred Stocks Consumer Discretionary...... 1,599,809 -- -- 1,599,809 Temporary Cash Investments.... 68,450,273 -- -- 68,450,273 Securities Lending Collateral. -- 952,861,850 -- 952,861,850 Futures Contracts**........... (878,496) -- -- (878,496) -------------- ------------ -- -------------- TOTAL......................... $6,457,843,925 $953,001,922 -- $7,410,845,847 ============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 39 U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (96.5%) Consumer Discretionary -- (21.6%) * Amazon.com, Inc............... 9,882 $15,476,497 4.1% Best Buy Co., Inc............. 26,735 2,046,030 0.5% * Booking Holdings, Inc......... 1,900 4,138,200 1.1% Comcast Corp. Class A......... 207,454 6,511,981 1.7% General Motors Co............. 58,674 2,155,683 0.6% Home Depot, Inc. (The)........ 44,398 8,204,750 2.2% Lowe's Cos., Inc.............. 34,554 2,848,286 0.8% NIKE, Inc. Class B............ 50,188 3,432,357 0.9% Starbucks Corp................ 59,694 3,436,584 0.9% Target Corp................... 27,551 2,000,203 0.5% TJX Cos., Inc. (The).......... 25,534 2,166,560 0.6% Other Securities.............. 31,781,151 8.3% ----------- ----- Total Consumer Discretionary...... 84,198,282 22.2% ----------- ----- Consumer Staples -- (10.8%) Altria Group, Inc............. 99,762 5,597,646 1.5% Coca-Cola Co. (The)........... 139,399 6,023,431 1.6% Costco Wholesale Corp......... 19,530 3,850,535 1.0% Kroger Co. (The).............. 72,175 1,818,088 0.5% PepsiCo, Inc.................. 61,999 6,258,179 1.7% Walmart, Inc.................. 69,502 6,148,147 1.6% Other Securities.............. 12,317,409 3.2% ----------- ----- Total Consumer Staples............ 42,013,435 11.1% ----------- ----- Energy -- (1.0%) Other Securities.............. 4,121,758 1.1% ----------- ----- Financials -- (3.5%) American Express Co........... 34,262 3,383,372 0.9% Marsh & McLennan Cos., Inc.... 23,613 1,924,459 0.5% Other Securities.............. 8,209,319 2.1% ----------- ----- Total Financials.................. 13,517,150 3.5% ----------- ----- Health Care -- (8.6%) AbbVie, Inc................... 60,005 5,793,483 1.5% Amgen, Inc.................... 37,225 6,495,018 1.7% * Biogen, Inc................... 10,164 2,780,870 0.7% Gilead Sciences, Inc.......... 73,848 5,334,041 1.4% Humana, Inc................... 6,719 1,976,595 0.5% Other Securities.............. 11,354,102 3.1% ----------- ----- Total Health Care................. 33,734,109 8.9% ----------- ----- Industrials -- (19.1%) 3M Co......................... 25,546 4,965,887 1.3% Boeing Co. (The).............. 21,469 7,161,200 1.9% Caterpillar, Inc.............. 31,722 4,579,388 1.2% Deere & Co.................... 14,542 1,967,969 0.5% Delta Air Lines, Inc.......... 37,804 1,974,125 0.5% FedEx Corp.................... 10,904 2,695,469 0.7% Honeywell International, Inc.. 32,412 4,689,368 1.2% Lockheed Martin Corp.......... 6,780 2,175,295 0.6% Northrop Grumman Corp......... 6,106 1,966,376 0.5% Union Pacific Corp............ 38,372 5,127,650 1.4%
40 U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * United Continental Holdings, Inc.............................. 30,505 $ 2,060,308 0.5% United Parcel Service, Inc. Class B........................... 24,946 2,831,371 0.7% Waste Management, Inc......................................... 22,100 1,796,509 0.5% Other Securities.............................................. 30,354,202 8.1% ------------ ------ Total Industrials................................................... 74,345,117 19.6% ------------ ------ Information Technology -- (24.8%) Accenture P.L.C. Class A...................................... 27,652 4,180,982 1.1% Apple, Inc.................................................... 89,989 14,871,582 3.9% Applied Materials, Inc........................................ 53,426 2,653,669 0.7% Automatic Data Processing, Inc................................ 18,107 2,138,075 0.6% International Business Machines Corp.......................... 43,611 6,321,851 1.7% Mastercard, Inc. Class A...................................... 35,826 6,386,701 1.7% * Micron Technology, Inc........................................ 63,854 2,936,007 0.8% Microsoft Corp................................................ 154,653 14,463,149 3.8% NVIDIA Corp................................................... 22,785 5,124,347 1.3% Texas Instruments, Inc........................................ 44,597 4,523,474 1.2% Visa, Inc. Class A............................................ 73,493 9,324,792 2.5% Other Securities.............................................. 23,754,179 6.2% ------------ ------ Total Information Technology........................................ 96,678,808 25.5% ------------ ------ Materials -- (3.9%) LyondellBasell Industries NV Class A.......................... 17,345 1,833,887 0.5% Other Securities.............................................. 13,293,706 3.5% ------------ ------ Total Materials..................................................... 15,127,593 4.0% ------------ ------ Telecommunication Services -- (3.1%) Verizon Communications, Inc................................... 210,719 10,398,982 2.7% Other Securities.............................................. 1,531,510 0.4% ------------ ------ Total Telecommunication Services.................................... 11,930,492 3.1% ------------ ------ Utilities -- (0.1%) Other Securities.............................................. 360,251 0.1% ------------ ------ TOTAL COMMON STOCKS................................................. 376,026,995 99.1% ------------ ------ TOTAL INVESTMENT SECURITIES......................................... 376,026,995 ------------ TEMPORARY CASH INVESTMENTS -- (0.7%) State Street Institutional U.S. Government Money Market Fund, 1.630%....................................................... 2,636,478 2,636,478 0.7% ------------ ------ SECURITIES LENDING COLLATERAL -- (2.8%) (S)@ DFA Short Term Investment Fund................................ 954,395 11,042,353 2.9% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $376,352,979)............................................. $389,705,826 102.7% ============ ======
41 U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ----------- ------- ------------ Common Stocks Consumer Discretionary...... $ 84,198,282 -- -- $ 84,198,282 Consumer Staples............ 42,013,435 -- -- 42,013,435 Energy...................... 4,121,758 -- -- 4,121,758 Financials.................. 13,517,150 -- -- 13,517,150 Health Care................. 33,734,109 -- -- 33,734,109 Industrials................. 74,345,117 -- -- 74,345,117 Information Technology...... 96,678,808 -- -- 96,678,808 Materials................... 15,127,593 -- -- 15,127,593 Telecommunication Services.. 11,930,492 -- -- 11,930,492 Utilities................... 360,251 -- -- 360,251 Temporary Cash Investments.... 2,636,478 -- -- 2,636,478 Securities Lending Collateral. -- $11,042,353 -- 11,042,353 ------------ ----------- -- ------------ TOTAL......................... $378,663,473 $11,042,353 -- $389,705,826 ============ =========== == ============
See accompanying Notes to Financial Statements. 42 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (92.5%) Real Estate -- (92.5%) # Alexandria Real Estate Equities, Inc.......... 892,956 $ 111,235,529 1.3% American Campus Communities, Inc.............. 1,255,493 49,102,331 0.6% # American Homes 4 Rent Class A................. 2,283,779 46,132,336 0.6% American Tower Corp........................... 3,246,594 442,705,558 5.3% Apartment Investment & Management Co. Class A. 1,491,202 60,542,801 0.7% AvalonBay Communities, Inc.................... 1,294,940 211,075,220 2.5% Boston Properties, Inc........................ 1,477,060 179,329,855 2.1% Brixmor Property Group, Inc................... 2,888,376 43,007,919 0.5% Camden Property Trust......................... 831,494 71,009,588 0.9% Crown Castle International Corp............... 2,723,366 274,705,928 3.3% CubeSmart..................................... 1,710,433 50,355,148 0.6% DCT Industrial Trust, Inc..................... 894,750 58,668,757 0.7% # Digital Realty Trust, Inc..................... 1,902,197 201,043,201 2.4% Douglas Emmett, Inc........................... 1,423,845 53,066,703 0.6% Duke Realty Corp.............................. 3,372,012 91,381,525 1.1% Equinix, Inc.................................. 720,471 303,166,992 3.6% Equity LifeStyle Properties, Inc.............. 780,714 69,608,460 0.8% Equity Residential............................ 3,456,874 213,323,695 2.5% Essex Property Trust, Inc..................... 629,004 150,765,969 1.8% # Extra Space Storage, Inc...................... 1,196,092 107,157,882 1.3% Federal Realty Investment Trust............... 683,759 79,213,480 1.0% Forest City Realty Trust, Inc. Class A........ 2,292,067 45,978,864 0.6% Gaming and Leisure Properties, Inc............ 1,870,000 64,084,900 0.8% GGP, Inc...................................... 5,475,114 109,447,529 1.3% HCP, Inc...................................... 4,450,308 103,959,195 1.2% # Healthcare Trust of America, Inc. Class A..... 1,788,675 44,698,988 0.5% Host Hotels & Resorts, Inc.................... 7,137,258 139,604,766 1.7% Hudson Pacific Properties, Inc................ 1,467,570 48,239,026 0.6% # Iron Mountain, Inc............................ 2,406,163 81,665,172 1.0% Kilroy Realty Corp............................ 928,148 66,520,367 0.8% # Kimco Realty Corp............................. 4,041,002 58,634,939 0.7% Liberty Property Trust........................ 1,442,711 60,334,174 0.7% # Macerich Co. (The)............................ 1,318,443 75,968,686 0.9% Mid-America Apartment Communities, Inc........ 1,102,863 100,867,850 1.2% # National Retail Properties, Inc............... 1,396,299 53,115,214 0.6% # Omega Healthcare Investors, Inc............... 1,865,077 48,454,700 0.6% Prologis, Inc................................. 4,905,234 318,398,739 3.8% # Public Storage................................ 1,417,866 286,097,001 3.4% # Realty Income Corp............................ 2,544,343 128,514,765 1.5% # Regency Centers Corp.......................... 1,577,470 92,834,109 1.1% * SBA Communications Corp....................... 1,053,536 168,808,073 2.0% Simon Property Group, Inc..................... 2,848,508 445,335,741 5.3% # SL Green Realty Corp.......................... 968,768 94,687,384 1.1% Sun Communities, Inc.......................... 707,995 66,445,331 0.8% UDR, Inc...................................... 2,540,787 91,849,450 1.1% Ventas, Inc................................... 3,366,639 173,112,577 2.1% VEREIT, Inc................................... 9,261,049 62,975,133 0.8% Vornado Realty Trust.......................... 1,639,064 111,505,524 1.3% Welltower, Inc................................ 3,448,237 184,273,785 2.2% # WP Carey, Inc................................. 959,557 61,267,714 0.7% Other Securities.............................. 1,950,571,884 23.3% -------------- ----- TOTAL COMMON STOCKS............................... 8,204,850,457 97.9% -------------- ----- TOTAL INVESTMENT SECURITIES....................... 8,204,850,457 --------------
43 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.9%) State Street Institutional U.S. Government Money Market Fund, 1.630%........................................... 76,303,834 $ 76,303,834 0.9% -------------- ------ SECURITIES LENDING COLLATERAL -- (6.6%) (S)@ DFA Short Term Investment Fund.......................... 51,017,424 590,271,592 7.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,089,203,943)..................................... $8,871,425,883 105.8% ============== ======
At April 30, 2018, DFA Real Estate Securities 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(R) Emini Index... 528 06/15/18 $72,290,792 $69,880,800 $(2,409,992) ----------- ----------- ------------ Total futures contracts.. $72,290,792 $69,880,800 $(2,409,992) =========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Real Estate................. $8,204,850,457 -- -- $8,204,850,457 Temporary Cash Investments.... 76,303,834 -- -- 76,303,834 Securities Lending Collateral. -- $590,271,592 -- 590,271,592 Futures Contracts**........... (2,409,992) -- -- (2,409,992) -------------- ------------ -- -------------- TOTAL......................... $8,278,744,299 $590,271,592 -- $8,869,015,891 ============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 44 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (91.0%) AUSTRALIA -- (5.1%) BHP Billiton, Ltd................... 842,811 $ 19,662,146 0.4% # Commonwealth Bank of Australia...... 461,654 24,857,495 0.5% CSL, Ltd............................ 133,309 17,075,421 0.3% # National Australia Bank, Ltd........ 666,762 14,494,762 0.3% # Westpac Banking Corp................ 807,067 17,336,155 0.4% Other Securities.................... 178,889,335 3.6% ------------ ---- TOTAL AUSTRALIA......................... 272,315,314 5.5% ------------ ---- AUSTRIA -- (0.3%) Other Securities.................... 14,406,459 0.3% ------------ ---- BELGIUM -- (1.0%) # Anheuser-Busch InBev SA/NV.......... 240,375 23,877,301 0.5% Other Securities.................... 28,459,651 0.5% ------------ ---- TOTAL BELGIUM........................... 52,336,952 1.0% ------------ ---- CANADA -- (7.8%) Royal Bank of Canada................ 239,620 18,222,280 0.4% Other Securities.................... 399,694,111 8.0% ------------ ---- TOTAL CANADA............................ 417,916,391 8.4% ------------ ---- DENMARK -- (1.5%) Novo Nordisk A.S. Class B........... 483,626 22,743,922 0.5% Other Securities.................... 55,869,431 1.1% ------------ ---- TOTAL DENMARK........................... 78,613,353 1.6% ------------ ---- FINLAND -- (1.0%) Other Securities.................... 52,495,498 1.0% ------------ ---- FRANCE -- (8.8%) Air Liquide SA...................... 118,456 15,396,474 0.3% Airbus SE........................... 171,642 20,147,867 0.4% BNP Paribas SA...................... 281,596 21,739,002 0.4% # L'Oreal SA.......................... 68,023 16,379,233 0.3% LVMH Moet Hennessy Louis Vuitton SE. 84,168 29,291,458 0.6% # Sanofi.............................. 238,754 18,876,431 0.4% Total SA............................ 478,047 30,046,060 0.6% # Vinci SA............................ 150,019 14,999,446 0.3% Other Securities.................... 307,379,559 6.2% ------------ ---- TOTAL FRANCE............................ 474,255,530 9.5% ------------ ---- GERMANY -- (7.1%) Allianz SE.......................... 70,671 16,715,374 0.3% BASF SE............................. 243,976 25,384,094 0.5% Bayer AG............................ 185,881 22,216,414 0.4% Daimler AG.......................... 326,426 25,662,975 0.5% Deutsche Telekom AG................. 950,035 16,629,046 0.3% SAP SE.............................. 205,747 22,859,640 0.5% Siemens AG.......................... 165,969 21,077,208 0.4% Other Securities.................... 229,217,980 4.7% ------------ ---- TOTAL GERMANY........................... 379,762,731 7.6% ------------ ----
45 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.8%) AIA Group, Ltd........................ 3,407,600 $ 30,454,394 0.6% Other Securities...................... 120,519,004 2.4% -------------- ----- TOTAL HONG KONG........................... 150,973,398 3.0% -------------- ----- IRELAND -- (0.5%) Other Securities...................... 27,898,520 0.6% -------------- ----- ISRAEL -- (0.4%) Other Securities...................... 20,540,578 0.4% -------------- ----- ITALY -- (2.1%) Enel SpA.............................. 2,271,536 14,409,989 0.3% Other Securities...................... 99,293,342 2.0% -------------- ----- TOTAL ITALY............................... 113,703,331 2.3% -------------- ----- JAPAN -- (21.8%) KDDI Corp............................. 545,800 14,651,234 0.3% Keyence Corp.......................... 26,902 16,404,281 0.3% SoftBank Group Corp................... 255,888 19,552,066 0.4% Sony Corp............................. 358,400 16,739,465 0.3% Sumitomo Mitsui Financial Group, Inc.. 341,940 14,251,458 0.3% Toyota Motor Corp..................... 456,923 29,961,512 0.6% Other Securities...................... 1,057,813,532 21.3% -------------- ----- TOTAL JAPAN............................... 1,169,373,548 23.5% -------------- ----- NETHERLANDS -- (2.9%) # Unilever NV........................... 268,265 15,379,248 0.3% Other Securities...................... 138,851,932 2.8% -------------- ----- TOTAL NETHERLANDS......................... 154,231,180 3.1% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities...................... 13,775,753 0.3% -------------- ----- NORWAY -- (0.8%) Other Securities...................... 41,208,006 0.8% -------------- ----- PORTUGAL -- (0.2%) Other Securities...................... 8,251,850 0.2% -------------- ----- SINGAPORE -- (1.1%) Other Securities...................... 61,548,842 1.2% -------------- ----- SPAIN -- (2.7%) # Banco Santander SA.................... 3,760,684 24,297,484 0.5% Other Securities...................... 118,997,784 2.4% -------------- ----- TOTAL SPAIN............................... 143,295,268 2.9% -------------- ----- SWEDEN -- (2.3%) Other Securities...................... 125,563,588 2.5% -------------- ----- SWITZERLAND -- (6.0%) Nestle SA............................. 825,815 63,975,951 1.3% Novartis AG........................... 437,543 33,679,563 0.7% Roche Holding AG...................... 205,182 45,588,846 0.9% Other Securities...................... 181,053,529 3.6% -------------- ----- TOTAL SWITZERLAND......................... 324,297,889 6.5% -------------- -----
46 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (14.5%) # Anglo American P.L.C............................ 599,142 $ 14,097,362 0.3% # AstraZeneca P.L.C. Sponsored ADR................ 461,956 16,413,297 0.3% BP P.L.C. Sponsored ADR......................... 841,441 37,519,832 0.8% British American Tobacco P.L.C.................. 330,890 18,148,482 0.4% Diageo P.L.C. Sponsored ADR..................... 128,576 18,252,649 0.4% # GlaxoSmithKline P.L.C. Sponsored ADR............ 428,638 17,192,670 0.3% Glencore P.L.C.................................. 2,981,961 14,364,087 0.3% HSBC Holdings P.L.C............................. 1,761,358 17,536,040 0.4% # HSBC Holdings P.L.C. Sponsored ADR.............. 582,677 29,285,346 0.6% Royal Dutch Shell P.L.C. Class A................ 491,594 17,103,142 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 352,746 24,656,964 0.5% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 369,024 26,724,718 0.5% Unilever P.L.C. Sponsored ADR................... 274,641 15,371,657 0.3% Vodafone Group P.L.C............................ 6,474,624 18,894,314 0.4% Other Securities................................ 492,811,076 9.8% -------------- ------ TOTAL UNITED KINGDOM.................................. 778,371,636 15.6% -------------- ------ TOTAL COMMON STOCKS................................... 4,875,135,615 97.8% -------------- ------ PREFERRED STOCKS -- (0.5%) GERMANY -- (0.5%) Other Securities................................ 28,971,363 0.6% -------------- ------ TOTAL PREFERRED STOCKS................................ 28,971,363 0.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) TOTAL INVESTMENT SECURITIES........................... 4,904,106,978 -------------- Value+ ------ SECURITIES LENDING COLLATERAL -- (8.5%) (S)@ DFA Short Term Investment Fund.................. 39,421,614 456,108,075 9.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,434,854,446)............................. $5,360,215,053 107.5% ============== ======
At April 30, 2018, Large Cap International 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: MSCI EAFE Index Future... 85 06/15/18 $ 8,606,123 $ 8,612,625 $ 6,502 S&P 500(R) Emini Index... 229 06/15/18 31,349,302 30,308,150 (1,041,152) ----------- ----------- ----------- Total futures contracts.. $39,955,425 $38,920,775 $(1,034,650) =========== =========== ===========
47 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 4,973,360 $ 267,341,954 -- $ 272,315,314 Austria..................... -- 14,406,459 -- 14,406,459 Belgium..................... 928,442 51,408,510 -- 52,336,952 Canada...................... 417,916,391 -- -- 417,916,391 Denmark..................... 2,839,260 75,774,093 -- 78,613,353 Finland..................... 703,730 51,791,768 -- 52,495,498 France...................... 10,142,432 464,113,098 -- 474,255,530 Germany..................... 18,260,085 361,502,646 -- 379,762,731 Hong Kong................... 1,065,385 149,908,013 -- 150,973,398 Ireland..................... 6,618,862 21,279,658 -- 27,898,520 Israel...................... 5,507,725 15,032,853 -- 20,540,578 Italy....................... 7,542,944 106,160,387 -- 113,703,331 Japan....................... 39,326,028 1,130,047,520 -- 1,169,373,548 Netherlands................. 40,214,980 114,016,200 -- 154,231,180 New Zealand................. -- 13,775,753 -- 13,775,753 Norway...................... 1,213,874 39,994,132 -- 41,208,006 Portugal.................... -- 8,251,850 -- 8,251,850 Singapore................... -- 61,548,842 -- 61,548,842 Spain....................... 12,204,543 131,090,725 -- 143,295,268 Sweden...................... -- 125,563,588 -- 125,563,588 Switzerland................. 17,852,772 306,445,117 -- 324,297,889 United Kingdom.............. 254,862,090 523,509,546 -- 778,371,636 Preferred Stocks Germany..................... -- 28,971,363 -- 28,971,363 Securities Lending Collateral. -- 456,108,075 -- 456,108,075 Futures Contracts**........... (1,034,650) -- -- (1,034,650) ------------ -------------- -- -------------- TOTAL......................... $841,138,253 $4,518,042,150 -- $5,359,180,403 ============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 48 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.8%) AUSTRALIA -- (5.4%) # Australia & New Zealand Banking Group, Ltd... 2,805,657 $ 56,399,836 0.2% # BHP Billiton, Ltd............................ 4,074,214 95,048,347 0.3% # Commonwealth Bank of Australia............... 1,329,108 71,565,056 0.3% # National Australia Bank, Ltd................. 2,691,791 58,516,939 0.2% Other Securities............................. 1,396,391,017 4.8% -------------- ---- TOTAL AUSTRALIA.................................. 1,677,921,195 5.8% -------------- ---- AUSTRIA -- (0.6%) Other Securities............................. 187,110,155 0.7% -------------- ---- BELGIUM -- (1.2%) Other Securities............................. 382,942,533 1.3% -------------- ---- CANADA -- (7.6%) # Bank of Montreal............................. 835,416 63,433,137 0.2% # Bank of Nova Scotia (The).................... 964,105 59,253,893 0.2% # Royal Bank of Canada......................... 699,021 53,160,547 0.2% Teck Resources, Ltd. Class B................. 2,119,223 53,256,074 0.2% Other Securities............................. 2,144,024,373 7.4% -------------- ---- TOTAL CANADA..................................... 2,373,128,024 8.2% -------------- ---- DENMARK -- (1.5%) Other Securities............................. 472,035,115 1.6% -------------- ---- FINLAND -- (1.7%) Nokia Oyj.................................... 8,533,346 51,201,900 0.2% UPM-Kymmene Oyj.............................. 1,735,959 61,941,789 0.2% Other Securities............................. 430,522,558 1.5% -------------- ---- TOTAL FINLAND.................................... 543,666,247 1.9% -------------- ---- FRANCE -- (7.0%) BNP Paribas SA............................... 1,121,695 86,594,018 0.3% Cie Generale des Etablissements Michelin SCA. 509,793 71,688,554 0.3% Orange SA.................................... 3,886,424 70,653,710 0.3% # Peugeot SA................................... 2,249,431 55,389,037 0.2% Total SA..................................... 1,939,637 121,909,456 0.4% Other Securities............................. 1,776,186,017 6.0% -------------- ---- TOTAL FRANCE..................................... 2,182,420,792 7.5% -------------- ---- GERMANY -- (6.7%) Allianz SE................................... 278,374 65,842,078 0.2% BASF SE...................................... 1,224,687 127,420,607 0.4% Bayer AG..................................... 427,990 51,153,173 0.2% Bayerische Motoren Werke AG.................. 633,323 70,414,044 0.3% Daimler AG................................... 1,829,754 143,851,691 0.5% Deutsche Telekom AG.......................... 4,893,747 85,658,257 0.3% E.ON SE...................................... 5,371,567 58,817,351 0.2% Other Securities............................. 1,489,111,264 5.1% -------------- ---- TOTAL GERMANY.................................... 2,092,268,465 7.2% -------------- ----
49 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.6%) AIA Group, Ltd........................ 8,634,000 $ 77,163,762 0.3% Other Securities...................... 722,061,555 2.5% -------------- ----- TOTAL HONG KONG........................... 799,225,317 2.8% -------------- ----- IRELAND -- (0.5%) Other Securities...................... 154,474,043 0.5% -------------- ----- ISRAEL -- (0.6%) Other Securities...................... 181,181,345 0.6% -------------- ----- ITALY -- (3.1%) Fiat Chrysler Automobiles NV.......... 2,878,006 63,945,750 0.2% Other Securities...................... 912,292,606 3.2% -------------- ----- TOTAL ITALY............................... 976,238,356 3.4% -------------- ----- JAPAN -- (22.8%) Hitachi, Ltd.......................... 7,235,425 52,808,156 0.2% Honda Motor Co., Ltd.................. 2,640,923 90,810,608 0.3% Mitsubishi UFJ Financial Group, Inc... 9,776,100 65,512,990 0.2% Nissan Motor Co., Ltd................. 4,846,600 50,988,496 0.2% Sumitomo Mitsui Financial Group, Inc.. 1,276,170 53,188,520 0.2% Toyota Motor Corp..................... 2,741,740 179,782,316 0.6% Toyota Motor Corp. Sponsored ADR...... 408,823 53,547,637 0.2% Other Securities...................... 6,567,716,069 22.6% -------------- ----- TOTAL JAPAN............................... 7,114,354,792 24.5% -------------- ----- NETHERLANDS -- (2.6%) Akzo Nobel NV......................... 677,388 61,343,103 0.2% Koninklijke Ahold Delhaize NV......... 2,136,192 51,534,512 0.2% Other Securities...................... 706,673,647 2.4% -------------- ----- TOTAL NETHERLANDS......................... 819,551,262 2.8% -------------- ----- NEW ZEALAND -- (0.4%) Other Securities...................... 119,004,835 0.4% -------------- ----- NORWAY -- (0.8%) Other Securities...................... 265,625,885 0.9% -------------- ----- PORTUGAL -- (0.2%) Other Securities...................... 73,383,353 0.3% -------------- ----- SINGAPORE -- (1.0%) Other Securities...................... 315,521,217 1.1% -------------- ----- SPAIN -- (2.3%) # Banco Santander SA.................... 13,286,562 85,843,433 0.3% Iberdrola SA.......................... 7,957,435 61,478,656 0.2% Other Securities...................... 561,700,522 1.9% -------------- ----- TOTAL SPAIN............................... 709,022,611 2.4% -------------- ----- SWEDEN -- (2.4%) Other Securities...................... 751,148,381 2.6% -------------- ----- SWITZERLAND -- (5.0%) Nestle SA............................. 2,417,067 187,250,366 0.7% Novartis AG Sponsored ADR............. 953,193 73,100,371 0.3%
50 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Zurich Insurance Group AG....................... 181,779 $ 58,066,650 0.2% Other Securities................................ 1,246,489,022 4.2% --------------- ------ TOTAL SWITZERLAND..................................... 1,564,906,409 5.4% --------------- ------ UNITED KINGDOM -- (14.8%) # Anglo American P.L.C............................ 3,796,420 89,326,915 0.3% BP P.L.C. Sponsored ADR......................... 4,304,042 191,917,233 0.7% British American Tobacco P.L.C.................. 1,150,327 63,092,535 0.2% # HSBC Holdings P.L.C. Sponsored ADR.............. 3,553,561 178,601,976 0.6% Lloyds Banking Group P.L.C...................... 62,991,647 55,870,241 0.2% # Rio Tinto P.L.C. Sponsored ADR.................. 1,670,448 91,791,118 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,546,368 108,091,123 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 1,716,768 124,328,339 0.4% # Tesco P.L.C..................................... 23,595,438 76,424,108 0.3% Vodafone Group P.L.C............................ 31,621,343 92,277,727 0.3% # Vodafone Group P.L.C. Sponsored ADR............. 1,906,729 56,076,892 0.2% Other Securities................................ 3,516,132,226 12.1% --------------- ------ TOTAL UNITED KINGDOM.................................. 4,643,930,433 16.0% --------------- ------ TOTAL COMMON STOCKS................................... 28,399,060,765 97.9% --------------- ------ PREFERRED STOCKS -- (0.6%) GERMANY -- (0.6%) Volkswagen AG................................... 399,360 82,361,934 0.3% Other Securities................................ 85,840,577 0.3% --------------- ------ TOTAL GERMANY......................................... 168,202,511 0.6% --------------- ------ TOTAL PREFERRED STOCKS................................ 168,202,511 0.6% --------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities................................ 2,233 0.0% --------------- ------ NORWAY -- (0.0%) Other Securities................................ 125 0.0% --------------- ------ SINGAPORE -- (0.0%) Other Securities................................ 15,492 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities................................ 13,772 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS................................. 31,622 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES........................... 28,567,295,898 --------------- Value+ - ------ - SECURITIES LENDING COLLATERAL -- (8.6%) (S)@ DFA Short Term Investment Fund.................. 233,241,383 2,698,602,797 9.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $25,935,076,285)............................ $31,265,897,695 107.8% =============== ======
51 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED At April 30, 2018, International Core Equity 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(R) Emini Index.. 1,860 06/15/18 $251,813,603 $246,171,000 $(5,642,603) ------------ ------------ ------------ Total futures contracts. $251,813,603 $246,171,000 $(5,642,603) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 43,684,275 $ 1,634,236,920 -- $ 1,677,921,195 Austria..................... 79,464 187,030,691 -- 187,110,155 Belgium..................... 13,348,409 369,594,124 -- 382,942,533 Canada...................... 2,373,124,353 3,671 -- 2,373,128,024 Denmark..................... 27,942,584 444,092,531 -- 472,035,115 Finland..................... 5,427,655 538,238,592 -- 543,666,247 France...................... 77,443,747 2,104,977,045 -- 2,182,420,792 Germany..................... 82,198,856 2,010,069,609 -- 2,092,268,465 Hong Kong................... 1,549,313 797,676,004 -- 799,225,317 Ireland..................... 21,398,846 133,075,197 -- 154,474,043 Israel...................... 24,667,932 156,513,413 -- 181,181,345 Italy....................... 21,576,510 954,661,846 -- 976,238,356 Japan....................... 127,232,257 6,987,122,535 -- 7,114,354,792 Netherlands................. 123,512,065 696,039,197 -- 819,551,262 New Zealand................. 145,245 118,859,590 -- 119,004,835 Norway...................... 17,906,825 247,719,060 -- 265,625,885 Portugal.................... 267,194 73,116,159 -- 73,383,353 Singapore................... 68,509 315,452,708 -- 315,521,217 Spain....................... 28,194,894 680,827,717 -- 709,022,611 Sweden...................... 3,984,792 747,163,589 -- 751,148,381 Switzerland................. 110,881,642 1,454,024,767 -- 1,564,906,409 United Kingdom.............. 1,081,111,093 3,562,819,340 -- 4,643,930,433 Preferred Stocks Germany..................... -- 168,202,511 -- 168,202,511 Rights/Warrants Hong Kong................... -- 2,233 -- 2,233 Norway...................... -- 125 -- 125 Singapore................... -- 15,492 -- 15,492 Spain....................... -- 13,772 -- 13,772 Securities Lending Collateral. -- 2,698,602,797 -- 2,698,602,797 Futures Contracts**........... (5,642,603) -- -- (5,642,603) -------------- --------------- -- --------------- TOTAL......................... $4,180,103,857 $27,080,151,235 -- $31,260,255,092 ============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 52 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ --------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company........................ $ 5,379,291,977 Investment in The Japanese Small Company Series of The DFA Investment Trust Company........................ 3,726,507,128 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company........................ 2,344,886,043 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company........................ 1,599,373,548 Investment in The Canadian Small Company Series of The DFA Investment Trust Company........................ 1,150,258,282 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES... $14,200,316,978 ===============
At April 30, 2018, 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(R) Emini Index... 920 06/15/18 $124,432,709 $121,762,000 $(2,670,709) ------------ ------------ ------------ Total futures contracts.. $124,432,709 $121,762,000 $(2,670,709) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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. $14,200,316,978 -- -- $14,200,316,978 Futures Contracts**............. (2,670,709) -- -- (2,670,709) --------------- -- -- --------------- TOTAL........................... $14,197,646,269 -- -- $14,197,646,269 =============== == == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 53 GLOBAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Shares Value+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Small Cap Portfolio of DFA Investment Dimensions Group Inc..................... 363,667 $12,953,808 Investment in The Continental Small Company Series of The DFA Investment Trust Company........................ 3,616,556 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................ 3,207,640 Investment in The Japanese Small Company Series of The DFA Investment Trust Company........................ 2,463,789 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company........................ 1,583,287 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company........................ 1,027,017 Investment in The Canadian Small Company Series of The DFA Investment Trust Company........................ 716,076 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $24,409,630)................................... $25,568,173 ===========
Summary of the Fund's investments as of April 30, 2018, 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. $25,568,173 -- -- $25,568,173 ----------- -- -- ----------- TOTAL........................... $25,568,173 -- -- $25,568,173 =========== == == ===========
See accompanying Notes to Financial Statements. 54 JAPANESE SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company.................... $715,031,790 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $715,031,790 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 55 ASIA PACIFIC SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company...................... $372,785,993 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY... $372,785,993 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 56 UNITED KINGDOM SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company........................ $42,909,045 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY..... $42,909,045 ===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 57 CONTINENTAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company..................... $757,212,687 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $757,212,687 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 58 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (94.1%) AUSTRALIA -- (16.7%) Dexus Property Group........ 12,740,966 $ 90,607,946 1.6% Goodman Group............... 23,286,809 158,432,599 2.7% Mirvac Group................ 26,223,393 44,007,554 0.8% Scentre Group............... 66,397,764 200,687,918 3.5% Stockland................... 30,823,367 95,811,604 1.7% Vicinity Centres............ 41,773,566 76,486,309 1.3% Westfield Corp.............. 25,068,383 173,226,976 3.0% Other Securities............ 170,035,281 2.8% -------------- ----- TOTAL AUSTRALIA................. 1,009,296,187 17.4% -------------- ----- BELGIUM -- (2.0%) Cofinimmo SA................ 274,020 36,375,170 0.6% Other Securities............ 85,669,672 1.5% -------------- ----- TOTAL BELGIUM................... 122,044,842 2.1% -------------- ----- CANADA -- (4.9%) # RioCan REIT................. 1,965,677 35,747,932 0.6% Other Securities............ 258,652,789 4.5% -------------- ----- TOTAL CANADA.................... 294,400,721 5.1% -------------- ----- CHINA -- (0.2%) Other Securities............ 14,495,662 0.3% -------------- ----- FRANCE -- (10.7%) Fonciere Des Regions........ 450,998 50,438,971 0.9% Gecina SA................... 577,669 100,139,077 1.7% ICADE....................... 466,762 46,384,208 0.8% # Klepierre SA................ 2,896,190 118,537,464 2.0% Unibail-Rodamco SE(B1YY4B3). 978,160 234,826,670 4.1% Unibail-Rodamco SE(7076242). 293,585 70,516,643 1.2% Other Securities............ 23,781,173 0.4% -------------- ----- TOTAL FRANCE.................... 644,624,206 11.1% -------------- ----- GERMANY -- (2.2%) Alstria Office REIT-AG...... 2,109,189 31,731,047 0.5% GPT Group (The)............. 24,107,185 87,415,302 1.5% Other Securities............ 15,019,082 0.3% -------------- ----- TOTAL GERMANY................... 134,165,431 2.3% -------------- ----- GREECE -- (0.0%) Other Securities............ 1,061,526 0.0% -------------- ----- HONG KONG -- (4.9%) Link REIT................... 26,860,905 237,399,958 4.1% Other Securities............ 58,696,060 1.0% -------------- ----- TOTAL HONG KONG................. 296,096,018 5.1% -------------- ----- IRELAND -- (0.3%) Other Securities............ 15,131,233 0.3% -------------- -----
59 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ITALY -- (0.4%) Other Securities...................... $ 24,072,879 0.4% -------------- ----- JAPAN -- (20.1%) Activia Properties, Inc............... 7,073 31,342,643 0.5% Advance Residence Investment Corp..... 16,863 43,443,640 0.8% # Daiwa House REIT Investment Corp...... 18,683 44,541,933 0.8% GLP J-Reit............................ 30,929 33,247,621 0.6% Japan Hotel REIT Investment Corp...... 51,518 38,979,170 0.7% Japan Prime Realty Investment Corp.... 10,800 39,169,297 0.7% Japan Real Estate Investment Corp..... 15,302 79,277,510 1.4% Japan Retail Fund Investment Corp..... 33,214 62,269,492 1.1% # Kenedix Office Investment Corp........ 5,790 35,517,805 0.6% Nippon Building Fund, Inc............. 16,810 94,456,949 1.6% Nippon Prologis REIT, Inc............. 21,927 46,212,536 0.8% Nomura Real Estate Master Fund, Inc... 46,705 65,286,730 1.1% Orix JREIT, Inc....................... 32,087 48,910,756 0.8% United Urban Investment Corp.......... 38,320 58,857,200 1.0% Other Securities...................... 496,021,185 8.5% -------------- ----- TOTAL JAPAN............................... 1,217,534,467 21.0% -------------- ----- MALAYSIA -- (0.5%) Other Securities...................... 29,322,105 0.5% -------------- ----- MEXICO -- (1.7%) # Fibra Uno Administracion S.A. de C.V.. 36,621,185 60,643,518 1.0% Other Securities...................... 42,097,640 0.8% -------------- ----- TOTAL MEXICO.............................. 102,741,158 1.8% -------------- ----- NETHERLANDS -- (1.2%) Other Securities...................... 74,611,742 1.3% -------------- ----- NEW ZEALAND -- (0.8%) Other Securities...................... 48,490,940 0.8% -------------- ----- SINGAPORE -- (8.1%) Ascendas REIT......................... 30,695,600 61,578,128 1.1% CapitaLand Commercial Trust........... 32,667,249 44,629,892 0.8% CapitaLand Mall Trust................. 31,558,300 49,835,815 0.9% Mapletree Commercial Trust............ 25,626,537 31,237,454 0.5% Suntec REIT........................... 33,882,500 49,804,106 0.9% Other Securities...................... 250,432,368 4.2% -------------- ----- TOTAL SINGAPORE........................... 487,517,763 8.4% -------------- ----- SOUTH AFRICA -- (3.9%) # Growthpoint Properties, Ltd........... 31,668,977 73,924,033 1.3% Hyprop Investments, Ltd............... 3,324,050 30,347,165 0.5% Redefine Properties, Ltd.............. 70,206,030 67,468,919 1.2% Other Securities...................... 62,707,722 1.0% -------------- ----- TOTAL SOUTH AFRICA........................ 234,447,839 4.0% -------------- ----- SPAIN -- (1.6%) Merlin Properties Socimi SA........... 5,201,113 80,252,173 1.4% Other Securities...................... 16,245,438 0.3% -------------- ----- TOTAL SPAIN............................... 96,497,611 1.7% -------------- -----
60 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (0.2%) Other Securities............... $ 11,449,928 0.2% -------------- ------ TURKEY -- (0.4%) Other Securities............... 24,996,876 0.4% -------------- ------ UNITED KINGDOM -- (13.3%) British Land Co. P.L.C. (The).. 13,250,011 122,362,572 2.1% Derwent London P.L.C........... 1,518,004 66,579,009 1.1% Great Portland Estates P.L.C... 4,044,340 38,970,871 0.7% Hammerson P.L.C................ 10,495,798 79,121,418 1.4% # Intu Properties P.L.C.......... 12,733,927 34,217,769 0.6% Land Securities Group P.L.C.... 9,631,416 130,748,225 2.3% # Segro P.L.C.................... 14,352,829 127,363,410 2.2% Shaftesbury P.L.C.............. 3,398,008 47,278,949 0.8% Other Securities............... 159,844,460 2.7% -------------- ------ TOTAL UNITED KINGDOM................. 806,486,683 13.9% -------------- ------ TOTAL COMMON STOCKS.................. 5,689,485,817 98.1% -------------- ------ TOTAL INVESTMENT SECURITIES.......... 5,689,485,817 -------------- Value+ ------ SECURITIES LENDING COLLATERAL -- (5.9%) (S)@ DFA Short Term Investment Fund. 30,638,137 354,483,247 6.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $5,514,151,669)............ $6,043,969,064 104.2% ============== ======
At April 30, 2018, DFA International Real Estate Securities 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(R) Emini Index... 370 06/15/18 $48,304,593 $48,969,500 $664,907 ----------- ----------- -------- Total futures contracts.. $48,304,593 $48,969,500 $664,907 =========== =========== ========
61 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 56,028 $1,009,240,159 -- $1,009,296,187 Belgium..................... -- 122,044,842 -- 122,044,842 Canada...................... 294,400,721 -- -- 294,400,721 China....................... -- 14,495,662 -- 14,495,662 France...................... 70,516,643 574,107,563 -- 644,624,206 Germany..................... -- 134,165,431 -- 134,165,431 Greece...................... -- 1,061,526 -- 1,061,526 Hong Kong................... -- 296,096,018 -- 296,096,018 Ireland..................... -- 15,131,233 -- 15,131,233 Italy....................... -- 24,072,879 -- 24,072,879 Japan....................... -- 1,217,534,467 -- 1,217,534,467 Malaysia.................... -- 29,322,105 -- 29,322,105 Mexico...................... 102,741,158 -- -- 102,741,158 Netherlands................. -- 74,611,742 -- 74,611,742 New Zealand................. -- 48,490,940 -- 48,490,940 Singapore................... -- 487,517,763 -- 487,517,763 South Africa................ -- 234,447,839 -- 234,447,839 Spain....................... -- 96,497,611 -- 96,497,611 Taiwan...................... 2,364,127 9,085,801 -- 11,449,928 Turkey...................... -- 24,996,876 -- 24,996,876 United Kingdom.............. -- 806,486,683 -- 806,486,683 Securities Lending Collateral. -- 354,483,247 -- 354,483,247 Futures Contracts**........... 664,907 -- -- 664,907 ------------ -------------- -- -------------- TOTAL......................... $470,743,584 $5,573,890,387 -- $6,044,633,971 ============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 62 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (43.1%) UNITED STATES -- (43.1%) # Alexandria Real Estate Equities, Inc.......... 352,445 $ 43,904,074 0.6% American Campus Communities, Inc.............. 476,932 18,652,811 0.3% # American Homes 4 Rent Class A................. 894,639 18,071,716 0.3% American Tower Corp........................... 1,524,978 207,946,000 2.9% # Apartment Investment & Management Co. Class A. 549,057 22,291,714 0.3% # AvalonBay Communities, Inc.................... 473,237 77,137,631 1.1% Boston Properties, Inc........................ 528,226 64,131,919 0.9% Camden Property Trust......................... 322,978 27,582,321 0.4% # Crown Castle International Corp............... 1,391,266 140,337,001 2.0% # CubeSmart..................................... 655,345 19,293,357 0.3% DCT Industrial Trust, Inc..................... 339,254 22,244,885 0.3% Digital Realty Trust, Inc..................... 705,690 74,584,355 1.0% # Douglas Emmett, Inc........................... 564,085 21,023,448 0.3% Duke Realty Corp.............................. 1,243,551 33,700,232 0.5% # Equinix, Inc.................................. 271,508 114,247,851 1.6% Equity LifeStyle Properties, Inc.............. 292,766 26,103,017 0.4% # Equity Residential............................ 1,261,671 77,857,717 1.1% # Essex Property Trust, Inc..................... 226,314 54,245,203 0.8% Extra Space Storage, Inc...................... 439,044 39,333,952 0.6% # Federal Realty Investment Trust............... 254,941 29,534,915 0.4% Gaming and Leisure Properties, Inc............ 718,705 24,630,020 0.3% GGP, Inc...................................... 2,007,174 40,123,408 0.6% HCP, Inc...................................... 1,635,956 38,215,932 0.5% # Host Hotels & Resorts, Inc.................... 2,515,703 49,207,151 0.7% Hudson Pacific Properties, Inc................ 558,331 18,352,340 0.3% Iron Mountain, Inc............................ 942,393 31,984,818 0.4% # Kilroy Realty Corp............................ 343,891 24,646,668 0.3% # Kimco Realty Corp............................. 1,488,059 21,591,736 0.3% Lamar Advertising Co. Class A................. 292,582 18,640,399 0.3% Liberty Property Trust........................ 514,612 21,521,074 0.3% # Macerich Co. (The)............................ 417,053 24,030,594 0.3% Mid-America Apartment Communities, Inc........ 396,028 36,220,677 0.5% National Retail Properties, Inc............... 536,905 20,423,866 0.3% # Omega Healthcare Investors, Inc............... 695,403 18,066,570 0.3% Prologis, Inc................................. 1,801,015 116,903,884 1.6% Public Storage................................ 536,910 108,337,700 1.5% # Realty Income Corp............................ 974,074 49,200,478 0.7% # Regency Centers Corp.......................... 532,093 31,313,649 0.4% #* SBA Communications Corp....................... 399,258 63,973,109 0.9% # Simon Property Group, Inc..................... 1,054,164 164,808,000 2.3% # SL Green Realty Corp.......................... 332,157 32,465,025 0.5% Sun Communities, Inc.......................... 278,287 26,117,235 0.4% # UDR, Inc...................................... 932,108 33,695,704 0.5% Ventas, Inc................................... 1,220,604 62,763,458 0.9% # VEREIT, Inc................................... 3,381,590 22,994,812 0.3% # Vornado Realty Trust.......................... 595,616 40,519,756 0.6% Welltower, Inc................................ 1,274,686 68,119,220 1.0% # WP Carey, Inc................................. 379,214 24,212,814 0.3% Other Securities.............................. 795,646,161 10.8% -------------- ----- TOTAL COMMON STOCKS............................... 3,160,950,377 44.2% -------------- -----
63 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- AFFILIATED INVESTMENT COMPANIES -- (54.2%) UNITED STATES -- (54.2%) DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc.......................... 476,534,331 $2,492,274,551 34.9% DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc..................................... 45,252,203 1,483,819,724 20.8% -------------- ------ TOTAL UNITED STATES............................................. 3,976,094,275 55.7% -------------- ------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................................................... 3,976,094,275 55.7% -------------- ------ TOTAL INVESTMENT SECURITIES..................................... 7,137,044,652 -------------- Value+ - ------ - SECURITIES LENDING COLLATERAL -- (2.7%) (S)@ DFA Short Term Investment Fund............................ 16,900,562 195,539,503 2.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $6,783,552,540)....................................... $7,332,584,155 102.6% ============== ======
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks United States................. $3,160,950,377 -- -- $3,160,950,377 Affiliated Investment Companies United States................. 3,976,094,275 -- -- 3,976,094,275 Securities Lending Collateral... -- $195,539,503 -- 195,539,503 -------------- ------------ -- -------------- TOTAL........................... $7,137,044,652 $195,539,503 -- $7,332,584,155 ============== ============ == ==============
See accompanying Notes to Financial Statements. 64 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (92.9%) AUSTRALIA -- (6.3%) Beach Energy, Ltd................ 45,369,328 $ 53,508,636 0.3% Cleanaway Waste Management, Ltd.. 49,607,719 58,911,384 0.4% Downer EDI, Ltd.................. 14,055,450 72,340,258 0.5% # Metcash, Ltd..................... 22,580,986 60,948,548 0.4% OZ Minerals, Ltd................. 7,698,143 53,124,661 0.3% WorleyParsons, Ltd............... 4,370,365 53,269,395 0.3% Other Securities................. 723,084,566 4.4% -------------- ---- TOTAL AUSTRALIA...................... 1,075,187,448 6.6% -------------- ---- AUSTRIA -- (1.0%) Wienerberger AG.................. 2,684,294 67,638,559 0.4% Other Securities................. 110,841,762 0.7% -------------- ---- TOTAL AUSTRIA........................ 178,480,321 1.1% -------------- ---- BELGIUM -- (1.4%) Ackermans & van Haaren NV........ 332,154 59,935,741 0.4% Other Securities................. 170,765,314 1.0% -------------- ---- TOTAL BELGIUM........................ 230,701,055 1.4% -------------- ---- CANADA -- (7.3%) # Canadian Western Bank............ 2,378,567 63,115,992 0.4% * IAMGOLD Corp..................... 10,460,281 57,191,614 0.4% Other Securities................. 1,125,239,507 6.9% -------------- ---- TOTAL CANADA......................... 1,245,547,113 7.7% -------------- ---- DENMARK -- (1.5%) Jyske Bank A.S................... 1,224,516 73,323,500 0.5% Sydbank A.S...................... 1,624,758 60,064,321 0.4% Other Securities................. 120,827,280 0.7% -------------- ---- TOTAL DENMARK........................ 254,215,101 1.6% -------------- ---- FINLAND -- (2.3%) # Kesko Oyj Class B................ 1,598,059 93,837,658 0.6% Metsa Board Oyj.................. 5,022,622 56,275,033 0.4% Other Securities................. 245,453,110 1.4% -------------- ---- TOTAL FINLAND........................ 395,565,801 2.4% -------------- ---- FRANCE -- (4.1%) Rexel SA......................... 6,155,587 95,422,366 0.6% Other Securities................. 612,454,090 3.8% -------------- ---- TOTAL FRANCE......................... 707,876,456 4.4% -------------- ---- GERMANY -- (6.5%) Aareal Bank AG................... 1,761,663 88,116,624 0.6% Aurubis AG....................... 1,158,293 103,509,990 0.6% # K+S AG........................... 3,048,592 89,536,076 0.6% Leoni AG......................... 845,772 52,968,412 0.3% Rheinmetall AG................... 981,706 128,290,590 0.8% Salzgitter AG.................... 1,310,505 71,967,212 0.5%
65 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GERMANY -- (Continued) Other Securities.............. $ 583,106,729 3.5% -------------- ----- TOTAL GERMANY..................... 1,117,495,633 6.9% -------------- ----- GREECE -- (0.0%) Other Securities.............. 2,074 0.0% -------------- ----- HONG KONG -- (3.1%) Other Securities.............. 536,685,914 3.3% -------------- ----- IRELAND -- (0.3%) Other Securities.............. 53,230,804 0.3% -------------- ----- ISRAEL -- (0.6%) Other Securities.............. 110,349,956 0.7% -------------- ----- ITALY -- (4.7%) # A2A SpA....................... 26,795,521 53,878,933 0.3% #* Banco BPM SpA................. 21,480,343 77,916,524 0.5% # BPER Banca.................... 14,472,034 83,539,576 0.5% # Unione di Banche Italiane SpA. 25,149,018 129,535,502 0.8% Unipol Gruppo SpA............. 13,259,468 71,019,477 0.5% Other Securities.............. 381,908,463 2.3% -------------- ----- TOTAL ITALY....................... 797,798,475 4.9% -------------- ----- JAPAN -- (26.3%) Other Securities.............. 4,480,810,154 27.6% -------------- ----- NETHERLANDS -- (2.2%) APERAM SA..................... 1,372,656 66,881,872 0.4% ASR Nederland NV.............. 1,185,307 55,903,541 0.4% # Boskalis Westminster.......... 2,223,100 65,857,690 0.4% SBM Offshore NV............... 5,517,816 92,584,645 0.6% Other Securities.............. 99,433,428 0.5% -------------- ----- TOTAL NETHERLANDS................. 380,661,176 2.3% -------------- ----- NEW ZEALAND -- (0.4%) Other Securities.............. 62,708,840 0.4% -------------- ----- NORWAY -- (0.9%) Other Securities.............. 153,017,985 0.9% -------------- ----- PORTUGAL -- (0.4%) Other Securities.............. 66,938,364 0.4% -------------- ----- SINGAPORE -- (1.0%) Other Securities.............. 163,979,947 1.0% -------------- ----- SPAIN -- (2.6%) # Acciona SA.................... 827,998 69,258,969 0.4% # Acerinox SA................... 3,881,667 54,512,294 0.3% Other Securities.............. 322,600,636 2.0% -------------- ----- TOTAL SPAIN....................... 446,371,899 2.7% -------------- ----- SWEDEN -- (1.8%) Other Securities.............. 300,272,081 1.9% -------------- -----
66 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (3.8%) GAM Holding AG.................. 3,576,356 $ 57,086,570 0.4% Helvetia Holding AG............. 145,920 86,678,146 0.5% Other Securities................ 499,670,336 3.1% --------------- ------ TOTAL SWITZERLAND...................... 643,435,052 4.0% --------------- ------ UNITED KINGDOM -- (14.4%) Beazley P.L.C................... 9,204,078 74,758,477 0.5% Bellway P.L.C................... 2,984,036 135,971,483 0.8% Bodycote P.L.C.................. 4,114,367 50,655,576 0.3% Bovis Homes Group P.L.C......... 4,858,289 82,661,663 0.5% Centamin P.L.C.................. 32,079,579 69,318,610 0.4% Close Brothers Group P.L.C...... 2,519,808 53,054,940 0.3% # Greene King P.L.C............... 8,226,218 61,802,948 0.4% GVC Holdings P.L.C.............. 4,115,032 50,370,441 0.3% Hiscox, Ltd..................... 6,782,867 138,699,753 0.9% Man Group P.L.C................. 27,961,852 69,447,443 0.4% Meggitt P.L.C................... 11,584,537 75,048,709 0.5% National Express Group P.L.C.... 9,362,195 50,521,852 0.3% Phoenix Group Holdings.......... 7,519,815 81,230,266 0.5% Redrow P.L.C.................... 7,158,893 61,688,867 0.4% TP ICAP P.L.C................... 9,708,212 62,888,057 0.4% Vesuvius P.L.C.................. 7,316,120 59,083,781 0.4% Other Securities................ 1,285,093,572 7.9% --------------- ------ TOTAL UNITED KINGDOM................... 2,462,296,438 15.2% --------------- ------ TOTAL COMMON STOCKS.................... 15,863,628,087 97.7% --------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities................ 13,893,015 0.1% --------------- ------ TOTAL PREFERRED STOCKS................. 13,893,015 0.1% --------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities................ 1,530 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities................ 69,340 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS.................. 70,870 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES............ 15,877,591,971 --------------- Value+ - ------ - SECURITIES LENDING COLLATERAL -- (7.0%) (S)@ DFA Short Term Investment Fund.. 103,157,323 1,193,530,223 7.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $13,876,072,692)............. $17,071,122,194 105.1% =============== ======
67 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED At April 30, 2018, DFA International Small Cap Value 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(R) Emini Index... 1,042 06/15/18 $142,458,860 $137,908,700 $(4,550,160) ------------ ------------ ------------ Total futures contracts.. $142,458,860 $137,908,700 $(4,550,160) ============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- --------------- ------- --------------- Common Stocks Australia................... -- $ 1,075,187,448 -- $ 1,075,187,448 Austria..................... -- 178,480,321 -- 178,480,321 Belgium..................... -- 230,701,055 -- 230,701,055 Canada...................... $1,245,546,756 357 -- 1,245,547,113 Denmark..................... -- 254,215,101 -- 254,215,101 Finland..................... -- 395,565,801 -- 395,565,801 France...................... -- 707,876,456 -- 707,876,456 Germany..................... -- 1,117,495,633 -- 1,117,495,633 Greece...................... -- 2,074 -- 2,074 Hong Kong................... 78,021 536,607,893 -- 536,685,914 Ireland..................... -- 53,230,804 -- 53,230,804 Israel...................... -- 110,349,956 -- 110,349,956 Italy....................... -- 797,798,475 -- 797,798,475 Japan....................... 14,540,988 4,466,269,166 -- 4,480,810,154 Netherlands................. -- 380,661,176 -- 380,661,176 New Zealand................. -- 62,708,840 -- 62,708,840 Norway...................... -- 153,017,985 -- 153,017,985 Portugal.................... -- 66,938,364 -- 66,938,364 Singapore................... -- 163,979,947 -- 163,979,947 Spain....................... -- 446,371,899 -- 446,371,899 Sweden...................... -- 300,272,081 -- 300,272,081 Switzerland................. -- 643,435,052 -- 643,435,052 United Kingdom.............. -- 2,462,296,438 -- 2,462,296,438 Preferred Stocks Germany..................... -- 13,893,015 -- 13,893,015 Rights/Warrants Hong Kong................... -- 1,530 -- 1,530 Spain....................... -- 69,340 -- 69,340 Securities Lending Collateral. -- 1,193,530,223 -- 1,193,530,223 Futures Contracts**........... (4,550,160) -- -- (4,550,160) -------------- --------------- -- --------------- TOTAL......................... $1,255,615,605 $15,810,956,429 -- $17,066,572,034 ============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 68 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (91.3%) AUSTRALIA -- (5.6%) # Australia & New Zealand Banking Group, Ltd.. 214,260 $ 4,307,094 0.2% BHP Billiton, Ltd........................... 314,531 7,337,772 0.3% BlueScope Steel, Ltd........................ 393,906 4,840,893 0.2% Woodside Petroleum, Ltd..................... 195,034 4,726,354 0.2% Other Securities............................ 139,615,336 5.1% ------------ ---- TOTAL AUSTRALIA................................. 160,827,449 6.0% ------------ ---- AUSTRIA -- (0.8%) Other Securities............................ 23,177,227 0.9% ------------ ---- BELGIUM -- (1.6%) Ageas....................................... 107,511 5,751,022 0.2% # Umicore SA.................................. 107,492 5,978,548 0.2% Other Securities............................ 34,628,250 1.3% ------------ ---- TOTAL BELGIUM................................... 46,357,820 1.7% ------------ ---- CANADA -- (7.5%) Teck Resources, Ltd. Class B................ 221,978 5,578,307 0.2% Other Securities............................ 212,649,799 7.9% ------------ ---- TOTAL CANADA.................................... 218,228,106 8.1% ------------ ---- DENMARK -- (1.7%) Other Securities............................ 48,904,333 1.8% ------------ ---- FINLAND -- (2.1%) # Neste Oyj................................... 50,237 4,230,283 0.2% Stora Enso Oyj Class R...................... 218,840 4,316,532 0.2% UPM-Kymmene Oyj............................. 258,374 9,219,197 0.4% Other Securities............................ 42,371,181 1.4% ------------ ---- TOTAL FINLAND................................... 60,137,193 2.2% ------------ ---- FRANCE -- (6.1%) BNP Paribas SA.............................. 73,561 5,678,854 0.2% Cie de Saint-Gobain......................... 98,275 5,141,848 0.2% Renault SA.................................. 41,368 4,483,526 0.2% # Total SA.................................... 192,243 12,082,797 0.5% * Ubisoft Entertainment SA.................... 48,372 4,621,848 0.2% Other Securities............................ 146,050,235 5.3% ------------ ---- TOTAL FRANCE.................................... 178,059,108 6.6% ------------ ---- GERMANY -- (6.0%) Allianz SE.................................. 24,707 5,843,794 0.2% Daimler AG.................................. 89,896 7,067,448 0.3% Deutsche Lufthansa AG....................... 152,127 4,421,603 0.2% E.ON SE..................................... 588,434 6,443,209 0.3% # K+S AG...................................... 156,431 4,594,324 0.2% RWE AG...................................... 247,438 5,914,195 0.2% Uniper SE................................... 144,960 4,482,042 0.2% Other Securities............................ 136,063,408 4.9% ------------ ---- TOTAL GERMANY................................... 174,830,023 6.5% ------------ ----
69 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.6%) Other Securities..................... $ 75,508,045 2.8% ------------ ----- IRELAND -- (0.5%) Other Securities..................... 15,304,490 0.6% ------------ ----- ISRAEL -- (0.7%) Other Securities..................... 20,345,529 0.7% ------------ ----- ITALY -- (3.3%) Assicurazioni Generali SpA........... 303,243 6,119,126 0.2% #* Banco BPM SpA........................ 1,218,177 4,418,743 0.2% Eni SpA.............................. 211,731 4,139,003 0.2% Fiat Chrysler Automobiles NV......... 304,185 6,758,616 0.3% # Unione di Banche Italiane SpA........ 841,967 4,336,735 0.2% Other Securities..................... 70,903,492 2.5% ------------ ----- TOTAL ITALY.............................. 96,675,715 3.6% ------------ ----- JAPAN -- (23.7%) Honda Motor Co., Ltd................. 138,023 4,746,050 0.2% Mitsubishi Chemical Holdings Corp.... 464,080 4,390,012 0.2% Mitsubishi UFJ Financial Group, Inc.. 817,300 5,477,007 0.2% Toyota Motor Corp.................... 73,263 4,804,027 0.2% # Toyota Motor Corp. Sponsored ADR..... 36,827 4,823,600 0.2% Other Securities..................... 663,268,374 24.5% ------------ ----- TOTAL JAPAN.............................. 687,509,070 25.5% ------------ ----- NETHERLANDS -- (2.4%) Koninklijke Ahold Delhaize NV........ 219,005 5,283,381 0.2% Other Securities..................... 63,576,873 2.3% ------------ ----- TOTAL NETHERLANDS........................ 68,860,254 2.5% ------------ ----- NEW ZEALAND -- (0.5%) Other Securities..................... 13,634,778 0.5% ------------ ----- NORWAY -- (1.0%) Other Securities..................... 27,419,536 1.0% ------------ ----- PORTUGAL -- (0.4%) Other Securities..................... 10,528,248 0.4% ------------ ----- SINGAPORE -- (1.0%) Other Securities..................... 30,092,910 1.1% ------------ ----- SPAIN -- (2.0%) # Banco Santander SA................... 955,782 6,175,232 0.2% Repsol SA............................ 237,537 4,532,880 0.2% Other Securities..................... 48,383,103 1.8% ------------ ----- TOTAL SPAIN.............................. 59,091,215 2.2% ------------ ----- SWEDEN -- (2.4%) # Boliden AB........................... 124,690 4,320,462 0.2% Other Securities..................... 65,695,085 2.4% ------------ ----- TOTAL SWEDEN............................. 70,015,547 2.6% ------------ -----
70 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (5.0%) Baloise Holding AG.............................. 26,119 $ 4,139,989 0.2% Clariant AG..................................... 182,599 4,215,352 0.2% Nestle SA....................................... 110,012 8,522,638 0.3% Novartis AG Sponsored ADR....................... 73,269 5,619,000 0.2% Other Securities................................ 123,624,985 4.5% -------------- ------ TOTAL SWITZERLAND..................................... 146,121,964 5.4% -------------- ------ UNITED KINGDOM -- (14.4%) Anglo American P.L.C............................ 450,994 10,611,551 0.4% Aviva P.L.C..................................... 570,076 4,141,981 0.2% BP P.L.C. Sponsored ADR......................... 244,019 10,880,814 0.4% # HSBC Holdings P.L.C. Sponsored ADR.............. 234,122 11,766,972 0.4% Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 161,774 11,307,989 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 102,022 7,388,433 0.3% Vodafone Group P.L.C............................ 1,755,059 5,121,631 0.2% Vodafone Group P.L.C. Sponsored ADR............. 142,624 4,194,577 0.2% WM Morrison Supermarkets P.L.C.................. 1,351,214 4,506,519 0.2% Other Securities................................ 349,161,101 12.8% -------------- ------ TOTAL UNITED KINGDOM.................................. 419,081,568 15.5% -------------- ------ TOTAL COMMON STOCKS................................... 2,650,710,128 98.2% -------------- ------ PREFERRED STOCKS -- (0.5%) GERMANY -- (0.5%) Volkswagen AG................................... 25,998 5,361,693 0.2% Other Securities................................ 8,606,006 0.3% -------------- ------ TOTAL GERMANY......................................... 13,967,699 0.5% -------------- ------ TOTAL PREFERRED STOCKS................................ 13,967,699 0.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities................................ 1,052 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities................................ 414 0.0% -------------- ------ SINGAPORE -- (0.0%) Other Securities................................ 6,440 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................................ 1,625 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................. 9,531 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES........................... 2,664,687,358 -------------- Value+ - ------ - SECURITIES LENDING COLLATERAL -- (8.2%) (S)@ DFA Short Term Investment Fund.................. 20,491,503 237,086,694 8.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,333,369,304)............................. $2,901,774,052 107.5% ============== ======
71 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED At April 30, 2018, International Vector Equity 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(R) Emini Index... 60 06/15/18 $8,009,005 $7,941,000 $(68,005) ---------- ---------- --------- Total futures contracts.. $8,009,005 $7,941,000 $(68,005) ========== ========== =========
Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 3,646,289 $ 157,181,160 -- $ 160,827,449 Austria..................... -- 23,177,227 -- 23,177,227 Belgium..................... 643,314 45,714,506 -- 46,357,820 Canada...................... 218,225,554 2,552 -- 218,228,106 Denmark..................... -- 48,904,333 -- 48,904,333 Finland..................... -- 60,137,193 -- 60,137,193 France...................... 647,457 177,411,651 -- 178,059,108 Germany..................... 4,266,222 170,563,801 -- 174,830,023 Hong Kong................... 350,204 75,157,841 -- 75,508,045 Ireland..................... 2,436,445 12,868,045 -- 15,304,490 Israel...................... 1,149,267 19,196,262 -- 20,345,529 Italy....................... 609,064 96,066,651 -- 96,675,715 Japan....................... 10,704,308 676,804,762 -- 687,509,070 Netherlands................. 8,588,622 60,271,632 -- 68,860,254 New Zealand................. 6,399 13,628,379 -- 13,634,778 Norway...................... 299,057 27,120,479 -- 27,419,536 Portugal.................... -- 10,528,248 -- 10,528,248 Singapore................... 25,979 30,066,931 -- 30,092,910 Spain....................... 2,375,809 56,715,406 -- 59,091,215 Sweden...................... 205,269 69,810,278 -- 70,015,547 Switzerland................. 8,973,046 137,148,918 -- 146,121,964 United Kingdom.............. 63,641,630 355,439,938 -- 419,081,568 Preferred Stocks Germany..................... -- 13,967,699 -- 13,967,699 Rights/Warrants France...................... -- 1,052 -- 1,052 Hong Kong................... -- 414 -- 414 Singapore................... -- 6,440 -- 6,440 Spain....................... -- 1,625 -- 1,625 Securities Lending Collateral. -- 237,086,694 -- 237,086,694 Futures Contracts**........... (68,005) -- -- (68,005) ------------ -------------- -- -------------- TOTAL......................... $326,725,930 $2,574,980,117 -- $2,901,706,047 ============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 72 INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (94.2%) AUSTRALIA -- (5.4%) BHP Billiton, Ltd............................ 90,976 $ 2,122,402 1.2% CSL, Ltd..................................... 9,082 1,163,305 0.6% Other Securities............................. 7,052,849 3.9% ----------- ----- TOTAL AUSTRALIA.................................. 10,338,556 5.7% ----------- ----- AUSTRIA -- (0.2%) Other Securities............................. 420,593 0.2% ----------- ----- BELGIUM -- (1.2%) Other Securities............................. 2,264,815 1.2% ----------- ----- CANADA -- (7.7%) Canadian National Railway Co................. 16,843 1,301,627 0.7% Royal Bank of Canada......................... 27,874 2,119,818 1.2% Other Securities............................. 11,169,996 6.1% ----------- ----- TOTAL CANADA..................................... 14,591,441 8.0% ----------- ----- DENMARK -- (1.6%) Novo Nordisk A.S. Class B.................... 40,249 1,892,827 1.0% # Pandora A.S.................................. 7,293 810,172 0.5% Other Securities............................. 253,463 0.1% ----------- ----- TOTAL DENMARK.................................... 2,956,462 1.6% ----------- ----- FINLAND -- (0.9%) Other Securities............................. 1,667,987 0.9% ----------- ----- FRANCE -- (9.8%) Air Liquide SA............................... 9,703 1,261,160 0.7% Airbus SE.................................... 10,892 1,278,537 0.7% Cie Generale des Etablissements Michelin SCA. 8,785 1,235,372 0.7% # Danone SA.................................... 11,530 933,997 0.5% LVMH Moet Hennessy Louis Vuitton SE.......... 5,988 2,083,895 1.1% Orange SA.................................... 54,631 993,171 0.6% # Vinci SA..................................... 11,541 1,153,911 0.6% Other Securities............................. 9,593,231 5.3% ----------- ----- TOTAL FRANCE..................................... 18,533,274 10.2% ----------- ----- GERMANY -- (7.3%) Adidas AG.................................... 3,892 956,534 0.5% BASF SE...................................... 21,794 2,267,522 1.2% Deutsche Post AG............................. 23,879 1,036,454 0.6% Deutsche Telekom AG.......................... 100,280 1,755,262 1.0% E.ON SE...................................... 88,762 971,922 0.5% Fresenius SE & Co. KGaA...................... 11,058 842,114 0.5% Other Securities............................. 6,115,959 3.4% ----------- ----- TOTAL GERMANY.................................... 13,945,767 7.7% ----------- ----- HONG KONG -- (2.7%) Other Securities............................. 5,189,284 2.9% ----------- -----
73 INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.5%) Other Securities............. $ 915,142 0.5% ----------- ----- ISRAEL -- (0.3%) Other Securities............. 580,467 0.3% ----------- ----- ITALY -- (2.3%) Enel SpA..................... 187,070 1,186,720 0.6% Fiat Chrysler Automobiles NV. 47,136 1,047,304 0.6% Other Securities............. 2,157,862 1.2% ----------- ----- TOTAL ITALY...................... 4,391,886 2.4% ----------- ----- JAPAN -- (21.9%) Hitachi, Ltd................. 143,000 1,043,694 0.6% KDDI Corp.................... 50,300 1,350,233 0.7% NTT DOCOMO, Inc.............. 33,300 860,272 0.5% Panasonic Corp............... 59,900 886,948 0.5% Seven & I Holdings Co., Ltd.. 20,000 881,216 0.5% SoftBank Group Corp.......... 23,900 1,826,168 1.0% Sony Corp.................... 32,900 1,536,631 0.8% Other Securities............. 33,294,130 18.3% ----------- ----- TOTAL JAPAN...................... 41,679,292 22.9% ----------- ----- NETHERLANDS -- (3.0%) # Unilever NV.................. 40,262 2,299,766 1.3% Wolters Kluwer NV............ 15,178 821,278 0.5% Other Securities............. 2,612,810 1.3% ----------- ----- TOTAL NETHERLANDS................ 5,733,854 3.1% ----------- ----- NEW ZEALAND -- (0.2%) Other Securities............. 394,323 0.2% ----------- ----- NORWAY -- (0.9%) Other Securities............. 1,692,479 0.9% ----------- ----- PORTUGAL -- (0.1%) Other Securities............. 166,566 0.1% ----------- ----- SINGAPORE -- (1.2%) Other Securities............. 2,189,656 1.2% ----------- ----- SPAIN -- (2.8%) Amadeus IT Group SA.......... 14,806 1,080,243 0.6% Telefonica SA................ 119,259 1,215,306 0.7% Other Securities............. 3,075,947 1.7% ----------- ----- TOTAL SPAIN...................... 5,371,496 3.0% ----------- ----- SWEDEN -- (2.2%) Other Securities............. 4,176,998 2.3% ----------- ----- SWITZERLAND -- (6.5%) ABB, Ltd..................... 57,558 1,341,997 0.7% Givaudan SA.................. 431 959,427 0.5% Nestle SA.................... 14,560 1,127,964 0.6% Roche Holding AG............. 14,655 3,256,156 1.8% Sika AG...................... 116 841,722 0.5% Other Securities............. 4,790,864 2.7% ----------- ----- TOTAL SWITZERLAND................ 12,318,130 6.8% ----------- -----
74 INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (15.5%) # AstraZeneca P.L.C. Sponsored ADR..... 60,961 $ 2,165,944 1.2% BAE Systems P.L.C.................... 163,796 1,374,284 0.8% BHP Billiton P.L.C................... 55,363 1,180,472 0.6% Diageo P.L.C. Sponsored ADR.......... 13,935 1,978,213 1.1% Experian P.L.C....................... 38,077 872,427 0.5% Ferguson P.L.C....................... 11,727 897,667 0.5% # GlaxoSmithKline P.L.C. Sponsored ADR. 48,811 1,957,809 1.1% Reckitt Benckiser Group P.L.C........ 11,886 932,433 0.5% # Rio Tinto P.L.C. Sponsored ADR....... 32,080 1,762,796 1.0% Rolls-Royce Holdings P.L.C........... 84,192 972,346 0.5% SSE P.L.C............................ 50,414 956,786 0.5% Unilever P.L.C. Sponsored ADR........ 24,670 1,380,780 0.8% Other Securities..................... 12,946,036 7.0% ------------ ------ TOTAL UNITED KINGDOM....................... 29,377,993 16.1% ------------ ------ TOTAL COMMON STOCKS........................ 178,896,461 98.2% ------------ ------ PREFERRED STOCKS -- (0.9%) GERMANY -- (0.9%) Volkswagen AG........................ 5,598 1,154,503 0.6% Other Securities..................... 434,789 0.3% ------------ ------ TOTAL GERMANY.............................. 1,589,292 0.9% ------------ ------ TOTAL PREFERRED STOCKS..................... 1,589,292 0.9% ------------ ------ TOTAL INVESTMENT SECURITIES................ 180,485,753 ------------ Value+ ------ SECURITIES LENDING COLLATERAL -- (4.9%) (S)@ DFA Short Term Investment Fund....... 809,879 9,370,296 5.1% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $185,756,401).................... $189,856,049 104.2% ============ ======
75 INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Common Stocks Australia................... -- $ 10,338,556 -- $ 10,338,556 Austria..................... -- 420,593 -- 420,593 Belgium..................... -- 2,264,815 -- 2,264,815 Canada...................... $14,591,441 -- -- 14,591,441 Denmark..................... -- 2,956,462 -- 2,956,462 Finland..................... -- 1,667,987 -- 1,667,987 France...................... -- 18,533,274 -- 18,533,274 Germany..................... -- 13,945,767 -- 13,945,767 Hong Kong................... -- 5,189,284 -- 5,189,284 Ireland..................... 56,152 858,990 -- 915,142 Israel...................... 136,615 443,852 -- 580,467 Italy....................... 551,324 3,840,562 -- 4,391,886 Japan....................... -- 41,679,292 -- 41,679,292 Netherlands................. 2,299,766 3,434,088 -- 5,733,854 New Zealand................. -- 394,323 -- 394,323 Norway...................... -- 1,692,479 -- 1,692,479 Portugal.................... -- 166,566 -- 166,566 Singapore................... -- 2,189,656 -- 2,189,656 Spain....................... -- 5,371,496 -- 5,371,496 Sweden...................... -- 4,176,998 -- 4,176,998 Switzerland................. 241,148 12,076,982 -- 12,318,130 United Kingdom.............. 9,508,420 19,869,573 -- 29,377,993 Preferred Stocks Germany..................... -- 1,589,292 -- 1,589,292 Securities Lending Collateral. -- 9,370,296 -- 9,370,296 ----------- ------------ -- ------------ TOTAL......................... $27,384,866 $162,471,183 -- $189,856,049 =========== ============ == ============
See accompanying Notes to Financial Statements. 76 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company.................................. $156,959,869 Investment in Dimensional Emerging Markets Value Fund....... 66,834,652 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.................... 1,096,735 25,115,232 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $203,583,877).......................... $248,909,753 ============
Summary of the Portfolio's investments as of April 30, 2018, 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. $248,909,753 -- -- $248,909,753 ------------ -- -- ------------ TOTAL........................... $248,909,753 -- -- $248,909,753 ============ == == ============
See accompanying Notes to Financial Statements. 77 WORLD EX U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (97.9%) AUSTRALIA -- (4.3%) BlueScope Steel, Ltd............................... 94,666 $ 1,163,393 0.2% Incitec Pivot, Ltd................................. 293,099 834,077 0.2% Other Securities................................... 20,659,663 3.9% ----------- ---- TOTAL AUSTRALIA........................................ 22,657,133 4.3% ----------- ---- AUSTRIA -- (0.7%) * Raiffeisen Bank International AG................... 27,085 914,283 0.2% Other Securities................................... 2,889,710 0.5% ----------- ---- TOTAL AUSTRIA.......................................... 3,803,993 0.7% ----------- ---- BELGIUM -- (1.1%) Ageas.............................................. 32,566 1,742,037 0.3% Other Securities................................... 3,826,512 0.8% ----------- ---- TOTAL BELGIUM.......................................... 5,568,549 1.1% ----------- ---- BRAZIL -- (1.7%) Other Securities................................... 9,021,961 1.7% ----------- ---- CANADA -- (5.5%) Crescent Point Energy Corp......................... 97,460 853,947 0.2% Other Securities................................... 28,094,697 5.3% ----------- ---- TOTAL CANADA........................................... 28,948,644 5.5% ----------- ---- CHILE -- (0.3%) Other Securities................................... 1,737,780 0.3% ----------- ---- CHINA -- (8.5%) China Conch Venture Holdings, Ltd.................. 307,500 954,651 0.2% China National Building Material Co., Ltd. Class H. 962,200 1,124,132 0.2% Other Securities................................... 43,090,911 8.2% ----------- ---- TOTAL CHINA............................................ 45,169,694 8.6% ----------- ---- COLOMBIA -- (0.1%) Other Securities................................... 646,205 0.1% ----------- ---- DENMARK -- (1.1%) Jyske Bank A.S..................................... 14,411 862,925 0.2% Other Securities................................... 5,077,960 0.9% ----------- ---- TOTAL DENMARK.......................................... 5,940,885 1.1% ----------- ---- FINLAND -- (1.5%) Neste Oyj.......................................... 17,647 1,485,992 0.3% Stora Enso Oyj Class R............................. 81,990 1,617,220 0.3% Other Securities................................... 4,914,982 0.9% ----------- ---- TOTAL FINLAND.......................................... 8,018,194 1.5% ----------- ---- FRANCE -- (3.7%) Arkema SA.......................................... 10,891 1,426,662 0.3% Eiffage SA......................................... 14,431 1,717,744 0.3% Faurecia SA........................................ 10,990 897,431 0.2%
78 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- FRANCE -- (Continued) Rexel SA.................................... 76,137 $ 1,180,257 0.2% Other Securities............................ 14,150,499 2.7% ----------- ----- TOTAL FRANCE.................................... 19,372,593 3.7% ----------- ----- GERMANY -- (4.7%) Aurubis AG.................................. 9,473 846,548 0.2% Freenet AG.................................. 31,600 1,003,106 0.2% K+S AG...................................... 44,982 1,321,106 0.3% Lanxess AG.................................. 19,336 1,432,301 0.3% Rheinmetall AG.............................. 8,598 1,123,598 0.2% RWE AG...................................... 51,929 1,241,193 0.2% Uniper SE................................... 33,621 1,039,533 0.2% Other Securities............................ 16,798,469 3.1% ----------- ----- TOTAL GERMANY................................... 24,805,854 4.7% ----------- ----- HONG KONG -- (2.0%) Other Securities............................ 10,524,085 2.0% ----------- ----- INDIA -- (3.6%) Other Securities............................ 18,853,080 3.6% ----------- ----- INDONESIA -- (0.6%) Other Securities............................ 3,143,663 0.6% ----------- ----- IRELAND -- (0.6%) Bank of Ireland Group P.L.C................. 327,707 2,939,987 0.6% Other Securities............................ 204,318 0.0% ----------- ----- TOTAL IRELAND................................... 3,144,305 0.6% ----------- ----- ISRAEL -- (0.4%) Other Securities............................ 2,381,603 0.5% ----------- ----- ITALY -- (2.8%) * Banco BPM SpA............................... 326,062 1,182,740 0.2% Mediobanca Banca di Credito Finanziario SpA. 100,271 1,215,035 0.2% Unione di Banche Italiane SpA............... 221,622 1,141,512 0.2% Other Securities............................ 11,243,851 2.2% ----------- ----- TOTAL ITALY..................................... 14,783,138 2.8% ----------- ----- JAPAN -- (18.0%) SBI Holdings, Inc........................... 33,900 854,798 0.2% Other Securities............................ 94,538,402 17.9% ----------- ----- TOTAL JAPAN..................................... 95,393,200 18.1% ----------- ----- MALAYSIA -- (0.9%) Other Securities............................ 4,900,980 0.9% ----------- ----- MEXICO -- (0.7%) Other Securities............................ 3,935,668 0.7% ----------- ----- NETHERLANDS -- (1.4%) Aegon NV.................................... 286,779 2,101,742 0.4% Other Securities............................ 5,105,364 1.0% ----------- ----- TOTAL NETHERLANDS............................... 7,207,106 1.4% ----------- -----
79 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- NEW ZEALAND -- (0.4%) Other Securities............................. $ 1,907,583 0.4% ----------- ---- NORWAY -- (0.7%) Other Securities............................. 3,899,923 0.7% ----------- ---- PHILIPPINES -- (0.3%) Other Securities............................. 1,426,122 0.3% ----------- ---- POLAND -- (0.4%) Other Securities............................. 2,375,812 0.4% ----------- ---- PORTUGAL -- (0.2%) Other Securities............................. 1,195,602 0.2% ----------- ---- SINGAPORE -- (0.7%) Other Securities............................. 3,604,482 0.7% ----------- ---- SOUTH AFRICA -- (1.8%) Other Securities............................. 9,368,373 1.8% ----------- ---- SOUTH KOREA -- (5.9%) # Hyundai Engineering & Construction Co., Ltd.. 18,025 1,067,499 0.2% Other Securities............................. 30,207,636 5.7% ----------- ---- TOTAL SOUTH KOREA................................ 31,275,135 5.9% ----------- ---- SPAIN -- (1.7%) Banco de Sabadell SA......................... 912,089 1,784,856 0.4% Other Securities............................. 7,173,709 1.3% ----------- ---- TOTAL SPAIN...................................... 8,958,565 1.7% ----------- ---- SWEDEN -- (1.5%) Other Securities............................. 7,892,080 1.5% ----------- ---- SWITZERLAND -- (3.2%) Baloise Holding AG........................... 8,350 1,323,516 0.3% Swiss Life Holding AG........................ 4,696 1,642,749 0.3% Other Securities............................. 14,093,984 2.6% ----------- ---- TOTAL SWITZERLAND................................ 17,060,249 3.2% ----------- ---- TAIWAN -- (4.9%) Other Securities............................. 26,146,692 5.0% ----------- ---- THAILAND -- (0.9%) Other Securities............................. 4,723,007 0.9% ----------- ---- TURKEY -- (0.4%) Other Securities............................. 2,125,302 0.4% ----------- ---- UNITED KINGDOM -- (10.7%) Barratt Developments P.L.C................... 181,829 1,394,275 0.3% BBA Aviation P.L.C........................... 185,969 815,079 0.2% Bellway P.L.C................................ 25,648 1,168,684 0.2% Berkeley Group Holdings P.L.C................ 18,024 1,009,055 0.2% GKN P.L.C.................................... 201,823 1,281,506 0.3% GVC Holdings P.L.C........................... 92,865 1,136,727 0.2% Investec P.L.C............................... 112,326 888,585 0.2% J Sainsbury P.L.C............................ 302,330 1,282,836 0.3%
80 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (Continued) Johnson Matthey P.L.C........... 24,288 $ 1,097,689 0.2% Marks & Spencer Group P.L.C..... 291,779 1,153,706 0.2% Meggitt P.L.C................... 160,012 1,036,614 0.2% Pearson P.L.C................... 145,585 1,669,078 0.3% Phoenix Group Holdings.......... 75,948 820,403 0.2% Royal Mail P.L.C................ 180,633 1,440,540 0.3% Taylor Wimpey P.L.C............. 389,086 1,024,672 0.2% Travis Perkins P.L.C............ 50,961 887,421 0.2% * Tullow Oil P.L.C................ 300,389 940,060 0.2% UBM P.L.C....................... 66,479 885,064 0.2% WM Morrison Supermarkets P.L.C.. 349,221 1,164,709 0.2% Other Securities................ 35,770,073 6.5% ------------ ------ TOTAL UNITED KINGDOM.................. 56,866,776 10.8% ------------ ------ TOTAL COMMON STOCKS................... 518,784,016 98.4% ------------ ------ PREFERRED STOCKS -- (0.6%) BRAZIL -- (0.5%) Other Securities................ 2,548,215 0.5% ------------ ------ COLOMBIA -- (0.0%) Other Securities................ 137,995 0.1% ------------ ------ GERMANY -- (0.1%) Other Securities................ 661,944 0.1% ------------ ------ MALAYSIA -- (0.0%) Other Securities................ 2,488 0.0% ------------ ------ TOTAL PREFERRED STOCKS................ 3,350,642 0.7% ------------ ------ RIGHTS/WARRANTS -- (0.0%) INDONESIA -- (0.0%) Other Securities................ 12,819 0.0% ------------ ------ MALAYSIA -- (0.0%) Other Securities................ 88 0.0% ------------ ------ SPAIN -- (0.0%) Other Securities................ 76 0.0% ------------ ------ THAILAND -- (0.0%) Other Securities................ 1,673 0.0% ------------ ------ TOTAL RIGHTS/WARRANTS................. 14,656 0.0% ------------ ------ TOTAL INVESTMENT SECURITIES........... 522,149,314 ------------ Value+ ------ SECURITIES LENDING COLLATERAL -- (1.5%) (S)@ DFA Short Term Investment Fund.. 701,642 8,117,997 1.5% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $458,412,058)............... $530,267,311 100.6% ============ ======
81 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2018, 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................... -- $ 22,657,133 -- $ 22,657,133 Austria..................... -- 3,803,993 -- 3,803,993 Belgium..................... -- 5,568,549 -- 5,568,549 Brazil...................... $ 9,021,961 -- -- 9,021,961 Canada...................... 28,948,644 -- -- 28,948,644 Chile....................... 13,680 1,724,100 -- 1,737,780 China....................... 917,161 44,252,533 -- 45,169,694 Colombia.................... 646,205 -- -- 646,205 Denmark..................... -- 5,940,885 -- 5,940,885 Finland..................... -- 8,018,194 -- 8,018,194 France...................... -- 19,372,593 -- 19,372,593 Germany..................... -- 24,805,854 -- 24,805,854 Hong Kong................... -- 10,524,085 -- 10,524,085 India....................... 9,391 18,843,689 -- 18,853,080 Indonesia................... -- 3,143,663 -- 3,143,663 Ireland..................... -- 3,144,305 -- 3,144,305 Israel...................... -- 2,381,603 -- 2,381,603 Italy....................... -- 14,783,138 -- 14,783,138 Japan....................... 233,334 95,159,866 -- 95,393,200 Malaysia.................... -- 4,900,980 -- 4,900,980 Mexico...................... 3,935,668 -- -- 3,935,668 Netherlands................. -- 7,207,106 -- 7,207,106 New Zealand................. -- 1,907,583 -- 1,907,583 Norway...................... -- 3,899,923 -- 3,899,923 Philippines................. -- 1,426,122 -- 1,426,122 Poland...................... -- 2,375,812 -- 2,375,812 Portugal.................... -- 1,195,602 -- 1,195,602 Singapore................... -- 3,604,482 -- 3,604,482 South Africa................ 960,757 8,407,616 -- 9,368,373 South Korea................. -- 31,275,135 -- 31,275,135 Spain....................... -- 8,958,565 -- 8,958,565 Sweden...................... -- 7,892,080 -- 7,892,080 Switzerland................. -- 17,060,249 -- 17,060,249 Taiwan...................... -- 26,146,692 -- 26,146,692 Thailand.................... 4,719,800 3,207 -- 4,723,007 Turkey...................... -- 2,125,302 -- 2,125,302 United Kingdom.............. -- 56,866,776 -- 56,866,776 Preferred Stocks Brazil...................... 2,548,215 -- -- 2,548,215 Colombia.................... 137,995 -- -- 137,995 Germany..................... -- 661,944 -- 661,944 Malaysia.................... 2,488 -- -- 2,488 Rights/Warrants Indonesia................... -- 12,819 -- 12,819 Malaysia.................... -- 88 -- 88 Spain....................... -- 76 -- 76 Thailand.................... -- 1,673 -- 1,673 Securities Lending Collateral. -- 8,117,997 -- 8,117,997 ----------- ------------ -- ------------ TOTAL......................... $52,095,299 $478,172,012 -- $530,267,311 =========== ============ == ============
See accompanying Notes to Financial Statements. 82 WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (92.3%) AUSTRALIA -- (3.9%) BHP Billiton, Ltd................................... 487,213 $ 11,366,313 0.4% National Australia Bank, Ltd........................ 212,836 4,626,849 0.2% Other Securities.................................... 119,348,356 3.6% ------------ ---- TOTAL AUSTRALIA......................................... 135,341,518 4.2% ------------ ---- AUSTRIA -- (0.5%) Other Securities.................................... 17,284,336 0.5% ------------ ---- BELGIUM -- (0.9%) Other Securities.................................... 32,400,060 1.0% ------------ ---- BRAZIL -- (1.3%) Vale SA............................................. 470,432 6,535,717 0.2% Other Securities.................................... 38,084,028 1.2% ------------ ---- TOTAL BRAZIL............................................ 44,619,745 1.4% ------------ ---- CANADA -- (5.7%) # Bank of Montreal.................................... 92,353 7,012,363 0.2% Bank of Nova Scotia (The)........................... 84,789 5,211,132 0.2% Canadian Imperial Bank of Commerce.................. 51,431 4,477,069 0.2% Royal Bank of Canada................................ 72,182 5,489,441 0.2% Other Securities.................................... 174,124,013 5.2% ------------ ---- TOTAL CANADA............................................ 196,314,018 6.0% ------------ ---- CHILE -- (0.3%) Other Securities.................................... 10,924,805 0.3% ------------ ---- CHINA -- (7.3%) China Construction Bank Corp. Class H............... 9,249,000 9,689,794 0.3% China Mobile, Ltd................................... 525,000 5,001,407 0.2% Industrial & Commercial Bank of China, Ltd. Class H. 6,595,000 5,789,625 0.2% Ping An Insurance Group Co. of China, Ltd. Class H.. 618,000 6,038,725 0.2% Tencent Holdings, Ltd............................... 209,100 10,279,959 0.3% Other Securities.................................... 214,638,015 6.5% ------------ ---- TOTAL CHINA............................................. 251,437,525 7.7% ------------ ---- COLOMBIA -- (0.1%) Other Securities.................................... 3,668,321 0.1% ------------ ---- CZECH REPUBLIC -- (0.0%) Other Securities.................................... 1,247,672 0.0% ------------ ---- DENMARK -- (1.1%) Other Securities.................................... 38,631,168 1.2% ------------ ---- EGYPT -- (0.0%) Other Securities.................................... 137,699 0.0% ------------ ---- FINLAND -- (1.3%) UPM-Kymmene Oyj..................................... 158,274 5,647,469 0.2%
83 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- FINLAND -- (Continued) Other Securities............................. $ 38,201,753 1.2% ------------ ---- TOTAL FINLAND.................................... 43,849,222 1.4% ------------ ---- FRANCE -- (5.3%) BNP Paribas SA............................... 87,601 6,762,732 0.2% Cie Generale des Etablissements Michelin SCA. 40,141 5,644,743 0.2% Engie SA..................................... 289,657 5,081,012 0.2% Orange SA.................................... 374,142 6,801,759 0.2% # Peugeot SA................................... 201,421 4,959,705 0.2% Total SA..................................... 188,568 11,851,817 0.4% Other Securities............................. 141,829,867 4.2% ------------ ---- TOTAL FRANCE..................................... 182,931,635 5.6% ------------ ---- GERMANY -- (4.8%) Allianz SE................................... 27,023 6,391,583 0.2% BASF SE...................................... 66,555 6,924,609 0.2% Bayerische Motoren Werke AG.................. 59,850 6,654,236 0.2% Daimler AG................................... 174,048 13,683,314 0.4% Deutsche Telekom AG.......................... 449,901 7,874,893 0.3% Other Securities............................. 122,935,973 3.8% ------------ ---- TOTAL GERMANY.................................... 164,464,608 5.1% ------------ ---- GREECE -- (0.0%) Other Securities............................. 639,508 0.0% ------------ ---- HONG KONG -- (2.0%) AIA Group, Ltd............................... 1,173,600 10,488,695 0.3% Other Securities............................. 58,370,910 1.8% ------------ ---- TOTAL HONG KONG.................................. 68,859,605 2.1% ------------ ---- HUNGARY -- (0.1%) Other Securities............................. 2,945,208 0.1% ------------ ---- INDIA -- (2.7%) Other Securities............................. 94,650,455 2.9% ------------ ---- INDONESIA -- (0.6%) Other Securities............................. 19,023,178 0.6% ------------ ---- IRELAND -- (0.4%) Other Securities............................. 13,990,839 0.4% ------------ ---- ISRAEL -- (0.4%) Other Securities............................. 15,291,545 0.5% ------------ ---- ITALY -- (2.3%) Eni SpA...................................... 244,153 4,772,801 0.2% Fiat Chrysler Automobiles NV................. 275,811 6,128,181 0.2% Other Securities............................. 68,391,293 2.0% ------------ ---- TOTAL ITALY...................................... 79,292,275 2.4% ------------ ---- JAPAN -- (16.8%) Hitachi, Ltd................................. 698,000 5,094,392 0.2% Honda Motor Co., Ltd......................... 259,300 8,916,273 0.3% Mitsubishi UFJ Financial Group, Inc.......... 879,000 5,890,480 0.2%
84 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- JAPAN -- (Continued) Nissan Motor Co., Ltd......... 450,000 $ 4,734,210 0.2% Toyota Motor Corp............. 222,288 14,575,945 0.5% Other Securities.............. 542,877,164 16.5% ------------ ----- TOTAL JAPAN....................... 582,088,464 17.9% ------------ ----- MALAYSIA -- (0.6%) Other Securities.............. 21,325,233 0.7% ------------ ----- MEXICO -- (0.7%) Other Securities.............. 23,875,201 0.7% ------------ ----- NETHERLANDS -- (1.9%) Other Securities.............. 65,049,806 2.0% ------------ ----- NEW ZEALAND -- (0.3%) Other Securities.............. 10,593,152 0.3% ------------ ----- NORWAY -- (0.6%) Other Securities.............. 22,102,686 0.7% ------------ ----- PERU -- (0.0%) Other Securities.............. 512,301 0.0% ------------ ----- PHILIPPINES -- (0.2%) Other Securities.............. 8,371,006 0.3% ------------ ----- POLAND -- (0.3%) Other Securities.............. 10,552,125 0.3% ------------ ----- PORTUGAL -- (0.2%) Other Securities.............. 5,988,189 0.2% ------------ ----- RUSSIA -- (0.2%) Other Securities.............. 7,434,007 0.2% ------------ ----- SINGAPORE -- (0.8%) Other Securities.............. 28,150,084 0.9% ------------ ----- SOUTH AFRICA -- (1.9%) Other Securities.............. 66,534,396 2.1% ------------ ----- SOUTH KOREA -- (4.0%) Samsung Electronics Co., Ltd.. 8,883 22,012,074 0.7% Other Securities.............. 116,930,634 3.6% ------------ ----- TOTAL SOUTH KOREA................. 138,942,708 4.3% ------------ ----- SPAIN -- (1.7%) # Banco Santander SA............ 1,234,394 7,975,322 0.3% Iberdrola SA.................. 669,625 5,173,486 0.2% Other Securities.............. 46,595,153 1.3% ------------ ----- TOTAL SPAIN....................... 59,743,961 1.8% ------------ ----- SWEDEN -- (1.8%) Other Securities.............. 63,089,538 1.9% ------------ ----- SWITZERLAND -- (3.8%) Nestle SA..................... 200,030 15,496,339 0.5%
85 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Novartis AG............................................ 111,773 $ 8,603,648 0.3% Roche Holding AG....................................... 25,011 5,557,128 0.2% # Zurich Insurance Group AG.............................. 14,341 4,581,023 0.2% Other Securities....................................... 95,470,600 2.8% -------------- ----- TOTAL SWITZERLAND.......................................... 129,708,738 4.0% -------------- ----- TAIWAN -- (3.6%) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR................................................... 134,422 5,168,526 0.2% Other Securities....................................... 117,866,394 3.6% -------------- ----- TOTAL TAIWAN............................................... 123,034,920 3.8% -------------- ----- THAILAND -- (0.7%) Other Securities....................................... 24,143,237 0.8% -------------- ----- TURKEY -- (0.3%) Other Securities....................................... 9,503,595 0.3% -------------- ----- UNITED KINGDOM -- (10.9%) Anglo American P.L.C................................... 344,308 8,101,309 0.3% BP P.L.C. Sponsored ADR................................ 472,008 21,046,837 0.7% British American Tobacco P.L.C......................... 89,071 4,885,320 0.2% # HSBC Holdings P.L.C. Sponsored ADR..................... 275,801 13,861,758 0.4% # Rio Tinto P.L.C. Sponsored ADR......................... 156,348 8,591,323 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 161,107 11,261,379 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B........ 106,451 7,709,181 0.3% Tesco P.L.C............................................ 1,976,348 6,401,263 0.2% Vodafone Group P.L.C................................... 4,040,579 11,791,259 0.4% Other Securities....................................... 285,024,006 8.4% -------------- ----- TOTAL UNITED KINGDOM....................................... 378,673,635 11.6% -------------- ----- TOTAL COMMON STOCKS........................................ 3,197,361,927 98.3% -------------- ----- PREFERRED STOCKS -- (0.9%) BRAZIL -- (0.5%) Other Securities....................................... 15,748,206 0.5% -------------- ----- CHILE -- (0.0%) Other Securities....................................... 235,500 0.0% -------------- ----- COLOMBIA -- (0.0%) Other Securities....................................... 677,744 0.0% -------------- ----- GERMANY -- (0.4%) Volkswagen AG.......................................... 33,924 6,996,310 0.2% Other Securities....................................... 7,492,826 0.2% -------------- ----- TOTAL GERMANY.............................................. 14,489,136 0.4% -------------- ----- MALAYSIA -- (0.0%) Other Securities....................................... 7,736 0.0% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities....................................... 43,309 0.0% -------------- ----- TOTAL PREFERRED STOCKS..................................... 31,201,631 0.9% -------------- -----
86 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- RIGHTS/WARRANTS -- (0.0%) INDONESIA -- (0.0%) Other Securities................ $ 31,339 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities................ 9,477 0.0% -------------- ------ SINGAPORE -- (0.0%) Other Securities................ 2,418 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 858 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities................ 539 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................. 44,631 0.0% -------------- ------ TOTAL INVESTMENT SECURITIES............ 3,228,608,189 -------------- Value+ - ------ - SECURITIES LENDING COLLATERAL -- (6.8%) (S)@ DFA Short Term Investment Fund.. 20,305,579 234,935,550 7.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,958,380,448).............. $3,463,543,739 106.4% ============== ======
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Australia...... $ 1,030,325 $134,311,193 -- $135,341,518 Austria........ -- 17,284,336 -- 17,284,336 Belgium........ 128,561 32,271,499 -- 32,400,060 Brazil......... 44,619,745 -- -- 44,619,745 Canada......... 196,314,018 -- -- 196,314,018 Chile.......... 1,941,398 8,983,407 -- 10,924,805 China.......... 26,744,437 224,693,088 -- 251,437,525 Colombia....... 3,668,321 -- -- 3,668,321 Czech Republic. -- 1,247,672 -- 1,247,672 Denmark........ 250,847 38,380,321 -- 38,631,168 Egypt.......... -- 137,699 -- 137,699 Finland........ 123,956 43,725,266 -- 43,849,222 France......... 1,894,984 181,036,651 -- 182,931,635 Germany........ 1,802,715 162,661,893 -- 164,464,608 Greece......... -- 639,508 -- 639,508 Hong Kong...... 115,218 68,744,387 -- 68,859,605 Hungary........ -- 2,945,208 -- 2,945,208 India.......... 964,685 93,685,770 -- 94,650,455 Indonesia...... 164,956 18,858,222 -- 19,023,178 Ireland........ 1,978,816 12,012,023 -- 13,990,839 Israel......... 1,207,307 14,084,238 -- 15,291,545 Italy.......... 116,599 79,175,676 -- 79,292,275 Japan.......... 3,424,843 578,663,621 -- 582,088,464 Malaysia....... -- 21,325,233 -- 21,325,233
87 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Mexico...................... $ 23,874,883 $ 318 -- $ 23,875,201 Netherlands................. 8,464,271 56,585,535 -- 65,049,806 New Zealand................. -- 10,593,152 -- 10,593,152 Norway...................... 189,542 21,913,144 -- 22,102,686 Peru........................ 512,196 105 -- 512,301 Philippines................. 56,684 8,314,322 -- 8,371,006 Poland...................... -- 10,552,125 -- 10,552,125 Portugal.................... -- 5,988,189 -- 5,988,189 Russia...................... 1,964,958 5,469,049 -- 7,434,007 Singapore................... 5,549 28,144,535 -- 28,150,084 South Africa................ 4,274,765 62,259,631 -- 66,534,396 South Korea................. 1,314,677 137,628,031 -- 138,942,708 Spain....................... 489,394 59,254,567 -- 59,743,961 Sweden...................... 61,064 63,028,474 -- 63,089,538 Switzerland................. 3,314,404 126,394,334 -- 129,708,738 Taiwan...................... 7,262,952 115,771,968 -- 123,034,920 Thailand.................... 24,140,754 2,483 -- 24,143,237 Turkey...................... 20,760 9,482,835 -- 9,503,595 United Kingdom.............. 91,557,996 287,115,639 -- 378,673,635 Preferred Stocks Brazil...................... 15,748,206 -- -- 15,748,206 Chile....................... -- 235,500 -- 235,500 Colombia.................... 677,744 -- -- 677,744 Germany..................... -- 14,489,136 -- 14,489,136 Malaysia.................... 7,736 -- -- 7,736 South Korea................. 43,309 -- -- 43,309 Rights/Warrants Indonesia................... -- 31,339 -- 31,339 Malaysia.................... -- 9,477 -- 9,477 Singapore................... -- 2,418 -- 2,418 Spain....................... -- 858 -- 858 Taiwan...................... -- 539 -- 539 Securities Lending Collateral. -- 234,935,550 -- 234,935,550 ------------ -------------- -- -------------- TOTAL......................... $470,473,575 $2,993,070,164 -- $3,463,543,739 ============ ============== == ==============
See accompanying Notes to Financial Statements. 88 WORLD CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Shares Value+ ---------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc................................ 15,561,034 $352,301,817 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc................................ 17,580,020 256,844,085 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc................................ 3,765,368 87,733,079 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $588,257,876)............................................. $696,878,981 ------------ TEMPORARY CASH INVESTMENTS -- (0.0%) State Street Institutional U.S. Government Money Market Fund, 1.630% (Cost $267,641).................................................... 267,641 267,641 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $588,525,517)............................................. $697,146,622 ============
Summary of the Fund's investments as of April 30, 2018, 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. $696,878,981 -- -- $696,878,981 Temporary Cash Investments...... 267,641 -- -- 267,641 ------------ -- -- ------------ TOTAL........................... $697,146,622 -- -- $697,146,622 ============ == == ============
89 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 7,965,673 $169,828,142 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 9,657,130 141,090,674 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 3,341,936 77,867,107 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $302,834,979)................................. $388,785,923 ------------
At April 30, 2018, Selectively Hedged Global Equity Portfolio had entered into the following forward currency contracts and the net unrealized forward currency gain (loss) is reflected in the accompanying financial statements:
Unrealized Foreign Exchange Settlement Appreciation Currency Purchased Currency Sold Counterparty Date (Depreciation) ------------------ ----------------- ---------------------------- ---------- -------------- USD 233,488 SEK 1,954,643 Citibank, N.A. 05/08/18 $ 10,188 USD 398,244 CAD 501,217 Citibank, N.A. 05/08/18 7,819 USD 1,301,912 GBP 913,476 Citibank, N.A. 05/08/18 44,002 USD 1,970,466 JPY 211,355,752 Bank of America Corp. 05/08/18 36,363 USD 3,187,926 SEK 26,430,989 JP Morgan 05/08/18 168,426 USD 18,533,923 GBP 13,123,487 Citibank, N.A. 05/08/18 462,102 USD 29,525,807 JPY 3,132,921,419 UBS AG 05/08/18 856,641 USD 80,340 NOK 624,669 Citibank, N.A. 05/09/18 2,458 USD 86,787 NOK 692,455 Citibank, N.A. 05/09/18 453 USD 420,414 CHF 415,758 Citibank, N.A. 05/09/18 677 USD 1,046,008 NOK 8,181,694 State Street Bank and Trust 05/09/18 25,938 USD 6,661,380 CHF 6,369,092 Bank of America Corp. 05/09/18 231,331 USD 61,858 ILS 217,297 Citibank, N.A. 05/10/18 1,451 USD 728,076 ILS 2,563,589 Citibank, N.A. 05/10/18 15,417 USD 2,046,637 EUR 1,651,551 Bank of America Corp. 05/15/18 50,534 USD 34,667,677 EUR 27,982,255 State Street Bank and Trust 05/15/18 847,679 USD 13,422,250 HKD 105,226,612 Citibank, N.A. 05/16/18 10,184 USD 1,353,962 SGD 1,791,000 Citibank, N.A. 05/25/18 2,708 USD 2,213,095 DKK 13,506,000 Bank of America Corp. 05/25/18 20,379 ---------- Total Appreciation $2,794,750 ---------- USD $ 1,143,723 GBP 831,580 Citibank, N.A. 05/08/18 $ (1,612) USD 6,483,307 CAD 8,365,463 State Street Bank and Trust 05/08/18 (33,018) ---------- Total (Depreciation) $ (34,630) ---------- Total Appreciation (Depreciation) $2,760,120 ==========
90 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO CONTINUED At April 30, 2018, Selectively Hedged Global Equity 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(R) Emini Index... 184 06/15/18 $25,147,330 $24,352,400 $(794,930) ----------- ----------- ---------- Total futures contracts.. $25,147,330 $24,352,400 $(794,930) =========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2018, 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. $388,785,923 -- -- $388,785,923 Forward Currency Contracts**.... -- $2,760,120 -- 2,760,120 Futures Contracts**............. (794,930) -- -- (794,930) ------------ ---------- -- ------------ TOTAL........................... $387,990,993 $2,760,120 -- $390,751,113 ============ ========== == ============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 91 EMERGING MARKETS PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company.................... $6,290,336,232 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $6,290,336,232 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 92 EMERGING MARKETS SMALL CAP PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company..................... $7,825,210,634 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $7,825,210,634 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 93 EMERGING MARKETS VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2018 (Unaudited)
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund. $19,926,153,185 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $19,926,153,185 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 94 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2018 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (92.8%) BRAZIL -- (5.6%) Ambev SA ADR........................................ 14,628,396 $ 96,839,982 0.3% Vale SA............................................. 17,379,974 241,460,192 0.8% Other Securities.................................... 1,396,621,236 4.7% -------------- ----- TOTAL BRAZIL............................................ 1,734,921,410 5.8% -------------- ----- CHILE -- (1.3%) Other Securities.................................... 412,363,932 1.4% -------------- ----- CHINA -- (16.3%) #* Alibaba Group Holding, Ltd. Sponsored ADR........... 1,332,164 237,844,561 0.8% * Baidu, Inc. Sponsored ADR........................... 248,303 62,299,223 0.2% China Construction Bank Corp. Class H............... 230,905,302 241,909,906 0.8% China Mobile, Ltd................................... 10,380,500 98,889,723 0.3% China Mobile, Ltd. Sponsored ADR.................... 1,997,961 94,823,229 0.3% China Overseas Land & Investment, Ltd............... 18,064,033 60,525,918 0.2% China Petroleum & Chemical Corp. Class H............ 65,522,400 63,809,567 0.2% Geely Automobile Holdings, Ltd...................... 22,910,000 60,253,976 0.2% Industrial & Commercial Bank of China, Ltd. Class H. 185,963,725 163,254,028 0.6% NetEase, Inc. ADR................................... 260,601 66,992,699 0.2% # Ping An Insurance Group Co. of China, Ltd. Class H.. 17,734,000 173,286,004 0.6% Tencent Holdings, Ltd............................... 10,436,500 513,088,426 1.7% Other Securities.................................... 3,206,963,120 10.9% -------------- ----- TOTAL CHINA............................................. 5,043,940,380 17.0% -------------- ----- COLOMBIA -- (0.4%) Other Securities.................................... 113,440,751 0.4% -------------- ----- CZECH REPUBLIC -- (0.1%) Other Securities.................................... 43,658,908 0.2% -------------- ----- EGYPT -- (0.1%) Other Securities.................................... 16,915,595 0.1% -------------- ----- GREECE -- (0.2%) Other Securities.................................... 72,806,953 0.2% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 63,667 0.0% -------------- ----- HUNGARY -- (0.4%) Other Securities.................................... 116,149,022 0.4% -------------- ----- INDIA -- (12.2%) HDFC Bank, Ltd...................................... 2,994,559 86,934,726 0.3% Housing Development Finance Corp., Ltd.............. 3,454,134 97,126,681 0.3% Infosys, Ltd........................................ 6,276,859 112,537,944 0.4% # Infosys, Ltd. Sponsored ADR......................... 3,708,004 65,520,431 0.2% Reliance Industries, Ltd............................ 7,506,986 107,907,753 0.4% Tata Consultancy Services, Ltd...................... 1,982,224 104,543,093 0.4% Other Securities.................................... 3,191,696,637 10.7% -------------- ----- TOTAL INDIA............................................. 3,766,267,265 12.7% -------------- -----
95 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- INDONESIA -- (2.4%) Bank Rakyat Indonesia Persero Tbk PT................... 287,069,600 $ 66,189,188 0.2% Other Securities....................................... 680,239,249 2.3% -------------- ----- TOTAL INDONESIA............................................ 746,428,437 2.5% -------------- ----- MALAYSIA -- (3.0%) Public Bank Bhd........................................ 11,077,811 67,031,488 0.2% Other Securities....................................... 864,247,503 2.9% -------------- ----- TOTAL MALAYSIA............................................. 931,278,991 3.1% -------------- ----- MEXICO -- (3.0%) # America Movil S.A.B. de C.V. Series L ADR.............. 3,833,735 70,885,760 0.3% Grupo Mexico S.A.B. de C.V. Series B................... 23,616,486 78,191,044 0.3% Other Securities....................................... 784,539,529 2.5% -------------- ----- TOTAL MEXICO............................................... 933,616,333 3.1% -------------- ----- PERU -- (0.1%) Other Securities....................................... 39,875,755 0.1% -------------- ----- PHILIPPINES -- (1.1%) Other Securities....................................... 328,294,418 1.1% -------------- ----- POLAND -- (1.4%) Other Securities....................................... 429,669,059 1.5% -------------- ----- RUSSIA -- (1.2%) Sberbank of Russia PJSC Sponsored ADR.................. 4,081,901 60,356,021 0.2% Other Securities....................................... 304,457,689 1.0% -------------- ----- TOTAL RUSSIA............................................... 364,813,710 1.2% -------------- ----- SOUTH AFRICA -- (7.4%) Barclays Africa Group, Ltd............................. 5,592,618 81,916,609 0.3% Bidvest Group, Ltd. (The).............................. 3,138,801 61,486,417 0.2% FirstRand, Ltd......................................... 23,983,632 128,444,985 0.4% MTN Group, Ltd......................................... 12,034,830 120,789,886 0.4% Naspers, Ltd. Class N.................................. 577,437 140,674,933 0.5% Sasol, Ltd............................................. 2,004,055 71,639,674 0.3% Shoprite Holdings, Ltd................................. 3,413,393 67,912,216 0.2% # Standard Bank Group, Ltd............................... 8,348,277 143,177,844 0.5% Other Securities....................................... 1,451,773,804 4.8% -------------- ----- TOTAL SOUTH AFRICA......................................... 2,267,816,368 7.6% -------------- ----- SOUTH KOREA -- (17.3%) LG Chem, Ltd........................................... 230,246 77,069,944 0.3% # LG Electronics, Inc.................................... 892,670 84,641,890 0.3% # Lotte Chemical Corp.................................... 154,753 59,591,788 0.2% Samsung Electronics Co., Ltd........................... 482,484 1,195,595,273 4.0% SK Holdings Co., Ltd................................... 261,617 71,612,157 0.3% # SK Hynix, Inc.......................................... 3,141,984 247,098,130 0.9% Other Securities....................................... 3,589,018,432 11.9% -------------- ----- TOTAL SOUTH KOREA.......................................... 5,324,627,614 17.9% -------------- ----- TAIWAN -- (14.7%) ASE Industrial Holdings Co., Ltd....................... 22,471,387 60,989,045 0.2% Hon Hai Precision Industry Co., Ltd.................... 55,950,504 155,619,704 0.5% Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 313,435,568 1.1% # Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR................................................... 10,645,186 409,307,402 1.4%
96 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Uni-President Enterprises Corp.. 26,707,734 $ 64,276,545 0.2% # United Microelectronics Corp.... 124,264,441 67,012,321 0.2% Other Securities................ 3,458,472,518 11.6% --------------- ------ TOTAL TAIWAN.......................... 4,529,113,103 15.2% --------------- ------ THAILAND -- (3.3%) PTT PCL......................... 72,022,800 128,938,156 0.5% Other Securities................ 876,184,309 2.9% --------------- ------ TOTAL THAILAND........................ 1,005,122,465 3.4% --------------- ------ TURKEY -- (1.3%) Other Securities................ 403,271,923 1.4% --------------- ------ TOTAL COMMON STOCKS................... 28,624,456,059 96.3% --------------- ------ PREFERRED STOCKS -- (2.4%) BRAZIL -- (2.3%) Banco Bradesco SA............... 6,392,532 63,082,277 0.2% Banco Bradesco SA ADR........... 10,092,312 98,904,657 0.3% Itau Unibanco Holding SA........ 11,379,145 165,691,421 0.6% Itau Unibanco Holding SA ADR.... 6,510,406 94,596,199 0.3% Other Securities................ 289,923,116 1.0% --------------- ------ TOTAL BRAZIL.......................... 712,197,670 2.4% --------------- ------ CHILE -- (0.0%) Other Securities................ 6,877,903 0.0% --------------- ------ COLOMBIA -- (0.1%) Other Securities................ 21,322,666 0.1% --------------- ------ MALAYSIA -- (0.0%) Other Securities................ 337,188 0.0% --------------- ------ SOUTH KOREA -- (0.0%) Other Securities................ 802,506 0.0% --------------- ------ TOTAL PREFERRED STOCKS................ 741,537,933 2.5% --------------- ------ RIGHTS/WARRANTS -- (0.0%) INDONESIA -- (0.0%) Other Securities................ 785,720 0.0% --------------- ------ MALAYSIA -- (0.0%) Other Securities................ 247,097 0.0% --------------- ------ TAIWAN -- (0.0%) Other Securities................ 10,287 0.0% --------------- ------ THAILAND -- (0.0%) Other Securities................ 113,815 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS................. 1,156,919 0.0% --------------- ------ TOTAL INVESTMENT SECURITIES........... 29,367,150,911 --------------- Value+ - ------ - SECURITIES LENDING COLLATERAL -- (4.8%) (S)@ DFA Short Term Investment Fund.. 128,046,537 1,481,498,432 5.0% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $24,421,259,111)............ $30,848,649,343 103.8% =============== ======
97 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED At April 30, 2018, Emerging Markets Core Equity 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: MSCI Emerging Markets Index(R). 650 06/15/18 $ 39,377,522 $ 37,446,500 $(1,931,022) S&P 500(R) Emini Index......... 1,590 06/15/18 218,065,219 210,436,500 (7,628,719) ------------ ------------ ----------- Total futures contracts........ $257,442,741 $247,883,000 $(9,559,741) ============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2018, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- --------------- ------- --------------- Common Stocks Brazil...................... $1,734,921,410 -- -- $ 1,734,921,410 Chile....................... 127,748,697 $ 284,615,235 -- 412,363,932 China....................... 834,923,624 4,209,016,756 -- 5,043,940,380 Colombia.................... 113,440,751 -- -- 113,440,751 Czech Republic.............. -- 43,658,908 -- 43,658,908 Egypt....................... 1,201,603 15,713,992 -- 16,915,595 Greece...................... -- 72,806,953 -- 72,806,953 Hong Kong................... 63,667 -- -- 63,667 Hungary..................... 313,544 115,835,478 -- 116,149,022 India....................... 118,552,523 3,647,714,742 -- 3,766,267,265 Indonesia................... 25,573,480 720,854,957 -- 746,428,437 Malaysia.................... -- 931,278,991 -- 931,278,991 Mexico...................... 933,581,144 35,189 -- 933,616,333 Peru........................ 39,874,052 1,703 -- 39,875,755 Philippines................. 6,148,881 322,145,537 -- 328,294,418 Poland...................... -- 429,669,059 -- 429,669,059 Russia...................... 67,008,973 297,804,737 -- 364,813,710 South Africa................ 127,894,141 2,139,922,227 -- 2,267,816,368 South Korea................. 112,709,338 5,211,918,276 -- 5,324,627,614 Taiwan...................... 499,048,365 4,030,064,738 -- 4,529,113,103 Thailand.................... 1,004,807,641 314,824 -- 1,005,122,465 Turkey...................... 2,521,709 400,750,214 -- 403,271,923 Preferred Stocks Brazil...................... 712,197,670 -- -- 712,197,670 Chile....................... -- 6,877,903 -- 6,877,903 Colombia.................... 21,322,666 -- -- 21,322,666 Malaysia.................... 337,188 -- -- 337,188 South Korea................. 802,506 -- -- 802,506 Rights/Warrants Indonesia................... -- 785,720 -- 785,720 Malaysia.................... -- 247,097 -- 247,097 Taiwan...................... -- 10,287 -- 10,287 Thailand.................... -- 113,815 -- 113,815 Securities Lending Collateral. -- 1,481,498,432 -- 1,481,498,432 Futures Contracts**........... (9,559,741) -- -- (9,559,741) -------------- --------------- -- --------------- TOTAL......................... $6,475,433,832 $24,363,655,770 -- $30,839,089,602 ============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
Enhanced U.S. Large U.S. Large Cap Company Equity U.S. Large Cap U.S. Targeted Portfolio Portfolio* Value Portfolio Value Portfolio* -------------- -------------- --------------- ---------------- ASSETS: Investments in Affiliated Investment Company at Value....................... -- -- $ 24,839,634 -- Investments at Value (including $13,344, $46,513, $0 and $2,271,688 of securities on loan, respectively)...... $ 333,535 $ 1,374,454 -- $ 10,778,729 Temporary Cash Investments at Value & Cost................................... -- 2,653 -- 109,733 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $13,667, $39,284, $0 and $1,553,156)..................... 13,668 39,285 -- 1,553,186 Segregated Cash for Futures Contracts... -- -- -- 3,625 Foreign Currencies at Value............. -- -- -- 114 Cash.................................... 2,049 -- -- -- Receivables: Investment Securities/Affiliated Investment Company Sold.............. 802 -- -- 8,732 Dividends, Interest and Tax Reclaims... 2,275 1,157 -- 3,092 Securities Lending Income.............. 2 20 -- 745 Fund Shares Sold....................... 614 1,676 18,353 6,848 Unrealized Gain on Forward Currency Contracts.............................. 899 -- -- -- Prepaid Expenses and Other Assets....... 20 26 143 94 -------------- -------------- -------------- -------------- Total Assets........................ 353,864 1,419,271 24,858,130 12,464,898 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....... 13,667 39,288 -- 1,553,309 Investment Securities/Affiliated Investment Company Purchased......... -- 858 -- 28,836 Fund Shares Redeemed................... 126 320 11,562 10,590 Due to Advisor......................... 33 170 3,080 3,145 Futures Margin Variation............... 3,113 -- -- 763 Unrealized Loss on Forward Currency Contracts.............................. 3 -- -- -- Accrued Expenses and Other Liabilities.. 34 62 730 604 -------------- -------------- -------------- -------------- Total Liabilities................... 16,976 40,698 15,372 1,597,247 -------------- -------------- -------------- -------------- NET ASSETS.............................. $ 336,888 $ 1,378,573 $ 24,842,758 $ 10,867,651 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $54,383 and shares outstanding of 0; 0; 0 and 2,216,810, respectively........................... N/A N/A N/A $ 24.53 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED............. N/A N/A N/A 200,000,000 ============== ============== ============== ============== Class R2 Shares -- based on net assets of $0; $0; $0 and $162,517 and shares outstanding of 0; 0; 0 and 6,659,347, respectively................ N/A N/A N/A $ 24.40 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED............. N/A N/A N/A 200,000,000 ============== ============== ============== ============== Institutional Class Shares -- based on net assets of $336,888; $1,378,573; $24,842,758 and $10,650,751 and shares outstanding of 26,415,122; 83,502,723; 652,299,557 and 433,977,742, respectively........................... $ 12.75 $ 16.51 $ 38.08 $ 24.54 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED............. 1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000 ============== ============== ============== ============== Investments at Cost..................... $ 337,987 $ 1,083,086 N/A $ 8,696,593 ============== ============== ============== ============== Foreign Currencies at Cost.............. $ -- $ -- $ -- $ 117 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital......................... $ 330,109 $ 1,092,971 $ 16,933,003 $ 8,455,102 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... 911 1,949 53,279 6,449 Accumulated Net Realized Gain (Loss).... 16,832 (7,716) 490,761 326,736 Net Unrealized Foreign Exchange Gain (Loss)................................. 891 -- -- -- Net Unrealized Appreciation (Depreciation)......................... (11,855) 291,369 7,365,715 2,079,364 -------------- -------------- -------------- -------------- NET ASSETS.............................. $ 336,888 $ 1,378,573 $ 24,842,758 $ 10,867,651 ============== ============== ============== ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector U.S. Small Cap Equity 1 Equity 2 Equity Value Portfolio* Portfolio* Portfolio* Portfolio* ---------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $2,971,663, $2,647,129, $2,943,460 and $802,757 of securities on loan, respectively).............................. $ 15,061,472 $ 22,046,506 $ 23,847,757 $ 4,712,091 Temporary Cash Investments at Value & Cost........... 134,661 237,183 235,937 42,523 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $2,037,398, $1,583,470, $1,845,897 and $508,786)................ 2,037,438 1,583,500 1,845,924 508,794 Segregated Cash for Futures Contracts................ 5,133 8,323 9,019 -- Foreign Currencies at Value.......................... 90 25 44 18 Cash................................................. -- -- -- 2,310 Receivables: Investment Securities Sold......................... 24,124 487 6,276 251 Dividends and Interest............................. 3,527 15,735 16,880 2,787 Securities Lending Income.......................... 873 828 929 254 Fund Shares Sold................................... 14,118 23,794 13,059 2,931 Prepaid Expenses and Other Assets.................... 139 191 242 53 -------------- -------------- -------------- -------------- Total Assets.................................... 17,281,575 23,916,572 25,976,067 5,272,012 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 2,037,485 1,583,611 1,845,999 508,823 Investment Securities Purchased.................... 21,060 30,559 24,691 7,695 Fund Shares Redeemed............................... 7,935 7,779 9,394 2,710 Due to Advisor..................................... 6,269 3,119 3,977 1,180 Futures Margin Variation........................... 1,080 1,751 1,897 1,060 Accrued Expenses and Other Liabilities............... 967 945 1,172 291 -------------- -------------- -------------- -------------- Total Liabilities............................... 2,074,796 1,627,764 1,887,130 521,759 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 15,206,779 $ 22,288,808 $ 24,088,937 $ 4,750,253 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $15,206,779; $22,288,808; $24,088,937 and $4,750,253 and shares outstanding of 405,319,759; 984,350,731; 1,130,060,587 and 250,967,407, respectively........................... $ 37.52 $ 22.64 $ 21.32 $ 18.93 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 11,262,607 $ 14,479,595 $ 15,459,295 $ 3,142,485 ============== ============== ============== ============== Foreign Currencies at Cost........................... $ 92 $ 26 $ 45 $ 19 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 10,769,616 $ 14,585,766 $ 15,491,424 $ 3,035,527 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 5,682 27,919 30,938 4,730 Accumulated Net Realized Gain (Loss)................. 636,540 113,954 184,461 141,433 Net Unrealized Appreciation (Depreciation)........... 3,794,941 7,561,169 8,382,114 1,568,563 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 15,206,779 $ 22,288,808 $ 24,088,937 $ 4,750,253 ============== ============== ============== ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. High DFA Real Relative Estate U.S. Small Cap U.S. Micro Cap Profitability Securities Portfolio* Portfolio* Portfolio* Portfolio* -------------- -------------- ------------- -------------- ASSETS: Investments at Value (including $4,559,007, $1,282,270, $12,936, $793,444 and $483,880 of securities on loan, respectively)....................... $ 17,305,922 $ 6,390,412 $ 376,027 $ 8,204,850 Temporary Cash Investments at Value & Cost............... 169,290 68,450 2,636 76,304 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $3,123,478, $952,845, $11,042, $590,266 and $456,114)......................... 3,123,516 952,862 11,042 590,272 Segregated Cash for Futures Contracts.................... 6,455 2,558 -- 3,062 Foreign Currencies at Value.............................. 62 41 -- -- Cash..................................................... -- -- -- -- Receivables: Investment Securities Sold............................. 27,528 9,770 39 -- Dividends, Interest and Tax Reclaims................... 3,853 1,853 358 6,360 Securities Lending Income.............................. 1,561 558 6 140 Fund Shares Sold....................................... 78,129 3,075 2,963 122,143 Deferred Offering Costs.................................. -- -- 2 -- Prepaid Expenses and Other Assets........................ 120 61 79 79 -------------- -------------- ------------ -------------- Total Assets......................................... 20,716,436 7,429,640 393,152 9,003,210 -------------- -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....................... 3,123,859 952,896 11,045 590,383 Investment Securities Purchased........................ 55,225 13,405 2,346 11,434 Fund Shares Redeemed................................... 6,919 2,173 312 10,583 Due to Advisor......................................... 5,055 2,676 53 1,080 Futures Margin Variation............................... 1,358 538 -- 644 Unrealized Loss on Foreign Currency Contracts............ -- -- -- -- Accrued Expenses and Other Liabilities................... 871 424 13 493 -------------- -------------- ------------ -------------- Total Liabilities.................................... 3,193,287 972,112 13,769 614,617 -------------- -------------- ------------ -------------- NET ASSETS............................................... $ 17,523,149 $ 6,457,528 $ 379,383 $ 8,388,593 ============== ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $17,523,149; $6,457,528; $379,383; $8,388,593 and $4,985,826 and shares outstanding of 491,972,850; 293,041,638; 32,693,326; 255,816,678 and 207,506,655, respectively............................... $ 35.62 $ 22.04 $ 11.60 $ 32.79 ============== ============== ============ ============== NUMBER OF SHARES AUTHORIZED.............................. 2,000,000,000 3,000,000,000 500,000,000 1,700,000,000 ============== ============== ============ ============== Investments at Cost...................................... $ 13,061,586 $ 4,114,069 $ 362,675 $ 6,422,634 ============== ============== ============ ============== Foreign Currencies at Cost............................... $ 64 $ 42 $ -- $ -- ============== ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 12,868,213 $ 3,978,224 $ 365,762 $ 6,648,088 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 9,380 2,513 445 46,682 Accumulated Net Realized Gain (Loss)..................... 404,975 201,285 (176) (86,019) Net Unrealized Foreign Exchange Gain (Loss).............. -- -- -- -- Net Unrealized Appreciation (Depreciation)............... 4,240,581 2,275,506 13,352 1,779,842 -------------- -------------- ------------ -------------- NET ASSETS............................................... $ 17,523,149 $ 6,457,528 $ 379,383 $ 8,388,593 ============== ============== ============ ==============
Large Cap International Portfolio* -------------- ASSETS: Investments at Value (including $4,559,007, $1,282,270, $12,936, $793,444 and $483,880 of securities on loan, respectively)....................... $ 4,904,107 Temporary Cash Investments at Value & Cost............... -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $3,123,478, $952,845, $11,042, $590,266 and $456,114)......................... 456,108 Segregated Cash for Futures Contracts.................... 1,711 Foreign Currencies at Value.............................. 14,535 Cash..................................................... 43,039 Receivables: Investment Securities Sold............................. 9,020 Dividends, Interest and Tax Reclaims................... 23,646 Securities Lending Income.............................. 512 Fund Shares Sold....................................... 3,602 Deferred Offering Costs.................................. -- Prepaid Expenses and Other Assets........................ 40 -------------- Total Assets......................................... 5,456,320 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....................... 456,108 Investment Securities Purchased........................ 11,454 Fund Shares Redeemed................................... 1,347 Due to Advisor......................................... 813 Futures Margin Variation............................... 315 Unrealized Loss on Foreign Currency Contracts............ 3 Accrued Expenses and Other Liabilities................... 454 -------------- Total Liabilities.................................... 470,494 -------------- NET ASSETS............................................... $ 4,985,826 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $17,523,149; $6,457,528; $379,383; $8,388,593 and $4,985,826 and shares outstanding of 491,972,850; 293,041,638; 32,693,326; 255,816,678 and 207,506,655, respectively............................... $ 24.03 ============== NUMBER OF SHARES AUTHORIZED.............................. 1,500,000,000 ============== Investments at Cost...................................... $ 3,978,740 ============== Foreign Currencies at Cost............................... $ 14,781 ============== NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 4,073,459 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 34,034 Accumulated Net Realized Gain (Loss)..................... (45,387) Net Unrealized Foreign Exchange Gain (Loss).............. (377) Net Unrealized Appreciation (Depreciation)............... 924,097 -------------- NET ASSETS............................................... $ 4,985,826 ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
International International Small Global Small Japanese Small Core Equity Company Company Company Portfolio* Portfolio Portfolio Portfolio -------------- -------------- ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value................................................... -- $ 14,200,317 $ 25,568 $ 715,032 Investments at Value (including $2,855,742, $0, $0, $0 and $0 of securities on loan, respectively).......... $ 28,567,295 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $2,698,580, $0, $0, $0 and $0)................................................. 2,698,603 -- -- -- Segregated Cash for Futures Contracts.................... 10,788 5,336 -- -- Foreign Currencies at Value.............................. 25,387 -- -- -- Cash..................................................... 329,995 122,869 151 -- Receivables: Investment Securities Sold............................. 27,825 -- -- -- Dividends, Interest and Tax Reclaims................... 138,054 -- -- -- Securities Lending Income.............................. 4,825 -- -- -- Fund Shares Sold....................................... 20,475 8,397 76 50 Unrealized Gain on Foreign Currency Contracts............ 10 -- -- -- Prepaid Expenses and Other Assets........................ 335 77 15 15 -------------- -------------- ------------ -------------- Total Assets......................................... 31,823,592 14,336,996 25,810 715,097 -------------- -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....................... 2,698,677 -- -- -- Investment Securities Purchased........................ 82,523 -- 108 -- Fund Shares Redeemed................................... 16,177 5,512 -- 8 Due to Advisor......................................... 6,489 4,721 2 235 Futures Margin Variation............................... 2,269 1,122 -- -- Unrealized Loss on Foreign Currency Contracts............ 21 -- -- -- Accrued Expenses and Other Liabilities................... 2,098 505 4 18 -------------- -------------- ------------ -------------- Total Liabilities.................................... 2,808,254 11,860 114 261 -------------- -------------- ------------ -------------- NET ASSETS............................................... $ 29,015,338 $ 14,325,136 $ 25,696 $ 714,836 ============== ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $29,015,338; $14,325,136; $25,696; $714,836 and $372,669 and shares outstanding of 1,985,487,769; 670,483,485; 2,201,400; 24,169,292 and 15,772,002, respectively................................ $ 14.61 $ 21.37 $ 11.67 $ 29.58 ============== ============== ============ ============== NUMBER OF SHARES AUTHORIZED.............................. 7,000,000,000 3,000,000,000 100,000,000 1,000,000,000 ============== ============== ============ ============== Investments in Affiliated Investment Companies at Cost.................................................... N/A N/A $ 24,410 N/A ============== ============== ============ ============== Investments at Cost...................................... $ 23,236,496 N/A N/A N/A ============== ============== ============ ============== Foreign Currencies at Cost............................... $ 25,424 $ -- $ -- $ -- ============== ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 23,766,903 $ 11,121,777 $ 24,038 $ 526,431 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 173,702 (29,089) 42 (8,691) Accumulated Net Realized Gain (Loss)..................... (247,970) 294,894 459 10,770 Net Unrealized Foreign Exchange Gain (Loss).............. (2,521) (1,592) (1) (184) Net Unrealized Appreciation (Depreciation)............... 5,325,224 2,939,146 1,158 186,510 -------------- -------------- ------------ -------------- NET ASSETS............................................... $ 29,015,338 $ 14,325,136 $ 25,696 $ 714,836 ============== ============== ============ ==============
Asia Pacific Small Company Portfolio -------------- ASSETS: Investments in Affiliated Investment Companies at Value................................................... $ 372,786 Investments at Value (including $2,855,742, $0, $0, $0 and $0 of securities on loan, respectively).......... -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $2,698,580, $0, $0, $0 and $0)................................................. -- Segregated Cash for Futures Contracts.................... -- Foreign Currencies at Value.............................. -- Cash..................................................... -- Receivables: Investment Securities Sold............................. -- Dividends, Interest and Tax Reclaims................... -- Securities Lending Income.............................. -- Fund Shares Sold....................................... 15 Unrealized Gain on Foreign Currency Contracts............ -- Prepaid Expenses and Other Assets........................ 12 -------------- Total Assets......................................... 372,813 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....................... -- Investment Securities Purchased........................ -- Fund Shares Redeemed................................... 11 Due to Advisor......................................... 123 Futures Margin Variation............................... -- Unrealized Loss on Foreign Currency Contracts............ -- Accrued Expenses and Other Liabilities................... 10 -------------- Total Liabilities.................................... 144 -------------- NET ASSETS............................................... $ 372,669 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $29,015,338; $14,325,136; $25,696; $714,836 and $372,669 and shares outstanding of 1,985,487,769; 670,483,485; 2,201,400; 24,169,292 and 15,772,002, respectively................................ $ 23.63 ============== NUMBER OF SHARES AUTHORIZED.............................. 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost.................................................... N/A ============== Investments at Cost...................................... N/A ============== Foreign Currencies at Cost............................... $ -- ============== NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 363,709 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ (5,837) Accumulated Net Realized Gain (Loss)..................... (4,049) Net Unrealized Foreign Exchange Gain (Loss).............. (4) Net Unrealized Appreciation (Depreciation)............... 18,850 -------------- NET ASSETS............................................... $ 372,669 ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA United Continental International DFA Global Kingdom Small Small Real Estate Real Estate Company Company Securities Securities Portfolio Portfolio Portfolio* Portfolio* -------------- -------------- -------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value............................................... $ 42,909 $ 757,213 -- $ 3,976,094 Investments at Value (including $0, $0, $364,886, $189,924 and $1,366,440 of securities on loan, respectively)....................................... -- -- $ 5,689,486 3,160,950 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $354,482, $195,531 and $1,193,519).................. -- -- 354,483 195,540 Segregated Cash for Futures Contracts................ -- -- 2,146 -- Foreign Currencies at Value.......................... -- -- 24,546 -- Cash................................................. -- -- 40,468 8,041 Receivables: Investment Securities/Affiliated Investment Company Sold...................................... -- -- 2,322 -- Dividends, Interest and Tax Reclaims............... -- -- 28,214 2,554 Securities Lending Income.......................... -- -- 354 50 Fund Shares Sold................................... 31 10,274 14,909 7,310 Unrealized Gain on Foreign Currency Contracts........ -- -- 3 -- Prepaid Expenses and Other Assets.................... 11 21 57 98 -------------- -------------- -------------- -------------- Total Assets..................................... 42,951 767,508 6,156,988 7,350,637 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... -- -- 354,521 195,574 Investment Securities/Affiliated Investment Company Purchased................................. -- -- -- 3,700 Fund Shares Redeemed............................... 4 2 2,597 5,493 Due to Advisor..................................... 15 250 1,183 528 Futures Margin Variation........................... -- -- 397 -- Unrealized Loss on Foreign Currency Contracts........ -- -- -- -- Accrued Expenses and Other Liabilities............... 4 12 469 226 -------------- -------------- -------------- -------------- Total Liabilities................................ 23 264 359,167 205,521 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 42,928 $ 767,244 $ 5,797,821 $ 7,145,116 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $42,928; $767,244; $5,797,821; $7,145,116 and $16,241,192 and shares outstanding of 1,367,279; 26,571,452; 1,109,093,705; 679,696,180 and 709,371,328, respectively........... $ 31.40 $ 28.87 $ 5.23 $ 10.51 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,000,000,000 1,000,000,000 4,000,000,000 3,000,000,000 ============== ============== ============== ============== Investments in Affiliated Investment Companies at Cost................................................ N/A N/A $ -- $ 3,349,138 ============== ============== ============== ============== Investments at Cost.................................. N/A N/A $ 5,159,669 $ 3,238,884 ============== ============== ============== ============== Foreign Currencies at Cost........................... $ -- $ -- $ 24,960 $ -- ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 33,085 $ 614,773 $ 5,937,529 $ 6,616,063 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 45 5,013 (396,721) 43,116 Accumulated Net Realized Gain (Loss)................. 59 11,799 (272,808) (63,094) Net Unrealized Foreign Exchange Gain (Loss).......... -- 63 (262) -- Net Unrealized Appreciation (Depreciation)........... 9,739 135,596 530,083 549,031 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 42,928 $ 767,244 $ 5,797,821 $ 7,145,116 ============== ============== ============== ==============
DFA International Small Cap Value Portfolio* ---------------- ASSETS: Investments in Affiliated Investment Companies at Value............................................... -- Investments at Value (including $0, $0, $364,886, $189,924 and $1,366,440 of securities on loan, respectively)....................................... $ 15,877,592 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $354,482, $195,531 and $1,193,519).................. 1,193,530 Segregated Cash for Futures Contracts................ 6,044 Foreign Currencies at Value.......................... 84,559 Cash................................................. 95,517 Receivables: Investment Securities/Affiliated Investment Company Sold...................................... 139,154 Dividends, Interest and Tax Reclaims............... 93,251 Securities Lending Income.......................... 3,022 Fund Shares Sold................................... 9,717 Unrealized Gain on Foreign Currency Contracts........ 1 Prepaid Expenses and Other Assets.................... 137 -------------- Total Assets..................................... 17,502,524 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 1,193,550 Investment Securities/Affiliated Investment Company Purchased................................. 50,164 Fund Shares Redeemed............................... 5,883 Due to Advisor..................................... 8,652 Futures Margin Variation........................... 1,271 Unrealized Loss on Foreign Currency Contracts........ 1 Accrued Expenses and Other Liabilities............... 1,811 -------------- Total Liabilities................................ 1,261,332 -------------- NET ASSETS........................................... $ 16,241,192 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $42,928; $767,244; $5,797,821; $7,145,116 and $16,241,192 and shares outstanding of 1,367,279; 26,571,452; 1,109,093,705; 679,696,180 and 709,371,328, respectively........... $ 22.90 ============== NUMBER OF SHARES AUTHORIZED.......................... 4,600,000,000 ============== Investments in Affiliated Investment Companies at Cost................................................ $ -- ============== Investments at Cost.................................. $ 12,682,554 ============== Foreign Currencies at Cost........................... $ 85,853 ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 12,430,241 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. (120,527) Accumulated Net Realized Gain (Loss)................. 745,243 Net Unrealized Foreign Exchange Gain (Loss).......... (3,030) Net Unrealized Appreciation (Depreciation)........... 3,189,265 -------------- NET ASSETS........................................... $ 16,241,192 ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 103 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
International International High Relative Vector Equity Profitability World ex U.S. Portfolio* Portfolio* Value Portfolio -------------- ------------- --------------- ASSETS: Investments in Affiliated Investment Companies at Value............. -- -- $ 248,910 Investments at Value (including $259,380, $9,312, $0 and $12,037 of securities on loan, respectively)............................... $ 2,664,687 $ 180,486 -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $237,085, $9,369, $0 and $8,118)................ 237,087 9,370 -- Foreign Currencies at Value......................................... 3,264 305 -- Cash................................................................ 17,086 1,534 -- Receivables: Investment Securities Sold........................................ 5,201 130 -- Dividends, Interest and Tax Reclaims.............................. 13,361 683 -- Securities Lending Income......................................... 505 4 -- Fund Shares Sold.................................................. 1,965 820 103 Unrealized Gain on Foreign Currency Contracts....................... 1 -- -- Deferred Offering Costs............................................. -- 2 -- Prepaid Expenses and Other Assets................................... 30 38 13 -------------- ------------ -------------- Total Assets.................................................... 2,943,187 193,372 249,026 -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 237,091 9,370 -- Investment Securities Purchased................................... 5,009 1,646 -- Fund Shares Redeemed.............................................. 1,028 58 66 Due to Advisor.................................................... 993 38 69 Line of Credit.................................................... -- -- 18 Futures Margin Variation.......................................... 68 -- -- Unrealized Loss on Foreign Currency Contracts....................... 1 -- -- Accrued Expenses and Other Liabilities.............................. 259 32 5 -------------- ------------ -------------- Total Liabilities............................................... 244,449 11,144 158 -------------- ------------ -------------- NET ASSETS.......................................................... $ 2,698,738 $ 182,228 $ 248,868 ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $2,698,738; $182,228; $248,868 and $527,259 and shares outstanding of 197,969,384; 16,744,402; 18,918,396 and 34,612,068, respectively....................................................... $ 13.63 $ 10.88 $ 13.15 ============== ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 1,500,000,000 500,000,000 1,000,000,000 ============== ============ ============== Investments in Affiliated Investment Companies at Cost.............. $ -- $ -- $ 203,584 ============== ============ ============== Investments at Cost................................................. $ 2,096,284 $ 176,387 N/A ============== ============ ============== Foreign Currencies at Cost.......................................... $ 3,290 $ 309 $ -- ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 2,076,142 $ 177,342 $ 197,871 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. 5,525 1,021 1,383 Accumulated Net Realized Gain (Loss)................................ 49,041 (219) 4,338 Net Unrealized Foreign Exchange Gain (Loss)......................... (281) (12) (50) Net Unrealized Appreciation (Depreciation).......................... 568,311 4,096 45,326 -------------- ------------ -------------- NET ASSETS.......................................................... $ 2,698,738 $ 182,228 $ 248,868 ============== ============ ==============
World ex U.S. Targeted Value Portfolio* -------------- ASSETS: Investments in Affiliated Investment Companies at Value............. -- Investments at Value (including $259,380, $9,312, $0 and $12,037 of securities on loan, respectively)............................... $ 522,149 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $237,085, $9,369, $0 and $8,118)................ 8,118 Foreign Currencies at Value......................................... 2,664 Cash................................................................ 1,161 Receivables: Investment Securities Sold........................................ 1,849 Dividends, Interest and Tax Reclaims.............................. 2,146 Securities Lending Income......................................... 48 Fund Shares Sold.................................................. 300 Unrealized Gain on Foreign Currency Contracts....................... -- Deferred Offering Costs............................................. -- Prepaid Expenses and Other Assets................................... 21 -------------- Total Assets.................................................... 538,456 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 8,119 Investment Securities Purchased................................... 2,632 Fund Shares Redeemed.............................................. 81 Due to Advisor.................................................... 253 Line of Credit.................................................... -- Futures Margin Variation.......................................... -- Unrealized Loss on Foreign Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 112 -------------- Total Liabilities............................................... 11,197 -------------- NET ASSETS.......................................................... $ 527,259 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $2,698,738; $182,228; $248,868 and $527,259 and shares outstanding of 197,969,384; 16,744,402; 18,918,396 and 34,612,068, respectively....................................................... $ 15.23 ============== NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost.............. $ -- ============== Investments at Cost................................................. $ 450,294 ============== Foreign Currencies at Cost.......................................... $ 2,690 ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 433,014 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. 2,605 Accumulated Net Realized Gain (Loss)................................ 19,865 Net Unrealized Foreign Exchange Gain (Loss)......................... (54) Net Unrealized Appreciation (Depreciation).......................... 71,829 -------------- NET ASSETS.......................................................... $ 527,259 ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
Selectively World ex U.S. World Core Hedged Global Core Equity Equity Equity Portfolio* Portfolio Portfolio -------------- -------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value........... -- $ 696,879 $ 388,786 Investments at Value (including $275,673, $0, $0 and $0 of securities on loan, respectively)................................ $ 3,228,608 -- -- Temporary Cash Investments at Value & Cost........................ -- 268 -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $234,933, $0, $0 and $0)...................... 234,936 -- -- Segregated Cash for Futures Contracts............................. -- -- 1,067 Foreign Currencies at Value....................................... 5,637 -- -- Cash.............................................................. 9,588 -- 21,725 Receivables: Investment Securities/Affiliated Investment Companies Sold...... 2,951 -- -- Dividends, Interest and Tax Reclaims............................ 12,063 1 -- Securities Lending Income....................................... 531 -- -- Fund Shares Sold................................................ 2,494 358 458 Unrealized Gain on Forward Currency Contracts..................... -- -- 2,795 Unrealized Gain on Foreign Currency Contracts..................... 1 -- -- Prepaid Expenses and Other Assets................................. 61 27 15 -------------- -------------- -------------- Total Assets.................................................. 3,496,870 697,533 414,846 -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................................ 234,949 -- -- Investment Securities/Affiliated Investment Companies Purchased...................................................... 3,756 33 259 Fund Shares Redeemed............................................ 2,991 51 134 Due to Advisor.................................................. 933 37 13 Futures Margin Variation........................................ -- -- 224 Unrealized Loss on Forward Currency Contracts..................... -- -- 35 Unrealized Loss on Foreign Currency Contracts..................... 3 -- -- Accrued Expenses and Other Liabilities............................ 532 10 10 -------------- -------------- -------------- Total Liabilities............................................. 243,164 131 675 -------------- -------------- -------------- NET ASSETS........................................................ $ 3,253,706 $ 697,402 $ 414,171 ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,253,706; $697,402; $414,171 and $6,262,102 and shares outstanding of 259,188,664; 42,110,941; 24,926,634 and 204,430,684, respectively..................................................... $ 12.55 $ 16.56 $ 16.62 ============== ============== ============== NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000 1,000,000,000 1,000,000,000 ============== ============== ============== Investments in Affiliated Investment Companies at Cost............ $ -- $ 588,258 $ 302,835 ============== ============== ============== Investments at Cost............................................... $ 2,723,448 $ -- $ -- ============== ============== ============== Foreign Currencies at Cost........................................ $ 5,680 $ -- $ -- ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital................................................... $ 2,727,738 $ 588,132 $ 327,560 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................... 14,559 (34) (1,066) Accumulated Net Realized Gain (Loss).............................. 6,527 683 (249) Net Unrealized Foreign Exchange Gain (Loss)....................... (238) -- 2,760 Net Unrealized Appreciation (Depreciation)........................ 505,120 108,621 85,166 -------------- -------------- -------------- NET ASSETS........................................................ $ 3,253,706 $ 697,402 $ 414,171 ============== ============== ==============
Emerging Markets Portfolio -------------- ASSETS: Investments in Affiliated Investment Companies at Value........... $ 6,290,336 Investments at Value (including $275,673, $0, $0 and $0 of securities on loan, respectively)................................ -- Temporary Cash Investments at Value & Cost........................ -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $234,933, $0, $0 and $0)...................... -- Segregated Cash for Futures Contracts............................. -- Foreign Currencies at Value....................................... -- Cash.............................................................. -- Receivables: Investment Securities/Affiliated Investment Companies Sold...... -- Dividends, Interest and Tax Reclaims............................ -- Securities Lending Income....................................... -- Fund Shares Sold................................................ 6,932 Unrealized Gain on Forward Currency Contracts..................... -- Unrealized Gain on Foreign Currency Contracts..................... -- Prepaid Expenses and Other Assets................................. 48 -------------- Total Assets.................................................. 6,297,316 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................................ -- Investment Securities/Affiliated Investment Companies Purchased...................................................... -- Fund Shares Redeemed............................................ 33,325 Due to Advisor.................................................. 1,659 Futures Margin Variation........................................ -- Unrealized Loss on Forward Currency Contracts..................... -- Unrealized Loss on Foreign Currency Contracts..................... -- Accrued Expenses and Other Liabilities............................ 230 -------------- Total Liabilities............................................. 35,214 -------------- NET ASSETS........................................................ $ 6,262,102 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,253,706; $697,402; $414,171 and $6,262,102 and shares outstanding of 259,188,664; 42,110,941; 24,926,634 and 204,430,684, respectively..................................................... $ 30.63 ============== NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000 ============== Investments in Affiliated Investment Companies at Cost............ N/A ============== Investments at Cost............................................... N/A ============== Foreign Currencies at Cost........................................ $ -- ============== NET ASSETS CONSIST OF: Paid-In Capital................................................... $ 4,086,213 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................... 3,312 Accumulated Net Realized Gain (Loss).............................. (137,689) Net Unrealized Foreign Exchange Gain (Loss)....................... (54) Net Unrealized Appreciation (Depreciation)........................ 2,310,320 -------------- NET ASSETS........................................................ $ 6,262,102 ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2018 (Unaudited) (Amounts in thousands, except share and per share amounts)
Emerging Emerging Markets Small Markets Value Cap Portfolio Portfolio -------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value........................... $ 7,825,211 $ 19,926,153 Investments at Value (including $0, $0 and $2,428,598 of securities on loan, respectively).................................................................... -- -- Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0 and $1,481,465)........................................................ -- -- Segregated Cash for Futures Contracts............................................. -- -- Foreign Currencies at Value....................................................... -- -- Cash.............................................................................. -- -- Receivables: Investment Securities Sold...................................................... -- -- Dividends, Interest and Tax Reclaims............................................ -- -- Securities Lending Income....................................................... -- -- Fund Shares Sold................................................................ 15,463 4,552 Unrealized Gain on Foreign Currency Contracts..................................... -- -- Prepaid Expenses and Other Assets................................................. 51 73 -------------- -------------- Total Assets................................................................. 7,840,725 19,930,778 -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................................................ -- -- Investment Securities Purchased................................................. -- -- Fund Shares Redeemed............................................................ 1,507 82,819 Due to Advisor.................................................................. 2,917 6,591 Futures Margin Variation........................................................ -- -- Accrued Expenses and Other Liabilities............................................ 191 741 -------------- -------------- Total Liabilities............................................................ 4,615 90,151 -------------- -------------- NET ASSETS........................................................................ $ 7,836,110 $ 19,840,627 ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $29,362 and $0 and shares outstanding of 0; 923,044 and 0, respectively.................................... N/A $ 31.81 ============== ============== NUMBER OF SHARES AUTHORIZED....................................................... N/A 200,000,000 ============== ============== Institutional Class Shares -- based on net assets of $7,836,110; $19,811,265 and $29,708,499 and shares outstanding of 326,868,247; 618,322,616 and 1,275,092,734, respectively...................................................... $ 23.97 $ 32.04 ============== ============== NUMBER OF SHARES AUTHORIZED....................................................... 1,500,000,000 3,000,000,000 ============== ============== Investments at Cost............................................................... N/A N/A ============== ============== Foreign Currencies at Cost........................................................ $ -- $ -- ============== ============== NET ASSETS CONSIST OF: Paid-In Capital................................................................... $ 6,385,914 $ 17,416,333 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................................... (43,421) (93,976) Accumulated Net Realized Gain (Loss).............................................. 231,739 (1,040,575) Net Unrealized Foreign Exchange Gain (Loss)....................................... (159) 62 Net Unrealized Appreciation (Depreciation)........................................ 1,262,037 3,558,783 -------------- -------------- NET ASSETS........................................................................ $ 7,836,110 $ 19,840,627 ============== ==============
Emerging Markets Core Equity Portfolio* -------------- ASSETS: Investments in Affiliated Investment Companies at Value........................... -- Investments at Value (including $0, $0 and $2,428,598 of securities on loan, respectively).................................................................... $ 29,367,151 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0 and $1,481,465)........................................................ 1,481,498 Segregated Cash for Futures Contracts............................................. 10,912 Foreign Currencies at Value....................................................... 159,401 Cash.............................................................................. 167,963 Receivables: Investment Securities Sold...................................................... 6,819 Dividends, Interest and Tax Reclaims............................................ 28,272 Securities Lending Income....................................................... 7,215 Fund Shares Sold................................................................ 26,809 Unrealized Gain on Foreign Currency Contracts..................................... 1 Prepaid Expenses and Other Assets................................................. 231 -------------- Total Assets................................................................. 31,256,272 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................................................ 1,481,586 Investment Securities Purchased................................................. 39,671 Fund Shares Redeemed............................................................ 7,250 Due to Advisor.................................................................. 11,529 Futures Margin Variation........................................................ 2,249 Accrued Expenses and Other Liabilities............................................ 5,488 -------------- Total Liabilities............................................................ 1,547,773 -------------- NET ASSETS........................................................................ $ 29,708,499 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $29,362 and $0 and shares outstanding of 0; 923,044 and 0, respectively.................................... N/A ============== NUMBER OF SHARES AUTHORIZED....................................................... N/A ============== Institutional Class Shares -- based on net assets of $7,836,110; $19,811,265 and $29,708,499 and shares outstanding of 326,868,247; 618,322,616 and 1,275,092,734, respectively...................................................... $ 23.30 ============== NUMBER OF SHARES AUTHORIZED....................................................... 5,000,000,000 ============== Investments at Cost............................................................... $ 22,939,794 ============== Foreign Currencies at Cost........................................................ $ 159,963 ============== NET ASSETS CONSIST OF: Paid-In Capital................................................................... $ 24,005,758 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................................... 32,981 Accumulated Net Realized Gain (Loss).............................................. (747,330) Net Unrealized Foreign Exchange Gain (Loss)....................................... (274) Net Unrealized Appreciation (Depreciation)........................................ 6,417,364 -------------- NET ASSETS........................................................................ $ 29,708,499 ==============
---------- * See Note K in the Notes to Financial Statements for additional information about securities lending collateral. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
Enhanced U.S. Large U.S. Large U.S. Large U.S. Targeted Company Cap Equity Cap Value Value Portfolio# Portfolio# Portfolio* Portfolio# ---------- ---------- ---------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends........................................................... -- -- $274,025 -- Interest............................................................ -- -- 1,488 -- Income from Securities Lending...................................... -- -- 1,051 -- Expenses Allocated from Affiliated Investment Company............... -- -- (13,541) -- -------- ------- -------- --------- Total Net Investment Income Received from Affiliated Investment Company........................................................... -- -- 263,023 -- -------- ------- -------- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $45, respectively)....................................................... -- $11,743 -- $ 76,711 Non Cash Income...................................................... -- -- -- 5,335 Interest............................................................. $ 3,423 -- -- -- Income from Securities Lending....................................... 8 100 -- 5,703 -------- ------- -------- --------- Total Investment Income............................................ 3,431 11,843 -- 87,749 -------- ------- -------- --------- Fund Expenses Investment Management Fees........................................... 347 989 31,056 18,924 Accounting & Transfer Agent Fees..................................... 15 47 441 325 S&P 500(R) Fees...................................................... 4 -- -- -- Custodian Fees....................................................... 4 8 -- 67 Shareholder Servicing Fees Class R1 Shares..................................................... -- -- -- 29 Class R2 Shares..................................................... -- -- -- 195 Filing Fees.......................................................... 14 23 152 100 Shareholders' Reports................................................ 6 10 231 160 Directors'/Trustees' Fees & Expenses................................. 1 5 95 42 Professional Fees.................................................... 2 8 58 63 Other................................................................ 5 18 56 128 -------- ------- -------- --------- Total Expenses..................................................... 398 1,108 32,089 20,033 -------- ------- -------- --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................................... (137) -- (12,423) -- -------- ------- -------- --------- Net Expenses......................................................... 261 1,108 19,666 20,033 -------- ------- -------- --------- Net Investment Income (Loss)......................................... 3,170 10,735 243,357 67,716 -------- ------- -------- --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**........................................ (1,122) 3,202 -- 324,706 Affiliated Investment Companies Shares Sold......................... (1) (5) -- (162) Transactions Allocated from Affiliated Investment Company........... -- -- 497,515 -- Futures............................................................. 32,203 21 -- 8,335 Foreign Currency Transactions....................................... (17) -- -- 1 Forward Currency Contracts.......................................... 310 -- -- -- In-Kind Redemptions................................................. -- -- -- 16,160 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... (3,397) 37,104 -- (144,015) Affiliated Investment Companies Shares.............................. 2 1 -- 5 Transactions Allocated from Affiliated Investment Company........... -- -- 105,827 -- Futures............................................................. (21,933) -- -- (3,740) Translation of Foreign Currency Denominated Amounts................. 4 -- -- -- -------- ------- -------- --------- Net Realized and Unrealized Gain (Loss).............................. 6,049 40,323 603,342 201,290 -------- ------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations........ $ 9,219 $51,058 $846,699 $ 269,006 ======== ======= ======== =========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
U.S. Small U.S. Core U.S. Core U.S. Vector Cap Value Equity 1 Equity 2 Equity Portfolio# Portfolio# Portfolio# Portfolio# ---------- ---------- ---------- ----------- Investment Income Dividends (Net of Foreign Taxes Withheld of $95, $27, $31 and $11, respectively)...................................................... $ 109,030 $185,301 $200,648 $ 39,152 Income from Securities Lending...................................... 5,830 5,011 6,076 1,751 --------- -------- -------- -------- Total Investment Income.......................................... 114,860 190,312 206,724 40,903 --------- -------- -------- -------- Expenses Investment Management Fees.......................................... 37,707 18,598 23,648 7,157 Accounting & Transfer Agent Fees.................................... 528 622 709 163 Custodian Fees...................................................... 96 106 116 29 Filing Fees......................................................... 115 160 185 45 Shareholders' Reports............................................... 208 142 163 57 Directors'/Trustees' Fees & Expenses................................ 59 83 90 19 Professional Fees................................................... 89 124 135 29 Other............................................................... 184 251 272 62 --------- -------- -------- -------- Total Expenses................................................... 38,986 20,086 25,318 7,561 --------- -------- -------- -------- Net Investment Income (Loss)........................................ 75,874 170,226 181,406 33,342 --------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**...................................... 643,656 104,160 174,206 139,689 Affiliated Investment Companies Shares Sold....................... (171) (183) (162) (46) Futures........................................................... 14,383 17,432 18,482 1,242 Foreign Currency Transactions..................................... 3 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................ (563,438) 592,027 456,197 (31,996) Affiliated Investment Companies Shares............................ (29) 13 (15) (18) Futures........................................................... (9,360) (12,650) (14,032) (1,061) --------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)............................. 85,044 700,799 634,676 107,810 --------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations....... $ 160,918 $871,025 $816,082 $141,152 ========= ======== ======== ========
---------- **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
U.S. High DFA Real U.S. Small U.S. Micro Relative Estate Large Cap Cap Cap Profitability Securities International Portfolio# Portfolio# Portfolio# Portfolio# Portfolio# ---------- ---------- ------------- ---------- ------------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $49, $5, $0, $0 and $7,015, respectively)............................. $ 115,320 $ 40,286 $2,238 $ 175,759 $ 68,198 Non Cash Income........................................... 6,759 -- -- -- -- Income from Securities Lending............................ 10,570 4,029 23 642 1,534 --------- --------- ------ --------- -------- Total Investment Income................................ 132,649 44,315 2,261 176,401 69,732 --------- --------- ------ --------- -------- Fund Expenses Investment Management Fees................................ 30,208 15,930 271 6,966 4,831 Accounting & Transfer Agent Fees.......................... 556 261 9 272 207 Custodian Fees............................................ 106 41 6 42 229 Filing Fees............................................... 90 50 55 71 35 Shareholders' Reports..................................... 177 70 2 135 73 Directors'/Trustees' Fees & Expenses...................... 66 25 1 33 19 Professional Fees......................................... 99 37 1 50 32 Organizational & Offering Costs........................... -- -- 19 -- -- Other..................................................... 207 77 3 99 77 --------- --------- ------ --------- -------- Total Expenses......................................... 31,509 16,491 367 7,668 5,503 --------- --------- ------ --------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................................. -- -- (28) (292) 40 Fees Paid Indirectly (Note C)............................. -- -- -- -- (60) --------- --------- ------ --------- -------- Net Expenses.............................................. 31,509 16,491 339 7,376 5,483 --------- --------- ------ --------- -------- Net Investment Income (Loss).............................. 101,140 27,824 1,922 169,025 64,249 --------- --------- ------ --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**............................ 460,896 204,682 213 (5,888) (3,936) Affiliated Investment Companies Shares Sold............. (369) (70) -- (57) (55) Futures................................................. 14,625 4,412 (37) 6,473 3,576 Foreign Currency Transactions........................... 1 -- -- -- 484 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............. (231,363) (129,113) 3,832 (506,291) 83,514 Affiliated Investment Companies Shares.................. (15) (6) 1 (1) 41 Futures................................................. (9,693) (1,811) -- (4,754) (2,046) Translation of Foreign Currency Denominated Amounts................................................ -- -- -- -- (375) --------- --------- ------ --------- -------- Net Realized and Unrealized Gain (Loss)................... 234,082 78,094 4,009 (510,518) 81,203 --------- --------- ------ --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $ 335,222 $ 105,918 $5,931 $(341,493) $145,452 ========= ========= ====== ========= ========
---------- **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. 109 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
International Japanese International Small Global Small Small Core Equity Company Company Company Portfolio# Portfolio*# Portfolio*# Portfolio*# ------------- ------------- ------------ ----------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $14,541, $10, $756 and $105, respectively).............................. -- $162,144 $ 109 $ 6,808 Income from Securities Lending.................................. -- 19,715 20 1,133 Expenses Allocated from Affiliated Investment Companies......... -- (8,407) (8) (427) Income Distributions Received from Affiliated Investment Companies....................................................... -- 935 52 -- -------- -------- ----- ------- Total Net Investment Income Received from Affiliated Investment Companies.......................................... -- 174,387 173 7,514 -------- -------- ----- ------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $36,164, $0, $0, $0 and $0, respectively)........................................... $362,996 -- -- -- Income from Securities Lending................................... 18,704 -- -- -- -------- -------- ----- ------- Total Investment Income........................................ 381,700 -- -- -- -------- -------- ----- ------- Fund Expenses Investment Management Fees....................................... 36,719 27,983 45 1,706 Accounting & Transfer Agent Fees................................. 859 151 2 4 Custodian Fees................................................... 1,315 2 2 -- Filing Fees...................................................... 228 53 9 10 Shareholders' Reports............................................ 230 203 1 4 Directors'/Trustees' Fees & Expenses............................. 103 54 -- 3 Professional Fees................................................ 171 32 1 2 Organizational & Offering Costs.................................. -- -- 7 -- Other............................................................ 398 36 -- 2 -------- -------- ----- ------- Total Expenses................................................. 40,023 28,514 67 1,731 -------- -------- ----- ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................... 785 -- (43) (341) Fees Paid Indirectly (Note C).................................... (377) -- -- -- -------- -------- ----- ------- Net Expenses..................................................... 40,431 28,514 24 1,390 -------- -------- ----- ------- Net Investment Income (Loss)..................................... 341,269 145,873 149 6,124 -------- -------- ----- ------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies....................................................... -- -- 333 -- Net Realized Gain (Loss) on: Investment Securities Sold**.................................... 48,836 -- -- -- Affiliated Investment Companies Shares Sold..................... (130) -- (3) -- Transactions Allocated from Affiliated Investment Company....... -- 321,930 136 17,300 Futures......................................................... 33,099 11,806 2 -- Foreign Currency Transactions................................... 395 (230) -- (93) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... 510,914 29 -- -- Affiliated Investment Companies Shares.......................... (17) -- (308) -- Transactions Allocated from Affiliated Investment Company....... -- 60,840 170 16,128 Futures......................................................... (14,558) (5,581) -- -- Translation of Foreign Currency Denominated Amounts............. (2,401) (1,397) (1) (115) -------- -------- ----- ------- Net Realized and Unrealized Gain (Loss).......................... 576,138 387,397 329 33,220 -------- -------- ----- ------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $917,407 $533,270 $ 478 $39,344 ======== ======== ===== =======
Asia Pacific Small Company Portfolio*# ------------ Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $14,541, $10, $756 and $105, respectively).............................. $ 6,031 Income from Securities Lending.................................. 640 Expenses Allocated from Affiliated Investment Companies......... (226) Income Distributions Received from Affiliated Investment Companies....................................................... -- ------- Total Net Investment Income Received from Affiliated Investment Companies.......................................... 6,445 ------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $36,164, $0, $0, $0 and $0, respectively)........................................... -- Income from Securities Lending................................... -- ------- Total Investment Income........................................ -- ------- Fund Expenses Investment Management Fees....................................... 887 Accounting & Transfer Agent Fees................................. 3 Custodian Fees................................................... -- Filing Fees...................................................... 10 Shareholders' Reports............................................ 3 Directors'/Trustees' Fees & Expenses............................. 1 Professional Fees................................................ 1 Organizational & Offering Costs.................................. -- Other............................................................ 1 ------- Total Expenses................................................. 906 ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)....................... (177) Fees Paid Indirectly (Note C).................................... -- ------- Net Expenses..................................................... 729 ------- Net Investment Income (Loss)..................................... 5,716 ------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies....................................................... -- Net Realized Gain (Loss) on: Investment Securities Sold**.................................... -- Affiliated Investment Companies Shares Sold..................... -- Transactions Allocated from Affiliated Investment Company....... 973 Futures......................................................... -- Foreign Currency Transactions................................... (27) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... -- Affiliated Investment Companies Shares.......................... -- Transactions Allocated from Affiliated Investment Company....... 5,128 Futures......................................................... -- Translation of Foreign Currency Denominated Amounts............. (3) ------- Net Realized and Unrealized Gain (Loss).......................... 6,071 ------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $11,787 =======
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
United DFA DFA Kingdom Continental International DFA Global International Small Small Real Estate Real Estate Small Cap Company Company Securities Securities Value Portfolio*# Portfolio*# Portfolio# Portfolio# Portfolio# ----------- ----------- ------------- ----------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $1, $1,155, $0, $0 and $0, respectively)................................ $ 720 $ 7,266 -- -- -- Income from Securities Lending............................... 11 1,050 -- -- -- Expenses Allocated from Affiliated Investment Company........ (25) (429) -- -- -- Income Distributions Received from Affiliated Investment Companies.................................................... -- -- -- $ 198,065 -- ------ ------- -------- --------- --------- Total Net Investment Income Received from Affiliated Investment Company......................................... 706 7,887 -- 198,065 -- ------ ------- -------- --------- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $14,173, $0 and $15,848, respectively)................................ -- -- $131,553 96 $ 182,995 Non Cash Income............................................... -- -- -- -- 11,168 Income from Securities Lending................................ -- -- 1,807 296 13,567 ------ ------- -------- --------- --------- Total Fund Investment Income................................ -- -- 133,360 392 207,730 ------ ------- -------- --------- --------- Fund Expenses Investment Management Fees.................................... 109 1,760 7,151 6,913 52,595 Accounting & Transfer Agent Fees.............................. 2 5 208 110 581 Custodian Fees................................................ -- -- 275 18 1,169 Filing Fees................................................... 8 43 66 86 105 Shareholders' Reports......................................... 2 3 64 151 194 Directors'/Trustees' Fees & Expenses.......................... -- 3 23 27 64 Professional Fees............................................. 1 1 39 22 107 Other......................................................... -- 2 103 27 258 ------ ------- -------- --------- --------- Total Expenses.............................................. 122 1,817 7,929 7,354 55,073 ------ ------- -------- --------- --------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................... (20) (352) -- (3,830) -- Fees Paid Indirectly (Note C)................................. -- -- (75) -- (248) ------ ------- -------- --------- --------- Net Expenses.................................................. 102 1,465 7,854 3,524 54,825 ------ ------- -------- --------- --------- Net Investment Income (Loss).................................. 604 6,422 125,506 194,933 152,905 ------ ------- -------- --------- --------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies......................................... -- -- -- 5,030 -- Net Realized Gain (Loss) on: Investment Securities Sold**................................. -- -- (50,919) 1 749,846 Affiliated Investment Companies Shares Sold.................. -- -- (65) (19,596) (73) Transactions Allocated from Affiliated Investment Company..................................................... 1,483 12,710 -- -- -- Futures...................................................... -- -- 2,020 -- 15,893 Foreign Currency Transactions................................ 7 (14) 382 -- (1,918) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... -- -- 337,116 (180,268) (478,067) Affiliated Investment Companies Shares....................... -- -- 6 (6,034) (35) Transactions Allocated from Affiliated Investment Company..................................................... (210) 3,041 -- -- -- Futures...................................................... -- -- 215 -- (10,499) Translation of Foreign Currency Denominated Amounts.......... (6) (74) (152) -- (2,956) ------ ------- -------- --------- --------- Net Realized and Unrealized Gain (Loss)....................... 1,274 15,663 288,603 (200,867) 272,191 ------ ------- -------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................................... $1,878 $22,085 $414,109 $ (5,934) $ 425,096 ====== ======= ======== ========= =========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
International World ex U.S. International High Relative World ex U.S. Targeted Vector Equity Profitability Value Value Portfolio# Portfolio# Portfolio*# Portfolio# ------------- ------------- ------------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $339 and $0, respectively)...................................................... -- -- $ 3,202 -- Income from Securities Lending...................................... -- -- 103 -- Expenses Allocated from Affiliated Investment Companies............. -- -- (223) -- Income Distributions Received from Affiliated Investment Companies........................................................... -- -- 478 -- ------- ------ ------- ------- Total Net Investment Income Received from Affiliated Investment Companies......................................................... -- -- 3,560 -- ------- ------ ------- ------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $3,246, $206, $0 and $501, respectively)................................................. $33,521 $1,913 -- $ 5,417 Income from Securities Lending....................................... 2,197 22 -- 167 ------- ------ ------- ------- Total Investment Income............................................ 35,718 1,935 -- 5,584 ------- ------ ------- ------- Fund Expenses Investment Management Fees........................................... 5,882 166 594 1,445 Accounting & Transfer Agent Fees..................................... 109 9 4 22 Custodian Fees....................................................... 143 10 -- 119 Filing Fees.......................................................... 38 31 12 21 Shareholders' Reports................................................ 40 1 2 5 Directors'/Trustees' Fees & Expenses................................. 10 -- 1 2 Professional Fees.................................................... 19 1 2 14 Organizational & Offering Costs...................................... -- 18 -- -- Other................................................................ 44 3 1 10 ------- ------ ------- ------- Total Expenses..................................................... 6,285 239 616 1,638 ------- ------ ------- ------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................................. -- (5) (276) -- Fees Paid Indirectly (Note C)........................................ (11) (5) -- (4) ------- ------ ------- ------- Net Expenses......................................................... 6,274 229 340 1,634 ------- ------ ------- ------- Net Investment Income (Loss)......................................... 29,444 1,706 3,220 3,950 ------- ------ ------- ------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies........................................................... -- -- 773 -- Net Realized Gain (Loss) on: Investment Securities Sold**........................................ 50,228 (35) -- 19,944 Affiliated Investment Companies Shares Sold......................... (9) -- (70) (1) Transactions Allocated from Affiliated Investment Company........... -- -- 4,407 -- Futures............................................................. (17) 24 -- 22 Foreign Currency Transactions....................................... 229 29 27 (16) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... 16,281 375 (6,349) (7,442) Affiliated Investment Companies Shares.............................. (5) 1 5,791 -- Transactions Allocated from Affiliated Investment Company........... -- -- 4,540 -- Futures............................................................. (68) -- -- -- Translation of Foreign Currency Denominated Amounts................. (265) (11) (15) (51) ------- ------ ------- ------- Net Realized and Unrealized Gain (Loss).............................. 66,374 383 9,104 12,456 ------- ------ ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................................ $95,818 $2,089 $12,324 $16,406 ======= ====== ======= =======
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
Selectively World ex U.S. World Core Hedged Emerging Core Equity Equity Global Equity Markets Portfolio# Portfolio Portfolio Portfolio*# ------------- ---------- ------------- ----------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $5,092, respectively)....................................................... -- -- -- $ 52,504 Interest............................................................. -- -- -- 22 Income from Securities Lending....................................... -- -- -- 2,617 Expenses Allocated from Affiliated Investment Companies.............. -- -- -- (4,740) Income Distributions Received from Affiliated Investment Companies.... -- $ 5,028 $ 3,043 -- -------- ------- ------- -------- Total Net Investment Income Received from Affiliated Investment Companies.......................................................... -- 5,028 3,043 50,403 -------- ------- ------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $3,792, $0, $0 and $0, respectively)........................................................ $ 36,469 -- -- -- Income from Securities Lending........................................ 2,270 -- -- -- -------- ------- ------- -------- Total Fund Investment Income........................................ 38,739 -- -- -- -------- ------- ------- -------- Fund Expenses Investment Management Fees............................................ 4,924 996 620 13,430 Accounting & Transfer Agent Fees...................................... 113 5 6 50 Custodian Fees........................................................ 414 -- 1 -- Filing Fees........................................................... 45 19 18 41 Shareholders' Reports................................................. 37 3 4 95 Directors'/Trustees' Fees & Expenses.................................. 11 2 2 25 Professional Fees..................................................... 31 2 1 16 Other................................................................. 50 7 1 16 -------- ------- ------- -------- Total Expenses...................................................... 5,625 1,034 653 13,673 -------- ------- ------- -------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................ 377 (773) (550) (3,198) Fees Paid Indirectly (Note C)......................................... (37) -- -- -- -------- ------- ------- -------- Net Expenses.......................................................... 5,965 261 103 10,475 -------- ------- ------- -------- Net Investment Income (Loss).......................................... 32,774 4,767 2,940 39,928 -------- ------- ------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies............................................................ -- 1,843 1,607 -- Net Realized Gain (Loss) on: Investment Securities Sold**......................................... 11,474 1 (1) -- Affiliated Investment Companies Shares Sold.......................... (13) 3,184 2,281 -- Transactions Allocated from Affiliated Investment Company............ -- -- -- 85,126 Futures.............................................................. 657 145 2,531 -- Foreign Currency Transactions........................................ (137) -- -- 994 Forward Currency Contracts........................................... -- -- (3,348) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 69,738 -- 5 -- Affiliated Investment Companies Shares............................... (1) 15,802 8,108 -- Transactions Allocated from Affiliated Investment Company............ -- -- -- 130,204 Futures.............................................................. -- -- (1,801) -- Translation of Foreign Currency Denominated Amounts.................. (227) -- -- (43) Forward Currency Contracts........................................... -- -- 1,336 -- -------- ------- ------- -------- Net Realized and Unrealized Gain (Loss)............................... 81,491 20,975 10,718 216,281 -------- ------- ------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......... $114,265 $25,742 $13,658 $256,209 ======== ======= ======= ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (Amounts in thousands)
Emerging Emerging Emerging Markets Markets Markets Core Small Cap Value Equity Portfolio* Portfolio*# Portfolio# ---------- ----------- ------------ Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $5,515, $21,127 and $0, respectively).. $ 53,376 $ 168,355 -- Interest........................................................................... 4 11 -- Income from Securities Lending..................................................... 28,514 14,367 -- Expenses Allocated from Affiliated Investment Companies............................ (9,832) (15,103) -- -------- ---------- ---------- Total Net Investment Income Received from Affiliated Investment Companies......... 72,062 167,630 -- -------- ---------- ---------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0 and $29,574, respectively)....... -- -- $ 232,611 Income from Securities Lending...................................................... -- -- 36,025 -------- ---------- ---------- Total Investment Income........................................................... -- -- 268,636 -------- ---------- ---------- Fund Expenses Investment Management Fees.......................................................... 24,976 49,752 67,829 Accounting & Transfer Agent Fees.................................................... 92 96 922 Custodian Fees...................................................................... -- -- 5,193 Shareholder Servicing Fees Class R2 Shares.................................................................... -- 40 -- Filing Fees......................................................................... 36 59 189 Shareholders' Reports............................................................... 68 159 281 Directors'/Trustees' Fees & Expenses................................................ 29 77 109 Professional Fees................................................................... 18 48 200 Other............................................................................... 17 46 412 -------- ---------- ---------- Total Expenses.................................................................... 25,236 50,277 75,135 -------- ---------- ---------- Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................................................... (7,685) -- 1,257 Institutional Class Shares......................................................... -- (9,934) -- Class R2 Shares.................................................................... -- (16) -- Fees Paid Indirectly (Note C)....................................................... -- -- (220) -------- ---------- ---------- Net Expenses........................................................................ 17,551 40,327 76,172 -------- ---------- ---------- Net Investment Income (Loss)........................................................ 54,511 127,303 192,464 -------- ---------- ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**....................................................... -- -- 74,060 Affiliated Investment Companies Shares Sold........................................ -- -- (124) Transactions Allocated from Affiliated Investment Company.......................... 245,328 293,095 -- Futures............................................................................ -- -- 18,221 Foreign Currency Transactions...................................................... (77) 1,005 (1,498) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... -- -- 1,009,322 Affiliated Investment Companies Shares............................................. -- -- (27) Transactions Allocated from Affiliated Investment Company.......................... 140,406 899,083 -- Futures............................................................................ -- -- (15,447) Translation of Foreign Currency Denominated Amounts................................ (79) (97) (165) -------- ---------- ---------- Net Realized and Unrealized Gain (Loss)............................................. 385,578 1,193,086 1,084,342 -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... $440,089 $1,320,389 $1,276,806 ======== ========== ==========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). **Net of foreign capital gain taxes withheld of $0, $144 and $5, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap Equity U.S. Large Cap Value Company Portfolio Portfolio Portfolio -------------------- ---------------------- ------------------------ Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- -------- ----------- ---------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................... $ 3,170 $ 3,676 $ 10,735 $ 18,142 $ 243,357 $ 427,035 Net Realized Gain (Loss) on: Investment Securities Sold*.......................... (1,122) (319) 3,202 273 -- -- Affiliated Investment Companies Shares Sold.......... (1) 1 (5) -- -- -- Transactions Allocated from Affiliated Investment Company............................................. -- -- -- -- 497,515 1,154,160 Futures.............................................. 32,203 39,159 21 9 -- 18,720 Foreign Currency Transactions........................ (17) (11) -- -- -- -- Forward Currency Contracts........................... 310 (132) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........... (3,397) (1,062) 37,104 200,016 -- -- Affiliated Investment Companies Shares Sold.......... 2 (1) 1 (7) -- -- Transactions Allocated from Affiliated Investment Company............................................. -- -- -- -- 105,827 2,764,575 Futures.............................................. (21,933) 14,290 -- -- -- 10,896 Translation of Foreign Currency Denominated Amounts............................................. 4 (9) -- -- -- -- Forward Currency Contracts........................... -- 896 -- -- -- -- -------- -------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... 9,219 56,488 51,058 218,433 846,699 4,375,386 -------- -------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares........................... (3,136) (2,502) (9,993) (18,564) (212,674) (403,733) Net Short-Term Gains: Institutional Class Shares........................... (19,355) (2,722) -- -- (44,063) -- Net Long-Term Gains: Institutional Class Shares........................... (29,522) (4,088) -- -- (1,084,239) (446,140) -------- -------- ---------- ---------- ----------- ----------- Total Distributions................................. (52,013) (9,312) (9,993) (18,564) (1,340,976) (849,873) -------- -------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 74,855 101,630 242,886 343,508 2,951,422 5,277,113 Shares Issued in Lieu of Cash Distributions........... 51,982 8,734 9,246 17,598 1,264,013 793,913 Shares Redeemed....................................... (69,502) (73,606) (127,507) (199,415) (2,611,271) (3,536,921) -------- -------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................................... 57,335 36,758 124,625 161,691 1,604,164 2,534,105 -------- -------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets............. 14,541 83,934 165,690 361,560 1,109,887 6,059,618 Net Assets Beginning of Period................................... 322,347 238,413 1,212,883 851,323 23,732,871 17,673,253 -------- -------- ---------- ---------- ----------- ----------- End of Period......................................... $336,888 $322,347 $1,378,573 $1,212,883 $24,842,758 $23,732,871 ======== ======== ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued......................................... 5,484 7,516 14,352 23,434 75,093 144,495 Shares Issued in Lieu of Cash Distributions........... 4,009 681 562 1,194 32,811 22,018 Shares Redeemed....................................... (5,247) (5,541) (7,539) (13,683) (66,580) (97,162) -------- -------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................................... 4,246 2,656 7,375 10,945 41,324 69,351 ======== ======== ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................... $ 911 $ 877 $ 1,949 $ 1,207 $ 53,279 $ 22,596
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Targeted Value U.S. Small Cap Value Portfolio Portfolio ------------------------ ------------------------ Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 67,716 $ 109,197 $ 75,874 $ 118,233 Net Realized Gain (Loss) on: Investment Securities Sold*.................... 324,706 454,563 643,656 690,721 Affiliated Investment Companies Shares Sold.......................................... (162) (1) (171) 22 Futures........................................ 8,335 17,659 14,383 26,310 Foreign Currency Transactions.................. 1 6 3 -- In-Kind Redemptions............................ 16,160 -- -- 79,386 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..... (144,015) 1,335,548 (563,438) 2,156,333 Affiliated Investment Companies Shares Sold.......................................... 5 (188) (29) (216) Futures........................................ (3,740) 2,939 (9,360) 9,284 ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 269,006 1,919,723 160,918 3,080,073 ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares................................ (293) (506) -- -- Class R2 Shares................................ (707) (1,483) -- -- Institutional Class Shares..................... (58,873) (103,014) (64,499) (113,837) Net Short-Term Gains: Class R1 Shares................................ (139) (75) -- -- Class R2 Shares................................ (385) (304) -- -- Institutional Class Shares..................... (26,704) (15,806) (36,882) -- Net Long-Term Gains: Class R1 Shares................................ (2,222) (1,310) -- -- Class R2 Shares................................ (6,156) (5,296) -- -- Institutional Class Shares..................... (427,245) (275,712) (653,833) (533,287) ----------- ----------- ----------- ----------- Total Distributions........................... (522,724) (403,506) (755,214) (647,124) ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................... 1,163,195 3,081,447 1,384,531 2,978,426 Shares Issued in Lieu of Cash Distributions..... 492,413 373,214 693,470 585,631 Shares Redeemed................................. (1,274,670) (2,298,736) (1,442,793) (3,444,324) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions................................. 380,938 1,155,925 635,208 119,733 ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets....... 127,220 2,672,142 40,912 2,552,682 Net Assets Beginning of Period............................. 10,740,431 8,068,289 15,165,867 12,613,185 ----------- ----------- ----------- ----------- End of Period................................... $10,867,651 $10,740,431 $15,206,779 $15,165,867 =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................... 46,664 128,009 36,381 80,463 Shares Issued in Lieu of Cash Distributions..... 20,120 15,383 18,503 15,504 Shares Redeemed................................. (50,889) (95,985) (37,706) (92,936) ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed................................. 15,895 47,407 17,178 3,031 =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 6,449 $ (1,394) $ 5,682 $ (5,694)
U.S. Core Equity 1 Portfolio --------------------------- Six Months Year Ended Ended April 30, Oct. 31, 2018 2017 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 170,226 $ 299,067 Net Realized Gain (Loss) on: Investment Securities Sold*.................... 104,160 96,159 Affiliated Investment Companies Shares Sold.......................................... (183) (35) Futures........................................ 17,432 15,613 Foreign Currency Transactions.................. -- 3 In-Kind Redemptions............................ -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..... 592,027 3,505,095 Affiliated Investment Companies Shares Sold.......................................... 13 (188) Futures........................................ (12,650) 10,034 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 871,025 3,925,748 ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares................................ -- -- Class R2 Shares................................ -- -- Institutional Class Shares..................... (156,797) (310,434) Net Short-Term Gains: Class R1 Shares................................ -- -- Class R2 Shares................................ -- -- Institutional Class Shares..................... (2,527) -- Net Long-Term Gains: Class R1 Shares................................ -- -- Class R2 Shares................................ -- -- Institutional Class Shares..................... (116,824) (71,615) ----------- ----------- Total Distributions........................... (276,148) (382,049) ----------- ----------- Capital Share Transactions (1): Shares Issued................................... 2,393,768 4,637,048 Shares Issued in Lieu of Cash Distributions..... 269,875 368,386 Shares Redeemed................................. (1,732,454) (2,746,550) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions................................. 931,189 2,258,884 ----------- ----------- Total Increase (Decrease) in Net Assets....... 1,526,066 5,802,583 Net Assets Beginning of Period............................. 20,762,742 14,960,159 ----------- ----------- End of Period................................... $22,288,808 $20,762,742 =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................... 104,319 229,289 Shares Issued in Lieu of Cash Distributions..... 12,043 18,264 Shares Redeemed................................. (75,270) (135,531) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed................................. 41,092 112,022 =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 27,919 $ 14,490
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio --------------------------- --------------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 181,406 $ 320,409 $ 33,342 $ 59,721 Net Realized Gain (Loss) on: Investment Securities Sold*................ 174,206 192,862 139,689 167,995 Affiliated Investment Companies Shares Sold...................................... (162) 31 (46) 5 Futures.................................... 18,482 19,381 1,242 5,443 Foreign Currency Transactions.............. -- 5 -- 2 In-Kind Redemptions........................ -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 456,197 3,702,303 (31,996) 706,848 Affiliated Investment Companies Shares Sold...................................... (15) (261) (18) (57) Futures.................................... (14,032) 11,212 (1,061) 835 ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 816,082 4,245,942 141,152 940,792 ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................. (166,055) (322,547) (29,038) (55,773) Net Short-Term Gains: Institutional Class Shares................. (3,799) -- -- (202) Net Long-Term Gains: Institutional Class Shares................. (214,753) (122,469) (164,690) (101,959) ----------- ----------- ---------- ---------- Total Distributions....................... (384,607) (445,016) (193,728) (157,934) ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................... 2,450,301 4,120,340 416,241 873,587 Shares Issued in Lieu of Cash Distributions. 378,126 439,092 191,639 155,990 Shares Redeemed............................. (1,686,383) (2,695,986) (529,054) (911,079) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 1,142,044 1,863,446 78,826 118,498 ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 1,573,519 5,664,372 26,250 901,356 Net Assets Beginning of Period......................... 22,515,418 16,851,046 4,724,003 3,822,647 ----------- ----------- ---------- ---------- End of Period............................... $24,088,937 $22,515,418 $4,750,253 $4,724,003 =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................... 113,035 212,849 21,594 48,648 Shares Issued in Lieu of Cash Distributions. 17,875 22,777 10,103 8,720 Shares Redeemed............................. (77,888) (139,061) (27,329) (50,704) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 53,022 96,565 4,368 6,664 =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 30,938 $ 15,587 $ 4,730 $ 426
U.S. Small Cap Portfolio ------------------------ Six Months Year Ended Ended April 30, Oct. 31, 2018 2017 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 101,140 $ 160,232 Net Realized Gain (Loss) on: Investment Securities Sold*................ 460,896 610,335 Affiliated Investment Companies Shares Sold...................................... (369) (107) Futures.................................... 14,625 18,310 Foreign Currency Transactions.............. 1 15 In-Kind Redemptions........................ -- 125,200 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. (231,363) 2,387,599 Affiliated Investment Companies Shares Sold...................................... (15) (345) Futures.................................... (9,693) 10,124 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 335,222 3,311,363 ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................. (90,524) (155,568) Net Short-Term Gains: Institutional Class Shares................. (41,529) (12,822) Net Long-Term Gains: Institutional Class Shares................. (608,203) (343,192) ----------- ----------- Total Distributions....................... (740,256) (511,582) ----------- ----------- Capital Share Transactions (1): Shares Issued............................... 1,719,775 3,737,913 Shares Issued in Lieu of Cash Distributions. 703,323 484,150 Shares Redeemed............................. (1,426,702) (3,067,256) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 996,396 1,154,807 ----------- ----------- Total Increase (Decrease) in Net Assets................................... 591,362 3,954,588 Net Assets Beginning of Period......................... 16,931,787 12,977,199 ----------- ----------- End of Period............................... $17,523,149 $16,931,787 =========== =========== (1) Shares Issued and Redeemed: Shares Issued............................... 47,600 109,356 Shares Issued in Lieu of Cash Distributions. 19,729 14,119 Shares Redeemed............................. (39,519) (89,947) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 27,810 33,528 =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 9,380 $ (1,236)
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. High Relative DFA Real Estate Securities U.S. Micro Cap Portfolio Profitability Portfolio Portfolio ----------------------- ---------------------- ------------------------- Period May 16, Six Months Year Six Months 2017(a) Six Months Year Ended Ended Ended to Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- ----------- ----------- -------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 27,824 $ 43,746 $ 1,922 $ 672 $ 169,025 $ 190,490 Net Realized Gain (Loss) on: Investment Securities Sold*.................... 204,682 283,405 213 43 (5,888) 47,672 Affiliated Investment Companies Shares Sold.......................................... (70) 12 -- (1) (57) (67) Futures........................................ 4,412 9,052 (37) (394) 6,473 8,131 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..... (129,113) 1,119,931 3,832 9,520 (506,291) 183,941 Affiliated Investment Companies Shares Sold.......................................... (6) (105) 1 (1) (1) (61) Futures........................................ (1,811) 2,595 -- -- (4,754) 3,862 ---------- ----------- -------- -------- ---------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 105,918 1,458,636 5,931 9,839 (341,493) 433,968 ---------- ----------- -------- -------- ---------- ----------- Distributions From: Net Investment Income: Institutional Class Shares..................... (24,910) (43,959) (1,608) (541) (168,977) (217,478) Net Short-Term Gains: Institutional Class Shares..................... (20,845) -- -- -- (6,434) -- Net Long-Term Gains: Institutional Class Shares..................... (260,406) (255,837) -- -- (20,143) (66,384) ---------- ----------- -------- -------- ---------- ----------- Total Distributions........................... (306,161) (299,796) (1,608) (541) (195,554) (283,862) ---------- ----------- -------- -------- ---------- ----------- Capital Share Transactions (1): Shares Issued................................... 531,591 757,322 254,331 134,388 1,212,762 1,766,337 Shares Issued in Lieu of Cash Distributions..... 282,199 276,724 1,608 541 155,008 217,675 Shares Redeemed................................. (462,749) (1,014,479) (21,952) (3,154) (723,306) (1,113,122) ---------- ----------- -------- -------- ---------- ----------- Net Increase (Decrease) from Capital Share Transactions................................. 351,041 19,567 233,987 131,775 644,464 870,890 ---------- ----------- -------- -------- ---------- ----------- Total Increase (Decrease) in Net Assets....... 150,798 1,178,407 238,310 141,073 107,417 1,020,996 Net Assets Beginning of Period............................. 6,306,730 5,128,323 141,073 -- 8,281,176 7,260,180 ---------- ----------- -------- -------- ---------- ----------- End of Period................................... $6,457,528 $ 6,306,730 $379,383 $141,073 $8,388,593 $ 8,281,176 ========== =========== ======== ======== ========== =========== (1) Shares Issued and Redeemed: Shares Issued................................... 23,917 36,173 21,518 13,154 36,204 50,891 Shares Issued in Lieu of Cash Distributions..... 12,848 13,144 139 52 4,471 6,384 Shares Redeemed................................. (20,805) (48,215) (1,868) (302) (21,545) (32,116) ---------- ----------- -------- -------- ---------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed................................. 15,960 1,102 19,789 12,904 19,130 25,159 ========== =========== ======== ======== ========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 2,513 $ (401) $ 445 $ 131 $ 46,682 $ 46,634
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 118 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Large Cap International International Core Equity International Small Portfolio Portfolio Company Portfolio ---------------------- ------------------------ ------------------------ Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- ---------- ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 64,249 $ 111,927 $ 341,269 $ 550,178 $ 145,873 $ 254,211 Net Realized Gain (Loss) on: Investment Securities Sold*................ (3,936) 157,652 48,836 (29,889) -- -- Affiliated Investment Companies Shares Sold...................................... (55) 51 (130) 10 -- -- Transactions Allocated from Affiliated Investment Company........................ -- -- -- -- 321,930 422,014 Futures.................................... 3,576 4,534 33,099 22,487 11,806 11,549 Foreign Currency Transactions.............. 484 (583) 395 (2,708) (230) (1,764) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 83,514 608,562 510,914 4,344,669 29 -- Affiliated Investment Companies Shares Sold...................................... 41 (72) (17) (168) -- -- Transactions Allocated from Affiliated Investment Company........................ -- -- -- -- 60,840 2,134,951 Futures.................................... (2,046) 1,881 (14,558) 11,863 (5,581) 5,699 Translation of Foreign Currency Denominated Amounts....................... (375) 330 (2,401) 1,409 (1,397) 864 ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 145,452 884,282 917,407 4,897,851 533,270 2,827,524 ---------- ---------- ----------- ----------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................. (42,538) (111,606) (224,746) (533,126) (194,323) (205,687) Net Short-Term Gains: Institutional Class Shares................. -- -- -- -- (48,543) (18,854) Net Long-Term Gains: Institutional Class Shares................. -- -- -- -- (375,728) (251,076) ---------- ---------- ----------- ----------- ----------- ----------- Total Distributions....................... (42,538) (111,606) (224,746) (533,126) (618,594) (475,617) ---------- ---------- ----------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued............................... 525,484 960,010 4,634,083 6,327,731 1,315,338 2,235,300 Shares Issued in Lieu of Cash Distributions. 37,830 99,282 213,369 506,159 592,894 456,455 Shares Redeemed............................. (403,492) (636,653) (1,968,743) (2,737,658) (988,062) (1,940,733) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 159,822 422,639 2,878,709 4,096,232 920,170 751,022 ---------- ---------- ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets................................... 262,736 1,195,315 3,571,370 8,460,957 834,846 3,102,929 Net Assets Beginning of Period......................... 4,723,090 3,527,775 25,443,968 16,983,011 13,490,290 10,387,361 ---------- ---------- ----------- ----------- ----------- ----------- End of Period............................... $4,985,826 $4,723,090 $29,015,338 $25,443,968 $14,325,136 $13,490,290 ========== ========== =========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued............................... 21,944 45,425 317,676 496,127 61,300 116,685 Shares Issued in Lieu of Cash Distributions. 1,610 4,623 15,037 39,374 28,767 25,675 Shares Redeemed............................. (16,857) (29,985) (135,069) (213,878) (46,325) (99,987) ---------- ---------- ----------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 6,697 20,063 197,644 321,623 43,742 42,373 ========== ========== =========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 34,034 $ 12,323 $ 173,702 $ 57,179 $ (29,089) $ 19,361
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Global Small Company Japanese Small Company Asia Pacific Small Company Portfolio Portfolio Portfolio ------------------- -------------------- ------------------------- Period Jan. 18, Six Months 2017(a) Six Months Year Six Months Year Ended to Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 149 $ 134 $ 6,124 $ 8,388 $ 5,716 $ 9,516 Capital Gain Distributions Received from Affiliated Investment Companies................................ 333 -- -- -- -- -- Net Realized Gain (Loss) on: Affiliated Investment Companies Shares Sold*........ (3) (6) -- -- -- -- Transactions Allocated from Affiliated Investment Company............................................ 136 105 17,300 28,171 973 9,656 Futures............................................. 2 1 -- -- -- -- Foreign Currency Transactions....................... -- -- (93) (465) (27) (119) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... -- (3) -- -- -- -- Affiliated Investment Companies Shares Sold......... (308) 1,299 -- -- -- -- Transactions Allocated from Affiliated Investment Company............................................ 170 -- 16,128 99,585 5,128 22,259 Futures............................................. -- -- -- 1 -- -- Translation of Foreign Currency Denominated Amounts............................................ (1) -- (115) 87 (3) (1) ------- ------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 478 1,530 39,344 135,767 11,787 41,311 ------- ------- -------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares.......................... (250) -- (15,937) (9,568) (13,370) (8,894) Net Short-Term Gains: Institutional Class Shares.......................... (19) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares.......................... (81) -- -- -- -- -- ------- ------- -------- -------- -------- -------- Total Distributions................................ (350) -- (15,937) (9,568) (13,370) (8,894) ------- ------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued........................................ 10,931 14,416 96,497 99,301 79,292 64,454 Shares Issued in Lieu of Cash Distributions.......... 350 -- 14,541 8,825 12,188 8,101 Shares Redeemed...................................... (734) (925) (67,587) (95,760) (49,381) (24,394) ------- ------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions...................................... 10,547 13,491 43,451 12,366 42,099 48,161 ------- ------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets............ 10,675 15,021 66,858 138,565 40,516 80,578 Net Assets Beginning of Period.................................. 15,021 -- 647,978 509,413 332,153 251,575 ------- ------- -------- -------- -------- -------- End of Period........................................ $25,696 $15,021 $714,836 $647,978 $372,669 $332,153 ======= ======= ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 932 1,388 3,301 4,150 3,312 2,864 Shares Issued in Lieu of Cash Distributions.......... 31 -- 505 401 527 408 Shares Redeemed...................................... (63) (86) (2,322) (4,002) (2,074) (1,095) ------- ------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 900 1,302 1,484 549 1,765 2,177 ======= ======= ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 42 $ 143 $ (8,691) $ 1,122 $ (5,837) $ 1,817
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
United Kingdom Small Continental Small Company DFA International Real Company Portfolio Portfolio Estate Securities Portfolio ------------------- ------------------------ -------------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- -------- ----------- -------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 604 $ 1,220 $ 6,422 $ 7,573 $ 125,506 $ 198,330 Net Realized Gain (Loss) on: Investment Securities Sold*.................... -- -- -- -- (50,919) (21,413) Affiliated Investment Companies Shares Sold.......................................... -- -- -- -- (65) 21 Transactions Allocated from Affiliated Investment Company............................ 1,483 1,725 12,710 14,907 -- -- Futures........................................ -- -- -- -- 2,020 6,597 Foreign Currency Transactions.................. 7 6 (14) 89 382 439 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..... -- -- -- -- 337,116 60,643 Affiliated Investment Companies Shares Sold.......................................... -- -- -- -- 6 (17) Transactions Allocated from Affiliated Investment Company............................ (210) 7,588 3,041 94,661 -- -- Futures........................................ -- -- -- -- 215 754 Translation of Foreign Currency Denominated Amounts....................................... (6) 4 (74) 24 (152) 254 ------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 1,878 10,543 22,085 117,254 414,109 245,608 ------- ------- -------- -------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares..................... (592) (1,322) (1,647) (7,715) (241,977) (326,892) Net Short-Term Gains: Institutional Class Shares..................... (558) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares..................... (2,308) (1,684) (4,962) -- -- -- ------- ------- -------- -------- ---------- ---------- Total Distributions........................... (3,458) (3,006) (6,609) (7,715) (241,977) (326,892) ------- ------- -------- -------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................... 1,752 12,269 166,848 209,825 583,589 1,720,625 Shares Issued in Lieu of Cash Distributions..... 2,979 2,618 6,204 7,180 238,291 320,016 Shares Redeemed................................. (5,400) (9,570) (13,631) (26,314) (693,944) (643,227) ------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions................................. (669) 5,317 159,421 190,691 127,936 1,397,414 ------- ------- -------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets....... (2,249) 12,854 174,897 300,230 300,068 1,316,130 Net Assets Beginning of Period............................. 45,177 32,323 592,347 292,117 5,497,753 4,181,623 ------- ------- -------- -------- ---------- ---------- End of Period................................... $42,928 $45,177 $767,244 $592,347 $5,797,821 $5,497,753 ======= ======= ======== ======== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 56 435 5,841 8,148 112,882 347,476 Shares Issued in Lieu of Cash Distributions..... 100 95 224 280 46,632 69,418 Shares Redeemed................................. (172) (335) (471) (1,053) (134,934) (132,019) ------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed................................. (16) 195 5,594 7,375 24,580 284,875 ======= ======= ======== ======== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 45 $ 33 $ 5,013 $ 238 $ (396,721) $ (280,250)
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Global Real Estate DFA International Small International Vector Equity Securities Portfolio Cap Value Portfolio Portfolio ----------------------- ------------------------ -------------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- ----------- ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 194,933 $ 228,639 $ 152,905 $ 269,343 $ 29,444 $ 51,389 Capital Gain Distributions Received from Affiliated Investment Companies............ 5,030 14,569 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold*................ 1 17,657 749,846 551,715 50,228 10,627 Affiliated Investment Companies Shares Sold...................................... (19,596) 2,178 (73) 14 (9) (1) Futures.................................... -- 149 15,893 14,572 (17) 158 Foreign Currency Transactions.............. -- 3 (1,918) (1,896) 229 (413) In-Kind Redemptions........................ -- -- -- 82,012 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. (180,268) 43,892 (478,067) 2,598,933 16,281 459,554 Affiliated Investment Companies Shares Sold...................................... (6,034) (5,082) (35) (118) (5) (16) Futures.................................... -- -- (10,499) 9,407 (68) -- Translation of Foreign Currency Denominated Amounts....................... -- -- (2,956) 1,459 (265) 168 ---------- ----------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ (5,934) 302,005 425,096 3,525,441 95,818 521,466 ---------- ----------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................. (211,357) (227,401) (314,984) (195,408) (28,049) (50,390) Net Short-Term Gains: Institutional Class Shares................. (798) (2,070) (31,970) (3,853) (160) -- Net Long-Term Gains: Institutional Class Shares................. (43,342) (13,530) (477,828) (410,189) (10,130) (4,041) ---------- ----------- ----------- ----------- ---------- ---------- Total Distributions....................... (255,497) (243,001) (824,782) (609,450) (38,339) (54,431) ---------- ----------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................... 1,212,495 2,695,188 1,262,574 1,958,045 258,481 447,784 Shares Issued in Lieu of Cash Distributions. 245,163 233,500 745,108 544,816 38,001 53,927 Shares Redeemed............................. (804,893) (1,122,865) (1,529,275) (2,266,110) (185,075) (295,368) ---------- ----------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 652,765 1,805,823 478,407 236,751 111,407 206,343 ---------- ----------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 391,334 1,864,827 78,721 3,152,742 168,886 673,378 Net Assets Beginning of Period......................... 6,753,782 4,888,955 16,162,471 13,009,729 2,529,852 1,856,474 ---------- ----------- ----------- ----------- ---------- ---------- End of Period............................... $7,145,116 $ 6,753,782 $16,241,192 $16,162,471 $2,698,738 $2,529,852 ========== =========== =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................... 114,456 251,258 54,710 93,807 18,930 37,714 Shares Issued in Lieu of Cash Distributions. 22,410 23,234 33,533 28,186 2,881 4,561 Shares Redeemed............................. (76,731) (105,800) (66,264) (108,244) (13,573) (24,782) ---------- ----------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 60,135 168,692 21,979 13,749 8,238 17,493 ========== =========== =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 43,116 $ 59,540 $ (120,527) $ 41,552 $ 5,525 $ 4,130
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International High Relative World ex U.S. Value World ex U.S. Targeted Profitability Portfolio Portfolio Value Portfolio -------------------------- -------------------- -------------------- Period May 16, Six Months 2017(a) Six Months Year Six Months Year Ended to Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 1,706 $ 426 $ 3,220 $ 5,730 $ 3,950 $ 7,583 Capital Gain Distributions Received from Affiliated Investment Companies................................ -- -- 773 653 -- -- Net Realized Gain (Loss) on: Investment Securities Sold*......................... (35) (165) -- -- 19,944 17,468 Affiliated Investment Companies Shares Sold......... -- -- (70) 599 (1) -- Transactions Allocated from Affiliated Investment Company................................. -- -- 4,407 1,111 -- -- Futures............................................. 24 (72) -- 262 22 -- Foreign Currency Transactions....................... 29 19 27 (26) (16) (26) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 375 3,720 (6,349) -- (7,442) 65,446 Affiliated Investment Companies Shares Sold......... 1 -- 5,791 (148) -- (1) Transactions Allocated from Affiliated Investment Company................................. -- -- 4,540 41,263 -- -- Futures............................................. -- -- -- 99 -- -- Translation of Foreign Currency Denominated Amounts............................................ (11) (1) (15) 13 (51) 19 -------- ------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 2,089 3,927 12,324 49,556 16,406 90,489 -------- ------- -------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares.......................... (831) (299) (3,864) (4,532) (2,551) (7,684) Net Long-Term Gains: Institutional Class Shares.......................... -- -- -- -- (8,307) -- -------- ------- -------- -------- -------- -------- Total Distributions................................ (831) (299) (3,864) (4,532) (10,858) (7,684) -------- ------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued........................................ 119,444 65,210 34,825 44,260 77,564 132,580 Shares Issued in Lieu of Cash Distributions.......... 831 299 3,861 4,529 10,833 7,665 Shares Redeemed...................................... (7,098) (1,344) (44,829) (35,416) (33,190) (37,758) -------- ------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions...................................... 113,177 64,165 (6,143) 13,373 55,207 102,487 -------- ------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets............ 114,435 67,793 2,317 58,397 60,755 185,292 Net Assets Beginning of Period.................................. 67,793 -- 246,551 188,154 466,504 281,212 -------- ------- -------- -------- -------- -------- End of Period........................................ $182,228 $67,793 $248,868 $246,551 $527,259 $466,504 ======== ======= ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 10,970 6,451 2,644 3,780 5,078 9,799 Shares Issued in Lieu of Cash Distributions.......... 78 29 306 407 736 558 Shares Redeemed...................................... (653) (130) (3,434) (3,040) (2,185) (2,738) -------- ------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 10,395 6,350 (484) 1,147 3,629 7,619 ======== ======= ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 1,021 $ 146 $ 1,383 $ 2,027 $ 2,605 $ 1,206
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
World ex U.S. Core Equity Portfolio World Core Equity Portfolio ------------------------ -------------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 ----------- ---------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 32,774 $ 54,316 $ 4,767 $ 8,719 Capital Gain Distributions Received from Affiliated Investment Companies................................ -- -- 1,843 898 Net Realized Gain (Loss) on: Investment Securities Sold*......................... 11,474 7,525 1 3 Affiliated Investment Companies Shares Sold............................................... (13) (4) 3,184 (418) Futures............................................. 657 68 145 -- Foreign Currency Transactions....................... (137) (263) -- -- Forward Currency Contracts.......................... -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 69,738 443,948 -- (1) Affiliated Investment Companies Shares Sold............................................... (1) (14) 15,802 90,087 Futures............................................. -- -- -- -- Translation of Foreign Currency Denominated Amounts............................................ (227) 105 -- -- Forward Currency Contracts.......................... -- -- -- -- ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 114,265 505,681 25,742 99,288 ---------- ---------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares.......................... (22,576) (52,690) (4,797) (8,966) Net Short-Term Gains: Institutional Class Shares.......................... -- -- -- (67) Net Long-Term Gains: Institutional Class Shares.......................... -- -- (1,076) (1,231) ---------- ---------- -------- -------- Total Distributions................................ (22,576) (52,690) (5,873) (10,264) ---------- ---------- -------- -------- Capital Share Transactions (1): Shares Issued........................................ 610,154 1,011,672 197,664 124,892 Shares Issued in Lieu of Cash Distributions.......... 21,509 50,176 5,600 10,005 Shares Redeemed...................................... (275,013) (365,917) (72,622) (47,259) ---------- ---------- -------- -------- Net Increase (Decrease) from Capital Share Transactions...................................... 356,649 695,931 130,642 87,638 ---------- ---------- -------- -------- Total Increase (Decrease) in Net Assets............ 448,339 1,148,922 150,511 176,662 Net Assets Beginning of Period.................................. 2,805,367 1,656,445 546,891 370,229 ---------- ---------- -------- -------- End of Period........................................ $3,253,706 $2,805,367 $697,402 $546,891 ========== ========== ======== ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 48,494 92,982 11,987 8,416 Shares Issued in Lieu of Cash Distributions.......... 1,775 4,555 344 690 Shares Redeemed...................................... (21,902) (33,482) (4,272) (3,225) ---------- ---------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 28,367 64,055 8,059 5,881 ========== ========== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 14,559 $ 4,361 $ (34) $ (4)
Selectively Hedged Global Equity Portfolio ------------------------ Six Months Year Ended Ended April 30, Oct. 31, 2018 2017 ----------- -------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 2,940 $ 6,540 Capital Gain Distributions Received from Affiliated Investment Companies................................ 1,607 894 Net Realized Gain (Loss) on: Investment Securities Sold*......................... (1) -- Affiliated Investment Companies Shares Sold............................................... 2,281 (555) Futures............................................. 2,531 2,398 Foreign Currency Transactions....................... -- -- Forward Currency Contracts.......................... (3,348) (1,466) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 5 5 Affiliated Investment Companies Shares Sold............................................... 8,108 64,639 Futures............................................. (1,801) 1,354 Translation of Foreign Currency Denominated Amounts............................................ -- -- Forward Currency Contracts.......................... 1,336 775 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 13,658 74,584 -------- -------- Distributions From: Net Investment Income: Institutional Class Shares.......................... (6,606) (6,477) Net Short-Term Gains: Institutional Class Shares.......................... (1,478) (260) Net Long-Term Gains: Institutional Class Shares.......................... (3,086) (2,369) -------- -------- Total Distributions................................ (11,170) (9,106) -------- -------- Capital Share Transactions (1): Shares Issued........................................ 68,631 90,620 Shares Issued in Lieu of Cash Distributions.......... 11,131 9,105 Shares Redeemed...................................... (70,283) (52,903) -------- -------- Net Increase (Decrease) from Capital Share Transactions...................................... 9,479 46,822 -------- -------- Total Increase (Decrease) in Net Assets............ 11,967 112,300 Net Assets Beginning of Period.................................. 402,204 289,904 -------- -------- End of Period........................................ $414,171 $402,204 ======== ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 4,094 6,000 Shares Issued in Lieu of Cash Distributions.......... 679 649 Shares Redeemed...................................... (4,190) (3,520) -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 583 3,129 ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ (1,066) $ 2,600
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Small Emerging Markets Value Emerging Markets Portfolio Cap Portfolio Portfolio ------------------------ ----------------------- ------------------------ Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2018 2017 2018 2017 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 39,928 $ 106,884 $ 54,511 $ 146,645 $ 127,303 $ 398,400 Net Realized Gain (Loss) on: Transactions Allocated from Affiliated Investment Company*....................... 85,126 (9,141) 245,328 173,759 293,095 (258,290) Futures.................................... -- 8,254 -- 9,252 -- 19,890 Foreign Currency Transactions.............. 994 (31) (77) 78 1,005 2,920 Change in Unrealized Appreciation (Depreciation) of: Transactions Allocated from Affiliated Investment Company........................ 130,204 1,198,559 140,406 931,907 899,083 3,745,161 Futures.................................... -- 1,186 -- 854 -- 3,766 Translation of Foreign Currency Denominated Amounts....................... (43) (71) (79) (194) (97) (53) ----------- ----------- ---------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 256,209 1,305,640 440,089 1,262,301 1,320,389 3,911,794 ----------- ----------- ---------- ----------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares............................ -- -- -- -- (375) (847) Institutional Class Shares................. (34,123) (107,522) (104,901) (147,304) (227,276) (339,766) Net Short-Term Gains: Institutional Class Shares................. -- -- (27,396) (10,357) -- -- Net Long-Term Gains: Institutional Class Shares................. -- -- (145,194) (117,099) -- -- ----------- ----------- ---------- ----------- ----------- ----------- Total Distributions....................... (34,123) (107,522) (277,491) (274,760) (227,651) (340,613) ----------- ----------- ---------- ----------- ----------- ----------- Capital Share Transactions (1): Shares Issued............................... 870,610 1,476,279 746,481 1,554,965 1,373,081 2,459,482 Shares Issued in Lieu of Cash Distributions. 31,675 100,892 264,108 259,430 216,745 322,816 Shares Redeemed............................. (1,495,183) (1,057,775) (586,794) (1,011,728) (2,256,365) (3,341,295) ----------- ----------- ---------- ----------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... (592,898) 519,396 423,795 802,667 (666,539) (558,997) ----------- ----------- ---------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets................................... (370,812) 1,717,514 586,393 1,790,208 426,199 3,012,184 Net Assets Beginning of Period......................... 6,632,914 4,915,400 7,249,717 5,459,509 19,414,428 16,402,244 ----------- ----------- ---------- ----------- ----------- ----------- End of Period............................... $ 6,262,102 $ 6,632,914 $7,836,110 $ 7,249,717 $19,840,627 $19,414,428 =========== =========== ========== =========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued............................... 28,329 56,711 30,931 75,223 42,877 90,920 Shares Issued in Lieu of Cash Distributions. 1,074 3,823 11,543 13,320 7,204 11,717 Shares Redeemed............................. (49,442) (39,854) (24,229) (47,673) (71,182) (122,531) ----------- ----------- ---------- ----------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... (20,039) 20,680 18,245 40,870 (21,101) (19,894) =========== =========== ========== =========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 3,312 $ (2,493) $ (43,421) $ 6,969 $ (93,976) $ 6,372
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $144 and $144, respectively. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Core Equity Portfolio ------------------------ Six Months Year Ended Ended April 30, Oct. 31, 2018 2017 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................................. $ 192,464 $ 463,779 Net Realized Gain (Loss) on: Investment Securities Sold*................................................ 74,060 (87,713) Affiliated Investment Companies Shares Sold................................ (124) (17) Futures.................................................................... 18,221 29,430 Foreign Currency Transactions.............................................. (1,498) (3,967) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 1,009,322 4,549,390 Affiliated Investment Companies Shares Sold................................ (27) (115) Futures.................................................................... (15,447) 9,334 Translation of Foreign Currency Denominated Amounts........................ (165) (275) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........... 1,276,806 4,959,846 ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................................................. (165,807) (449,166) ----------- ----------- Total Distributions....................................................... (165,807) (449,166) ----------- ----------- Capital Share Transactions (1): Shares Issued................................................................ 3,498,439 6,836,743 Shares Issued in Lieu of Cash Distributions.................................. 156,581 422,561 Shares Redeemed.............................................................. (2,143,242) (3,397,228) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions................... 1,511,778 3,862,076 ----------- ----------- Total Increase (Decrease) in Net Assets................................... 2,622,777 8,372,756 Net Assets Beginning of Period.......................................................... 27,085,722 18,712,966 ----------- ----------- End of Period................................................................ $29,708,499 $27,085,722 =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................................................ 148,809 342,803 Shares Issued in Lieu of Cash Distributions.................................. 7,041 20,857 Shares Redeemed.............................................................. (91,153) (170,351) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed................... 64,697 193,309 =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................................................... $ 32,981 $ 6,324
---------- * Net of foreign capital gain taxes withheld of $5 and $0, respectively. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio -------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2018 2017 2016 2015 2014 2013 2018 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) (Unaudited) Net Asset Value, Beginning of Period.......... $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 15.93 -------- -------- -------- -------- -------- -------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.12 0.18 0.10 0.07 0.07 0.07 0.13 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 0.26 2.63 0.45 0.53 1.94 2.42 0.58 -------- -------- -------- -------- -------- -------- ---------- Total from Investment Operations........... 0.38 2.81 0.55 0.60 2.01 2.49 0.71 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income....................... (0.13) (0.13) (0.08) (0.05) (0.06) (0.08) (0.13) Net Realized Gains.......................... (2.04) (0.36) (0.79) (1.66) -- -- -- -------- -------- -------- -------- -------- -------- ---------- Total Distributions........................ (2.17) (0.49) (0.87) (1.71) (0.06) (0.08) (0.13) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period................ $ 12.75 $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 16.51 ============================================= =========== ======== ======== ======== ======== ======== =========== Total Return.................................. 2.41%(D) 23.53% 4.75% 5.25% 17.18% 26.99% 4.44%(D) ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)......... $336,888 $322,347 $238,413 $203,641 $216,719 $212,840 $1,378,573 Ratio of Expenses to Average Net Assets....... 0.15%(E) 0.18% 0.23% 0.24% 0.23% 0.24% 0.17%(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))................................. 0.23%(E) 0.24% 0.24% 0.24% 0.23% 0.24% 0.17%(E) Ratio of Net Investment Income to Average Net Assets................................... 1.83%(E) 1.36% 0.80% 0.53% 0.55% 0.63% 1.63%(E) Portfolio Turnover Rate....................... 48%(D) 122% 119% 223% 202% 139% 3%(D) ------------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity Portfolio ---------------------------------------------------- Period Year Year Year Year June 25, Ended Ended Ended Ended 2013(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2017 2016 2015 2014 2013 --------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.......... $ 13.06 $ 12.86 $ 12.65 $ 11.07 $ 10.00 ---------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.26 0.25 0.23 0.21 0.06 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 2.87 0.19 0.21 1.57 1.04 ---------- -------- -------- -------- -------- Total from Investment Operations........... 3.13 0.44 0.44 1.78 1.10 --------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.26) (0.24) (0.21) (0.20) (0.03) Net Realized Gains.......................... -- -- (0.02) -- -- ---------- -------- -------- -------- -------- Total Distributions........................ (0.26) (0.24) (0.23) (0.20) (0.03) --------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................ $ 15.93 $ 13.06 $ 12.86 $ 12.65 $ 11.07 ============================================= ========== ======== ======== ======== ========== Total Return.................................. 24.16% 3.51% 3.49% 16.19% 11.01%(D) --------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $1,212,883 $851,323 $699,144 $274,955 $135,407 Ratio of Expenses to Average Net Assets....... 0.17% 0.18% 0.19% 0.19% 0.19%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))................................. 0.17% 0.17% 0.19% 0.20% 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets................................... 1.74% 1.99% 1.77% 1.75% 1.58%(C)(E) Portfolio Turnover Rate....................... 11% 12% 12% 1% 0%(D) ---------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio ------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34 ----------- ----------- ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....... 0.38 0.74 0.70 0.69 0.56 0.47 Net Gains (Losses) on Securities (Realized and Unrealized)............ 1.03 6.99 0.71 (0.32) 4.02 7.38 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations..... 1.41 7.73 1.41 0.37 4.58 7.85 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................. (0.34) (0.70) (0.70) (0.66) (0.55) (0.47) Net Realized Gains..................... (1.83) (0.82) (1.35) (0.19) -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions.................. (2.17) (1.52) (2.05) (0.85) (0.55) (0.47) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 38.08 $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72 ======================================= =========== =========== =========== =========== =========== =========== Total Return............................ 3.59%(D) 24.11% 4.58% 1.16% 15.49% 35.52% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $24,842,758 $23,732,871 $17,673,253 $15,807,935 $15,146,981 $11,963,072 Ratio of Expenses to Average Net Assets (B)............................. 0.27%(E) 0.27% 0.27% 0.27% 0.27% 0.27% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)......... 0.37%(E) 0.37% 0.37% 0.30% 0.27% 0.27% Ratio of Net Investment Income to Average Net Assets..................... 1.96%(E) 2.03% 2.24% 2.04% 1.75% 1.82% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares ----------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 25.15 $ 21.26 $ 21.58 $ 23.19 $ 22.63 $17.28 ------- ------- ------- ------- ------- ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.14 0.25 0.24 0.26 0.18 0.27 Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 4.66 0.60 (0.61) 1.86 6.28 ------- ------- ------- ------- ------- ------ Total from Investment Operations.......................... 0.60 4.91 0.84 (0.35) 2.04 6.55 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.13) (0.24) (0.27) (0.25) (0.16) (0.22) Net Realized Gains......................................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98) ------- ------- ------- ------- ------- ------ Total Distributions....................................... (1.22) (1.02) (1.16) (1.26) (1.48) (1.20) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 24.53 $ 25.15 $ 21.26 $ 21.58 $ 23.19 $22.63 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 2.41%(D) 23.32% 4.21% (1.33)% 9.47% 40.39% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $54,383 $54,960 $35,661 $40,159 $16,971 $9,470 Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.47% 0.47% 0.47% 0.47% Ratio of Net Investment Income to Average Net Assets......... 1.16%(E) 1.03% 1.16% 1.15% 0.79% 1.42% Portfolio Turnover Rate...................................... 9% (D) 23% 28% 15% 10% 16% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R2 Shares ------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26 -------- -------- -------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.12 0.21 0.20 0.23 0.15 0.19 Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 4.65 0.60 (0.61) 1.84 6.31 -------- -------- -------- -------- ------- ------- Total from Investment Operations.......................... 0.58 4.86 0.80 (0.38) 1.99 6.50 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.12) (0.21) (0.26) (0.22) (0.12) (0.21) Net Realized Gains......................................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98) -------- -------- -------- -------- ------- ------- Total Distributions....................................... (1.21) (0.99) (1.15) (1.23) (1.44) (1.19) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 24.40 $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 2.32%(D) 23.17% 4.04% (1.49)% 9.30% 40.10% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $162,517 $156,809 $147,945 $135,412 $82,977 $23,305 Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.62% 0.62% 0.63% 0.62% 0.62% Ratio of Net Investment Income to Average Net Assets......... 1.01%(E) 0.90% 1.00% 1.02% 0.64% 0.95% Portfolio Turnover Rate...................................... 9%(D) 23% 28% 15% 10% 16% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares ---------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ---------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28 ----------- ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....... 0.16 0.27 0.25 0.29 0.21 0.24 Net Gains (Losses) on Securities (Realized and Unrealized)............ 0.45 4.67 0.60 (0.61) 1.85 6.31 ----------- ----------- ---------- ---------- ---------- ---------- Total from Investment Operations..... 0.61 4.94 0.85 (0.32) 2.06 6.55 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................. (0.14) (0.26) (0.26) (0.27) (0.18) (0.25) Net Realized Gains..................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98) ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions.................. (1.23) (1.04) (1.15) (1.28) (1.50) (1.23) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 24.54 $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60 ======================================= =========== =========== ========== ========== ========== ========== Total Return............................ 2.45%(D) 23.46% 4.29% (1.20)% 9.58% 40.40% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $10,650,751 $10,528,662 $7,884,683 $6,987,896 $5,490,959 $4,180,974 Ratio of Expenses to Average Net Assets. 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37% Ratio of Net Investment Income to Average Net Assets..................... 1.26%(E) 1.13% 1.24% 1.28% 0.90% 1.25% Portfolio Turnover Rate................. 9%(D) 23% 28% 15% 10% 16% ----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 131 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Value Portfolio ------------------------------------------------------- Six Months Year Year Year Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 ---------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 39.07 $ 32.75 $ 33.08 $ 35.82 ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.19 0.31 0.32 0.41 Net Gains (Losses) on Securities (Realized and Unrealized). (3.71) 7.71 1.06 (1.44) ----------- ----------- ----------- ----------- Total from Investment Operations.......................... (3.52) 8.02 1.38 (1.03) ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... 0.17 (0.30) (0.33) (0.38) Net Realized Gains......................................... 1.80 (1.40) (1.38) (1.33) ----------- ----------- ----------- ----------- Total Distributions....................................... 1.97 (1.70) (1.71) (1.71) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 37.52 $ 39.07 $ 32.75 $ 33.08 ============================================================= =========== =========== =========== =========== Total Return................................................. 1.08%(D) 24.67% 4.49% (2.83)% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $15,206,779 $15,165,867 $12,613,185 $11,680,262 Ratio of Expenses to Average Net Assets...................... 0.52%(E) 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets......... 1.01%(E) 0.83% 1.01% 1.18% Portfolio Turnover Rate...................................... 9%(D) 24% 19% 17% ----------------------------------------------------------------------------------------------------------------------
------------------------ Year Year Ended Ended Oct. 31, Oct. 31, 2014 2013 -------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period......................... $ 34.48 $ 26.57 ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.23 0.39 Net Gains (Losses) on Securities (Realized and Unrealized). 2.93 9.41 ----------- ---------- Total from Investment Operations.......................... 3.16 9.80 -------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.22) (0.37) Net Realized Gains......................................... (1.60) (1.52) ----------- ---------- Total Distributions....................................... (1.82) (1.89) -------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 35.82 $ 34.48 ============================================================= =========== ========== Total Return................................................. 9.49% 39.35% -------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $11,512,306 $9,526,981 Ratio of Expenses to Average Net Assets...................... 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets......... 0.66% 1.28% Portfolio Turnover Rate...................................... 9% 14% --------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio ------------------------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11 ----------- ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.18 0.33 0.33 0.31 0.27 0.25 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.16 4.12 0.30 0.26 2.02 3.62 ----------- ----------- ----------- ----------- ----------- ---------- Total from Investment Operations....... 0.34 4.45 0.63 0.57 2.29 3.87 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... 0.16 (0.35) (0.32) (0.30) (0.25) (0.24) Net Realized Gains...................... 0.13 (0.09) (0.21) (0.08) (0.07) -- ----------- ----------- ----------- ----------- ----------- ---------- Total Distributions.................... 0.29 (0.44) (0.53) (0.38) (0.32) (0.24) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 22.64 $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74 ========================================== =========== =========== =========== =========== =========== ========== Total Return.............................. 4.19%(D) 24.93% 3.68% 3.26% 14.72% 32.32% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $22,288,808 $20,762,742 $14,960,159 $13,275,774 $10,780,830 $7,566,179 Ratio of Expenses to Average Net Assets................................... 0.18%(E) 0.19% 0.19% 0.19% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets............................... 1.56%(E) 1.64% 1.88% 1.71% 1.61% 1.79% Portfolio Turnover Rate................... 1%(D) 3% 4% 4% 5% 1% ---------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio ------------------------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99 ----------- ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.16 0.31 0.31 0.30 0.26 0.24 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.09) 3.83 0.25 0.02 1.86 3.73 ----------- ----------- ----------- ----------- ----------- ---------- Total from Investment Operations....... 0.07 4.14 0.56 0.32 2.12 3.97 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... 0.15 (0.31) (0.30) (0.28) (0.24) (0.24) Net Realized Gains...................... 0.20 (0.12) (0.33) (0.12) (0.16) (0.10) ----------- ----------- ----------- ----------- ----------- ---------- Total Distributions.................... 0.35 (0.43) (0.63) (0.40) (0.40) (0.34) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 21.32 $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62 ========================================== =========== =========== =========== =========== =========== ========== Total Return.............................. 3.72%(D) 24.36% 3.47% 1.92% 13.78% 33.66% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $24,088,937 $22,515,418 $16,851,046 $15,200,564 $12,919,176 $9,989,564 Ratio of Expenses to Average Net Assets................................... 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets............................... 1.53%(E) 1.59% 1.87% 1.68% 1.55% 1.74% Portfolio Turnover Rate................... 2%(D) 5% 4% 5% 6% 3% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Vector Equity Portfolio --------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period......................... $ 19.16 $ 15.93 $ 16.22 $ 17.04 $ 15.62 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.13 0.24 0.25 0.25 0.21 Net Gains (Losses) on Securities (Realized and Unrealized). (1.15) 3.65 0.24 (0.30) 1.62 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... (1.02) 3.89 0.49 (0.05) 1.83 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... 0.12 (0.23) (0.25) (0.24) (0.19) Net Realized Gains......................................... 0.67 (0.43) (0.53) (0.53) (0.22) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... 0.79 (0.66) (0.78) (0.77) (0.41) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................... $ 18.93 $ 19.16 $ 15.93 $ 16.22 $ 17.04 ============================================================= =========== ========== ========== ========== ========== Total Return................................................. 2.92%(D) 24.73% 3.28% (0.18)% 11.91% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $4,750,253 $4,724,003 $3,822,647 $3,651,529 $3,501,319 Ratio of Expenses to Average Net Assets...................... 0.32%(E) 0.32% 0.32% 0.32% 0.32% Ratio of Net Investment Income to Average Net Assets......... 1.40%(E) 1.36% 1.64% 1.50% 1.26% Portfolio Turnover Rate...................................... 5%(D) 10% 10% 10% 10% ------------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2013 ------------------------------------------------------------------------- Net Asset Value, Beginning of Period......................... $ 11.61 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.20 Net Gains (Losses) on Securities (Realized and Unrealized). 4.03 ---------- Total from Investment Operations.......................... 4.23 ------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.20) Net Realized Gains......................................... (0.02) ---------- Total Distributions....................................... (0.22) ------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 15.62 ============================================================= ========== Total Return................................................. 36.80% ------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $2,893,842 Ratio of Expenses to Average Net Assets...................... 0.32% Ratio of Net Investment Income to Average Net Assets......... 1.50% Portfolio Turnover Rate...................................... 3% -------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 134 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Portfolio ----------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ---------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11 ----------- ----------- ----------- ----------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.21 0.35 0.34 0.35 0.26 0.35 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.52 7.17 0.77 0.33 2.27 8.13 ----------- ----------- ----------- ----------- ---------- ---------- Total from Investment Operations............... 0.73 7.52 1.11 0.68 2.53 8.48 ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.19) (0.35) (0.35) (0.33) (0.24) (0.36) Net Realized Gains.............................. (1.40) (0.83) (1.46) (0.89) (0.94) (1.20) ----------- ----------- ----------- ----------- ---------- ---------- Total Distributions............................ (1.59) (1.18) (1.81) (1.22) (1.18) (1.56) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 35.62 $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03 ================================================= =========== =========== =========== =========== ========== ========== Total Return...................................... 2.01%(D) 25.21% 3.89% 2.34% 8.67% 39.03% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $17,523,149 $16,931,787 $12,977,199 $10,616,542 $9,247,716 $7,446,827 Ratio of Expenses to Average Net Assets........... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37% Ratio of Net Investment Income to Average Net Assets....................................... 1.17%(E) 1.04% 1.16% 1.10% 0.86% 1.33% Portfolio Turnover Rate........................... 6%(D) 14% 10% 11% 9% 10% ----------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio ------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.10 0.16 0.16 0.16 0.14 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.28 5.12 0.60 0.02 1.35 5.57 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 0.38 5.28 0.76 0.18 1.49 5.76 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.09) (0.16) (0.16) (0.16) (0.13) (0.20) Net Realized Gains.............................. (1.01) (0.94) (1.02) (1.12) (0.90) (0.76) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (1.10) (1.10) (1.18) (1.28) (1.03) (0.96) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 22.04 $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64 ================================================= ========== ========== ========== ========== ========== ========== Total Return...................................... 1.70%(D) 28.91% 4.32% 1.11% 7.88% 41.34% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $6,457,528 $6,306,730 $5,128,323 $5,007,091 $5,029,027 $4,695,831 Ratio of Expenses to Average Net Assets........... 0.52%(E) 0.52% 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets....................................... 0.87%(E) 0.75% 0.88% 0.82% 0.69% 1.16% Portfolio Turnover Rate........................... 6%(D) 15% 15% 14% 12% 11% -----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 135 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. High Relative Profitability Portfolio ------------------------------------- --------------- Period Six Months May 16, Six Months Ended 2017(a) to Ended April 30, Oct. 31, April 30, 2018 2017 2018 ------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period.............................. $ 10.93 $ 10.00 $ 34.99 -------- -------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... -- 0.07 0.69 Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.74 0.91 (2.08) -------- -------- ---------- Total from Investment Operations.. 0.74 0.98 (1.39) ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.07) (0.05) (0.70) Net Realized Gains.................. -- -- (0.11) -------- -------- ---------- Total Distributions............... (0.07) (0.05) (0.81) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 11.60 $ 10.93 $ 32.79 =================================== ==================== ================== =========== Total Return (D)..................... 6.80% 9.84% (4.10)%(D) ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $379,383 $141,073 $8,388,593 Ratio of Expenses to Average Net Assets (E).......................... 0.25% 0.23%(C) 0.18%(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly)) (E).................... 0.27% 0.35%(C) 0.19%(E) Ratio of Net Investment Income to Average Net Assets (E).............. 1.42% 1.45%(C) 4.12%(E) Portfolio Turnover Rate (D).......... 4% 0% 1%(D) -------------------------------------------------------------------------------------------------
DFA Real Estate Securities Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.............................. $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.84 1.09 0.90 0.72 0.67 Net Gains (Losses) on Securities (Realized and Unrealized)......... 1.12 1.18 0.95 4.62 1.95 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.. 1.96 2.27 1.85 5.34 2.62 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.98) (0.99) (1.05) (0.87) (0.68) Net Realized Gains.................. (0.31) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (1.29) (0.99) (1.05) (0.87) (0.68) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 34.99 $ 34.32 $ 33.04 $ 32.24 $ 27.77 =================================== ========== ========== ========== ========== ========== Total Return (D)..................... 5.86% 6.89% 5.89% 19.80% 10.28% ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $8,281,176 $7,260,180 $6,553,192 $6,607,759 $4,677,418 Ratio of Expenses to Average Net Assets (E).......................... 0.18% 0.18% 0.18% 0.18% 0.18% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly)) (E).................... 0.19% 0.19% 0.19% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets (E).............. 2.43% 3.15% 2.75% 2.48% 2.42% Portfolio Turnover Rate (D).......... 1% 3% 4% 0% 1% -------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 136 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Large Cap International Portfolio --------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.......... $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.32 0.58 0.57 0.58 0.75 0.58 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 0.40 4.00 (0.86) (1.24) (0.62) 3.90 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 0.72 4.58 (0.29) (0.66) 0.13 4.48 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.21) (0.58) (0.55) (0.57) (0.74) (0.61) Net Realized Gains.......................... -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.21) (0.58) (0.55) (0.57) (0.74) (0.61) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................ $ 24.03 $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20 ============================================= =========== ========== ========== ========== ========== ========== Total Return.................................. 3.08%(D) 23.79% (1.30)% (3.10)% 0.47% 24.85% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $4,985,826 $4,723,090 $3,527,775 $3,150,334 $3,127,847 $2,755,114 Ratio of Expenses to Average Net Assets....... 0.23%(E) 0.25% 0.28% 0.29% 0.28% 0.29% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))................................. 0.23%(E) 0.25% 0.28% 0.29% 0.28% 0.29% Ratio of Net Investment Income to Average Net Assets................................... 2.66%(E) 2.72% 2.95% 2.71% 3.35% 2.90% Portfolio Turnover Rate....................... 3%(D) 10% 10% 10% 4% 5% ----------------------------------------------------------------------------------------------------------------------------
International Core Equity Portfolio -------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.......... $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10 ----------- ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.18 0.34 0.32 0.32 0.38 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 0.32 2.63 (0.15) (0.45) (0.43) 2.47 ----------- ----------- ----------- ----------- ----------- ---------- Total from Investment Operations........... 0.50 2.97 0.17 (0.13) (0.05) 2.78 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.12) (0.32) (0.28) (0.33) (0.37) (0.31) Net Realized Gains.......................... -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ---------- Total Distributions........................ (0.12) (0.32) (0.28) (0.33) (0.37) (0.31) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................ $ 14.61 $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57 ============================================= =========== =========== =========== =========== =========== ========== Total Return.................................. 3.57%(D) 26.02% 1.62% (1.10)% (0.55)% 27.98% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $29,015,338 $25,443,968 $16,983,011 $14,420,568 $12,294,542 $9,508,466 Ratio of Expenses to Average Net Assets....... 0.30%(E) 0.30% 0.38% 0.38% 0.38% 0.39% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))................................. 0.29%(E) 0.32% 0.38% 0.38% 0.38% 0.39% Ratio of Net Investment Income to Average Net Assets................................... 2.51%(E) 2.62% 2.83% 2.63% 3.01% 2.80% Portfolio Turnover Rate....................... 2%(D) 6% 2% 4% 7% 3% --------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 137 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Small Company Portfolio ----------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 --------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28 ----------- ----------- ----------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.22 0.41 0.43 0.41 0.42 0.42 Net Gains (Losses) on Securities (Realized and Unrealized)................. 0.61 4.13 0.48 0.12 (0.62) 4.16 ----------- ----------- ----------- ---------- ---------- ---------- Total from Investment Operations................. 0.83 4.54 0.91 0.53 (0.20) 4.58 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.31) (0.34) (0.51) (0.42) (0.42) (0.37) Net Realized Gains............ (0.67) (0.46) (0.40) (0.57) (0.54) (0.09) ----------- ----------- ----------- ---------- ---------- ---------- Total Distributions......... (0.98) (0.80) (0.91) (0.99) (0.96) (0.46) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 21.37 $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40 ============================== =========== =========== =========== ========== ========== ========== Total Return................... 4.02%(D) 26.54% 5.43% 3.30% (1.09)% 30.66% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $14,325,136 $13,490,290 $10,387,361 $9,323,492 $8,844,517 $8,520,717 Ratio of Expenses to Average Net Assets (B)................ 0.53%(E) 0.53% 0.53% 0.54% 0.53% 0.54% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)..... 0.53%(E) 0.53% 0.53% 0.54% 0.53% 0.54% Ratio of Net Investment Income to Average Net Assets.. 2.09%(E) 2.14% 2.47% 2.30% 2.15% 2.47% ---------------------------------------------------------------------------------------------------------------
Global Small Company Portfolio ---------------------- Period Six Months Jan. 18, Ended 2017(a) to April 30, Oct. 31, 2018 2017 ------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 11.53 $ 10.00 ------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A).................. 0.09 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)................. 0.29 1.39 ------- ------- Total from Investment Operations................. 0.38 1.53 ------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.17) -- Net Realized Gains............ (0.07) -- ------- ------- Total Distributions......... (0.24) -- ------------------------------------------------------------- Net Asset Value, End of Period. $ 11.67 $ 11.53 ============================== =========== ========== Total Return................... 3.30%(D) 15.30%(D) ------------------------------------------------------------- Net Assets, End of Period (thousands)................... $25,696 $15,021 Ratio of Expenses to Average Net Assets (B)................ 0.49%(E) 0.42%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)..... 0.93%(E) 1.14%(C)(E) Ratio of Net Investment Income to Average Net Assets.. 1.52%(E) 1.74%(C)(E) -------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 138 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Japanese Small Company Portfolio -------------------------------------------------------------- ------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2018 2017 2016 2015 2014 2013 2018 ---------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............... $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 23.71 -------- -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.26 0.37 0.32 0.25 0.24 0.26 0.38 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.46 5.61 2.51 1.36 0.13 4.21 0.50 -------- -------- -------- -------- -------- -------- -------- Total from Investment Operations................ 1.72 5.98 2.83 1.61 0.37 4.47 0.88 ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.70) (0.43) (0.28) (0.30) (0.55) (0.13) (0.96) Net Realized Gains............................... -- -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- Total Distributions............................. (0.70) (0.43) (0.28) (0.30) (0.55) (0.13) (0.96) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 29.58 $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 23.63 =================================================== =========== ======== ======== ======== ======== ======== =========== Total Return....................................... 6.09%(D) 26.56% 14.04% 8.62% 2.00% 30.06% 3.79%(D) ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $714,836 $647,978 $509,413 $463,997 $508,190 $414,132 $372,669 Ratio of Expenses to Average Net Assets (B)........ 0.53%(E) 0.54% 0.54% 0.54% 0.55% 0.56% 0.54%(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................... 0.63%(E) 0.64% 0.64% 0.57% 0.55% 0.56% 0.64%(E) Ratio of Net Investment Income to Average Net Assets........................................ 1.79%(E) 1.50% 1.57% 1.27% 1.25% 1.51% 3.22%(E) ----------------------------------------------------------------------------------------------------------------------------------
Asia Pacific Small Company Portfolio --------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............... $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.74 0.71 0.75 0.83 1.01 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 2.45 2.24 (3.51) (1.81) 1.37 -------- -------- -------- -------- -------- Total from Investment Operations................ 3.19 2.95 (2.76) (0.98) 2.38 ------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.75) (0.74) (1.06) (0.96) (0.78) Net Realized Gains............................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions............................. (0.75) (0.74) (1.06) (0.96) (0.78) ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 23.71 $ 21.27 $ 19.06 $ 22.88 $ 24.82 =================================================== ======== ======== ======== ======== ======== Total Return....................................... 15.70% 16.18% (12.19)% (3.84)% 10.46% ------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $332,153 $251,575 $200,270 $364,117 $331,166 Ratio of Expenses to Average Net Assets (B)........ 0.54% 0.54% 0.55% 0.55% 0.57% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................... 0.64% 0.64% 0.57% 0.55% 0.57% Ratio of Net Investment Income to Average Net Assets........................................ 3.41% 3.57% 3.67% 3.53% 4.26% -------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 139 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
United Kingdom Small Company Portfolio ---------------------------------------------------------- ---------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2018 2017 2016 2015 2014 2013 2018 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) (Unaudited) Net Asset Value, Beginning of Period...... $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 28.24 ------- ------- ------- ------- ------- ------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.43 0.87 1.18 1.06 0.95 0.88 0.26 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.87 6.67 (6.55) 1.95 (0.65) 9.17 0.65 ------- ------- ------- ------- ------- ------- -------- Total from Investment Operations....... 1.30 7.54 (5.37) 3.01 0.30 10.05 0.91 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income................... (0.44) (0.93) (1.29) (1.05) (0.93) (0.90) (0.07) Net Realized Gains...................... (2.13) (1.15) (1.63) (2.38) (0.41) -- (0.21) ------- ------- ------- ------- ------- ------- -------- Total Distributions.................... (2.57) (2.08) (2.92) (3.43) (1.34) (0.90) (0.28) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............ $ 31.40 $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 28.87 ========================================== =========== ======== ======== ======== ======== ======== =========== Total Return.............................. 4.43%(D) 29.28% (16.20)% 9.43% 0.73% 36.81% 3.27%(D) ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)..... $42,928 $45,177 $32,323 $35,637 $35,050 $37,096 $767,244 Ratio of Expenses to Average Net Assets (B)............................... 0.58%(E) 0.59% 0.59% 0.58% 0.58% 0.59% 0.54%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly)) (B).................... 0.68%(E) 0.71% 0.71% 0.62% 0.62% 0.63% 0.64%(B)(E) Ratio of Net Investment Income to Average Net Assets............................... 2.77%(E) 2.93% 3.87% 2.99% 2.50% 2.79% 1.82%(E) ------------------------------------------------------------------------------------------------------------------------
Continental Small Company Portfolio ------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2017 2016 2015 2014 2013 ----------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...... $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.45 0.43 0.43 0.42 0.37 Net Gains (Losses) on Securities (Realized and Unrealized).............. 6.73 0.72 1.38 (0.90) 5.78 -------- -------- -------- -------- -------- Total from Investment Operations....... 7.18 1.15 1.81 (0.48) 6.15 ----------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... (0.42) (0.41) (0.41) (0.44) (0.40) Net Realized Gains...................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions.................... (0.42) (0.41) (0.41) (0.44) (0.40) ----------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 28.24 $ 21.48 $ 20.74 $ 19.34 $ 20.26 ========================================== ======== ======== ======== ======== ======== Total Return.............................. 33.68% 5.70% 9.37% (2.68)% 42.99% ----------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $592,347 $292,117 $278,024 $168,961 $170,806 Ratio of Expenses to Average Net Assets (B)............................... 0.56%(B) 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly)) (B).................... 0.66%(B) 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B) Ratio of Net Investment Income to Average Net Assets............................... 1.78% 2.08% 2.09% 1.97% 2.16% -----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 140 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Real Estate Securities Portfolio -------------------------------------------------------------------------- Period Six Months July 10, Year Year Year Year Ended 2017(a) to Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.11 0.21 0.20 0.19 0.22 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.27 0.04 (0.15) (0.22) 0.19 0.25 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations....... 0.38 0.25 0.05 (0.03) 0.41 0.47 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... (0.22) (0.41) (0.09) (0.33) (0.26) (0.66) Net Realized Gains...................... -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................... (0.22) (0.41) (0.09) (0.33) (0.26) (0.66) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 5.23 $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48 ========================================== =========== ========== ========== ========== ========== ========== Total Return.............................. 7.58%(D) 5.46% 1.05% (0.37)% 8.21% 9.24% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $5,797,821 $5,497,753 $4,181,623 $3,540,092 $3,088,376 $2,158,977 Ratio of Expenses to Average Net Assets................................... 0.27%(E) 0.28% 0.28% 0.32% 0.38% 0.39% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))........................ 0.28%(E) 0.28% 0.28% 0.32% 0.38% 0.39% Ratio of Net Investment Income to Average Net Assets............................... 4.39%(E) 4.19% 3.71% 3.64% 4.14% 4.07% Portfolio Turnover Rate................... 3% 1% 1% 2% 1% 5% -----------------------------------------------------------------------------------------------------------------------
DFA Global Real Estate Securities Portfolio ----------------------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 ------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 10.90 $ 10.84 $ 10.59 $ 10.63 $ 9.59 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.30 0.43 0.27 0.44 0.31 Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.28) 0.15 0.23 (0.09) 1.05 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations....... 0.02 0.58 0.50 0.35 1.36 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... (0.34) (0.49) (0.25) (0.39) (0.32) Net Realized Gains...................... (0.07) (0.03) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions.................... (0.41) (0.52) (0.25) (0.39) (0.32) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 10.51 $ 10.90 $ 10.84 $ 10.59 $ 10.63 ========================================== =========== ========== ========== ========== ========== Total Return.............................. 0.01%(D) 5.82% 4.87% 3.44% 14.98% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $7,145,116 $6,753,782 $4,888,955 $4,059,916 $3,305,472 Ratio of Expenses to Average Net Assets................................... 0.24%(B)(E) 0.24%(B) 0.24%(B) 0.27%(B) 0.32%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))........................ 0.35%(B)(E) 0.37%(B) 0.38%(B) 0.45%(B) 0.55%(B) Ratio of Net Investment Income to Average Net Assets............................... 5.64%(E) 4.03% 2.45% 4.16% 3.21% Portfolio Turnover Rate................... 3%(D) 2% 2% 1% N/A -------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2013 --------------------------------------------------------- Net Asset Value, Beginning of Period...... $ 9.33 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.49 Net Gains (Losses) on Securities (Realized and Unrealized).............. 0.37 ---------- Total from Investment Operations....... 0.86 --------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... (0.60) Net Realized Gains...................... -- ---------- Total Distributions.................... (0.60) --------------------------------------------------------- Net Asset Value, End of Period............ $ 9.59 ========================================== ========== Total Return.............................. 9.74% --------------------------------------------------------- Net Assets, End of Period (thousands)..... $2,082,707 Ratio of Expenses to Average Net Assets................................... 0.32%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))........................ 0.55%(B) Ratio of Net Investment Income to Average Net Assets............................... 5.18% Portfolio Turnover Rate................... N/A ---------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 141 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Small Cap Value Portfolio ------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.......... $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16 ----------- ----------- ----------- ----------- ----------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.22 0.39 0.44 0.38 0.37 0.37 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 0.37 4.72 0.29 0.22 (0.34) 5.21 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations........... 0.59 5.11 0.73 0.60 0.03 5.58 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.46) (0.29) (0.58) (0.37) (0.35) (0.36) Net Realized Gains.......................... (0.74) (0.62) (0.28) (0.34) (0.30) (0.21) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions........................ (1.20) (0.91) (0.86) (0.71) (0.65) (0.57) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................ $ 22.90 $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17 ============================================= =========== =========== =========== =========== =========== =========== Total Return.................................. 2.64%(D) 27.49% 4.09% 3.31% 0.13% 37.79% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $16,241,192 $16,162,471 $13,009,729 $12,577,575 $11,684,771 $11,148,899 Ratio of Expenses to Average Net Assets....... 0.68%(E) 0.68% 0.68% 0.69% 0.68% 0.69% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))................................. 0.68%(E) 0.68% 0.68% 0.69% 0.68% 0.69% Ratio of Net Investment Income to Average Net Assets................................... 1.89%(E) 1.85% 2.38% 1.94% 1.78% 2.16% Portfolio Turnover Rate....................... 11%(D) 21% 19% 18% 8% 9% --------------------------------------------------------------------------------------------------------------------------------
International Vector Equity Portfolio --------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.......... $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............ 0.15 0.28 0.28 0.28 0.32 0.26 Net Gains (Losses) on Securities (Realized and Unrealized)............................ 0.35 2.57 0.05 (0.41) (0.43) 2.44 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 0.50 2.85 0.33 (0.13) (0.11) 2.70 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................... (0.15) (0.28) (0.27) (0.27) (0.30) (0.25) Net Realized Gains.......................... (0.05) (0.02) (0.04) (0.10) (0.08) (0.03) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.20) (0.30) (0.31) (0.37) (0.38) (0.28) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................ $ 13.63 $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75 ============================================= =========== ========== ========== ========== ========== ========== Total Return.................................. 3.81%(D) 26.83% 3.21% (1.14)% (1.05)% 29.52% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $2,698,738 $2,529,852 $1,856,474 $1,594,914 $1,305,553 $1,090,774 Ratio of Expenses to Average Net Assets....... 0.48%(E) 0.49% 0.49% 0.50% 0.49% 0.51% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))................................. 0.48%(E) 0.49% 0.49% 0.50% 0.49% 0.51% Ratio of Net Investment Income to Average Net Assets................................... 2.25%(E) 2.36% 2.73% 2.50% 2.64% 2.51% Portfolio Turnover Rate....................... 7%(D) 5% 4% 8% 8% 2% ---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 142 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International High Relative Profitability Portfolio ---------------------- ---------------- Period Six Months May 16, Six Months Ended 2017(a) to Ended April 30, Oct. 31, April 30, 2018 2017 2018 ------------------------------------------------------------------------------------------------------------ (Unaudited) (Unaudited) Net Asset Value, Beginning of Period........................ $ 10.68 $ 10.00 $ 12.71 -------- ------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.14 0.08 0.16 Net Gains (Losses) on Securities (Realized and Unrealized). 0.13 0.66 0.48 -------- ------- -------- Total from Investment Operations......................... 0.27 0.74 0.64 ------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.07) (0.06) (0.20) Net Realized Gains......................................... -- -- -- -------- ------- -------- Total Distributions...................................... (0.07) (0.06) (0.20) ------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 10.88 $ 10.68 $ 13.15 =========================================================== =========== ========== =========== Total Return................................................ 2.57%(D) 7.38%(D) 5.11%(D) ------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $182,228 $67,793 $248,868 Ratio of Expenses to Average Net Assets..................... 0.35%(E) 0.31%(C)(E) 0.51%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)................................. 0.36%(E) 0.65%(C)(E) 0.73%(B)(E) Ratio of Net Investment Income to Average Net Assets........ 2.57%(E) 1.76%(C)(E) 2.54%(E) Portfolio Turnover Rate..................................... 3%(D) 2% N/A ------------------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio ------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2017 2016 2015 2014 2013 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 0.31 0.30 0.42 0.29 Net Gains (Losses) on Securities (Realized and Unrealized). 2.33 0.03 (1.18) (0.50) 2.02 -------- -------- -------- -------- -------- Total from Investment Operations......................... 2.64 0.34 (0.88) (0.08) 2.31 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.31) (0.27) (0.42) (0.32) Net Realized Gains......................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions...................................... (0.24) (0.31) (0.27) (0.42) (0.32) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.71 $ 10.31 $ 10.28 $ 11.43 $ 11.93 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 25.97% 3.54% (7.77)% (0.81)% 23.61% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $246,551 $188,154 $155,301 $113,951 $117,587 Ratio of Expenses to Average Net Assets..................... 0.52%(B) 0.53%(B) 0.53%(B) 0.57%(B) 0.60%(B) Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)................................. 0.75%(B) 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B) Ratio of Net Investment Income to Average Net Assets........ 2.69% 3.20% 2.69% 3.54% 2.61% Portfolio Turnover Rate..................................... N/A N/A N/A N/A N/A -----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 143 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
World ex U.S. Targeted Value Portfolio --------------------------------------------------------------- Period Six Months Year Year Year Year Nov. 1, Ended Ended Ended Ended Ended 2012(a) to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.00 -------- -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.12 0.28 0.25 0.23 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.39 3.01 0.55 (0.58) (0.22) 2.46 -------- -------- -------- -------- -------- ------- Total from Investment Operations................ 0.51 3.29 0.80 (0.35) 0.01 2.66 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.08) (0.27) (0.20) (0.26) (0.24) (0.20) Net Realized Gains............................... (0.26) -- -- (0.03) (0.15) -- -------- -------- -------- -------- -------- ------- Total Distributions............................. (0.34) (0.27) (0.20) (0.29) (0.39) (0.20) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 15.23 $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46 =================================================== =========== ======== ======== ======== ======== ========== Total Return....................................... 3.50%(D) 27.61% 7.18% (2.88)% 0.06% 26.90%(D) --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $527,259 $466,504 $281,212 $227,731 $151,096 $96,010 Ratio of Expenses to Average Net Assets............ 0.66%(E) 0.67% 0.76% 0.65% 0.69% 0.79%(C)(E) Ratio of Expenses to Average Net Assets (Excluding (Fees Paid Indirectly)) (B)....................... 0.66%(E) 0.67% 0.77% 1.06% 1.17% 1.27%(C)(E) Ratio of Net Investment Income to Average Net Assets........................................ 1.59%(E) 2.04% 2.18% 1.95% 1.84% 1.78%(C)(E) Portfolio Turnover Rate............................ 11%(D) 17% 28% 1% N/A N/A ---------------------------------------------------------------------------------------------------------------------------
World ex U.S. Core Equity Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 ------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 12.15 $ 9.93 $ 9.83 $ 10.49 $ 10.77 ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.13 0.27 0.26 0.26 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.36 2.21 0.08 (0.72) (0.27) ---------- ---------- ---------- ---------- -------- Total from Investment Operations................ 0.49 2.48 0.34 (0.46) 0.01 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.09) (0.26) (0.24) (0.20) (0.28) Net Realized Gains............................... -- -- -- -- (0.01) ---------- ---------- ---------- ---------- -------- Total Distributions............................. (0.09) (0.26) (0.24) (0.20) (0.29) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 12.55 $ 12.15 $ 9.93 $ 9.83 $ 10.49 =================================================== =========== ========== ========== ========== ======== Total Return....................................... 4.09%(D) 25.33% 3.58% (4.50)% (0.04)% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $3,253,706 $2,805,367 $1,656,445 $1,170,828 $406,648 Ratio of Expenses to Average Net Assets............ 0.39%(E) 0.40% 0.47% 0.47% 0.47% Ratio of Expenses to Average Net Assets (Excluding (Fees Paid Indirectly)) (B)....................... 0.37%(E) 0.40% 0.47% 0.52% 0.88% Ratio of Net Investment Income to Average Net Assets........................................ 2.13%(E) 2.48% 2.67% 2.54% 2.59% Portfolio Turnover Rate............................ 2%(D) 4% 1% 1% N/A -------------------------------------------------------------------------------------------------------------------
---------- Period April 9, 2013(a) to Oct. 31, 2013 -------------------------------------------------------------------- Net Asset Value, Beginning of Period............... $ 10.00 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.77 -------- Total from Investment Operations................ 0.95 -------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.18) Net Realized Gains............................... -- -------- Total Distributions............................. (0.18) -------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 10.77 =================================================== ========== Total Return....................................... 9.62%(D) -------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $129,720 Ratio of Expenses to Average Net Assets............ 0.47%(C)(E) Ratio of Expenses to Average Net Assets (Excluding (Fees Paid Indirectly)) (B)....................... 0.97%(C)(E) Ratio of Net Investment Income to Average Net Assets........................................ 3.12%(C)(E) Portfolio Turnover Rate............................ N/A --------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 144 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
World Core Equity Portfolio ------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period.................... $ 16.06 $ 13.14 $ 12.94 $ 13.33 $ 12.71 $10.24 -------- -------- -------- -------- ------- ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.12 0.29 0.27 0.26 0.17 0.23 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... 0.53 2.98 0.20 (0.35) 0.87 2.47 -------- -------- -------- -------- ------- ------ Total from Investment Operations..................... 0.65 3.27 0.47 (0.09) 1.04 2.70 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income................................. (0.12) (0.30) (0.26) (0.26) (0.24) (0.23) Net Realized Gains.................................... (0.03) (0.05) (0.01) (0.04) (0.18) -- -------- -------- -------- -------- ------- ------ Total Distributions.................................. (0.15) (0.35) (0.27) (0.30) (0.42) (0.23) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.......................... $ 16.56 $ 16.06 $ 13.14 $ 12.94 $ 13.33 $12.71 ======================================================== =========== ======== ======== ======== ======== ======== Total Return............................................ 4.04%(D) 25.14% 3.73% (0.61)% 8.36% 26.77% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................... $697,402 $546,891 $370,229 $202,655 $75,707 $1,728 Ratio of Expenses to Average Net Assets (B)............. 0.35%(E) 0.35% 0.35% 0.35% 0.35% 0.40% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B).................. 0.60%(E) 0.60% 0.64% 0.65% 0.97% 5.71% Ratio of Net Investment Income to Average Net Assets.... 1.44%(E) 1.95% 2.14% 1.95% 1.27% 2.01% ------------------------------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period.................... $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87 -------- -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.12 0.29 0.26 0.27 0.27 0.24 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... 0.44 2.98 0.30 (0.34) 0.76 2.65 -------- -------- -------- -------- -------- ------- Total from Investment Operations..................... 0.56 3.27 0.56 (0.07) 1.03 2.89 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income................................. (0.27) (0.30) (0.35) (0.42) (0.32) (0.10) Net Realized Gains.................................... (0.19) (0.12) (0.04) (0.21) (0.14) (0.03) -------- -------- -------- -------- -------- ------- Total Distributions.................................. (0.46) (0.42) (0.39) (0.63) (0.46) (0.13) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.......................... $ 16.62 $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63 ======================================================== =========== ======== ======== ======== ======== ======== Total Return............................................ 3.38%(D) 24.54% 4.32% (0.34)% 7.83% 26.86% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................... $414,171 $402,204 $289,904 $245,106 $147,276 $91,348 Ratio of Expenses to Average Net Assets (B)............. 0.34%(E) 0.35% 0.35% 0.40% 0.40% 0.40% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B).................. 0.61%(E) 0.62% 0.64% 0.66% 0.69% 0.72% Ratio of Net Investment Income to Average Net Assets.... 1.42%(E) 1.90% 2.03% 1.93% 1.94% 1.93% ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 145 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Portfolio -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.19 0.49 0.45 0.49 0.56 0.52 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.72 5.43 1.95 (4.54) (0.20) 1.17 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................ 0.91 5.92 2.40 (4.05) 0.36 1.69 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ 0.17 (0.49) (0.45) (0.42) (0.53) (0.50) Net Realized Gains............................... -- -- -- -- (0.16) (0.28) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................. 0.17 (0.49) (0.45) (0.42) (0.69) (0.78) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 30.63 $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97 =================================================== =========== ========== ========== ========== ========== ========== Total Return....................................... 4.24%(D) 24.83% 11.01% (15.24)% 1.33% 6.58% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $6,262,102 $6,632,914 $4,915,400 $4,321,530 $4,073,698 $3,655,740 Ratio of Expenses to Average Net Assets (B)........ 0.48%(E) 0.50% 0.56% 0.57% 0.56% 0.57% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................... 0.58%(E) 0.60% 0.66% 0.60% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets........................................ 1.25%(E) 1.88% 2.04% 1.97% 2.11% 1.97% --------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.17 0.49 0.45 0.43 0.43 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.20 3.58 2.04 (2.53) 0.62 1.37 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................ 1.37 4.07 2.49 (2.10) 1.05 1.77 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.34) (0.51) (0.47) (0.41) (0.40) (0.39) Net Realized Gains............................... (0.55) (0.46) (0.14) (0.40) (0.33) (0.61) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................. (0.89) (0.97) (0.61) (0.81) (0.73) (1.00) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 23.97 $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10 =================================================== =========== ========== ========== ========== ========== ========== Total Return....................................... 6.02%(D) 21.00% 13.96% (9.88)% 5.12% 8.92% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $7,836,110 $7,249,717 $5,459,509 $4,845,174 $4,860,603 $4,041,863 Ratio of Expenses to Average Net Assets (B)........ 0.71%(E) 0.73% 0.72% 0.73% 0.72% 0.75% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)...................................... 0.91%(E) 0.93% 0.92% 0.78% 0.72% 0.75% Ratio of Net Investment Income to Average Net Assets........................................ 1.42%(E) 2.32% 2.43% 2.16% 2.02% 1.91% -------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 146 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares ------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21 ------- ------- ------- ------- ------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.16 0.31 0.46 0.49 0.59 0.47 Net Gains (Losses) on Securities (Realized and Unrealized). 1.87 5.60 2.75 (5.61) (1.10) 1.68 ------- ------- ------- ------- ------- -------- Total from Investment Operations......................... 2.03 5.91 3.21 (5.12) (0.51) 2.15 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.35) (0.49) (0.68) (0.49) (0.55) (0.50) Net Realized Gains......................................... -- -- -- -- (0.42) (0.59) ------- ------- ------- ------- ------- -------- Total Distributions...................................... (0.35) (0.49) (0.68) (0.49) (0.97) (1.09) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 31.81 $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27 =========================================================== =========== ======== ======== ======== ======== ======== Total Return................................................ 6.83%(D) 24.11% 14.98% (18.49)% (1.75)% 7.75% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $29,362 $31,198 $97,923 $74,076 $99,066 $106,070 Ratio of Expenses to Average Net Assets (B)................. 0.81%(E) 0.81% 0.81% 0.81% 0.80% 0.82% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly) (B)........ 0.91%(E) 0.91% 0.91% 0.84% 0.80% 0.82% Ratio of Net Investment Income to Average Net Assets........ 1.03%(E) 1.19% 2.08% 1.93% 2.09% 1.65% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 147 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Institutional Class Shares --------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period........................ $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22 ----------- ----------- ----------- ----------- ----------- ----------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)......................... 0.20 0.61 0.51 0.54 0.66 0.55 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.88 5.40 2.77 (5.60) (1.10) 1.67 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations................. 2.08 6.01 3.28 (5.06) (0.44) 2.22 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income......... (0.36) (0.53) (0.66) (0.53) (0.61) (0.57) Net Realized Gains............ -- -- -- -- (0.42) (0.59) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions......... (0.36) (0.53) (0.66) (0.53) (1.03) (1.16) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period. $ 32.04 $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28 ============================== =========== =========== =========== =========== =========== =========== Total Return................... 6.95%(D) 24.41% 15.23% (18.27)% (1.51)% 8.01% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................... $19,811,265 $19,383,230 $16,304,321 $14,834,888 $18,647,276 $19,162,837 Ratio of Expenses to Average Net Assets (B)................ 0.56%(E) 0.57% 0.56% 0.56% 0.55% 0.57% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly)) (B)........................... 0.66%(E) 0.67% 0.66% 0.59% 0.55% 0.57% Ratio of Net Investment Income to Average Net Assets.. 1.28%(E) 2.23% 2.31% 2.12% 2.35% 1.91% ------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 148 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio -------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2018 2017 2016 2015 2014 2013 ----------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00 ----------- ----------- ----------- ----------- ----------- ----------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)......................... 0.15 0.42 0.37 0.39 0.42 0.39 Net Gains (Losses) on Securities (Realized and Unrealized)................. 0.63 3.95 1.59 (3.29) (0.03) 1.07 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Operations................. 0.78 4.37 1.96 (2.90) 0.39 1.46 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... 0.14 (0.39) (0.37) (0.37) (0.40) (0.37) ----------- ----------- ----------- ----------- ----------- ----------- Total Distributions......... 0.14 (0.39) (0.37) (0.37) (0.40) (0.37) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period. $ 23.30 $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09 ============================== =========== =========== =========== =========== =========== =========== Total Return................... 4.75%(D) 24.02% 11.87% (14.49)% 1.89% 7.75% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $29,708,499 $27,085,722 $18,712,966 $14,856,878 $15,727,547 $13,020,962 Ratio of Expenses to Average Net Assets.................... 0.53%(E) 0.55% 0.61% 0.62% 0.61% 0.63% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees Paid Indirectly))....... 0.52%(E) 0.56% 0.61% 0.62% 0.61% 0.63% Ratio of Net Investment Income to Average Net Assets.. 1.33%(E) 2.08% 2.20% 2.06% 2.10% 1.97% Portfolio Turnover Rate........ 2%(D) 4% 3% 5% 2% 1% -----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 149 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) 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 two operational portfolios, of which thirty-four (the "Portfolios") are included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial Services-Investment Companies." Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company ("DFAITC") and one invests all of its assets in the Dimensional Emerging Markets Value Fund ("DEM") (each such series within DFAITC and DEM, a "Master Fund"). International Small Company Portfolio invests in five Master Funds within DFAITC. Global Small Company Portfolio invests in six Master Funds within DFAITC and one underlying fund within the Fund (each such underlying fund within the Fund, an "Underlying Fund"). DFA Global Real Estate Securities Portfolio invests in two Underlying Funds within the Fund and directly in securities. World ex U.S. Value Portfolio invests in three Master/Underlying Funds within the Fund, DFAITC, and DEM. World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio each invest in three Underlying Funds within the Fund. At April 30, 2018, the following Portfolios were the owner of record of the following approximate percentages of the total outstanding shares of the following Master/Underlying Funds as detailed below:
Percentage Ownership Feeder Funds Master/Underlying Funds at 04/30/18 ------------ ----------------------- ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 86% Japanese Small Company Portfolio The Japanese Small Company Series 16% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 19% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 12% Emerging Markets Portfolio The Emerging Markets Series 99% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99% Percentage Ownership Fund of Funds Master/Underlying Funds at 04/30/18 ------------- ----------------------- ----------- International Small Company Portfolio The Continental Small Company Series 87% The Japanese Small Company Series 84% The United Kingdom Small Company Series 97% The Asia Pacific Small Company Series 81% The Canadian Small Company Series 97% Global Small Company Portfolio U.S. Small Cap Portfolio -- The Continental Small Company Series -- The Japanese Small Company Series -- The Asia Pacific Small Company Series -- The Canadian Small Company Series -- The Emerging Markets Small Cap Series -- The United Kingdom Small Company Series --
150
Percentage Ownership Fund of Funds Master/Underlying Funds at 04/30/18 ------------- ----------------------- ----------- DFA Global Real Estate Securities Portfolio* DFA Real Estate Securities Portfolio 18% DFA International Real Estate Securities Portfolio 43% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series 1% World Core Equity Portfolio U.S. Core Equity 1 Portfolio 2% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio -- Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1% International Core Equity Portfolio -- Emerging Markets Core Equity Portfolio --
* DFA Global Real Estate Securities Portfolio invests in two Underlying Funds as indicated and securities listed on its Summary Schedule of Investments. To achieve its investment objective, each Feeder Fund and Fund of Funds invests primarily in corresponding Master and/or Underlying Funds as indicated above. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Underlying Funds and/or directly in securities of companies in the real estate industry. Each Feeder Fund and Fund of Funds also invest in short-term temporary cash investments and futures. In addition, each international and global Fund of Funds may engage in forward currency contracts. The financial statements of the Feeder Funds' Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments) Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio and U.S. High Relative Profitability Portfolio (the "Domestic Equity Portfolios") and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real 151 Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, Emerging Markets Core Equity Portfolio and International High Relative Profitability Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the International Equity Portfolios value the securities within the range of the most recent quoted bid and ask prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Debt securities held by the Portfolios are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. These valuations are generally categorized as Level 2 in the hierarchy. Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. 152 Shares held by the Portfolios in other investment companies (such as the Master/Underlying Funds) are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds', International Small Company Portfolio's, Global Small Company Portfolio's and World ex U.S. Value Portfolio's investments in Series of DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund(s). These valuations are classified as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments (except for the Feeder Funds). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2018, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolios. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and ask prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Portfolios also enter into forward currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked-to-market daily based on daily forward exchange rates. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, the Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio do isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed-upon years. Each Director shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director's first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board 153 (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2018, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 4. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities and from the investment in affiliated investment companies that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the Portfolios are allocated using methods approved by the Board, generally based on average net assets. Organizational costs are expensed during the fiscal year of inception of the Portfolios. Offering costs are amortized over a twelve-month period from the inception of the Portfolios. Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of a Portfolio. Income, gains and losses, and common expenses of a Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. The Feeder Funds, International Small Company Portfolio, Global Small Company Portfolio, and World ex U.S. Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master Fund(s) within DFAITC or DEM, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core Equity Portfolio are subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. Investment Advisor and Administrator: The Advisor, Dimensional Fund Advisors LP, provides investment management services to all Portfolios. For the six months ended April 30, 2018, the Portfolios' investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio...... 0.20% U.S. Large Cap Equity Portfolio............ 0.15% U.S. Large Cap Value Portfolio............. 0.25% U.S. Targeted Value Portfolio.............. 0.35% U.S. Small Cap Value Portfolio............. 0.50% U.S. Core Equity 1 Portfolio............... 0.17% U.S. Core Equity 2 Portfolio............... 0.20% U.S. Vector Equity Portfolio............... 0.30% U.S. Small Cap Portfolio................... 0.35% U.S. Micro Cap Portfolio................... 0.50% U.S. High Relative Profitability Portfolio. 0.20%
154 DFA Real Estate Securities Portfolio................ 0.17% Large Cap International Portfolio................... 0.20% International Core Equity Portfolio................. 0.27% International Small Company Portfolio............... 0.40% Global Small Company Portfolio...................... 0.45% Japanese Small Company Portfolio.................... 0.50% Asia Pacific Small Company Portfolio................ 0.50% United Kingdom Small Company Portfolio.............. 0.50% Continental Small Company Portfolio................. 0.50% DFA International Real Estate Securities Portfolio.. 0.25% DFA Global Real Estate Securities Portfolio......... 0.20% DFA International Small Cap Value Portfolio......... 0.65% International Vector Equity Portfolio............... 0.45% International High Relative Profitability Portfolio. 0.25% World ex U.S. Value Portfolio....................... 0.47% World ex U.S. Targeted Value Portfolio.............. 0.58% World ex U.S. Core Equity Portfolio................. 0.32% World Core Equity Portfolio......................... 0.30% Selectively Hedged Global Equity Portfolio.......... 0.30% Emerging Markets Portfolio.......................... 0.42% Emerging Markets Small Cap Portfolio................ 0.65% Emerging Markets Value Portfolio.................... 0.50% Emerging Markets Core Equity Portfolio.............. 0.47%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the non-Feeder Funds below, and a portion of the Fee Waiver Agreement for certain Feeder Funds below, will remain in effect through February 28, 2019 and may only be terminated by the Fund's Board of Directors prior to that date. The Fee Waiver Agreement for such Portfolios shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Funds, as described in the notes below, will remain in effect permanently, unless terminated by a Feeder Fund. For the six months ended April 30, 2018, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees/expenses assumed subject to future recovery by the Advisor and the net amount of waived fees/expenses assumed (recovered previously waived fees/expenses assumed) during the six months ended April 30, 2018, are also reflected below (amounts in thousands). The Fund, on behalf of the non-feeder Portfolios listed, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than 36 months before the date of recovery. With respect to each Fee Waiver Agreement, prior year expenses can be recaptured only if the current expense ratio is less than the prior year expense cap that was in place when such prior year expenses were waived. With respect to the World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio, the Advisor shall also not be reimbursed for any management fees previously waived to offset a Portfolio's proportionate share of the management fees paid by such Portfolio through its investment in other funds managed by the Advisor.
Previously Net Waived Recovery Waived Fees/ Fees/Expenses of Previously Expenses Assumed (Recovered Expense Waived Fees/ Assumed Previously Waived Limitation Expenses Subject to Future Fees/Expenses Institutional Class Shares Amount Assumed Recovery Assumed) -------------------------- ---------- ------------- ----------------- ------------------ Enhanced U.S. Large Company Portfolio (1). 0.15% $ 1 $294 $ 137 U.S. Large Cap Equity Portfolio (1)....... 0.19% -- -- -- U.S. Large Cap Value Portfolio (2)........ 0.25% -- -- 12,423
155
Previously Net Waived Recovery Waived Fees/ Fees/Expenses of Previously Expenses Assumed (Recovered Expense Waived Fees/ Assumed Previously Waived Limitation Expenses Subject to Future Fees/Expenses Institutional Class Shares Amount Assumed Recovery Assumed) -------------------------- ---------- ------------- ----------------- ------------------ U.S. Targeted Value Portfolio (3)................... 0.50% -- -- -- U.S. Core Equity 1 Portfolio (1).................... 0.23% -- -- -- U.S. Core Equity 2 Portfolio (1).................... 0.26% -- -- -- U.S. Vector Equity Portfolio (1).................... 0.36% -- -- -- U.S. High Relative Profitability Portfolio (4)...... 0.25% -- $ 84 $ 28 DFA Real Estate Securities Portfolio (1)............ 0.18% $ 1 2,165 292 Large Cap International Portfolio (1)............... 0.24% 40 -- (40) International Core Equity Portfolio (1)............. 0.30% 828 1,807 (785) International Small Company Portfolio (5)........... 0.45% -- -- -- Global Small Company Portfolio (4).................. 0.49% -- 101 43 Japanese Small Company Portfolio (6)................ 0.47% -- -- 341 Asia Pacific Small Company Portfolio (6)............ 0.47% -- -- 177 United Kingdom Small Company Portfolio (6)..................................... 0.47% 2 19 20 Continental Small Company Portfolio (6)............. 0.47% -- -- 352 DFA International Real Estate Securities Portfolio (7)..................................... 0.29% -- -- -- DFA Global Real Estate Securities Portfolio (8)..................................... 0.24% -- 20,739 3,830 International Vector Equity Portfolio (1)........... 0.60% -- -- -- International High Relative Profitability Portfolio (4)............................................... 0.35% 11 67 5 World ex U.S. Value Portfolio (9)................... 0.60% -- -- 276 World ex U.S. Targeted Value Portfolio (10)......... 0.80% -- -- -- World ex U.S. Core Equity Portfolio (11)............ 0.39% 377 549 (377) World Core Equity Portfolio (12).................... 0.35% 120 11 773 Selectively Hedged Global Equity Portfolio (13).................................... 0.40% -- -- 550 Emerging Markets Portfolio (14)..................... 0.49% -- -- 3,198 Emerging Markets Small Cap Portfolio (2)............ 0.65% -- -- 7,685 Emerging Markets Value Portfolio (2)................ 0.50% -- -- 9,934 Emerging Markets Core Equity Portfolio (1).......... 0.54% 1,257 -- (1,257) Class R1 Shares --------------- U.S. Targeted Value Portfolio (15).................. 0.62% -- -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (15).................. 0.77% -- -- -- Emerging Markets Value Portfolio (16)............... 0.96% -- -- 16
(1) The Advisor has contractually agreed to waive all or a portion of its management fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio are less than the Expense Limitation Amount listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. The Fee Waiver Agreements for the Enhanced U.S. Large Company Portfolio and Large Cap International Portfolio became 156 effective on April 3, 2017 and January 1, 2017, respectively. In addition, prior to January 1, 2017, the Advisor had contractually agreed to waive all or a portion of its management fee and assume each of the International Core Equity Portfolio's and Emerging Markets Core Equity Portfolio's Portfolio Expenses to the extent necessary to limit the Portfolio Expenses of each such Portfolio to 0.49% and 0.85%, respectively, as a percentage of average net assets on an annualized basis. (2) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by a Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the "Money Market Series"), to the rate listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis. (3) The Advisor has contractually agreed to waive its management fee and to assume the Portfolio's expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (4) The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the ordinary operating expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor, excluding money market funds, but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). 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 any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. (5) Effective July 21, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. 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. (6) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by each Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.50% of the average net assets of a class of a Portfolio on an annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of its management fee and to assume the other direct expenses of a class of each Portfolio (excluding expenses incurred through its investment in other 157 investment companies managed by the Advisor) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each class of a Portfolio to the rates listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. Except, a Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Prior to July 21, 2015, the Advisor had contractually agreed to waive its administration fee and to assume each Portfolio's other direct expenses to the extent necessary to limit the direct expenses of each Portfolio to the Expense Limitation Amount listed above. The Fee Waiver Agreement did not include the indirect expenses each Portfolio bore as a shareholder of its Master Fund. (7) Effective February 28, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the Portfolio's ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Prior to February 28, 2015, the Advisor had contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio Expenses of the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.65% of the Portfolio's average net assets on an annualized basis. (8) Effective February 28, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master Funds but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series and its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. From February 28, 2012 to February 27, 2015, the Advisor had contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio Expenses of the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.32% of the Portfolio's average net assets on an annualized basis. (9) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.47% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the management fee that remains payable by the Portfolio (i.e., the management fee remaining after the proportionate share of the Master/Underlying Funds' management fees have been offset (the "Remaining Management Fee")) to the extent necessary to reduce the Portfolio's ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("Portfolio Expenses") to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The maximum amount that may be waived to limit Portfolio Expenses is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio's Expense Limitation Amount listed above, the Advisor retains 158 the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above. (10) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.58% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master/Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (11) The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Underlying Funds but excluding the expenses that the Portfolio incurs indirectly through its investment of its securities lending cash collateral in the Money Market Series and its investment in unaffiliated investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (12) Effective June 27, 2014, the Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (including the Portfolio's proportionate share of any management fees that a Underlying Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor has also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("Portfolio Expenses") of a class of the Portfolio so that such Portfolio Expenses do not exceed the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). Prior to June 27, 2014, the Expense Limitation Amount was 0.40% of the average net assets of such class of the Portfolio on an annualized basis. At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. (13) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Underlying Funds, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its 159 investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) ("Portfolio Expenses") of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (14) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.42% of the average net assets of a class of the Portfolio on an annualized basis (the "Permanent Fee Waiver"). Effective January 1, 2017, in addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies managed by the Advisor) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. (15) The Advisor has contractually agreed to reduce all or a portion of its management fee and to assume the direct and indirect expenses of the Class R1 shares and Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R1 shares and Class R2 shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Class R1 shares or Class R2 shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (16) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in the Money Market Series, to 0.50% of the average net assets of a class of the Portfolio on an annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to (including for the period prior to July 21, 2015) assume the direct expenses of the Class R2 shares of the Portfolio (excluding management fees and custodian fees) to the extent necessary to limit the annualized expenses of the Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above as a percentage of the average net assets of the Class R2 shares of the Portfolio (the "Annualized Expense Ratio"). At any time that the annualized expenses of the Class R2 shares of the Portfolio are less than the Annualized Expense Ratio listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery is within thirty-six months and does not cause the annualized expense ratio of the Class R2 shares of the Portfolio to exceed the Annualized Expense Ratio, as listed above. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. 160 Earned Income Credit: In addition, Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolios' custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Portfolio's net assets. During the six months ended April 30, 2018, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Large Cap International Portfolio................... $ 60 International Core Equity Portfolio................. 377 DFA International Real Estate Securities Portfolio.. 75 DFA International Small Cap Value Portfolio......... 248 International Vector Equity Portfolio............... 11 International High Relative Profitability Portfolio. 5 World ex U.S. Targeted Value Portfolio.............. 4 World ex U.S. Core Equity Portfolio................. 37 Emerging Markets Core Equity Portfolio.............. 220
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 six months ended April 30, 2018, the total related amounts paid by the Fund to the CCO were $158 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statements of Operations. D. Deferred Compensation: At April 30, 2018, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): Enhanced U.S. Large Company Portfolio.............. $ 11 U.S. Large Cap Equity Portfolio.................... 13 U.S. Large Cap Value Portfolio..................... 532 U.S. Targeted Value Portfolio...................... 194 U.S. Small Cap Value Portfolio..................... 433 U.S. Core Equity 1 Portfolio....................... 338 U.S. Core Equity 2 Portfolio....................... 433 U.S. Vector Equity Portfolio....................... 113 U.S. Small Cap Portfolio........................... 316 U.S. Micro Cap Portfolio........................... 200 U.S. High Relative Profitability Portfolio......... 1 DFA Real Estate Securities Portfolio............... 198 Large Cap International Portfolio.................. 114 International Core Equity Portfolio................ 429 International Small Company Portfolio.............. 338 Global Small Company Portfolio..................... -- Japanese Small Company Portfolio................... 14 Asia Pacific Small Company Portfolio............... 9 United Kingdom Small Company Portfolio............. 2 Continental Small Company Portfolio................ 10 DFA International Real Estate Securities Portfolio. 94
161 DFA Global Real Estate Securities Portfolio......... $ 95 DFA International Small Cap Value Portfolio......... 465 International Vector Equity Portfolio............... 41 International High Relative Profitability Portfolio. -- World ex U.S. Value Portfolio....................... 4 World ex U.S. Targeted Value Portfolio.............. 5 World ex U.S. Core Equity Portfolio................. 25 World Core Equity Portfolio......................... 5 Selectively Hedged Global Equity Portfolio.......... 5 Emerging Markets Portfolio.......................... 155 Emerging Markets Small Cap Portfolio................ 142 Emerging Markets Value Portfolio.................... 602 Emerging Markets Core Equity Portfolio.............. 445
E. Purchases and Sales of Securities: For the six months ended April 30, 2018, the Portfolios' transactions related to investment securities, other than short-term securities and in-kind redemptions (amounts in thousands), were as follows:
U.S. Government Other Investment Securities Securities ----------------- --------------------- Purchases Sales Purchases Sales --------- ------- ---------- ---------- Enhanced U.S. Large Company Portfolio............... $66,323 $66,535 $ 120,581 $ 97,279 U.S. Large Cap Equity Portfolio..................... -- -- 168,308 42,196 U.S. Targeted Value Portfolio....................... -- -- 1,080,513 992,217 U.S. Small Cap Value Portfolio...................... -- -- 1,517,253 1,370,833 U.S. Core Equity 1 Portfolio........................ -- -- 1,234,473 324,160 U.S. Core Equity 2 Portfolio........................ -- -- 1,635,912 556,622 U.S. Vector Equity Portfolio........................ -- -- 241,499 309,542 U.S. Small Cap Portfolio............................ -- -- 1,597,387 1,004,901 U.S. Micro Cap Portfolio............................ -- -- 554,826 381,215 U.S. High Relative Profitability Portfolio.......... -- -- 242,949 10,040 DFA Real Estate Securities Portfolio................ -- -- 599,039 63,668 Large Cap International Portfolio................... -- -- 343,851 158,613 International Core Equity Portfolio................. -- -- 3,373,311 494,393 DFA International Real Estate Securities Portfolio.. -- -- 197,714 220,320 DFA Global Real Estate Securities Portfolio......... -- -- 782,826 185,457 DFA International Small Cap Value Portfolio......... -- -- 1,766,468 2,023,911 International Vector Equity Portfolio............... -- -- 268,257 173,692 International High Relative Profitability Portfolio. -- -- 116,674 4,429 World ex U.S. Targeted Value Portfolio.............. -- -- 101,025 53,324 World ex U.S. Core Equity Portfolio................. -- -- 411,945 58,992 Emerging Markets Core Equity Portfolio.............. -- -- 2,193,632 714,598
162 For the six months ended April 30, 2018, transactions related to Affiliated Investment Companies, excluding in-kind redemptions, were as follows (amounts in thousands):
Net Realized Gain/(Loss) Dividend on Sales of Change in Income from Affiliated Unrealized Affiliated Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment 10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies - ---------- ---------- ---------- ------------ ------------- ---------- ------------ ----------- Enhanced U.S. Large Company Portfolio DFA Short Term Investment Fund...... $ 3,027 $ 58,489 $ 47,849 $ (1) $ 2 $ 13,668 1,181 $ 74 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $ 3,027 $ 58,489 $ 47,849 $ (1) $ 2 $ 13,668 1,181 $ 74 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Large Cap Equity Portfolio DFA Short Term Investment Fund...... $ 41,253 $ 92,863 $ 94,827 $ (5) $ 1 $ 39,285 3,395 $ 306 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $ 41,253 $ 92,863 $ 94,827 $ (5) $ 1 $ 39,285 3,395 $ 306 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Targeted Value Portfolio DFA Short Term Investment Fund...... $1,670,768 $3,769,964 $3,887,389 $(162) $ 5 $1,553,186 134,243 $12,360 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $1,670,768 $3,769,964 $3,887,389 $(162) $ 5 $1,553,186 134,243 $12,360 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Small Cap Value Portfolio DFA Short Term Investment Fund...... $1,834,294 $4,474,199 $4,270,855 $(171) $(29) $2,037,438 176,097 $15,002 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $1,834,294 $4,474,199 $4,270,855 $(171) $(29) $2,037,438 176,097 $15,002 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Core Equity 1 Portfolio DFA Short Term Investment Fund...... $1,640,846 $4,064,573 $4,121,749 $(183) $ 13 $1,583,500 136,863 $12,574 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $1,640,846 $4,064,573 $4,121,749 $(183) $ 13 $1,583,500 136,863 $12,574 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Core Equity 2 Portfolio DFA Short Term Investment Fund...... $2,291,391 $4,555,097 $5,000,387 $(162) $(15) $1,845,924 159,544 $15,182 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $2,291,391 $4,555,097 $5,000,387 $(162) $(15) $1,845,924 159,544 $15,182 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Vector Equity Portfolio DFA Short Term Investment Fund...... $ 572,203 $1,203,411 $1,266,756 $ (46) $(18) $ 508,794 43,975 $ 4,066 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $ 572,203 $1,203,411 $1,266,756 $ (46) $(18) $ 508,794 43,975 $ 4,066 ========== ========== ========== ===== ==== ========== ======= ======= U.S. Small Cap Portfolio DFA Short Term Investment Fund...... $3,582,679 $5,762,226 $6,221,005 $(369) $(15) $3,123,516 269,967 $25,151 ---------- ---------- ---------- ----- ---- ---------- ------- ------- Total................. $3,582,679 $5,762,226 $6,221,005 $(369) $(15) $3,123,516 269,967 $25,151 ========== ========== ========== ===== ==== ========== ======= =======
Capital Gain Distributions from Affiliated Investment Companies - ------------- Enhanced U.S. Large Company Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Large Cap Equity Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Targeted Value Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Small Cap Value Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Core Equity 1 Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Core Equity 2 Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Vector Equity Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- == U.S. Small Cap Portfolio DFA Short Term Investment Fund...... -- -- Total................. -- ==
163
Net Realized Gain/(Loss) Dividend on Sales of Change in Income from Affiliated Unrealized Affiliated Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment 10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies - ---------- ---------- ---------- ------------ ------------- ---------- ------------ ----------- U.S. Micro Cap Portfolio DFA Short Term Investment Fund......... $1,087,256 $1,763,178 $1,897,496 $ (70) $ (6) $ 952,862 82,356 $ 7,839 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $1,087,256 $1,763,178 $1,897,496 $ (70) $ (6) $ 952,862 82,356 $ 7,839 ========== ========== ========== ======== ======== ========== ======= ======== U.S. High Relative Profitability Portfolio DFA Short Term Investment Fund......... $ 8,012 $ 42,125 $ 39,096 -- $ 1 $ 11,042 954 $ 75 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $ 8,012 $ 42,125 $ 39,096 -- $ 1 $ 11,042 954 $ 75 ========== ========== ========== ======== ======== ========== ======= ======== DFA Real Estate Securities Portfolio DFA Short Term Investment Fund......... $ 416,958 $1,771,580 $1,598,208 $ (57) $ (1) $ 590,272 51,017 $ 3,309 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $ 416,958 $1,771,580 $1,598,208 $ (57) $ (1) $ 590,272 51,017 $ 3,309 ========== ========== ========== ======== ======== ========== ======= ======== Large Cap International Portfolio DFA Short Term Investment Fund......... $ 273,686 $ 971,623 $ 789,187 $ (55) $ 41 $ 456,108 39,422 $ 2,654 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $ 273,686 $ 971,623 $ 789,187 $ (55) $ 41 $ 456,108 39,422 $ 2,654 ========== ========== ========== ======== ======== ========== ======= ======== International Core Equity Portfolio DFA Short Term Investment Fund......... $1,710,859 $3,851,953 $2,864,062 $ (130) $ (17) $2,698,603 233,241 $ 16,682 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $1,710,859 $3,851,953 $2,864,062 $ (130) $ (17) $2,698,603 233,241 $ 16,682 ========== ========== ========== ======== ======== ========== ======= ======== Global Small Company Portfolio DFA US Small Cap Portfolio............... $ 7,573 $ 5,801 $ 163 $ (3) $ (254) $ 12,954 364 $ 50 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $ 7,573 $ 5,801 $ 163 $ (3) $ (254) $ 12,954 364 $ 50 ========== ========== ========== ======== ======== ========== ======= ======== DFA International Real Estate Securities Portfolio DFA Short Term Investment Fund......... $ 185,600 $1,260,487 $1,091,545 $ (65) $ 6 $ 354,483 30,638 $ 2,045 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $ 185,600 $1,260,487 $1,091,545 $ (65) $ 6 $ 354,483 30,638 $ 2,045 ========== ========== ========== ======== ======== ========== ======= ======== DFA Global Real Estate Securities Portfolio DFA International Real Estate Securities Portfolio............... $2,368,488 $ 235,277 $ 185,457 $(19,536) $ 93,503 $2,492,275 476,534 $104,259 DFA Real Estate Securities Portfolio.... 1,583,375 -- -- -- (99,555) 1,483,820 45,252 31,541 DFA Short Term Investment Fund......... 107,840 1,085,743 998,001 (60) 18 195,540 16,901 2,018 ---------- ---------- ---------- -------- -------- ---------- ------- -------- Total.................... $4,059,703 $1,321,020 $1,183,458 $(19,596) $ (6,034) $4,171,635 538,687 $137,818 ========== ========== ========== ======== ======== ========== ======= ========
Capital Gain Distributions from Affiliated Investment Companies - ------------- U.S. Micro Cap Portfolio DFA Short Term Investment Fund......... -- ------ Total.................... -- ====== U.S. High Relative Profitability Portfolio DFA Short Term Investment Fund......... -- ------ Total.................... -- ====== DFA Real Estate Securities Portfolio DFA Short Term Investment Fund......... -- ------ Total.................... -- ====== Large Cap International Portfolio DFA Short Term Investment Fund......... -- ------ Total.................... -- ====== International Core Equity Portfolio DFA Short Term Investment Fund......... -- ------ Total.................... -- ====== Global Small Company Portfolio DFA US Small Cap Portfolio............... $ 333 ------ Total.................... $ 333 ====== DFA International Real Estate Securities Portfolio DFA Short Term Investment Fund......... -- ------ Total.................... -- ====== DFA Global Real Estate Securities Portfolio DFA International Real Estate Securities Portfolio............... -- DFA Real Estate Securities Portfolio.... $5,030 DFA Short Term Investment Fund......... -- ------ Total.................... $5,030 ======
164
Net Realized Gain/(Loss) Dividend on Sales of Change in Income from Affiliated Unrealized Affiliated Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment 10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies - ---------- ---------- ---------- ------------ ------------- ---------- ------------ ----------- DFA International Small Cap Value Portfolio DFA Short Term Investment Fund.......... $910,021 $1,607,184 $1,323,567 $ (73) $ (35) $1,193,530 103,157 $8,384 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $910,021 $1,607,184 $1,323,567 $ (73) $ (35) $1,193,530 103,157 $8,384 ======== ========== ========== ====== ======= ========== ======= ====== International Vector Equity Portfolio DFA Short Term Investment Fund.......... $169,224 $ 320,458 $ 252,581 $ (9) $ (5) $ 237,087 20,492 $1,610 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $169,224 $ 320,458 $ 252,581 $ (9) $ (5) $ 237,087 20,492 $1,610 ======== ========== ========== ====== ======= ========== ======= ====== International High Relative Profitability Portfolio DFA Short Term Investment Fund.......... $ 1,943 $ 57,014 $ 49,588 -- $ 1 $ 9,370 810 $ 44 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $ 1,943 $ 57,014 $ 49,588 -- $ 1 $ 9,370 810 $ 44 ======== ========== ========== ====== ======= ========== ======= ====== World ex U.S. Value Portfolio DFA International Small Cap Value Portfolio...... $ 24,824 $ 4,613 $ 3,694 $ (70) $ (558) $ 25,115 1,097 $ 478 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $ 24,824 $ 4,613 $ 3,694 $ (70) $ (558) $ 25,115 1,097 $ 478 ======== ========== ========== ====== ======= ========== ======= ====== World ex U.S. Targeted Value Portfolio DFA Short Term Investment Fund.......... $ 7,173 $ 17,532 $ 16,586 $ (1) -- $ 8,118 702 $ 36 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $ 7,173 $ 17,532 $ 16,586 $ (1) -- $ 8,118 702 $ 36 ======== ========== ========== ====== ======= ========== ======= ====== World ex U.S. Core Equity Portfolio DFA Short Term Investment Fund.......... $158,025 $ 324,052 $ 247,127 $ (13) $ (1) $ 234,936 20,306 $1,391 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $158,025 $ 324,052 $ 247,127 $ (13) $ (1) $ 234,936 20,306 $1,391 ======== ========== ========== ====== ======= ========== ======= ====== World Core Equity Portfolio U.S. Core Equity 1 Portfolio................ $276,439 $ 88,934 $ 21,858 $1,378 $ 7,409 $ 352,302 15,561 $2,443 International Core Equity Portfolio................ 203,505 64,456 18,075 1,335 5,623 256,844 17,580 2,096 Emerging Markets Core Equity Portfolio......... 66,399 24,363 6,270 471 2,770 87,733 3,765 478 -------- ---------- ---------- ------ ------- ---------- ------- ------ Total..................... $546,343 $ 177,753 $ 46,203 $3,184 $15,802 $ 696,879 36,906 $5,017 ======== ========== ========== ====== ======= ========== ======= ======
Capital Gain Distributions from Affiliated Investment Companies - ------------- DFA International Small Cap Value Portfolio DFA Short Term Investment Fund.......... -- ------ Total..................... -- ====== International Vector Equity Portfolio DFA Short Term Investment Fund.......... -- ------ Total..................... -- ====== International High Relative Profitability Portfolio DFA Short Term Investment Fund.......... -- ------ Total..................... -- ====== World ex U.S. Value Portfolio DFA International Small Cap Value Portfolio...... $ 773 ------ Total..................... $ 773 ====== World ex U.S. Targeted Value Portfolio DFA Short Term Investment Fund.......... -- ------ Total..................... -- ====== World ex U.S. Core Equity Portfolio DFA Short Term Investment Fund.......... -- ------ Total..................... -- ====== World Core Equity Portfolio U.S. Core Equity 1 Portfolio................ $1,843 International Core Equity Portfolio................ -- Emerging Markets Core Equity Portfolio......... -- ------ Total..................... $1,843 ======
165
Net Realized Gain/(Loss) Dividend on Sales of Change in Income from Affiliated Unrealized Affiliated Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment 10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies - ---------- ---------- ---------- ------------ ------------- ---------- ------------ ----------- Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio................ $ 165,111 $ 20,951 $ 19,700 $ 790 $2,676 $ 169,828 7,966 $ 1,201 International Core Equity Portfolio................ 139,217 14,227 16,134 955 2,826 141,091 9,657 1,233 Emerging Markets Core Equity Portfolio......... 73,349 10,166 8,790 536 2,606 77,867 3,342 453 ---------- ---------- ---------- ------ ------ ---------- ------- ------- Total..................... $ 377,677 $ 45,344 $ 44,624 $2,281 $8,108 $ 388,786 20,965 $ 2,887 ========== ========== ========== ====== ====== ========== ======= ======= Emerging Markets Core Equity Portfolio DFA Short Term Investment Fund.......... $1,102,540 $2,517,992 $2,138,883 $ (124) $ (27) $1,481,498 128,047 $10,949 ---------- ---------- ---------- ------ ------ ---------- ------- ------- Total..................... $1,102,540 $2,517,992 $2,138,883 $ (124) $ (27) $1,481,498 128,047 $10,949 ========== ========== ========== ====== ====== ========== ======= =======
Capital Gain Distributions from Affiliated Investment Companies - ------------- Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio................ $1,607 International Core Equity Portfolio................ -- Emerging Markets Core Equity Portfolio......... -- ------ Total..................... $1,607 ====== Emerging Markets Core Equity Portfolio DFA Short Term Investment Fund.......... -- ------ Total..................... -- ======
F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2017, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, realized foreign capital gains tax, tax-equalization, non-deductible 90 day stock issuance cost, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Enhanced U.S. Large Company Portfolio...... $ 4,608 $ (498) $ (4,110) U.S. Large Cap Equity Portfolio............ 198 (258) 60 U.S. Large Cap Value Portfolio............. 74,099 (19,689) (54,410) U.S. Targeted Value Portfolio.............. 40,176 (7,005) (33,171) U.S. Small Cap Value Portfolio............. 136,659 (8,319) (128,340) U.S. Core Equity 1 Portfolio............... 9,544 (7,787) (1,757) U.S. Core Equity 2 Portfolio............... 13,485 (8,989) (4,496) U.S. Vector Equity Portfolio............... 13,226 (3,672) (9,554) U.S. Small Cap Portfolio................... 172,430 (8,638) (163,792) U.S. Micro Cap Portfolio................... 16,818 (2,006) (14,812) U.S. High Relative Profitability Portfolio. -- -- -- DFA Real Estate Securities Portfolio....... 2,632 34,600 (37,232)
166
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Large Cap International Portfolio................... $(21,950) $ 273 $ 21,677 International Core Equity Portfolio................. (38,149) (9,102) 47,251 International Small Company Portfolio............... 42,965 (10,293) (32,672) Global Small Company Portfolio...................... -- 9 (9) Japanese Small Company Portfolio.................... -- (100) 100 Asia Pacific Small Company Portfolio................ (8,261) 684 7,577 United Kingdom Small Company Portfolio.............. 154 (64) (90) Continental Small Company Portfolio................. 141 153 (294) DFA International Real Estate Securities Portfolio.. (28,670) (3,353) 32,023 DFA Global Real Estate Securities Portfolio......... 2,758 (2,921) 163 DFA International Small Cap Value Portfolio......... 129,331 7,568 (136,899) International Vector Equity Portfolio............... 2,390 (1,836) (554) International High Relative Profitability Portfolio. -- 19 (19) World ex U.S. Value Portfolio....................... -- 92 (92) World ex U.S. Targeted Value Portfolio.............. 532 425 (957) World ex U.S. Core Equity Portfolio................. 1,985 (1,439) (546) World Core Equity Portfolio......................... 93 38 (131) Selectively Hedged Global Equity Portfolio.......... 439 (1,708) 1,269 Emerging Markets Portfolio.......................... 5,817 (5,374) (443) Emerging Markets Small Cap Portfolio................ 20,127 (4,851) (15,276) Emerging Markets Value Portfolio.................... 39,329 (2,115) (37,214) Emerging Markets Core Equity Portfolio.............. (7,524) (20,063) 27,587
The tax character of dividends and distributions declared and paid during the years ended October 31, 2016 and October 31, 2017 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ---------- Enhanced U.S. Large Company Portfolio 2016. $ 4,946 $ 9,801 $ 14,747 2017. 5,224 4,088 9,312 U.S. Large Cap Equity Portfolio 2016. 14,431 -- 14,431 2017. 18,564 -- 18,564 U.S. Large Cap Value Portfolio 2016. 357,227 643,970 1,001,197 2017. 403,296 446,577 849,873 U.S. Targeted Value Portfolio 2016. 104,605 286,529 391,134 2017. 121,188 282,318 403,506 U.S. Small Cap Value Portfolio 2016. 122,984 487,358 610,342 2017. 113,837 533,287 647,124 U.S. Core Equity 1 Portfolio 2016. 253,050 160,152 413,202 2017. 310,434 71,615 382,049
167
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- U.S. Core Equity 2 Portfolio 2016............................................... $281,321 $296,061 $577,382 2017............................................... 322,547 122,469 445,016 U.S. Vector Equity Portfolio 2016............................................... 59,624 119,588 179,212 2017............................................... 55,976 101,959 157,935 U.S. Small Cap Portfolio 2016............................................... 135,940 503,185 639,125 2017............................................... 168,390 343,192 511,582 U.S. Micro Cap Portfolio 2016............................................... 43,406 267,830 311,236 2017............................................... 43,959 255,837 299,796 U.S. High Relative Profitability Portfolio 2017............................................... 541 -- 541 DFA Real Estate Securities Portfolio 2016............................................... 199,996 -- 199,996 2017............................................... 193,286 90,576 283,862 Large Cap International Portfolio 2016............................................... 92,122 -- 92,122 2017............................................... 111,606 -- 111,606 International Core Equity Portfolio 2016............................................... 387,589 -- 387,589 2017............................................... 533,126 -- 533,126 International Small Company Portfolio 2016............................................... 283,791 207,859 491,650 2017............................................... 224,540 251,076 475,616 Global Small Company Portfolio 2017............................................... -- -- -- Japanese Small Company Portfolio 2016............................................... 6,534 -- 6,534 2017............................................... 9,568 -- 9,568 Asia Pacific Small Company Portfolio 2016............................................... 7,760 -- 7,760 2017............................................... 8,894 -- 8,894 United Kingdom Small Company Portfolio 2016............................................... 1,389 1,632 3,021 2017............................................... 1,322 1,684 3,006 Continental Small Company Portfolio 2016............................................... 6,377 -- 6,377 2017............................................... 7,715 -- 7,715 DFA International Real Estate Securities Portfolio 2016............................................... 60,576 -- 60,576 2017............................................... 326,892 -- 326,892 DFA Global Real Estate Securities Portfolio 2016............................................... 97,767 -- 97,767 2017............................................... 224,755 18,247 243,002 DFA International Small Cap Value Portfolio 2016............................................... 381,199 182,540 563,739 2017............................................... 199,261 410,189 609,450
168
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- International Vector Equity Portfolio 2016................................................ $ 43,651 $ 5,716 $ 49,367 2017................................................ 50,390 4,041 54,431 International High Relative Profitability Portfolio 2017................................................ 299 -- 299 World ex U.S. Value Portfolio 2016................................................ 5,358 -- 5,358 2017................................................ 4,532 -- 4,532 World ex U.S. Targeted Value Portfolio 2016................................................ 4,374 -- 4,374 2017................................................ 7,684 -- 7,684 World ex U.S. Core Equity Portfolio 2016................................................ 36,005 -- 36,005 2017................................................ 52,690 -- 52,690 World Core Equity Portfolio 2016................................................ 5,800 132 5,932 2017................................................ 9,033 1,231 10,264 Selectively Hedged Global Equity Portfolio 2016................................................ 6,448 620 7,068 2017................................................ 6,737 2,369 9,106 Emerging Markets Portfolio 2016................................................ 89,527 -- 89,527 2017................................................ 107,522 -- 107,522 Emerging Markets Small Cap Portfolio 2016................................................ 124,387 36,697 161,084 2017................................................ 157,661 117,099 274,760 Emerging Markets Value Portfolio 2016................................................ 439,072 -- 439,072 2017................................................ 340,613 -- 340,613 Emerging Markets Core Equity Portfolio 2016................................................ 349,434 -- 349,434 2017................................................ 449,166 -- 449,166
The U.S. and International High Relative Profitability Portfolios commenced operations on May 16, 2017, and did not pay any distributions for the year ended October 31, 2016. Global Small Company Portfolio commenced operations on January 18, 2017, and did not pay any distributions for the year ended October 31, 2016. At October 31, 2017, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Enhanced U.S. Large Company Portfolio. $ (2,039) $ (2,569) $ (4,608) U.S. Large Cap Equity Portfolio....... (198) -- (198) U.S. Large Cap Value Portfolio........ (21,790) (52,309) (74,099) U.S. Targeted Value Portfolio......... (9,256) (30,921) (40,177) U.S. Small Cap Value Portfolio........ (10,924) (46,760) (57,684)
169
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- U.S. Core Equity 1 Portfolio........................ $ (6,739) $ (2,674) $ (9,413) U.S. Core Equity 2 Portfolio........................ (8,025) (5,460) (13,485) U.S. Vector Equity Portfolio........................ (3,379) (9,846) (13,225) U.S. Small Cap Portfolio............................ (11,508) (36,106) (47,614) U.S. Micro Cap Portfolio............................ (3,275) (13,543) (16,818) U.S. High Relative Profitability Portfolio.......... -- -- -- DFA Real Estate Securities Portfolio................ (2,708) (230) (2,938) Large Cap International Portfolio................... (829) -- (829) International Core Equity Portfolio................. (15,027) -- (15,027) International Small Company Portfolio............... (21,090) (21,876) (42,966) Global Small Company Portfolio...................... -- -- -- Japanese Small Company Portfolio.................... -- -- -- Asia Pacific Small Company Portfolio................ -- -- -- United Kingdom Small Company Portfolio.............. (74) (80) (154) Continental Small Company Portfolio................. (50) (91) (141) DFA International Real Estate Securities Portfolio.. (5,907) -- (5,907) DFA Global Real Estate Securities Portfolio......... (2,321) (437) (2,758) DFA International Small Cap Value Portfolio......... (23,859) (26,770) (50,629) International Vector Equity Portfolio............... (2,058) (332) (2,390) International High Relative Profitability Portfolio. -- -- -- World ex U.S. Value Portfolio....................... -- -- -- World ex U.S. Targeted Value Portfolio.............. (262) (269) (531) World ex U.S. Core Equity Portfolio................. (1,985) -- (1,985) World Core Equity Portfolio......................... (47) (46) (93) Selectively Hedged Global Equity Portfolio.......... (306) (133) (439) Emerging Markets Portfolio.......................... (5,817) -- (5,817) Emerging Markets Small Cap Portfolio................ (10,394) (7,275) (17,669) Emerging Markets Value Portfolio.................... (27,950) -- (27,950) Emerging Markets Core Equity Portfolio.............. (18,920) -- (18,920)
At October 31, 2017, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Capital Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) -------------- ------------- ------------- -------------- ------------- Enhanced U.S. Large Company Portfolio...................... $21,136 $ 29,522 -- $ (1,054) $ 49,604 U.S. Large Cap Equity Portfolio.. 1,216 -- $(10,499) 253,829 244,546 U.S. Large Cap Value Portfolio... 67,582 1,084,234 -- 7,253,139 8,404,955 U.S. Targeted Value Portfolio.... 27,251 435,620 -- 2,203,558 2,666,429 U.S. Small Cap Value Portfolio... 55,297 653,830 -- 4,322,729 5,031,856 U.S. Core Equity 1 Portfolio..... 17,497 116,819 -- 6,974,127 7,108,443 U.S. Core Equity 2 Portfolio..... 20,148 214,751 -- 7,931,547 8,166,446 U.S. Vector Equity Portfolio..... 921 164,689 -- 1,601,795 1,767,405 U.S. Small Cap Portfolio......... 44,037 608,200 -- 4,408,031 5,060,268 U.S. Micro Cap Portfolio......... 23,257 260,406 -- 2,396,065 2,679,728 U.S. High Relative Profitability Portfolio...................... 131 -- (353) 9,519 9,297
170
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Capital Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) -------------- ------------- ------------- -------------- ------------- DFA Real Estate Securities Portfolio...... $ 53,259 $ 20,141 -- $2,204,331 $2,277,731 Large Cap International Portfolio......... 22,633 -- $ (26,861) 814,190 809,962 International Core Equity Portfolio....... 170,408 -- (304,819) 4,690,734 4,556,323 International Small Company Portfolio............................... 219,245 375,722 -- 2,697,226 3,292,193 Global Small Company Portfolio............ 202 81 -- 1,247 1,530 Japanese Small Company Portfolio.......... 15,452 -- (3,708) 153,281 165,025 Asia Pacific Small Company Portfolio...... 11,507 -- (4,719) 3,771 10,559 United Kingdom Small Company Portfolio............................... 552 1,572 -- 9,300 11,424 Continental Small Company Portfolio....... 1,366 4,962 -- 130,686 137,014 DFA International Real Estate Securities Portfolio............................... 199,831 -- (169,753) (341,763) (311,685) DFA Global Real Estate Securities Portfolio............................... 60,421 43,337 -- 686,809 790,567 DFA International Small Cap Value Portfolio............................... 323,970 477,826 -- 3,410,837 4,212,633 International Vector Equity Portfolio..... 23,629 10,130 -- 531,440 565,199 International High Relative Profitability Portfolio............................... 146 -- (236) 3,719 3,629 World ex U.S. Value Portfolio............. 2,801 -- (226) 38,977 41,552 World ex U.S. Targeted Value Portfolio............................... 1,430 8,307 -- 78,970 88,707 World ex U.S. Core Equity Portfolio....... 17,340 -- (5,291) 422,270 434,319 World Core Equity Portfolio............... -- 1,076 -- 88,330 89,406 Selectively Hedged Global Equity Portfolio............................... 5,442 3,086 -- 75,594 84,122 Emerging Markets Portfolio................ 30,263 -- (222,047) 2,145,848 1,954,064 Emerging Markets Small Cap Portfolio............................... 114,626 145,192 -- 1,028,031 1,287,849 Emerging Markets Value Portfolio.......... 215,411 -- (1,338,720) 2,456,083 1,332,774 Emerging Markets Core Equity Portfolio............................... 124,552 -- (832,542) 5,300,099 4,592,109
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2017, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through October 31 of the indicated expiration dates, as applicable (amounts in thousands):
2018 2019 2020 Unlimited Total ---- ---- ---- --------- ------- Enhanced U.S. Large Company Portfolio. -- -- -- -- -- U.S. Large Cap Equity Portfolio....... -- -- -- $10,499 $10,499 U.S. Large Cap Value Portfolio........ -- -- -- -- -- U.S. Targeted Value Portfolio......... -- -- -- -- -- U.S. Small Cap Value Portfolio........ -- -- -- -- --
171
2018 2019 2020 Unlimited Total ------- ------- ------ ---------- ---------- U.S. Core Equity 1 Portfolio........................ -- -- -- -- -- U.S. Core Equity 2 Portfolio........................ -- -- -- -- -- U.S. Vector Equity Portfolio........................ -- -- -- -- -- U.S. Small Cap Portfolio............................ -- -- -- -- -- U.S. Micro Cap Portfolio............................ -- -- -- -- -- U.S. High Relative Profitability Portfolio.......... -- -- -- $ 353 $ 353 DFA Real Estate Securities Portfolio................ -- -- -- -- -- Large Cap International Portfolio................... $14,311 $12,549 -- -- 26,860 International Core Equity Portfolio................. -- -- -- 304,819 304,819 International Small Company Portfolio............... -- -- -- -- -- Global Small Company Portfolio...................... -- -- -- -- -- Japanese Small Company Portfolio.................... -- 3,708 -- -- 3,708 Asia Pacific Small Company Portfolio................ -- -- -- 4,719 4,719 United Kingdom Small Company Portfolio.............. -- -- -- -- -- Continental Small Company Portfolio................. -- -- -- -- -- DFA International Real Estate Securities Portfolio.. 38,689 69,466 -- 61,598 169,753 DFA Global Real Estate Securities Portfolio......... -- -- -- -- -- DFA International Small Cap Value Portfolio......... -- -- -- -- -- International Vector Equity Portfolio............... -- -- -- -- -- International High Relative Profitability Portfolio. -- -- -- 236 236 World ex U.S. Value Portfolio....................... -- 226 -- -- 226 World ex U.S. Targeted Value Portfolio.............. -- -- -- -- -- World ex U.S. Core Equity Portfolio................. -- -- -- 5,291 5,291 World Core Equity Portfolio......................... -- -- -- -- -- Selectively Hedged Global Equity Portfolio.......... -- -- -- -- -- Emerging Markets Portfolio.......................... -- -- -- 222,047 222,047 Emerging Markets Small Cap Portfolio................ -- -- -- -- -- Emerging Markets Value Portfolio.................... -- -- -- 1,338,720 1,338,720 Emerging Markets Core Equity Portfolio.............. -- -- -- 832,542 832,542
During the year ended October 31, 2017, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): U.S. Large Cap Equity Portfolio........ $ 565 Large Cap International Portfolio...... 159,888 International Core Equity Portfolio.... 4,549 Japanese Small Company Portfolio....... 27,939 Asia Pacific Small Company Portfolio... 8,833 Continental Small Company Portfolio.... 10,132 World ex U.S. Value Portfolio.......... 2,457 World ex U.S. Targeted Value Portfolio. 8,263 World ex U.S. Core Equity Portfolio.... 6,772
At April 30, 2018, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Enhanced U.S. Large Company Portfolio. $ 367,092 $ 949 $(27,333) $ (26,384) U.S. Large Cap Equity Portfolio....... 1,125,457 323,348 (32,413) 290,935 U.S. Large Cap Value Portfolio........ 17,498,370 7,341,264 -- 7,341,264
172
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- U.S. Targeted Value Portfolio....................... $10,383,018 $2,707,644 $ (651,854) $2,055,790 U.S. Small Cap Value Portfolio...................... 13,479,674 4,592,520 (842,645) 3,749,875 U.S. Core Equity 1 Portfolio........................ 16,307,868 8,133,526 (580,044) 7,553,482 U.S. Core Equity 2 Portfolio........................ 17,549,547 9,117,379 (743,757) 8,373,622 U.S. Vector Equity Portfolio........................ 3,693,630 1,814,525 (245,807) 1,568,718 U.S. Small Cap Portfolio............................ 16,427,975 5,118,403 (951,509) 4,166,894 U.S. Micro Cap Portfolio............................ 5,145,723 2,597,350 (332,227) 2,265,123 U.S. High Relative Profitability Portfolio.......... 376,354 25,620 (12,268) 13,352 DFA Real Estate Securities Portfolio................ 7,175,747 2,046,341 (353,072) 1,693,269 Large Cap International Portfolio................... 4,463,649 1,127,723 (232,192) 895,531 International Core Equity Portfolio................. 26,073,259 6,643,852 (1,456,856) 5,186,996 International Small Company Portfolio............... 11,438,947 2,866,677 (107,978) 2,758,699 Global Small Company Portfolio...................... 24,573 1,025 (30) 995 Japanese Small Company Portfolio.................... 545,523 169,509 -- 169,509 Asia Pacific Small Company Portfolio................ 364,288 8,498 -- 8,498 United Kingdom Small Company Portfolio.............. 33,558 9,351 -- 9,351 Continental Small Company Portfolio................. 629,768 127,445 -- 127,445 DFA International Real Estate Securities Portfolio.. 6,048,620 178,087 (182,073) (3,986) DFA Global Real Estate Securities Portfolio......... 6,832,075 739,512 (239,003) 500,509 DFA International Small Cap Value Portfolio......... 14,144,562 3,978,227 (1,056,217) 2,922,010 International Vector Equity Portfolio............... 2,354,061 713,333 (165,688) 547,645 International High Relative Profitability Portfolio. 185,757 9,511 (5,412) 4,099 World ex U.S. Value Portfolio....................... 205,984 42,926 -- 42,926 World ex U.S. Targeted Value Portfolio.............. 458,717 98,633 (27,083) 71,550 World ex U.S. Core Equity Portfolio................. 2,971,503 638,795 (146,754) 492,041 World Core Equity Portfolio......................... 593,015 104,132 -- 104,132 Selectively Hedged Global Equity Portfolio.......... 307,514 84,066 (829) 83,237 Emerging Markets Portfolio.......................... 4,016,362 2,273,974 -- 2,273,974 Emerging Markets Small Cap Portfolio................ 6,656,739 1,168,472 -- 1,168,472 Emerging Markets Value Portfolio.................... 16,570,910 3,355,243 -- 3,355,243 Emerging Markets Core Equity Portfolio.............. 24,544,520 8,507,086 (2,212,516) 6,294,570
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to 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. 173 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Six Months Ended Year Ended April 30, 2018 Oct. 31, 2017 -------------------- --------------------- (Unaudited) Amount Shares Amount Shares ----------- ------- ----------- -------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued........................................ $ 15,872 630 $ 24,436 1,012 Shares Issued in Lieu of Cash Distributions.......... 2,654 108 1,891 78 Shares Redeemed...................................... (17,662) (706) (13,915) (583) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R1 Shares............ $ 864 32 $ 12,412 507 =========== ======= =========== ======== Class R2 Shares Shares Issued........................................ $ 25,555 1,035 $ 59,748 2,511 Shares Issued in Lieu of Cash Distributions.......... 7,248 298 7,083 293 Shares Redeemed...................................... (23,516) (939) (83,900) (3,530) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 9,287 394 $ (17,069) (726) =========== ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,121,768 44,999 $ 2,997,263 124,486 Shares Issued in Lieu of Cash Distributions.......... 482,511 19,714 364,240 15,012 Shares Redeemed...................................... (1,233,492) (49,244) (2,200,921) (91,872) ----------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 370,787 15,469 $ 1,160,582 47,626 =========== ======= =========== ======== Six Months Ended Year Ended April 30, 2018 Oct. 31, 2017 -------------------- --------------------- (Unaudited) Amount Shares Amount Shares ----------- ------- ----------- -------- Emerging Markets Value Portfolio Class R2 Shares Shares Issued........................................ $ 3,911 123 $ 21,637 832 Shares Issued in Lieu of Cash Distributions.......... 375 13 847 33 Shares Redeemed...................................... (7,851) (248) (100,936) (3,793) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ (3,565) (112) $ (78,452) (2,928) =========== ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,369,170 42,754 $ 2,437,845 90,088 Shares Issued in Lieu of Cash Distributions.......... 216,370 7,191 321,969 11,684 Shares Redeemed...................................... (2,248,514) (70,934) (3,240,359) (118,738) ----------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ (662,974) (20,989) $ (480,545) (16,966) =========== ======= =========== ========
H. Financial Instruments: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest either directly or indirectly through their investment in a corresponding Master/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 developments and the level of foreign governmental supervision and regulation of foreign securities 174 markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Forward Currency Contracts: The Portfolios listed below may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk) or to transfer balances from one currency to another currency. The Selectively Hedged Global Equity Portfolio may hedge some or all of the currency exposure of its foreign securities by entering into forward currency contracts. The decision to hedge the Selectively Hedged Global Equity Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statement of Operations as the change in unrealized appreciation or depreciation from translation of foreign-currency-denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3. Futures Contracts: Each Portfolio listed below may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. The Enhanced U.S. Large Company Portfolio may also use futures contracts and options thereon to hedge against securities prices or as part of its overall investment strategy. The Selectively Hedged Global Equity Portfolio may also use futures contracts to hedge some or all of the currency exposure of its foreign securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. government securities to a broker, equal to the minimum "initial margin" requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the six months ended April 30, 2018 (amounts in thousands):
Forward Currency Contracts Futures --------- ------- Enhanced U.S. Large Company Portfolio. 45,046 340,329 U.S. Targeted Value Portfolio......... -- 86,759 U.S. Small Cap Value Portfolio........ -- 125,293 U.S. Core Equity 1 Portfolio.......... -- 171,523 U.S. Core Equity 2 Portfolio.......... -- 184,351 U.S. Vector Equity Portfolio.......... -- 33,947
175
Forward Currency Contracts Futures --------- -------- U.S. Small Cap Portfolio............................ -- $133,708 U.S. Micro Cap Portfolio............................ -- 55,769 DFA Real Estate Securities Portfolio................ -- 77,649 Large Cap International Portfolio................... -- 42,839 International Core Equity Portfolio................. -- 187,088 International Small Company Portfolio............... -- 118,827 DFA International Real Estate Securities Portfolio.. -- 29,568 DFA International Small Cap Value Portfolio......... -- 146,367 International Vector Equity Portfolio............... -- 1,144 International High Relative Profitability Portfolio. -- 77 Selectively Hedged Global Equity Portfolio.......... $206,262 24,256 Emerging Markets Core Equity Portfolio.............. -- 237,432
Securities have been segregated as collateral for open futures contracts. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2018: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Forward currency Unrealized Gain on Unrealized Loss on contracts Forward Currency Forward Currency Contracts Contracts Equity contracts Receivables: Futures Payables: Futures Margin Margin Variation Variation The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2018 (amounts in thousands):
Asset Derivatives Value ---------------------------------- Total Value Forward at Currency Equity April 30, 2018 Contracts Contracts* -------------- --------- ---------- Enhanced U.S. Large Company Portfolio.............. $ 899 $ 899 -- Large Cap International Portfolio.................. 7 -- $ 7 DFA International Real Estate Securities Portfolio. 665 -- 665 Selectively Hedged Global Equity Portfolio......... 2,795 2,795 -- Liability Derivatives Value ---------------------------------- Total Value Forward at Currency Equity April 30, 2018 Contracts Contracts* -------------- --------- ---------- Enhanced U.S. Large Company Portfolio.............. $(7,394) $ (3) $(7,391) U.S. Targeted Value Portfolio...................... (2,840) -- (2,840) U.S. Small Cap Value Portfolio..................... (4,022) -- (4,022) U.S. Core Equity 1 Portfolio....................... (5,840) -- (5,840) U.S. Core Equity 2 Portfolio....................... (6,450) -- (6,450) U.S. Vector Equity Portfolio....................... (1,061) -- (1,061) U.S. Small Cap Portfolio........................... (3,859) -- (3,859) U.S. Micro Cap Portfolio........................... (878) -- (878) DFA Real Estate Securities Portfolio............... (2,410) -- (2,410) Large Cap International Portfolio.................. (1,041) -- (1,041) International Core Equity Portfolio................ (5,643) -- (5,643)
176
Liability Derivatives Value ---------------------------------- Total Value Forward at Currency Equity April 30, 2018 Contracts Contracts* -------------- --------- ---------- International Small Company Portfolio...... $(2,671) -- $(2,671) DFA International Small Cap Portfolio...... (4,550) -- (4,550) International Vector Equity Portfolio...... (68) -- (68) Selectively Hedged Global Equity Portfolio. (830) $(35) (795) Emerging Markets Core Equity Portfolio..... (9,560) -- (9,560)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings through the six months ended April 30, 2018:
Derivative Type Location of Gain (Loss) on Derivatives --------------- -------------------------------------- Forward currency contracts Net Realized Gain (Loss) on: Forward Currency Contracts Change in Unrealized Appreciation (Depreciation) of: Forward Currency Contracts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings categorized by primary risk exposure for the six months ended April 30, 2018 (amounts in thousands):
Realized Gain (Loss) on Derivatives --------------------------- Forward Currency Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio............... $32,513 $310 $32,203 U.S. Large Cap Equity Portfolio..................... 21 -- 21* U.S. Targeted Value Portfolio....................... 8,335 -- 8,335 U.S. Small Cap Value Portfolio...................... 14,383 -- 14,383 U.S. Core Equity 1 Portfolio........................ 17,432 -- 17,432 U.S. Core Equity 2 Portfolio........................ 18,482 -- 18,482 U.S. Vector Equity Portfolio........................ 1,242 -- 1,242 U.S. Small Cap Portfolio............................ 14,625 -- 14,625 U.S. Micro Cap Portfolio............................ 4,412 -- 4,412 U.S. High Relative Profitability Portfolio.......... (37) -- (37)* DFA Real Estate Securities Portfolio................ 6,473 -- 6,473 Large Cap International Portfolio................... 3,576 -- 3,576 International Core Equity Portfolio................. 33,099 -- 33,099 International Small Company Portfolio............... 11,806 -- 11,806 Global Small Company Portfolio...................... 2 -- 2* DFA International Real Estate Securities Portfolio.. 2,020 -- 2,020 DFA International Small Cap Value Portfolio......... 15,893 -- 15,893 International Vector Equity Portfolio............... (17) -- (17) International High Relative Profitability Portfolio. 24 -- 24* World ex U.S. Targeted Value Portfolio.............. 22 -- 22* World ex U.S. Core Equity Portfolio................. 657 -- 657* World Core Equity Portfolio......................... 145 -- 145*
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Realized Gain (Loss) on Derivatives ---------------------------- Forward Currency Equity Total Contracts Contracts -------- --------- --------- Selectively Hedged Global Equity Portfolio......... $ (817) $(3,348) $ 2,531 Emerging Markets Core Equity Portfolio............. 18,221 -- 18,221 Change in Unrealized Appreciation (Depreciation) on Derivatives ---------------------------- Forward Currency Equity Total Contracts Contracts -------- --------- --------- Enhanced U.S. Large Company Portfolio.............. $(21,933) -- $(21,933) U.S. Targeted Value Portfolio...................... (3,740) -- (3,740) U.S. Small Cap Value Portfolio..................... (9,360) -- (9,360) U.S. Core Equity 1 Portfolio....................... (12,650) -- (12,650) U.S. Core Equity 2 Portfolio....................... (14,032) -- (14,032) U.S. Vector Equity Portfolio....................... (1,061) -- (1,061) U.S. Small Cap Portfolio........................... (9,693) -- (9,693) U.S. Micro Cap Portfolio........................... (1,811) -- (1,811) DFA Real Estate Securities Portfolio............... (4,754) -- (4,754) Large Cap International Portfolio.................. (2,046) -- (2,046) International Core Equity Portfolio................ (14,558) -- (14,558) International Small Company Portfolio.............. (5,581) -- (5,581) DFA International Real Estate Securities Portfolio. 215 -- 215 DFA International Small Cap Value Portfolio........ (10,499) -- (10,499) International Vector Equity Portfolio.............. (68) -- (68) Selectively Hedged Global Equity Portfolio......... (465) $ 1,336 (1,801) Emerging Markets Core Equity Portfolio............. (15,447) -- (15,447)
* As of April 30, 2018, there were no futures contracts outstanding. During the six months ended April 30, 2018, the Portfolio had limited activity in futures contracts. Offsetting of Derivative Assets and Derivative Liabilities In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter (OTC) derivatives and forward currency contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the "Statement of assets and liabilities." 178 The following table presents the Portfolios' gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of April 30, 2018 (Amounts in thousands):
Net Net Amounts Amounts of Gross Amounts Not of Gross Amounts Not Assets Offset in the Liabilities Offset in the Presented Statements of Assets Presented Statements of Assets Gross in the and Liabilities Gross in the and Liabilities Amounts of Statements ---------------------- Amounts of Statements ---------------------- Recognized of Assets Financial Cash Net Recognized of Assets Financial Cash Net Assets and Instruments Collateral Amount Liabilities and Instruments Collateral Amount Description (a) Liabilities (b) Received (c) (a) Liabilities (d) Pledged (e) ----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------ Assets Liabilities ---------------------------------------------------- ----------------------------------------------------- Enhanced U.S. Large Company Portfolio Citibank, N.A...... $ 72 $ 72 $ (3) -- $ 69 $ 3 $ 3 $ (3) -- -- Royal Bank of Scotland.......... 764 764 -- -- 764 -- -- -- -- -- State Street Bank and Trust......... 63 63 -- -- 63 -- -- -- -- -- ----- ----- ---- -- ----- --- --- ---- -- -- $ 899 $ 899 $ (3) -- $ 896 $ 3 $ 3 $ (3) -- -- ===== ===== ==== == ===== === === ==== == == Selectively Hedged Global Equity Portfolio Bank of America Corp.............. $ 339 $ 339 -- -- $ 339 -- -- -- -- -- Citibank, N.A...... 557 557 $ (2) -- 555 $ 2 $ 2 $ (2) -- -- JP Morgan.......... 168 168 -- -- 168 -- -- -- -- -- State Street Bank and Trust......... 874 874 (33) -- 841 33 33 (33) -- -- UBS AG............. 857 857 -- -- 857 -- -- -- -- -- ----- ----- ---- -- ----- --- --- ---- -- -- $2795 $2795 $(35) -- $2760 $35 $35 $(35) -- -- ===== ===== ==== == ===== === === ==== == ==
(a)No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities. (b)Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (c)Represents the net amount due from counterparties in the event of default. (d)Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (e)Represents the net amount due to counterparties in the event of default. Note K contains information regarding securities lending amounts that are subject to netting arrangements. I. Line of Credit and Interfund Lending Program: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 28, 2018, with its domestic custodian bank. A line of credit with similar terms was in effect through March 28, 2018. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 27, 2019. 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 5, 2018. A line of credit with similar 179 terms was in effect through January 5, 2018. 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 4, 2019. For the six months ended April 30, 2018, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Large Cap Equity Portfolio............ 2.01% $ 3,828 9 $ 2 $ 13,401 U.S. Vector Equity Portfolio............... 1.91% 4,459 3 1 4,459 U.S. High Relative Profitability Portfolio. 2.16% 2,653 4 1 2,990 Global Small Company Portfolio............. 1.91% 69 2 -- 69 DFA International Real Estate Securities Portfolio................................ 2.16% 78,412 7 33 150,457 DFA Global Real Estate Securities Portfolio................................ 2.17% 2,111 2 -- 3,392 International Vector Equity Portfolio...... 2.14% 1,073 3 -- 2,030 International High Relative Profitability Portfolio................................ 2.16% 339 4 -- 491 World ex U.S. Value Portfolio.............. 2.27% 112 11 -- 307 World ex U.S. Targeted Value Portfolio..... 2.05% 171 4 -- 221 World ex U.S. Core Equity Portfolio........ 2.04% 9,216 2 1 16,115 World Core Equity Portfolio................ 2.24% 4,981 15 5 15,818
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2018, that each Portfolio's available line of credit was utilized. At April 30, 2018, the World ex U.S. Value Portfolio had loans outstanding in the amount of $18 (in thousands). Pursuant to an exemptive order issued by the SEC (the "Order"), the Portfolios may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day's notice. The Portfolios did not utilize the interfund lending program during the six months ended April 30, 2018. J. Affiliated Trades: Cross trades for the six months ended April 30, 2018, if any, were executed by the Portfolios pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. 180 For the six months ended April 30, 2018, cross trades by the Portfolios under Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales Realized Gain (Loss) --------- --------- -------- -------------------- U.S. Large Cap Equity Portfolio...................... $ 26,705 $ 15,033 $ (1,449) U.S. Targeted Value Portfolio........................ 69,628 154,720 38,206 U.S. Small Cap Value Portfolio....................... 71,694 202,733 72,487 U.S. Core Equity 1 Portfolio......................... 106,730 78,168 2,800 U.S. Core Equity 2 Portfolio......................... 86,924 179,637 3,616 U.S. Vector Equity Portfolio......................... 16,917 51,470 23,166 U.S. Small Cap Portfolio............................. 221,262 55,824 20,015 U.S. Micro Cap Portfolio............................. 41,344 76,851 34,628 U.S. High Relative Profitability Portfolio........... 5,666 1,848 (250) DFA Real Estate Securities Portfolio................. -- 558 (33) Large Cap International Portfolio.................... 42,845 22,701 2,473 International Core Equity Portfolio.................. 192,425 58,297 (11,656) DFA Global Real Estate Securities Portfolio.......... 305 -- -- DFA International Small Cap Value Portfolio.......... 32,984 330,070 100,064 International Vector Equity Portfolio................ 17,243 14,008 3,591 International High Relative Profitability Portfolio.. 4,946 526 (79) World ex U.S. Targeted Value Portfolio............... 4,194 4,889 1,489 World ex U.S. Core Equity Portfolio.................. 16,243 4,426 536 Emerging Markets Core Equity Portfolio............... 4,300 9,522 1,428
K. Securities Lending: As of April 30, 2018, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):
Market Value ---------- U.S. Large Cap Equity Portfolio..................... $ $8,522 U.S. Targeted Value Portfolio....................... 799,056 U.S. Small Cap Value Portfolio...................... 1,044,236 U.S. Core Equity 1 Portfolio........................ 1,143,269 U.S. Core Equity 2 Portfolio........................ 1,189,232 U.S. Vector Equity Portfolio........................ 320,972 U.S. Small Cap Portfolio............................ 1,589,031 U.S. Micro Cap Portfolio............................ 379,433 U.S. High Relative Profitability Portfolio.......... 2,263 DFA Real Estate Securities Portfolio................ 226,221 Large Cap International Portfolio................... 54,270 International Core Equity Portfolio................. 304,208 DFA International Real Estate Securities Portfolio.. 31,175 DFA International Small Cap Value Portfolio......... 258,270 International Vector Equity Portfolio............... 39,814 International High Relative Profitability Portfolio. 352 World ex U.S. Targeted Value Portfolio.............. 5,729 World ex U.S. Core Equity Portfolio................. 57,740 Emerging Markets Core Equity Portfolio.............. 1,090,378
Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured 181 by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio's collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in the Money Market Series, an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses, and other payments to and from borrowers of securities. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements As of April 30, 2018 ------------------------------------------------------------ Overnight and Between Continuous <30 days 30 & 90 days >90 days Total -------------- -------- ------------ -------- -------------- Securities Lending Transactions Enhanced U.S. Large Company Portfolio Bonds.......................... $ 13,667,527 -- -- -- $ 13,667,527 U.S. Large Cap Equity Portfolio Common Stocks.................. 39,284,894 -- -- -- 39,284,894 U.S. Targeted Value Portfolio Common Stocks, Preferred Stocks....................... 1,533,186,477 -- -- -- 1,533,186,477 U.S. Small Cap Value Portfolio Common Stocks.................. 2,037,438,029 -- -- -- 2,037,438,029 U.S. Core Equity 1 Portfolio Common Stocks, Rights/ Warrants..................... 1,583,499,719 -- -- -- 1,583,499,719 U.S. Core Equity 2 Portfolio Common Stocks, Rights/ Warrants..................... 1,845,923,909 -- -- -- 1,845,923,909 U.S. Vector Equity Portfolio Common Stocks, Rights/ Warrants..................... 508,794,277 -- -- -- 508,794,277
182
Remaining Contractual Maturity of the Agreements As of April 30, 2018 ------------------------------------------------------------ Overnight and Between Continuous <30 days 30 & 90 days >90 days Total -------------- -------- ------------ -------- -------------- U.S. Small Cap Portfolio Common Stocks................... $3,123,516,458 -- -- -- $3,123,516,458 U.S. Micro Cap Portfolio Common Stocks, Preferred Stocks........................ 952,861,850 -- -- -- 952,861,850 U.S. High Relative Profitability Portfolio Common Stocks................... 11,042,353 -- -- -- 11,042,353 DFA Real Estate Securities Portfolio Common Stocks................... 590,271,592 -- -- -- 590,271,592 Large Cap International Portfolio Common Stocks................... 456,108,075 -- -- -- 456,108,075 International Core Equity Portfolio Common Stocks, Preferred Stocks........................ 2,698,602,797 -- -- -- 2,698,602,797 DFA International Real Estate Securities Portfolio Common Stocks................... 354,483,247 -- -- -- 354,483,247 DFA Global Real Estate Securities Portfolio Common Stocks................... 195,539,503 -- -- -- 195,539,503 DFA International Small Cap Value Portfolio Common Stocks................... 1,193,530,223 -- -- -- 1,193,530,223 International Vector Equity Portfolio Common Stocks................... 237,086,694 -- -- -- 237,086,694 International High Relative Profitability Portfolio Common Stocks................... 9,370,296 -- -- -- 9,370,296 World ex U.S. Targeted Value Portfolio Common Stocks................... 8,117,997 -- -- -- 8,117,997 World ex U.S. Core Equity Portfolio Common Stocks................... 234,935,550 -- -- -- 234,935,550 Emerging Markets Core Equity Portfolio Common Stocks................... 1,481,498,432 -- -- -- 1,481,498,432
L. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10% and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. 183 M. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. N. In-Kind Redemptions: During the six months ended April 30, 2018, the following Portfolio realized net gains (losses) on in-kind redemptions as follows: U.S. Targeted Value Portfolio. $16,160
O. Recently Issued Accounting Standards: In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements. P. Other: At April 30, 2018, the following number of shareholders held the following approximate percentages of the stated Portfolios' outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares...................................................... 3 62% U.S. Large Cap Equity Portfolio -- Institutional Class Shares....... 4 93% U.S. Large Cap Value Portfolio -- Institutional Class Shares........ 3 70% U.S. Targeted Value Portfolio -- Class R1 Shares.................... 6 91% U.S. Targeted Value Portfolio -- Class R2 Shares.................... 8 86% U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 58% U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 4 68% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 6 84% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 5 81% U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 91% U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 53% U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 4 76% U.S. High Relative Profitability Portfolio -- Institutional Class Shares...................................................... 3 95% DFA Real Estate Securities Portfolio -- Institutional Class Shares.. 4 76% Large Cap International Portfolio -- Institutional Class Shares..... 3 63% International Core Equity Portfolio -- Institutional Class Shares... 4 71% International Small Company Portfolio -- Institutional Class Shares. 3 60% Global Small Company Portfolio -- Institutional Class Shares........ 4 96% Japanese Small Company Portfolio -- Institutional Class Shares...... 4 86%
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Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Asia Pacific Small Company Portfolio -- Institutional Class Shares....................................................... 3 91% United Kingdom Small Company Portfolio -- Institutional Class Shares....................................................... 4 94% Continental Small Company Portfolio -- Institutional Class Shares.... 2 88% DFA International Real Estate Securities Portfolio -- Institutional Class Shares....................................................... 5 94% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares....................................................... 3 67% DFA International Small Cap Value Portfolio -- Institutional Class Shares....................................................... 4 71% International Vector Equity Portfolio -- Institutional Class Shares.. 4 89% International High Relative Profitability Portfolio -- Institutional Class Shares....................................................... 3 94% World ex U.S. Value Portfolio -- Institutional Class Shares.......... 5 88% World ex U.S. Targeted Value Portfolio -- Institutional Class Shares....................................................... 3 95% World ex U.S. Core Equity Portfolio -- Institutional Class Shares.... 3 71% World Core Equity Portfolio -- Institutional Class Shares............ 5 79% Selectively Hedged Global Equity Portfolio -- Institutional Class Shares....................................................... 4 95% Emerging Markets Portfolio -- Institutional Class Shares............. 3 52% Emerging Markets Small Cap Portfolio -- Institutional Class Shares....................................................... 3 54% Emerging Markets Value Portfolio -- Class R2 Shares.................. 2 91% Emerging Markets Value Portfolio -- Institutional Class Shares....... 2 36% Emerging Markets Core Equity Portfolio -- Institutional Class Shares....................................................... 3 61%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business. Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. The U.S. Large Cap Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the committee of unsecured creditors of Tribune (the "Committee Action," and with the Individual Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers and recover the stock repurchase proceeds paid to the Tribune shareholders who participated in the LBO. On September 23, 2013, the Court entered an order dismissing the Individual Creditor Actions in their entirety on the grounds that the individual creditor plaintiffs lack standing to pursue their claims. The parties appealed the Court's dismissal order to the United States Court of Appeals for the Second Circuit (the "Second Circuit"), and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the grounds that the individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for securities transactions. The individual creditor plaintiffs have petitioned the 185 Supreme Court of the United States (the "Supreme Court") to review the Second Circuit's ruling, and that petition is pending. Additionally, the individual creditor plaintiffs have moved the Second Circuit to review its prior ruling in light of a recent decision by the Supreme Court (in an unrelated case) regarding the scope of the Bankruptcy Code's safe harbor for securities transactions; such review is pending. On January 6, 2017, the Court granted the shareholder defendants' motion to dismiss the claims against them in the Committee Action. The Trustee requested that the Court certify the dismissal order for appeal to the Second Circuit, and the District Court advised that it will certify the dismissal order for appeal after it rules on the additional pending motions to dismiss (not involving the shareholder defendants). Additionally, the Trustee has requested leave from the District Court to file an amended complaint to assert new claims against the shareholder defendants in light of the recent Supreme Court decision addressing the scope of the Bankruptcy Code's safe harbor for securities transactions; that request is pending. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of the net asset value of The U.S. Large Cap Value Series at this time. The U.S. Large Cap Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expenses incurred by The U.S. Large Cap Value Series. Q. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 186 NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940 As noted in the table provided below, the following Portfolios paid distributions to shareholders of record, a portion of which is estimated to be in excess of a Portfolio's current and accumulated undistributed net income. Please note that this information is being provided to satisfy certain notice requirements under the Investment Company Act of 1940 and is not being provided for tax reporting purposes. Tax reporting information for the shareholders of a Portfolio will not be available until the end of a Portfolio's fiscal year. As a result, shareholders should not use the information provided in this notice for tax reporting purposes.
Estimated % Breakdown of Distribution Sources -------------------------------------------- Net income for Accumulated the current or undistributed preceding net profits Paid-in fiscal year, from the sale surplus and accumulated of securities or other undistributed net or other capital Portfolio Name income properties source -------------- ----------------- ------------- -------- Enhanced U.S. Large Company Portfolio December 15, 2017....................... 59% 0% 41% U.S. Large Cap Equity Portfolio December 15, 2017....................... 71% 0% 29% U.S. Large Cap Value Portfolio December 15, 2017....................... 95% 0% 5% U.S. Targeted Value Portfolio December 15, 2017....................... 67% 0% 33% U.S. Small Cap Value Portfolio December 15, 2017....................... 49% 0% 51% U.S. Core Equity 1 Portfolio December 14, 2017....................... 64% 0% 36% U.S. Core Equity 2 Portfolio December 14, 2017....................... 60% 0% 40% U.S. Vector Equity Portfolio December 15, 2017....................... 60% 0% 40% U.S. Small Cap Portfolio December 15, 2017....................... 72% 0% 28% U.S. Micro Cap Portfolio December 15, 2017....................... 56% 0% 44% U.S. High Relative Profitability Portfolio December 15, 2017....................... 92% 0% 8% Large Cap International Portfolio December 14, 2017....................... 62% 0% 38% International Core Equity Portfolio December 14, 2017....................... 44% 0% 56% International Small Company Portfolio December 15, 2017....................... 19% 0% 81% Global Small Company Portfolio December 15, 2017....................... 73% 0% 27% Japanese Small Company Portfolio December 15, 2017....................... 7% 0% 93% Asia Pacific Small Company Portfolio December 15, 2017....................... 27% 0% 73% United Kingdom Small Company Portfolio December 15, 2017....................... 22% 0% 78%
187
Estimated % Breakdown of Distribution Sources -------------------------------------------- Net income for Accumulated the current or undistributed preceding net profits Paid-in fiscal year, from the sale surplus and accumulated of securities or other undistributed net or other capital Portfolio Name income properties source -------------- ----------------- ------------- -------- Continental Small Company Portfolio December 15, 2017................................ 27% 0% 73% DFA International Real Estate Securities Portfolio December 14, 2017................................ 0% 0% 100% DFA International Small Cap Value Portfolio December 14, 2017................................ 20% 0% 80% International Vector Equity Portfolio December 14, 2017................................ 28% 0% 72% International High Relative Profitability Portfolio December 15, 2017................................ 83% 0% 17% World ex U.S. Value Portfolio December 15, 2017................................ 76% 0% 24% World Ex U.S. Targeted Value Portfolio December 15, 2017................................ 81% 0% 19% World ex U.S. Core equity Portfolio December 15, 2017................................ 35% 0% 65% World Core Equity Portfolio December 15, 2017................................ 99% 0% 1% Selectively Hedged Global Equity Portfolio December 15, 2017................................ 79% 0% 21% Emerging Markets Portfolio December 15, 2017................................ 0% 0% 100% Emerging Markets Small Cap Portfolio December 15, 2017................................ 16% 0% 84% Emerging Markets Value Portfolio December 15, 2017................................ 4% 0% 96% Emerging Markets Core Equity Portfolio December 14, 2017................................ 12% 0% 88%
The ultimate composition of these distributions may vary from the estimates provided above due to a variety of factors including future income and expenses, and realized gains and losses from the purchase and sale of securities. 188 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of th